custom module ¶

Custom data classes that subclass Data.

generate_gbm_paths function ¶

generate_gbm_paths(
    S0,
    mu,
    sigma,
    T,
    M,
    I,
    seed=None
)

Generate using Geometric Brownian Motion (GBM).

See https://stackoverflow.com/a/45036114/8141780.

AlpacaData class ¶

AlpacaData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

Data for data coming from alpaca-py.

Sign up for Alpaca API keys under https://app.alpaca.markets/signup.

Usage

Fetch the 1-minute data of the last 2 hours, wait 1 minute, and update:

>>> import vectorbt as vbt

>>> alpaca_data = vbt.AlpacaData.download(
...     "AAPL",
...     start='2 hours ago UTC',
...     end='15 minutes ago UTC',
...     interval='1m'
... )
>>> alpaca_data.get()
                            Open      High       Low     Close      Volume
timestamp
2021-12-27 14:04:00+00:00  177.0500  177.0500  177.0500  177.0500    1967
2021-12-27 14:05:00+00:00  177.0500  177.0500  177.0300  177.0500    3218
2021-12-27 14:06:00+00:00  177.0400  177.0400  177.0400  177.0400     873
...                             ...       ...       ...       ...     ...
2021-12-27 15:46:00+00:00  177.9500  178.0000  177.8289  177.8850  162778
2021-12-27 15:47:00+00:00  177.8810  177.9600  177.8400  177.9515  123284
2021-12-27 15:48:00+00:00  177.9600  178.0500  177.9600  178.0100  159700

[105 rows x 5 columns]

>>> import time
>>> time.sleep(60)

>>> alpaca_data = alpaca_data.update()
>>> alpaca_data.get()
                            Open      High       Low     Close      Volume
timestamp
2021-12-27 14:04:00+00:00  177.0500  177.0500  177.0500  177.0500    1967
2021-12-27 14:05:00+00:00  177.0500  177.0500  177.0300  177.0500    3218
2021-12-27 14:06:00+00:00  177.0400  177.0400  177.0400  177.0400     873
...                             ...       ...       ...       ...     ...
2021-12-27 15:47:00+00:00  177.8810  177.9600  177.8400  177.9515  123284
2021-12-27 15:48:00+00:00  177.9600  178.0500  177.9600  178.0100  159700
2021-12-27 15:49:00+00:00  178.0100  178.0700  177.9700  178.0650  185037

[106 rows x 5 columns]

Superclasses

Inherited members

download_symbol class method ¶

AlpacaData.download_symbol(
    symbol,
    timeframe='1d',
    start=0,
    end='now UTC',
    adjustment='all',
    limit=500,
    feed=None,
    **kwargs
)

Download the symbol.

Args

symbol : str

Symbol.

timeframe : str

Timeframe of data.

Must be integer multiple of 'm' (minute), 'h' (hour) or 'd' (day). i.e. '15m'. See https://alpaca.markets/data.

Note

Data from the latest 15 minutes is not available with a free data plan.

start : any

Start datetime.

See to_tzaware_datetime().

end : any

End datetime.

See to_tzaware_datetime().

adjustment : str

Specifies the corporate action adjustment for the stocks.

Allowed are raw, split, dividend or all.

limit : int

The maximum number of returned items.

feed : str

The feed to pull market data from.

This is either "iex", "otc", or "sip". Feeds "sip" and "otc" are only available to those with a subscription. Default is "iex" for free plans and "sip" for paid.

For defaults, see data.alpaca in settings.

update_symbol method ¶

AlpacaData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to AlpacaData.download_symbol().

BinanceData class ¶

BinanceData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

Data for data coming from python-binance.

Usage

Fetch the 1-minute data of the last 2 hours, wait 1 minute, and update:

>>> import vectorbt as vbt

>>> binance_data = vbt.BinanceData.download(
...     "BTCUSDT",
...     start='2 hours ago UTC',
...     end='now UTC',
...     interval='1m'
... )
>>> binance_data.get()
2021-05-02 14:47:20.478000+00:00 - 2021-05-02 16:47:00+00:00: : 1it [00:00,  3.42it/s]
                               Open      High       Low     Close     Volume  \
Open time
2021-05-02 14:48:00+00:00  56867.44  56913.57  56857.40  56913.56  28.709976
2021-05-02 14:49:00+00:00  56913.56  56913.57  56845.94  56888.00  19.734841
2021-05-02 14:50:00+00:00  56888.00  56947.32  56879.78  56934.71  23.150163
...                             ...       ...       ...       ...        ...
2021-05-02 16:45:00+00:00  56664.13  56666.77  56641.11  56644.03  40.852719
2021-05-02 16:46:00+00:00  56644.02  56663.43  56605.17  56605.18  27.573654
2021-05-02 16:47:00+00:00  56605.18  56657.55  56605.17  56627.12   7.719933

