Data Sources¶

Data Source¶

class lumibot.data_sources.data_source.DataSource¶

Bases: object

DEFAULT_PYTZ = <DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>¶

DEFAULT_TIMEZONE = 'America/New_York'¶

IS_BACKTESTING_DATA_SOURCE = False¶

MIN_TIMESTEP = 'minute'¶

SOURCE = ''¶

TIMESTEP_MAPPING = []¶

get_bars(assets, length, timestep='minute', timeshift=None, chunk_size=100, max_workers=200, quote=None, exchange=None, include_after_hours=True)¶: Get bars for the list of assets

get_datetime()¶

get_datetime_range(length, timestep='minute', timeshift=None)¶

get_greeks(asset, implied_volatility=False, delta=False, option_price=False, pv_dividend=False, gamma=False, vega=False, theta=False, underlying_price=False)¶: Returns Greeks in backtesting.

get_historical_prices(asset, length, timestep='', timeshift=None, quote=None, exchange=None, include_after_hours=True)¶: Get bars for a given asset

get_last_day()¶

get_last_minute()¶

get_last_price(asset, timestep=None, quote=None, exchange=None, **kwargs)¶: Takes an asset and returns the last known price

get_last_prices(assets, timestep=None, quote=None, exchange=None, **kwargs)¶: Takes a list of assets and returns the last known prices

get_round_day(timeshift=0)¶

get_round_minute(timeshift=0)¶

get_timestamp()¶

get_timestep()¶

get_tradable_assets(dt, length=1, timestep='minute', timeshift=0)¶

get_yesterday_dividend(asset, quote=None)¶: Return dividend per share for a given asset for the day before

get_yesterday_dividends(assets, quote=None)¶: Return dividend per share for a list of assets for the day before

is_tradable(asset, dt, length=1, timestep='minute', timeshift=0)¶

classmethod localize_datetime(dt)¶

classmethod to_default_timezone(dt)¶

Pandas¶

class lumibot.data_sources.pandas.PandasData(pandas_data, config=None, auto_adjust=True, **kwargs)¶

Bases: lumibot.data_sources.data_source.DataSource

IS_BACKTESTING_DATA_SOURCE = True¶

MIN_TIMESTEP = 'minute'¶

SOURCE = 'PANDAS'¶

TIMESTEP_MAPPING = [{'timestep': 'day', 'representations': ['1D', 'day']}, {'timestep': 'minute', 'representations': ['1M', 'minute']}]¶

clean_trading_times(dt_index, pcal)¶

get_asset_by_name(name)¶

get_asset_by_symbol(symbol, asset_type=None)¶

Finds the assets that match the symbol. If type is specified finds the assets matching symbol and type.

Parameters

symbol (str) – The symbol of the asset.
type (str) – Asset type. One of: - stock - future - option - forex

Returns

Return type

list of Asset

get_assets()¶

get_chain(chains, exchange='SMART')¶

Returns option chain for a particular exchange.

Takes in a full set of chains for all the exchanges and returns on chain for a given exchange. The the full chains are returned from get_chains method.

Parameters

chains (dictionary of dictionaries) – The chains dictionary created by get_chains method.
exchange (str optional) – The exchange such as SMART, CBOE. Default is SMART

Returns

A dictionary of option chain information for one stock and for one exchange. It will contain:

Underlying conId (int)

TradingClass (str) eg: FB

Multiplier (str) eg: 100

Expirations (set of str) eg: {20230616, …}

Strikes (set of floats)

Return type

dictionary

get_chains(asset)¶

Returns option chains.

Obtains option chain information for the asset (stock) from each of the exchanges the options trade on and returns a dictionary for each exchange.

Parameters

asset (Asset object) – The stock whose option chain is being fetched. Represented as an asset object.

Returns

dictionary of dictionary for ‘SMART’ exchange only in
backtesting. Each exchange has –
- Underlying conId (int)
- TradingClass (str) eg: FB
- Multiplier (str) eg: 100
- Expirations (set of str) eg: {20230616, …}
- Strikes (set of floats)

get_expiration(chains, exchange='SMART')¶

Returns expiration dates for an option chain for a particular exchange.

Using the chains dictionary obtained from get_chains finds all of the expiry dates for the option chains on a given exchange. The return list is sorted.

Parameters

chains (dictionary of dictionaries) – The chains dictionary created by get_chains method.
exchange (str optional) – The exchange such as SMART, CBOE. Default is SMART.

Returns

Sorted list of dates in the form of 20221013.

Return type

list of str

get_greeks(asset, implied_volatility=False, delta=False, option_price=False, pv_dividend=False, gamma=False, vega=False, theta=False, underlying_price=False)¶: Returns Greeks in backtesting.

get_last_price(asset, timestep=None, quote=None)¶: Takes an asset and returns the last known price

get_last_prices(assets, timestep=None, quote=None)¶: Takes a list of assets and returns the last known prices

get_multiplier(chains, exchange='SMART')¶

Returns option chain for a particular exchange.

Using the chains dictionary obtained from get_chains finds all of the multiplier for the option chains on a given exchange.

Parameters

chains (dictionary of dictionaries) – The chains dictionary created by get_chains method.
exchange (str optional) – The exchange such as SMART, CBOE. Default is SMART

Returns

Sorted list of dates in the form of 20221013.

Return type

list of str

get_strikes(asset)¶

Returns a list of strikes for a give underlying asset.

Using the chains dictionary obtained from get_chains finds all of the multiplier for the option chains on a given exchange.

Parameters

asset (Asset object) –

Asset object as normally used for an option but without the strike information.

Example: asset = self.create_asset(

”FB”, asset_type=”option”, expiration=self.options_expiry_to_datetime_date(“20210924”), right=”CALL”, multiplier=100,

)

expiration can also be expressed as datetime.datetime.date()

Returns

Sorted list of strikes as floats.

Return type

list of floats

get_tradable_assets(dt, length=1, timestep='minute', timeshift=0)¶

get_trading_days_pandas()¶

get_yesterday_dividend(asset)¶: Return dividend per share for a given asset for the day before

get_yesterday_dividends(assets)¶: Return dividend per share for a list of assets for the day before

is_tradable(asset, dt, length=1, timestep='minute', timeshift=0)¶

load_data()¶

update_date_index()¶

Yahoo¶

class lumibot.data_sources.yahoo.YahooData(config=None, auto_adjust=True, **kwargs)¶

Bases: lumibot.data_sources.data_source.DataSource

MIN_TIMESTEP = 'day'¶

SOURCE = 'YAHOO'¶

TIMESTEP_MAPPING = [{'timestep': 'day', 'representations': ['1D', 'day']}]¶

Data Sources¶

Data Source¶

Pandas¶

Yahoo¶

Module contents¶