Compare commits
2 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
| b2bb2ad0a0 | |||
| 756faf747b |
@@ -57,6 +57,7 @@ python -m mt5cli -o account.csv account-info
|
||||
| `rates-range` | Export rates for a date range |
|
||||
| `ticks-from` | Export ticks from a start date |
|
||||
| `ticks-range` | Export ticks for a date range |
|
||||
| `ticks-recent` | Export ticks from a recent trailing window |
|
||||
| `account-info` | Export account information |
|
||||
| `terminal-info` | Export terminal information |
|
||||
| `version` | Export MetaTrader 5 version information |
|
||||
@@ -64,6 +65,7 @@ python -m mt5cli -o account.csv account-info
|
||||
| `symbols` | Export symbol list |
|
||||
| `symbol-info` | Export symbol details |
|
||||
| `symbol-info-tick` | Export the last tick for a symbol |
|
||||
| `minimum-margins` | Export minimum-volume buy and sell margin requirements |
|
||||
| `market-book` | Export market depth (order book) |
|
||||
| `orders` | Export active orders |
|
||||
| `positions` | Export open positions |
|
||||
@@ -127,6 +129,9 @@ update_history_with_config(
|
||||
- **`update_history`**: incremental append based on existing SQLite `MAX(time)` per symbol (and timeframe for rates); account-level deals use a separate cursor when `include_account_events=True`.
|
||||
- **`rates` table**: normalized storage with `symbol` and `timeframe` columns.
|
||||
- **Rate compatibility views**: mt5cli manages all `rate_*` views. Naming is `rate_<symbol>__<timeframe>` when a symbol has one timeframe, otherwise `rate_<symbol>__<granularity>_<timeframe>` (for example `rate_EURUSD__M1_1`). Stale `rate_*` views are dropped and recreated when rates change for offline tools such as mteor optimize.
|
||||
- **Rate view resolution**: use `mt5cli.history.resolve_rate_view_name()` / `resolve_rate_view_names()` to map symbols and granularities to existing SQLite compatibility views without creating databases.
|
||||
- **SQLite export helpers**: use `export_dataframe_to_sqlite()` for append mode, optional index export, and post-write deduplication by key columns.
|
||||
- **Recent ticks and margins**: `recent_ticks()` and `minimum_margins()` SDK helpers (and matching CLI commands) cover common downstream read-only queries.
|
||||
|
||||
## Requirements
|
||||
|
||||
|
||||
@@ -1,6 +1,6 @@
|
||||
# SQLite History Module
|
||||
# History Collection (SQLite)
|
||||
|
||||
::: mt5cli.sqlite_history
|
||||
::: mt5cli.history
|
||||
|
||||
## `collect-history` schema
|
||||
|
||||
@@ -129,3 +129,38 @@ when required columns are missing.
|
||||
The `update_history` SDK path uses the same base tables and optional
|
||||
`cash_events` / `positions_reconstructed` views. It additionally maintains
|
||||
`rate_<symbol>__<timeframe>` compatibility views when `create_rate_views=True`.
|
||||
|
||||
### Rate view resolution
|
||||
|
||||
Downstream tools can resolve mt5cli-managed compatibility view names from an
|
||||
existing SQLite history database without creating files or guessing legacy
|
||||
naming schemes:
|
||||
|
||||
```python
|
||||
from pathlib import Path
|
||||
|
||||
from mt5cli.history import resolve_rate_view_name, resolve_rate_view_names
|
||||
|
||||
# Single symbol and granularity
|
||||
view = resolve_rate_view_name(Path("history.db"), "EURUSD", "M1")
|
||||
|
||||
# Batch resolution in row-major order
|
||||
views = resolve_rate_view_names(
|
||||
Path("history.db"),
|
||||
["EURUSD", "GBPUSD"],
|
||||
["M1", "H1"],
|
||||
)
|
||||
```
|
||||
|
||||
Resolution rules:
|
||||
|
||||
- Returns `rate_<symbol>__<timeframe>` when a symbol stores one timeframe.
|
||||
- Returns `rate_<symbol>__<granularity>_<timeframe>` when multiple timeframes
|
||||
are stored for the same symbol.
|
||||
- When multiple naming candidates apply, prefers an existing managed
|
||||
`rate_*__*` view from the candidate list.
|
||||
- Falls back to single-timeframe naming when the database path is missing or
|
||||
`rates` metadata is unavailable.
|
||||
- Pass `require_existing=True` to raise `ValueError` instead of returning a
|
||||
best-guess name when the database or view is missing.
|
||||
- Accepts either a SQLite path or an open `sqlite3.Connection`.
|
||||
@@ -18,6 +18,10 @@ Utility module providing constants, enums, Click parameter types, and helper fun
|
||||
|
||||
Programmatic SDK for read-only MetaTrader 5 data collection. Returns pandas DataFrames and provides `collect_history` for SQLite bulk collection.
|
||||
|
||||
### [History Collection (SQLite)](history.md)
|
||||
|
||||
SQLite storage helpers for the `collect-history` command schema, incremental updates, deduplication, indexes, and optional views.
|
||||
|
||||
## Architecture Overview
|
||||
|
||||
The package follows a simple architecture built on top of pdmt5:
|
||||
@@ -61,12 +65,18 @@ from datetime import UTC, datetime
|
||||
from pathlib import Path
|
||||
|
||||
from mt5cli import (
|
||||
Dataset,
|
||||
IfExists,
|
||||
Mt5CliClient,
|
||||
collect_history,
|
||||
copy_rates_range,
|
||||
detect_format,
|
||||
export_dataframe,
|
||||
export_dataframe_to_sqlite,
|
||||
minimum_margins,
|
||||
recent_ticks,
|
||||
)
|
||||
from mt5cli.history import resolve_rate_view_name
|
||||
|
||||
# Fetch rates programmatically
|
||||
rates = copy_rates_range(
|
||||
@@ -82,6 +92,20 @@ fmt = detect_format(Path("output.parquet")) # Returns "parquet"
|
||||
# Export a DataFrame
|
||||
export_dataframe(rates, Path("output.csv"), "csv")
|
||||
|
||||
# Append to SQLite with deduplication
|
||||
export_dataframe_to_sqlite(
|
||||
rates,
|
||||
Path("history.db"),
|
||||
"rates",
|
||||
if_exists=IfExists.APPEND,
|
||||
deduplicate_on=("symbol", "timeframe", "time"),
|
||||
)
|
||||
|
||||
# Resolve rate compatibility views and fetch recent ticks
|
||||
view = resolve_rate_view_name(Path("history.db"), "EURUSD", "M1")
|
||||
ticks = recent_ticks("EURUSD", seconds=300)
|
||||
margins = minimum_margins("EURUSD")
|
||||
|
||||
# Collect history into SQLite
|
||||
collect_history(
|
||||
Path("history.db"),
|
||||
|
||||
+25
-7
@@ -22,13 +22,22 @@ pip install mt5cli
|
||||
|
||||
## Programmatic usage / SDK usage
|
||||
|
||||
mt5cli can be used as a small Python SDK for read-only MetaTrader 5 data collection. SDK functions return pandas DataFrames without writing files. Use `export_dataframe` when you need to persist results.