                                                Close time  Quote volume  \
Open time
2021-05-02 14:48:00+00:00 2021-05-02 14:48:59.999000+00:00  1.633534e+06
2021-05-02 14:49:00+00:00 2021-05-02 14:49:59.999000+00:00  1.122519e+06
2021-05-02 14:50:00+00:00 2021-05-02 14:50:59.999000+00:00  1.317969e+06
...                                                    ...           ...
2021-05-02 16:45:00+00:00 2021-05-02 16:45:59.999000+00:00  2.314579e+06
2021-05-02 16:46:00+00:00 2021-05-02 16:46:59.999000+00:00  1.561548e+06
2021-05-02 16:47:00+00:00 2021-05-02 16:47:59.999000+00:00  4.371848e+05

                           Number of trades  Taker base volume  \
Open time
2021-05-02 14:48:00+00:00               991          13.771152
2021-05-02 14:49:00+00:00               816           5.981942
2021-05-02 14:50:00+00:00              1086          10.813757
...                                     ...                ...
2021-05-02 16:45:00+00:00              1006          18.106933
2021-05-02 16:46:00+00:00               916          14.869411
2021-05-02 16:47:00+00:00               353           3.903321

                           Taker quote volume
Open time
2021-05-02 14:48:00+00:00        7.835391e+05
2021-05-02 14:49:00+00:00        3.402170e+05
2021-05-02 14:50:00+00:00        6.156418e+05
...                                       ...
2021-05-02 16:45:00+00:00        1.025892e+06
2021-05-02 16:46:00+00:00        8.421173e+05
2021-05-02 16:47:00+00:00        2.210323e+05

[120 rows x 10 columns]

>>> import time
>>> time.sleep(60)

>>> binance_data = binance_data.update()
>>> binance_data.get()
                               Open      High       Low     Close     Volume  \
Open time
2021-05-02 14:48:00+00:00  56867.44  56913.57  56857.40  56913.56  28.709976
2021-05-02 14:49:00+00:00  56913.56  56913.57  56845.94  56888.00  19.734841
2021-05-02 14:50:00+00:00  56888.00  56947.32  56879.78  56934.71  23.150163
...                             ...       ...       ...       ...        ...
2021-05-02 16:46:00+00:00  56644.02  56663.43  56605.17  56605.18  27.573654
2021-05-02 16:47:00+00:00  56605.18  56657.55  56605.17  56625.76  14.615437
2021-05-02 16:48:00+00:00  56625.75  56643.60  56614.32  56623.01   5.895843

                                                Close time  Quote volume  \
Open time
2021-05-02 14:48:00+00:00 2021-05-02 14:48:59.999000+00:00  1.633534e+06
2021-05-02 14:49:00+00:00 2021-05-02 14:49:59.999000+00:00  1.122519e+06
2021-05-02 14:50:00+00:00 2021-05-02 14:50:59.999000+00:00  1.317969e+06
...                                                    ...           ...
2021-05-02 16:46:00+00:00 2021-05-02 16:46:59.999000+00:00  1.561548e+06
2021-05-02 16:47:00+00:00 2021-05-02 16:47:59.999000+00:00  8.276017e+05
2021-05-02 16:48:00+00:00 2021-05-02 16:48:59.999000+00:00  3.338702e+05

                           Number of trades  Taker base volume  \
Open time
2021-05-02 14:48:00+00:00               991          13.771152
2021-05-02 14:49:00+00:00               816           5.981942
2021-05-02 14:50:00+00:00              1086          10.813757
...                                     ...                ...
2021-05-02 16:46:00+00:00               916          14.869411
2021-05-02 16:47:00+00:00               912           7.778489
2021-05-02 16:48:00+00:00               308           2.358130

