gusutabopb / pytrthree Goto Github PK
View Code? Open in Web Editor NEWWrapper and utils for the Thomson Reuters Tick History API
License: MIT License
Wrapper and utils for the Thomson Reuters Tick History API
License: MIT License
files
is actually a file.self.files = files
should be moved up front like below: def __init__(self, files, chunksize=10 ** 6):
->self.files = files
if isinstance(files, str):
self.files = [files]
if not isinstance(files, Sequence):
raise ValueError('Invalid input')
self.chunksize = chunksize
make_next(self)
skips a file name that has confirmation
or report
in it. def make_next(self):
for file in self.files:
if re.search('confirmation|report', file):
raise
else:
chunks = pd.read_csv(file, iterator=True, chunksize=self.chunksize)
for chunk in chunks:
for _, df in chunk.groupby('#RIC'):
yield self.pre_process(df.copy())
It would be nice if we can put a large number of requests at once.
If we reach max number of simultaneous requests for reuters server, then the tool creates an event listener (waiting for job complete notification) to kick a callback which in turn sends another request via api.
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