|
||||
mt5cli can be used as a small Python SDK for read-only MetaTrader 5 data collection. SDK functions return pandas DataFrames without writing files. Use `export_dataframe` or `export_dataframe_to_sqlite` when you need to persist results.
|
||||
|
||||
```python
|
||||
from datetime import UTC, datetime
|
||||
from pathlib import Path
|
||||
|
||||
from mt5cli import Mt5CliClient, collect_history, copy_rates_range, export_dataframe
|
||||
from mt5cli import (
|
||||
Mt5CliClient,
|
||||
collect_history,
|
||||
copy_rates_range,
|
||||
export_dataframe,
|
||||
export_dataframe_to_sqlite,
|
||||
minimum_margins,
|
||||
recent_ticks,
|
||||
)
|
||||
from mt5cli.history import resolve_rate_view_name
|
||||
|
||||
# One-off fetch with module-level helpers
|
||||
rates = copy_rates_range(
|
||||
@@ -39,6 +48,13 @@ rates = copy_rates_range(
|
||||
)
|
||||
export_dataframe(rates, Path("rates.csv"), "csv")
|
||||
|
||||
# Resolve SQLite rate compatibility views for downstream tools
|
||||
view = resolve_rate_view_name(Path("history.db"), "EURUSD", "M1")
|
||||
|
||||
# Recent tick window and minimum margin summary
|
||||
ticks = recent_ticks("EURUSD", seconds=300)
|
||||
margins = minimum_margins("EURUSD")
|
||||
|
||||
# Reuse one MT5 connection for multiple calls
|
||||
with Mt5CliClient(login=12345, password="secret", server="Broker-Demo") as client:
|
||||
account = client.account_info()
|
||||
@@ -92,10 +108,11 @@ mt5cli --login 12345 --password mypass --server MyBroker-Demo \
|
||||
|
||||
### Ticks
|
||||
|
||||
| Command | Description |
|
||||
| ------------- | ------------------------------ |
|
||||
| `ticks-from` | Export ticks from a start date |
|
||||
| `ticks-range` | Export ticks for a date range |
|
||||
| Command | Description |
|
||||
| -------------- | ----------------------------------- |
|
||||
| `ticks-from` | Export ticks from a start date |
|
||||
| `ticks-range` | Export ticks for a date range |
|
||||
| `ticks-recent` | Export ticks from a trailing window |
|
||||
|
||||
### Information
|
||||
|
||||
@@ -108,6 +125,7 @@ mt5cli --login 12345 --password mypass --server MyBroker-Demo \
|
||||
| `symbols` | Export symbol list |
|
||||
| `symbol-info` | Export symbol details |
|
||||
| `symbol-info-tick` | Export the last tick for a symbol |
|
||||
| `minimum-margins` | Export minimum-volume margin summary |
|
||||
| `market-book` | Export market depth (order book) |
|
||||
|
||||
### Trading
|
||||
@@ -152,7 +170,7 @@ mt5cli -o history.db collect-history \
|
||||
|
||||
History orders and deals are fetched per symbol and concatenated, so the symbol filter is applied consistently across all datasets. The `cash_events` view is derived from symbol-filtered `history_deals`, so account-level cash events with empty or non-matching symbols may be excluded. The `positions_reconstructed` view excludes positions with no closing deal, uses volume-weighted open/close prices, and reports reversal deals (`DEAL_ENTRY_INOUT`) via `volume_reversal` / `reversal_count`.
|
||||
|
||||
See the [SQLite History schema diagram](api/sqlite_history.md#entity-relationship-diagram) for a sample ER layout of the resulting database.
|
||||
See the [History schema diagram](api/history.md#entity-relationship-diagram) for a sample ER layout of the resulting database.
|
||||
|
||||
## Global Options
|
||||
|
||||
|
||||
+1
-1
@@ -58,7 +58,7 @@ nav:
|
||||
- Overview: api/index.md
|
||||
- CLI: api/cli.md
|
||||
- SDK: api/sdk.md
|
||||
- SQLite History: api/sqlite_history.md
|
||||
- History Collection (SQLite): api/history.md
|
||||
- Utils: api/utils.md
|
||||
|
||||
markdown_extensions:
|
||||
|
||||
+12
-1
@@ -16,8 +16,10 @@ from .sdk import (
|
||||
history_orders,
|
||||
last_error,
|
||||
market_book,
|
||||
minimum_margins,
|
||||
orders,
|
||||
positions,
|
||||
recent_ticks,
|
||||
symbol_info,
|
||||
symbol_info_tick,
|
||||
symbols,
|
||||
@@ -28,7 +30,13 @@ from .sdk import (
|
||||
from .sdk import (
|
||||
version as mt5_version,
|
||||
)
|
||||
from .utils import Dataset, IfExists, detect_format, export_dataframe
|
||||
from .utils import (
|
||||
Dataset,
|
||||
IfExists,
|
||||
detect_format,
|
||||
export_dataframe,
|
||||
export_dataframe_to_sqlite,
|
||||
)
|
||||
|
||||
__version__ = version(__package__) if __package__ else None
|
||||
|
||||
@@ -46,13 +54,16 @@ __all__ = [
|
||||
"copy_ticks_range",
|
||||
"detect_format",
|
||||
"export_dataframe",
|
||||
"export_dataframe_to_sqlite",
|
||||
"history_deals",
|
||||
"history_orders",
|
||||
"last_error",
|
||||
"market_book",
|
||||
"minimum_margins",
|
||||
"mt5_version",
|
||||
"orders",
|
||||
"positions",
|
||||
"recent_ticks",
|
||||
"symbol_info",
|
||||
"symbol_info_tick",
|
||||
"symbols",
|
||||
|
||||
@@ -300,6 +300,44 @@ def ticks_range(
|
||||
)
|
||||
|
||||
|
||||
@app.command()
|
||||
def ticks_recent(
|
||||
ctx: typer.Context,
|
||||
symbol: Annotated[str, typer.Option(help="Symbol name.")],
|
||||
seconds: Annotated[
|
||||
float,
|
||||
typer.Option(help="Lookback window in seconds."),
|
||||
],
|
||||
date_to: Annotated[
|
||||
datetime | None,
|
||||
typer.Option(click_type=DATETIME_TYPE, help="Window end date."),
|
||||
] = None,
|
||||
count: Annotated[
|
||||
int,
|
||||
typer.Option(help="Maximum number of ticks to return."),
|
||||
] = 10000,
|
||||
flags: Annotated[
|
||||
int,
|
||||
typer.Option(
|
||||
click_type=TICK_FLAGS_TYPE,
|
||||
help="Tick flags (ALL, INFO, TRADE, or integer).",
|
||||
),
|
||||
] = 1,
|
||||
) -> None:
|
||||
"""Export ticks from a recent time window."""