                           Taker quote volume
Open time
2021-05-02 14:48:00+00:00        7.835391e+05
2021-05-02 14:49:00+00:00        3.402170e+05
2021-05-02 14:50:00+00:00        6.156418e+05
...                                       ...
2021-05-02 16:46:00+00:00        8.421173e+05
2021-05-02 16:47:00+00:00        4.404362e+05
2021-05-02 16:48:00+00:00        1.335474e+05

[121 rows x 10 columns]

Superclasses

Inherited members

download class method ¶

BinanceData.download(
    symbols,
    client=None,
    **kwargs
)

Override Data.download() to instantiate a Binance client.

download_symbol class method ¶

BinanceData.download_symbol(
    symbol,
    client=None,
    interval='1d',
    start=0,
    end='now UTC',
    delay=500,
    limit=500,
    show_progress=True,
    tqdm_kwargs=None
)

Download the symbol.

Args

symbol : str

Symbol.

client : binance.client.Client

Binance client of type binance.client.Client.

interval : str

Kline interval.

See binance.enums.

start : any

Start datetime.

See to_tzaware_datetime().

end : any

End datetime.

See to_tzaware_datetime().

delay : float

Time to sleep after each request (in milliseconds).

limit : int

The maximum number of returned items.

show_progress : bool

Whether to show the progress bar.

tqdm_kwargs : dict

Keyword arguments passed to tqdm.

For defaults, see data.binance in settings.

update_symbol method ¶

BinanceData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to BinanceData.download_symbol().

CCXTData class ¶

CCXTData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

Data for data coming from ccxt.

Usage

Fetch the 1-minute data of the last 2 hours, wait 1 minute, and update:

>>> import vectorbt as vbt

>>> ccxt_data = vbt.CCXTData.download(
...     "BTC/USDT",
...     start='2 hours ago UTC',
...     end='now UTC',
...     timeframe='1m'
... )
>>> ccxt_data.get()
2021-05-02 14:50:26.305000+00:00 - 2021-05-02 16:50:00+00:00: : 1it [00:00,  1.96it/s]
                               Open      High       Low     Close     Volume
Open time
2021-05-02 14:51:00+00:00  56934.70  56964.59  56910.00  56948.99  22.158319
2021-05-02 14:52:00+00:00  56948.99  56999.00  56940.04  56977.62  46.958464
2021-05-02 14:53:00+00:00  56977.61  56987.09  56882.98  56885.42  27.752200
...                             ...       ...       ...       ...        ...
2021-05-02 16:48:00+00:00  56625.75  56643.60  56595.47  56596.01  15.452510
2021-05-02 16:49:00+00:00  56596.00  56664.14  56596.00  56640.35  12.777475
2021-05-02 16:50:00+00:00  56640.35  56675.82  56640.35  56670.65   6.882321

[120 rows x 5 columns]

>>> import time
>>> time.sleep(60)

>>> ccxt_data = ccxt_data.update()
>>> ccxt_data.get()
                               Open      High       Low     Close     Volume
Open time
2021-05-02 14:51:00+00:00  56934.70  56964.59  56910.00  56948.99  22.158319
2021-05-02 14:52:00+00:00  56948.99  56999.00  56940.04  56977.62  46.958464
2021-05-02 14:53:00+00:00  56977.61  56987.09  56882.98  56885.42  27.752200
...                             ...       ...       ...       ...        ...
2021-05-02 16:49:00+00:00  56596.00  56664.14  56596.00  56640.35  12.777475
2021-05-02 16:50:00+00:00  56640.35  56689.99  56640.35  56678.33  14.610231
2021-05-02 16:51:00+00:00  56678.33  56688.99  56636.89  56653.42  11.647158

[121 rows x 5 columns]

Superclasses

Inherited members

download_symbol class method ¶

CCXTData.download_symbol(
    symbol,
    exchange='binance',
    config=None,
    timeframe='1d',
    start=0,
    end='now UTC',
    delay=None,
    limit=500,
    retries=3,
    show_progress=True,
    params=None,
    tqdm_kwargs=None
)

Download the symbol.

Args

symbol : str

Symbol.

exchange : str or object

Exchange identifier or an exchange object of type ccxt.base.exchange.Exchange.

config : dict

Config passed to the exchange upon instantiation.

Will raise an exception if exchange has been already instantiated.

timeframe : str

Timeframe supported by the exchange.

start : any

Start datetime.

