41 lines
1.1 KiB
Python
41 lines
1.1 KiB
Python
"""
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Data loading and resampling utilities.
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"""
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import sqlite3
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from pathlib import Path
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import pandas as pd
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DB_PATH = Path("/home/jonathan/Projects/ForexBots/data/candles.db")
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_RESAMPLE_MAP = {
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"open": "first",
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"high": "max",
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"low": "min",
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"close": "last",
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"tick_volume": "sum",
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}
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def load_candles(symbol: str, timeframe: str, db_path: Path = DB_PATH) -> pd.DataFrame:
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conn = sqlite3.connect(db_path)
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df = pd.read_sql_query(
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"SELECT time, open, high, low, close, tick_volume "
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"FROM candles WHERE symbol=? AND timeframe=? ORDER BY time",
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conn, params=(symbol, timeframe),
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)
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conn.close()
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df["time"] = pd.to_datetime(df["time"])
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df.set_index("time", inplace=True)
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return df
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def resample(df: pd.DataFrame, rule: str) -> pd.DataFrame:
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"""Resample an OHLCV dataframe to a coarser timeframe.
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rule follows pandas offset alias (e.g. '1h', '4h', '1D').
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"""
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agg = {c: _RESAMPLE_MAP[c] for c in df.columns if c in _RESAMPLE_MAP}
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return df.resample(rule, label="left", closed="left").agg(agg).dropna()
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