|
||||
client = _sdk_client(ctx)
|
||||
_execute_export(
|
||||
ctx,
|
||||
lambda: client.recent_ticks(
|
||||
symbol,
|
||||
seconds,
|
||||
date_to=date_to,
|
||||
count=count,
|
||||
flags=flags,
|
||||
),
|
||||
)
|
||||
|
||||
|
||||
@app.command()
|
||||
def account_info(ctx: typer.Context) -> None:
|
||||
"""Export account information."""
|
||||
@@ -335,6 +373,16 @@ def symbol_info(
|
||||
_execute_export(ctx, lambda: client.symbol_info(symbol))
|
||||
|
||||
|
||||
@app.command()
|
||||
def minimum_margins(
|
||||
ctx: typer.Context,
|
||||
symbol: Annotated[str, typer.Option(help="Symbol name.")],
|
||||
) -> None:
|
||||
"""Export minimum-volume buy and sell margin requirements."""
|
||||
client = _sdk_client(ctx)
|
||||
_execute_export(ctx, lambda: client.minimum_margins(symbol))
|
||||
|
||||
|
||||
@app.command()
|
||||
def orders(
|
||||
ctx: typer.Context,
|
||||
|
||||
@@ -1,10 +1,11 @@
|
||||
"""SQLite helpers for incremental MT5 history collection."""
|
||||
"""SQLite storage helpers for the ``collect-history`` incremental data pipeline."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import sqlite3
|
||||
from datetime import UTC, datetime
|
||||
from pathlib import Path
|
||||
from typing import TYPE_CHECKING, Literal
|
||||
|
||||
import pandas as pd
|
||||
@@ -122,6 +123,230 @@ def build_rate_view_name(
|
||||
return f"rate_{symbol}__{granularity}_{timeframe}"
|
||||
|
||||
|
||||
SqliteConnOrPath = sqlite3.Connection | Path | str
|
||||
|
||||
|
||||
def _open_history_connection(
|
||||
conn_or_path: SqliteConnOrPath,
|
||||
) -> tuple[sqlite3.Connection | None, bool]:
|
||||
"""Open a read-only SQLite connection when given a path.
|
||||
|
||||
Returns:
|
||||
A connection and whether the caller should close it. When the path does
|
||||
not exist, returns ``(None, False)`` without creating a database file.
|
||||
"""
|
||||
if isinstance(conn_or_path, sqlite3.Connection):
|
||||
return conn_or_path, False
|
||||
path = Path(conn_or_path)
|
||||
if not path.exists():
|
||||
return None, False
|
||||
conn = sqlite3.connect(f"{path.resolve().as_uri()}?mode=ro", uri=True)
|
||||
return conn, True
|
||||
|
||||
|
||||
def _load_rates_timeframe_counts(conn: sqlite3.Connection) -> dict[str, int] | None:
|
||||
"""Return distinct timeframe counts per symbol from the normalized rates table."""
|
||||
columns = get_table_columns(conn, Dataset.rates.table_name)
|
||||
if not {"symbol", "timeframe"}.issubset(columns):
|
||||
return None
|
||||
rows = conn.execute(
|
||||
"SELECT symbol, COUNT(DISTINCT timeframe) FROM rates GROUP BY symbol",
|
||||
).fetchall()
|
||||
return {str(symbol): int(count) for symbol, count in rows}
|
||||
|
||||
|
||||
def _load_existing_rate_views(conn: sqlite3.Connection) -> set[str]:
|
||||
"""Return mt5cli-managed ``rate_*__*`` compatibility view names."""
|
||||
rows = conn.execute(
|
||||
"SELECT name FROM sqlite_master WHERE type = 'view' AND name GLOB 'rate_*__*'",
|
||||
).fetchall()
|
||||
return {str(row[0]) for row in rows}
|
||||
|
||||
|
||||
def _rate_view_name_candidates(
|
||||
*,
|
||||
symbol: str,
|
||||
granularity: str,
|
||||
granularity_count: int,
|
||||
timeframe: int,
|
||||
) -> list[str]:
|
||||
"""Return candidate view names in preference order."""
|
||||
single = build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity=granularity,
|
||||
granularity_count=1,
|
||||
timeframe=timeframe,
|
||||
)
|
||||
if granularity_count <= 1:
|
||||
return [single]
|
||||
multi = build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity=granularity,
|
||||
granularity_count=granularity_count,
|
||||
timeframe=timeframe,
|
||||
)
|
||||
return [multi, single]
|
||||
|
||||
|
||||
def _resolve_rate_view_name_from_context(
|
||||
*,
|
||||
symbol: str,
|
||||
timeframe: int,
|
||||
granularity_name: str,
|
||||
timeframe_counts: dict[str, int] | None,
|
||||
existing_views: set[str],
|
||||
require_existing: bool = False,
|
||||
) -> str:
|
||||
"""Resolve one rate view name using preloaded SQLite metadata.
|
||||
|
||||
Returns:
|
||||
Preferred mt5cli-managed rate compatibility view name.
|
||||
|
||||
Raises:
|
||||
ValueError: If ``require_existing`` is True and no managed view exists.
|
||||
"""
|
||||
if timeframe_counts is None or symbol not in timeframe_counts:
|
||||
candidates = [
|
||||
build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity=granularity_name,
|
||||
granularity_count=1,
|
||||
timeframe=timeframe,
|
||||
),
|
||||
build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity=granularity_name,
|
||||
granularity_count=2,
|
||||
timeframe=timeframe,
|
||||
),
|
||||
]
|
||||
else:
|
||||
candidates = _rate_view_name_candidates(
|
||||
symbol=symbol,
|
||||
granularity=granularity_name,
|
||||
granularity_count=timeframe_counts[symbol],
|
||||
timeframe=timeframe,
|
||||
)
|
||||
for candidate in candidates:
|
||||
if candidate in existing_views:
|
||||
return candidate
|
||||
if require_existing:
|
||||
msg = (
|
||||
f"No rate compatibility view exists for symbol {symbol!r} "
|
||||
f"and granularity {granularity_name!r}; "
|
||||
f"candidates: {', '.join(candidates)}."