See to_tzaware_datetime().

end : any

End datetime.

See to_tzaware_datetime().

delay : float

Time to sleep after each request (in milliseconds).

Note

Use only if enableRateLimit is not set.

limit : int

The maximum number of returned items.

retries : int

The number of retries on failure to fetch data.

show_progress : bool

Whether to show the progress bar.

tqdm_kwargs : dict

Keyword arguments passed to tqdm.

params : dict

Exchange-specific key-value parameters.

For defaults, see data.ccxt in settings.

update_symbol method ¶

CCXTData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to CCXTData.download_symbol().

GBMData class ¶

GBMData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

SyntheticData for data generated using Geometric Brownian Motion (GBM).

Usage

See the example under BinanceData.

>>> import vectorbt as vbt

>>> gbm_data = vbt.GBMData.download('GBM', start='2 hours ago', end='now', freq='1min', seed=42)
>>> gbm_data.get()
2021-05-02 14:14:15.182089+00:00    102.386605
2021-05-02 14:15:15.182089+00:00    101.554203
2021-05-02 14:16:15.182089+00:00    104.765771
...                                        ...
2021-05-02 16:12:15.182089+00:00     51.614839
2021-05-02 16:13:15.182089+00:00     53.525376
2021-05-02 16:14:15.182089+00:00     55.615250
Freq: T, Length: 121, dtype: float64

>>> import time
>>> time.sleep(60)

>>> gbm_data = gbm_data.update()
>>> gbm_data.get()
2021-05-02 14:14:15.182089+00:00    102.386605
2021-05-02 14:15:15.182089+00:00    101.554203
2021-05-02 14:16:15.182089+00:00    104.765771
...                                        ...
2021-05-02 16:13:15.182089+00:00     53.525376
2021-05-02 16:14:15.182089+00:00     51.082220
2021-05-02 16:15:15.182089+00:00     54.725304
Freq: T, Length: 122, dtype: float64

Superclasses

Inherited members

generate_symbol class method ¶

GBMData.generate_symbol(
    symbol,
    index,
    S0=100.0,
    mu=0.0,
    sigma=0.05,
    T=None,
    I=1,
    seed=None
)

Generate the symbol using generate_gbm_paths().

Args

symbol : str

Symbol.

index : pd.Index

Pandas index.

S0 : float

Value at time 0.

Does not appear as the first value in the output data.

mu : float

Drift, or mean of the percentage change.

sigma : float

Standard deviation of the percentage change.

T : int

Number of time steps.

Defaults to the length of index.

I : int

Number of generated paths (columns in our case).

seed : int

Set seed to make the results deterministic.

update_symbol method ¶

GBMData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to SyntheticData.download_symbol().

SyntheticData class ¶

SyntheticData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

Data for synthetically generated data.

Superclasses

Inherited members

Subclasses

GBMData

download_symbol class method ¶

SyntheticData.download_symbol(
    symbol,
    start=0,
    end='now',
    freq=None,
    date_range_kwargs=None,
    **kwargs
)

Download the symbol.

Generates datetime index and passes it to SyntheticData.generate_symbol() to fill the Series/DataFrame with generated data.

generate_symbol class method ¶

SyntheticData.generate_symbol(
    symbol,
    index,
    **kwargs
)

Abstract method to generate a symbol.

update_symbol method ¶

SyntheticData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to SyntheticData.download_symbol().

YFData class ¶

YFData(
    wrapper,
    data,
    tz_localize,
    tz_convert,
    missing_index,
    missing_columns,
    download_kwargs,
    **kwargs
)

Data for data coming from yfinance.

Stocks are usually in the timezone "+0500" and cryptocurrencies in UTC.

Warning

Data coming from Yahoo is not the most stable data out there. Yahoo may manipulate data how they want, add noise, return missing data points (see volume in the example below), etc. It's only used in vectorbt for demonstration purposes.