|
||||
)
|
||||
raise ValueError(msg)
|
||||
return candidates[0]
|
||||
|
||||
|
||||
def resolve_rate_view_name(
|
||||
conn_or_path: SqliteConnOrPath,
|
||||
symbol: str,
|
||||
granularity: str,
|
||||
*,
|
||||
require_existing: bool = False,
|
||||
) -> str:
|
||||
"""Resolve the mt5cli-managed rate compatibility view name.
|
||||
|
||||
Args:
|
||||
conn_or_path: SQLite database path or open connection.
|
||||
symbol: Symbol stored in the normalized ``rates`` table.
|
||||
granularity: Timeframe name (for example ``M1``) or integer string.
|
||||
require_existing: When True, require the database and a managed view to exist.
|
||||
|
||||
Returns:
|
||||
View name such as ``rate_EURUSD__1`` or ``rate_EURUSD__M1_1``.
|
||||
|
||||
Raises:
|
||||
ValueError: If ``require_existing`` is True and the database or view is missing.
|
||||
"""
|
||||
timeframe = parse_timeframe(granularity)
|
||||
granularity_name = resolve_granularity_name(timeframe)
|
||||
conn, should_close = _open_history_connection(conn_or_path)
|
||||
try:
|
||||
if conn is None:
|
||||
if require_existing:
|
||||
path = (
|
||||
conn_or_path
|
||||
if isinstance(conn_or_path, (Path, str))
|
||||
else "database"
|
||||
)
|
||||
msg = f"SQLite database not found: {path}"
|
||||
raise ValueError(msg)
|
||||
return build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity=granularity_name,
|
||||
granularity_count=1,
|
||||
timeframe=timeframe,
|
||||
)
|
||||
return _resolve_rate_view_name_from_context(
|
||||
symbol=symbol,
|
||||
timeframe=timeframe,
|
||||
granularity_name=granularity_name,
|
||||
timeframe_counts=_load_rates_timeframe_counts(conn),
|
||||
existing_views=_load_existing_rate_views(conn),
|
||||
require_existing=require_existing,
|
||||
)
|
||||
finally:
|
||||
if should_close and conn is not None:
|
||||
conn.close()
|
||||
|
||||
|
||||
def resolve_rate_view_names(
|
||||
conn_or_path: SqliteConnOrPath,
|
||||
symbols: Sequence[str],
|
||||
granularities: Sequence[str],
|
||||
*,
|
||||
require_existing: bool = False,
|
||||
) -> list[str]:
|
||||
"""Resolve rate compatibility view names for symbol and granularity pairs.
|
||||
|
||||
Args:
|
||||
conn_or_path: SQLite database path or open connection.
|
||||
symbols: Symbols stored in the normalized ``rates`` table.
|
||||
granularities: Timeframe names (for example ``M1``) or integer strings.
|
||||
require_existing: When True, require the database and managed views to exist.
|
||||
|
||||
Returns:
|
||||
View names in row-major order: every ``granularity`` for the first
|
||||
symbol, then every granularity for the next symbol, and so on.
|
||||
"""
|
||||
conn, should_close = _open_history_connection(conn_or_path)
|
||||
try:
|
||||
if conn is None:
|
||||
return [
|
||||
resolve_rate_view_name(
|
||||
conn_or_path,
|
||||
symbol,
|
||||
granularity,
|
||||
require_existing=require_existing,
|
||||
)
|
||||
for symbol in symbols
|
||||
for granularity in granularities
|
||||
]
|
||||
timeframe_counts = _load_rates_timeframe_counts(conn)
|
||||
existing_views = _load_existing_rate_views(conn)
|
||||
resolved: list[str] = []
|
||||
for symbol in symbols:
|
||||
for granularity in granularities:
|
||||
timeframe = parse_timeframe(granularity)
|
||||
resolved.append(
|
||||
_resolve_rate_view_name_from_context(
|
||||
symbol=symbol,
|
||||
timeframe=timeframe,
|
||||
granularity_name=resolve_granularity_name(timeframe),
|
||||
timeframe_counts=timeframe_counts,
|
||||
existing_views=existing_views,
|
||||
require_existing=require_existing,
|
||||
),
|
||||
)
|
||||
return resolved
|
||||
finally:
|
||||
if should_close and conn is not None:
|
||||
conn.close()
|
||||
|
||||
|
||||
def get_table_columns(conn: sqlite3.Connection, table: str) -> set[str]:
|
||||
"""Return existing SQLite columns for a table."""
|
||||
rows = conn.execute(f"PRAGMA table_info({table})").fetchall()
|
||||
+172
-3
@@ -10,9 +10,10 @@ from datetime import UTC, datetime, timedelta
|
||||
from pathlib import Path
|
||||
from typing import TYPE_CHECKING, Self, TypeVar
|
||||
|
||||
import pandas as pd
|
||||
from pdmt5 import Mt5Config, Mt5DataClient
|
||||
|
||||
from .sqlite_history import (
|
||||
from .history import (
|
||||
create_cash_events_view,
|
||||
create_history_indexes,
|
||||
create_positions_reconstructed_view,
|
||||
@@ -33,8 +34,6 @@ from .utils import (
|
||||
if TYPE_CHECKING:
|
||||
from collections.abc import Callable, Iterator, Sequence
|
||||
|
||||
import pandas as pd
|
||||
|
||||
T = TypeVar("T")
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
@@ -53,8 +52,10 @@ __all__ = [
|
||||
"history_orders",
|
||||
"last_error",
|
||||
"market_book",
|
||||
"minimum_margins",
|
||||
"orders",
|
||||
"positions",
|
||||
"recent_ticks",
|
||||
"symbol_info",
|
||||
"symbol_info_tick",
|
||||
"symbols",
|
||||
@@ -89,6 +90,89 @@ def _coerce_datetime(value: datetime | str | None) -> datetime | None:
|
||||
return parse_datetime(value)
|
||||
|
||||
|
||||
def _coerce_tick_time(value: object) -> datetime:
|
||||
if isinstance(value, datetime):
|
||||
return value
|
||||
if isinstance(value, str):
|
||||
return parse_datetime(value)
|
||||
if isinstance(value, (int, float)):
|
||||
return datetime.fromtimestamp(value, tz=UTC)
|
||||
msg = f"Unsupported tick time value: {value!r}"
|
||||
raise TypeError(msg)
|
||||
|
||||
|
||||
def _filter_ticks_to_end(frame: pd.DataFrame, end: datetime) -> pd.DataFrame:
|
||||
if frame.empty or "time" not in frame.columns:
|
||||
return frame
|
||||
times = pd.to_datetime(frame["time"], utc=True)
|
||||
return frame.loc[times <= end].reset_index(drop=True)
|
||||
|
||||
|
||||
def _fetch_recent_ticks(
|
||||
client: Mt5DataClient,
|
||||
symbol: str,
|
||||
seconds: float,
|
||||
date_to: datetime | None,
|
||||
count: int,
|
||||
flags: int,
|
||||
) -> pd.DataFrame:
|
||||
if date_to is not None:
|
||||
end = date_to
|
||||
else:
|
||||
tick = client.symbol_info_tick(symbol)
|
||||
end = _coerce_tick_time(tick.time)
|
||||
start = end - timedelta(seconds=seconds)
|
||||
if count > 0:
|
||||
from_frame = _filter_ticks_to_end(
|
||||
client.copy_ticks_from_as_df(
|
||||
symbol=symbol,
|
||||
date_from=start,
|
||||
count=count,
|
||||
flags=flags,
|
||||
),
|
||||
end,
|
||||
)
|
||||
if len(from_frame) < count:
|
||||
return from_frame
|
||||
frame = client.copy_ticks_range_as_df(
|
||||
symbol=symbol,
|
||||
date_from=start,
|
||||
date_to=end,
|
||||
flags=flags,
|
||||
)
|
||||
if count > 0 and len(frame) > count:
|
||||
return frame.tail(count).reset_index(drop=True)
|
||||
return frame
|
||||
|
||||
|
||||
def _fetch_minimum_margins(client: Mt5DataClient, symbol: str) -> pd.DataFrame:
|
||||
sym = client.symbol_info(symbol)
|
||||
account = client.account_info()
|
||||
tick = client.symbol_info_tick(symbol)
|
||||
volume_min = sym.volume_min
|
||||
buy_margin = client.order_calc_margin(
|
||||
client.mt5.ORDER_TYPE_BUY,
|
||||
symbol,
|
||||
volume_min,
|
||||
tick.ask,
|
||||
)
|
||||
sell_margin = client.order_calc_margin(
|
||||
client.mt5.ORDER_TYPE_SELL,
|
||||
symbol,
|
||||
volume_min,
|
||||
tick.bid,
|
||||
)
|
||||
return pd.DataFrame([
|
||||
{
|
||||
"symbol": symbol,
|
||||
"account_currency": account.currency,
|
||||
"volume_min": volume_min,
|
||||
"buy_margin": buy_margin,
|
||||
"sell_margin": sell_margin,
|
||||
}
|
||||
])
|
||||
|
||||
|
||||
def build_config(
|
||||
*,
|
||||
path: str | None = None,
|
||||
@@ -418,6 +502,57 @@ class Mt5CliClient:
|
||||
"""Return market depth for a symbol."""
|
||||
return self._fetch(lambda c: c.market_book_get_as_df(symbol=symbol))
|
||||
|
||||
def recent_ticks(
|
||||
self,
|
||||
symbol: str,
|
||||
seconds: float,
|
||||
*,
|
||||
date_to: datetime | str | None = None,
|
||||
count: int = 10000,
|
||||
flags: int | str = "ALL",
|
||||
) -> pd.DataFrame:
|
||||
"""Return ticks from a recent time window.
|
||||
|
||||
Args:
|
||||
symbol: Symbol name.
|
||||
seconds: Lookback window in seconds ending at ``date_to``.
|
||||
date_to: Window end time. When ``None``, uses the latest
|
||||
``symbol_info_tick().time`` rather than wall-clock now.
|
||||
count: Maximum ticks to return. Values ``<= 0`` return the full
|
||||
window without trimming. Positive values keep the most recent
|
||||
ticks; when the window is sparse, ``copy_ticks_from`` avoids
|
||||
fetching the entire range.
|
||||
flags: Tick flags as ``ALL``, ``INFO``, ``TRADE``, or an integer.
|
||||
|
||||
Returns:
|
||||
Tick DataFrame with MT5 tick columns such as ``time``, ``bid``,
|
||||
``ask``, ``last``, and ``volume``.
|
||||
"""
|
||||
tick_flags = _coerce_tick_flags(flags)
|
||||
end = _coerce_datetime(date_to)
|
||||
return self._fetch(
|
||||
lambda c: _fetch_recent_ticks(
|
||||
c,
|
||||
symbol,
|
||||
seconds,
|
||||
end,
|
||||
count,
|
||||
tick_flags,
|
||||
),
|
||||
)
|
||||
|
||||
def minimum_margins(self, symbol: str) -> pd.DataFrame:
|
||||
"""Return minimum-volume buy and sell margin requirements.
|
||||
|
||||
Args:
|
||||
symbol: Symbol name.
|
||||
|
||||
Returns:
|
||||
One-row DataFrame with columns ``symbol``, ``account_currency``,
|
||||
``volume_min``, ``buy_margin``, and ``sell_margin``.
|
||||
"""
|
||||
return self._fetch(lambda c: _fetch_minimum_margins(c, symbol))
|
||||
|
||||
|
||||
def _resolve_incremental_settings(
|
||||
selected_datasets: set[Dataset],
|
||||
@@ -915,3 +1050,37 @@ def market_book(
|
||||
) -> pd.DataFrame:
|
||||
"""Return market depth for a symbol."""
|
||||
return _make_client(config=config).market_book(symbol)
|
||||
|
||||
|
||||
def recent_ticks(
|
||||
symbol: str,
|
||||
seconds: float,
|
||||
*,
|
||||
date_to: datetime | str | None = None,
|
||||
count: int = 10000,
|
||||
flags: int | str = "ALL",
|
||||
config: Mt5Config | None = None,
|
||||
) -> pd.DataFrame:
|
||||
"""Return ticks from a recent time window ending at ``date_to`` or now.
|
||||
|
||||
See ``Mt5CliClient.recent_ticks`` for parameter and return details.
|
||||
"""
|
||||
return _make_client(config=config).recent_ticks(
|
||||
symbol,
|
||||
seconds,
|
||||
date_to=date_to,
|
||||
count=count,
|
||||
flags=flags,
|
||||
)
|
||||
|
||||
|
||||
def minimum_margins(
|
||||
symbol: str,
|
||||
*,
|
||||
config: Mt5Config | None = None,
|
||||
) -> pd.DataFrame:
|
||||
"""Return minimum-volume buy and sell margin requirements.