Usage

Fetch the business day except the last 5 minutes of trading data, and then update with the missing 5 minutes:

>>> import vectorbt as vbt

>>> yf_data = vbt.YFData.download(
...     "TSLA",
...     start='2021-04-12 09:30:00 -0400',
...     end='2021-04-12 09:35:00 -0400',
...     interval='1m'
... )
>>> yf_data.get()
                                 Open        High         Low       Close  \
Datetime
2021-04-12 13:30:00+00:00  685.080017  685.679993  684.765015  685.679993
2021-04-12 13:31:00+00:00  684.625000  686.500000  684.010010  685.500000
2021-04-12 13:32:00+00:00  685.646790  686.820007  683.190002  686.455017
2021-04-12 13:33:00+00:00  686.455017  687.000000  685.000000  685.565002
2021-04-12 13:34:00+00:00  685.690002  686.400024  683.200012  683.715027

                           Volume  Dividends  Stock Splits
Datetime
2021-04-12 13:30:00+00:00       0          0             0
2021-04-12 13:31:00+00:00  152276          0             0
2021-04-12 13:32:00+00:00  168363          0             0
2021-04-12 13:33:00+00:00  129607          0             0
2021-04-12 13:34:00+00:00  134620          0             0

>>> yf_data = yf_data.update(end='2021-04-12 09:40:00 -0400')
>>> yf_data.get()
                                 Open        High         Low       Close  \
Datetime
2021-04-12 13:30:00+00:00  685.080017  685.679993  684.765015  685.679993
2021-04-12 13:31:00+00:00  684.625000  686.500000  684.010010  685.500000
2021-04-12 13:32:00+00:00  685.646790  686.820007  683.190002  686.455017
2021-04-12 13:33:00+00:00  686.455017  687.000000  685.000000  685.565002
2021-04-12 13:34:00+00:00  685.690002  686.400024  683.200012  683.715027
2021-04-12 13:35:00+00:00  683.604980  684.340027  682.760071  684.135010
2021-04-12 13:36:00+00:00  684.130005  686.640015  683.333984  686.563904
2021-04-12 13:37:00+00:00  686.530029  688.549988  686.000000  686.635010
2021-04-12 13:38:00+00:00  686.593201  689.500000  686.409973  688.179993
2021-04-12 13:39:00+00:00  688.500000  689.347595  687.710022  688.070007

                           Volume  Dividends  Stock Splits
Datetime
2021-04-12 13:30:00+00:00       0          0             0
2021-04-12 13:31:00+00:00  152276          0             0
2021-04-12 13:32:00+00:00  168363          0             0
2021-04-12 13:33:00+00:00  129607          0             0
2021-04-12 13:34:00+00:00       0          0             0
2021-04-12 13:35:00+00:00  110500          0             0
2021-04-12 13:36:00+00:00  148384          0             0
2021-04-12 13:37:00+00:00  243851          0             0
2021-04-12 13:38:00+00:00  203569          0             0
2021-04-12 13:39:00+00:00   93308          0             0

Superclasses

Inherited members

download_symbol class method ¶

YFData.download_symbol(
    symbol,
    period='max',
    start=None,
    end=None,
    **kwargs
)

Download the symbol.

Args

symbol : str

Symbol.

period : str

Period.

start : any

Start datetime.

See to_tzaware_datetime().

end : any

End datetime.

See to_tzaware_datetime().

**kwargs

Keyword arguments passed to yfinance.base.TickerBase.history.

update_symbol method ¶

YFData.update_symbol(
    symbol,
    **kwargs
)

Update the symbol.

**kwargs will override keyword arguments passed to YFData.download_symbol().

custom module¶

generate_gbm_paths function¶

AlpacaData class¶

download_symbol class method¶

update_symbol method¶

BinanceData class¶

download class method¶

download_symbol class method¶

update_symbol method¶

CCXTData class¶

download_symbol class method¶

update_symbol method¶

GBMData class¶

generate_symbol class method¶

update_symbol method¶

SyntheticData class¶

download_symbol class method¶

generate_symbol class method¶

update_symbol method¶

YFData class¶

download_symbol class method¶

update_symbol method¶

custom module ¶

generate_gbm_paths function ¶

AlpacaData class ¶

download_symbol class method ¶

update_symbol method ¶

BinanceData class ¶

download class method ¶

download_symbol class method ¶

update_symbol method ¶

CCXTData class ¶

download_symbol class method ¶

update_symbol method ¶

GBMData class ¶

generate_symbol class method ¶

update_symbol method ¶

SyntheticData class ¶

download_symbol class method ¶

generate_symbol class method ¶

update_symbol method ¶

YFData class ¶

download_symbol class method ¶

update_symbol method ¶