|
||||
|
||||
See ``Mt5CliClient.minimum_margins`` for return details.
|
||||
"""
|
||||
return _make_client(config=config).minimum_margins(symbol)
|
||||
|
||||
+55
-10
@@ -2,16 +2,18 @@
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import importlib
|
||||
import json
|
||||
import sqlite3
|
||||
from datetime import UTC, datetime
|
||||
from enum import StrEnum
|
||||
from pathlib import Path
|
||||
from typing import TYPE_CHECKING, Any, TypeGuard, cast
|
||||
from typing import TYPE_CHECKING, Any, TypeGuard
|
||||
|
||||
import click
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from collections.abc import Sequence
|
||||
|
||||
import pandas as pd
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
@@ -260,6 +262,50 @@ def detect_format(
|
||||
raise ValueError(msg)
|
||||
|
||||
|
||||
def export_dataframe_to_sqlite(
|
||||
df: pd.DataFrame,
|
||||
output_path: Path,
|
||||
table_name: str = "data",
|
||||
*,
|
||||
if_exists: IfExists = IfExists.APPEND,
|
||||
index: bool = False,
|
||||
index_label: str | None = None,
|
||||
deduplicate_on: Sequence[str] | None = None,
|
||||
) -> None:
|
||||
"""Write a DataFrame to SQLite with configurable append and deduplication.
|
||||
|
||||
Args:
|
||||
df: DataFrame to export.
|
||||
output_path: SQLite database path.
|
||||
table_name: Target table name.
|
||||
if_exists: Conflict behavior when the table already exists.
|
||||
index: Whether to write the DataFrame index as a column.
|
||||
index_label: Column name for the index when ``index=True``.
|
||||
deduplicate_on: Optional key columns to deduplicate after writing,
|
||||
keeping the latest ``ROWID`` per key group. Deduplication scans the
|
||||
full table, so repeated appends cost O(table size); index the key
|
||||
columns when appending frequently.
|
||||
"""
|
||||
with sqlite3.connect(output_path) as conn:
|
||||
df.to_sql( # type: ignore[reportUnknownMemberType]
|
||||
table_name,
|
||||
conn,
|
||||
if_exists=if_exists.value,
|
||||
index=index,
|
||||
index_label=index_label,
|
||||
)
|
||||
if deduplicate_on:
|
||||
from .history import drop_duplicates_in_table # noqa: PLC0415
|
||||
|
||||
drop_duplicates_in_table(
|
||||
conn.cursor(),
|
||||
table_name,
|
||||
list(deduplicate_on),
|
||||
keep="last",
|
||||
)
|
||||
conn.commit()
|
||||
|
||||
|
||||
def export_dataframe(
|
||||
df: pd.DataFrame,
|
||||
output_path: Path,
|
||||
@@ -289,14 +335,13 @@ def export_dataframe(
|
||||
elif output_format == "parquet":
|
||||
df.to_parquet(output_path, index=False)
|
||||
elif output_format == "sqlite3":
|
||||
sqlite3 = cast("Any", importlib.import_module("sqlite3"))
|
||||
with sqlite3.connect(output_path) as conn:
|
||||
df.to_sql( # type: ignore[reportUnknownMemberType]
|
||||
table_name,
|
||||
conn,
|
||||
if_exists="replace",
|
||||
index=False,
|
||||
)
|
||||
export_dataframe_to_sqlite(
|
||||
df,
|
||||
output_path,
|
||||
table_name,
|
||||
if_exists=IfExists.REPLACE,
|
||||
index=False,
|
||||
)
|
||||
else:
|
||||
msg = f"Unsupported output format: {output_format}"
|
||||
raise ValueError(msg)
|
||||
|
||||
+2
-2
@@ -1,6 +1,6 @@
|
||||
[project]
|
||||
name = "mt5cli"
|
||||
version = "0.4.1"
|
||||
version = "0.4.3"
|
||||
description = "Command-line tool for MetaTrader 5"
|
||||
authors = [{name = "dceoy", email = "dceoy@users.noreply.github.com"}]
|
||||
maintainers = [{name = "dceoy", email = "dceoy@users.noreply.github.com"}]
|
||||
@@ -124,7 +124,7 @@ ignore = [
|
||||
]
|
||||
|
||||
[tool.ruff.lint.per-file-ignores]
|
||||
"mt5cli/sqlite_history.py" = ["TC003"]
|
||||
"mt5cli/history.py" = ["TC003"]
|
||||
"tests/**/*.py" = [
|
||||
"DOC201", # Missing return documentation
|
||||
"DOC501", # Raised exception missing from docstring
|
||||
|
||||
+60
-1
@@ -6,7 +6,7 @@ import json
|
||||
import logging
|
||||
import re
|
||||
import sqlite3
|
||||
from datetime import UTC, datetime
|
||||
from datetime import UTC, datetime, timedelta
|
||||
from typing import TYPE_CHECKING
|
||||
from unittest.mock import MagicMock
|
||||
|
||||
@@ -316,6 +316,65 @@ class TestCommands:
|
||||
flags=2,
|
||||
)
|
||||
|
||||
def test_ticks_recent(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
mock_client: MagicMock,
|
||||
) -> None:
|
||||
"""Test ticks-recent command."""
|
||||
output = tmp_path / "out.csv"
|
||||
result = runner.invoke(
|
||||
app,
|
||||
[
|
||||
"-o",
|
||||
str(output),
|
||||
"ticks-recent",
|
||||
"--symbol",
|
||||
"EURUSD",
|
||||
"--seconds",
|
||||
"120",
|
||||
"--date-to",
|
||||
"2024-01-02",
|
||||
"--count",
|
||||
"500",
|
||||
"--flags",
|
||||
"ALL",
|
||||
],
|
||||
)
|
||||
assert result.exit_code == 0, result.output
|
||||
mock_client.copy_ticks_from_as_df.assert_called_once_with(
|
||||
symbol="EURUSD",
|
||||
date_from=datetime(2024, 1, 2, tzinfo=UTC) - timedelta(seconds=120),
|
||||
count=500,
|
||||
flags=1,
|
||||
)
|
||||
mock_client.copy_ticks_range_as_df.assert_not_called()
|
||||
|
||||
def test_minimum_margins(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
mock_client: MagicMock,
|
||||
) -> None:
|
||||
"""Test minimum-margins command."""
|
||||
sym = MagicMock(volume_min=0.01)
|
||||
account = MagicMock(currency="USD")
|
||||
tick = MagicMock(ask=1.1010, bid=1.1000)
|
||||
mock_client.symbol_info.return_value = sym
|
||||
mock_client.account_info.return_value = account
|
||||
mock_client.symbol_info_tick.return_value = tick
|
||||
mock_client.order_calc_margin.side_effect = [12.5, 12.4]
|
||||
mock_client.mt5.ORDER_TYPE_BUY = 0
|
||||
mock_client.mt5.ORDER_TYPE_SELL = 1
|
||||
output = tmp_path / "out.csv"
|
||||
result = runner.invoke(
|
||||
app,
|
||||
["-o", str(output), "minimum-margins", "--symbol", "EURUSD"],
|
||||
)
|
||||
assert result.exit_code == 0, result.output
|
||||
mock_client.symbol_info.assert_called_once_with("EURUSD")
|
||||
mock_client.order_calc_margin.assert_any_call(0, "EURUSD", 0.01, 1.1010)
|
||||
mock_client.order_calc_margin.assert_any_call(1, "EURUSD", 0.01, 1.1000)
|
||||
|
||||
def test_orders(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
|
||||
@@ -1,4 +1,4 @@
|
||||
"""Tests for mt5cli.sqlite_history module."""
|
||||
"""Tests for mt5cli.history module."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
@@ -14,7 +14,7 @@ import pytest
|
||||
if TYPE_CHECKING:
|
||||
from pathlib import Path
|
||||
|
||||
from mt5cli.sqlite_history import (
|
||||
from mt5cli.history import (
|
||||
DEFAULT_HISTORY_TIMEFRAMES,
|
||||
append_dataframe,
|
||||
augment_written_columns_from_sqlite,
|
||||
@@ -38,6 +38,8 @@ from mt5cli.sqlite_history import (
|
||||
resolve_history_datasets,
|
||||
resolve_history_tick_flags,
|
||||
resolve_history_timeframes,
|
||||
resolve_rate_view_name,
|
||||
resolve_rate_view_names,
|
||||
write_collected_datasets,
|
||||
write_history_dataset,
|
||||
write_incremental_datasets,
|
||||
@@ -47,6 +49,281 @@ from mt5cli.sqlite_history import (
|
||||
from mt5cli.utils import TIMEFRAME_MAP, Dataset, IfExists
|
||||
|
||||
|
||||
class TestResolveRateViewName:
|
||||
"""Tests for resolve_rate_view_name and resolve_rate_view_names."""
|
||||
|
||||
def test_missing_database_path_does_not_create_file(self, tmp_path: Path) -> None:
|
||||
"""Test resolving against a missing path does not create a database."""
|
||||
db_path = tmp_path / "missing.db"
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
assert not db_path.exists()
|
||||
|
||||
def test_no_rates_table_falls_back_to_single_timeframe_name(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test databases without a rates table use single-timeframe naming."""
|
||||
db_path = tmp_path / "no-rates.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute("CREATE TABLE ticks(symbol TEXT, time TEXT)")
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
|
||||
def test_single_timeframe_for_one_symbol(self, tmp_path: Path) -> None:
|
||||
"""Test one stored timeframe resolves to the short view name."""
|
||||
db_path = tmp_path / "single-timeframe.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
|
||||
def test_multiple_timeframes_for_one_symbol(self, tmp_path: Path) -> None:
|
||||
"""Test multiple stored timeframes resolve to disambiguated view names."""
|
||||
db_path = tmp_path / "multi-timeframe.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.executemany(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
[
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
("EURUSD", TIMEFRAME_MAP["H1"], "2024-01-01T01:00:00+00:00", 1.1),
|
||||
],
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__M1_1"
|
||||
assert (
|
||||
resolve_rate_view_name(db_path, "EURUSD", "H1") == "rate_EURUSD__H1_16385"
|
||||
)
|
||||
|
||||
def test_prefers_multi_name_when_both_candidate_views_exist(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test multi-timeframe metadata wins over stale single-timeframe views."""
|
||||
db_path = tmp_path / "stale-and-current-views.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.executemany(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
[
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
("EURUSD", TIMEFRAME_MAP["H1"], "2024-01-01T01:00:00+00:00", 1.1),
|
||||
],
|
||||
)
|
||||
conn.execute(
|
||||
'CREATE VIEW "rate_EURUSD__1" AS'
|
||||
" SELECT time, close FROM rates"
|
||||
" WHERE symbol = 'EURUSD' AND timeframe = 1",
|
||||
)
|
||||
conn.execute(
|
||||
'CREATE VIEW "rate_EURUSD__M1_1" AS'
|
||||
" SELECT time, close FROM rates"
|
||||
" WHERE symbol = 'EURUSD' AND timeframe = 1",
|
||||
)
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__M1_1"
|
||||
|
||||
def test_prefers_existing_view_when_metadata_unavailable(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test an existing managed view is preferred without rates metadata."""
|
||||
db_path = tmp_path / "view-only.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute("CREATE TABLE ticks(symbol TEXT, time TEXT)")
|
||||
conn.execute('CREATE VIEW "rate_EURUSD__M1_1" AS SELECT 1 AS close')
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__M1_1"
|
||||
|
||||
def test_symbol_absent_from_rates_metadata_uses_candidate_pair(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test symbols missing from rates metadata still resolve known views."""
|
||||
db_path = tmp_path / "other-symbol-only.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
("GBPUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
)
|
||||
conn.execute(
|
||||
'CREATE VIEW "rate_EURUSD__1" AS'
|
||||
" SELECT time, close FROM rates"
|
||||
" WHERE symbol = 'EURUSD' AND timeframe = 1",
|
||||
)
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
|
||||
def test_ignores_non_compatibility_rate_views(self, tmp_path: Path) -> None:
|
||||
"""Test unrelated rate_* views without the __ separator are ignored."""
|
||||
db_path = tmp_path / "summary-view.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute("CREATE TABLE ticks(symbol TEXT, time TEXT)")
|
||||
conn.execute('CREATE VIEW "rate_summary" AS SELECT 1 AS close')
|
||||
assert resolve_rate_view_name(db_path, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
|
||||
def test_invalid_granularity_propagates_value_error(self, tmp_path: Path) -> None:
|
||||
"""Test invalid granularities raise ValueError from parse_timeframe."""
|
||||
with pytest.raises(ValueError, match="Invalid timeframe"):
|
||||
resolve_rate_view_name(tmp_path / "unused.db", "EURUSD", "BAD")
|
||||
with pytest.raises(ValueError, match="Invalid timeframe"):
|
||||
resolve_rate_view_names(tmp_path / "unused.db", ["EURUSD"], ["BAD"])
|
||||
|
||||
def test_resolve_rate_view_names_for_multiple_pairs(self, tmp_path: Path) -> None:
|
||||
"""Test batch resolution returns row-major symbol/granularity pairs."""
|
||||
db_path = tmp_path / "batch-resolve.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.executemany(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
[
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
("EURUSD", TIMEFRAME_MAP["H1"], "2024-01-01T01:00:00+00:00", 1.1),
|
||||
("GBPUSD", 1, "2024-01-01T00:00:00+00:00", 1.2),
|
||||
],
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert resolve_rate_view_names(
|
||||
db_path,
|
||||
["EURUSD", "GBPUSD"],
|
||||
["M1", "H1"],
|
||||
) == [
|
||||
"rate_EURUSD__M1_1",
|
||||
"rate_EURUSD__H1_16385",
|
||||
"rate_GBPUSD__1",
|
||||
"rate_GBPUSD__16385",
|
||||
]
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"symbol",
|
||||
["EUR/USD", "US500.cash", "#US500"],
|
||||
)
|
||||
def test_supports_broker_specific_symbols(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
symbol: str,
|
||||
) -> None:
|
||||
"""Test broker-specific symbols resolve to safely created view names."""
|
||||
db_path = tmp_path / "broker-symbol-resolve.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
(symbol, 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert resolve_rate_view_name(db_path, symbol, "M1") == build_rate_view_name(
|
||||
symbol=symbol,
|
||||
granularity="M1",
|
||||
granularity_count=1,
|
||||
timeframe=1,
|
||||
)
|
||||
|
||||
def test_accepts_open_sqlite_connection(self, tmp_path: Path) -> None:
|
||||
"""Test resolver accepts an already-open SQLite connection."""
|
||||
db_path = tmp_path / "open-connection.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert resolve_rate_view_name(conn, "EURUSD", "M1") == "rate_EURUSD__1"
|
||||
|
||||
def test_require_existing_raises_when_database_missing(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test strict mode rejects missing database paths."""
|
||||
db_path = tmp_path / "missing.db"
|
||||
with pytest.raises(ValueError, match="SQLite database not found"):
|
||||
resolve_rate_view_name(
|
||||
db_path,
|
||||
"EURUSD",
|
||||
"M1",
|
||||
require_existing=True,
|
||||
)
|
||||
with pytest.raises(ValueError, match="SQLite database not found"):
|
||||
resolve_rate_view_names(
|
||||
db_path,
|
||||
["EURUSD"],
|
||||
["M1"],
|
||||
require_existing=True,
|
||||
)
|
||||
|
||||
def test_require_existing_raises_when_view_missing(self, tmp_path: Path) -> None:
|
||||
"""Test strict mode rejects databases without matching rate views."""
|
||||
db_path = tmp_path / "no-view.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute("CREATE TABLE ticks(symbol TEXT, time TEXT)")
|
||||
with pytest.raises(ValueError, match="No rate compatibility view exists"):
|
||||
resolve_rate_view_name(
|
||||
db_path,
|
||||
"EURUSD",
|
||||
"M1",
|
||||
require_existing=True,
|
||||
)
|
||||
with pytest.raises(ValueError, match="No rate compatibility view exists"):
|
||||
resolve_rate_view_names(
|
||||
db_path,
|
||||
["EURUSD"],
|
||||
["M1"],
|
||||
require_existing=True,
|
||||
)
|
||||
|
||||
def test_require_existing_returns_existing_view(self, tmp_path: Path) -> None:
|
||||
"""Test strict mode returns a view when one exists."""
|
||||
db_path = tmp_path / "existing-view.db"
|
||||
with sqlite3.connect(db_path) as conn:
|
||||
conn.execute(
|
||||
"CREATE TABLE rates("
|
||||
" symbol TEXT, timeframe INTEGER, time TEXT, close REAL)",
|
||||
)
|
||||
conn.execute(
|
||||
"INSERT INTO rates(symbol, timeframe, time, close) VALUES (?, ?, ?, ?)",
|
||||
("EURUSD", 1, "2024-01-01T00:00:00+00:00", 1.0),
|
||||
)
|
||||
create_rate_compatibility_views(conn)
|
||||
assert (
|
||||
resolve_rate_view_name(
|
||||
db_path,
|
||||
"EURUSD",
|
||||
"M1",
|
||||
require_existing=True,
|
||||
)
|
||||
== "rate_EURUSD__1"
|
||||
)
|
||||
assert resolve_rate_view_names(
|
||||
db_path,
|
||||
["EURUSD"],
|
||||
["M1"],
|
||||
require_existing=True,
|
||||
) == ["rate_EURUSD__1"]
|
||||
|
||||
|
||||
class TestQuoteSqliteIdentifier:
|
||||
"""Tests for quote_sqlite_identifier."""
|
||||
|
||||
@@ -1024,7 +1301,7 @@ class TestIncrementalIntegration:
|
||||
sqlite3.connect(tmp_path / "no-keys.db") as conn,
|
||||
caplog.at_level(
|
||||
logging.WARNING,
|
||||
logger="mt5cli.sqlite_history",
|
||||
logger="mt5cli.history",
|
||||
),
|
||||
):
|
||||
deduplicate_history_tables(conn, {Dataset.ticks: {"time"}}, {Dataset.ticks})
|
||||
@@ -1059,7 +1336,7 @@ class TestIncrementalIntegration:
|
||||
client = MagicMock()
|
||||
client.copy_rates_range_as_df.return_value = pd.DataFrame()
|
||||
with (
|
||||
caplog.at_level(logging.WARNING, logger="mt5cli.sqlite_history"),
|
||||
caplog.at_level(logging.WARNING, logger="mt5cli.history"),
|
||||
sqlite3.connect(tmp_path / "views-warning.db") as conn,
|
||||
):
|
||||
write_incremental_datasets(
|
||||
+174
-2
@@ -4,7 +4,7 @@ from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import sqlite3
|
||||
from datetime import UTC, datetime
|
||||
from datetime import UTC, datetime, timedelta
|
||||
from typing import TYPE_CHECKING
|
||||
from unittest.mock import MagicMock
|
||||
|
||||
@@ -16,6 +16,7 @@ if TYPE_CHECKING:
|
||||
from pathlib import Path
|
||||
|
||||
from mt5cli import sdk
|
||||
from mt5cli.history import DEFAULT_HISTORY_TIMEFRAMES
|
||||
from mt5cli.sdk import (
|
||||
Mt5CliClient,
|
||||
account_info,
|
||||
@@ -30,8 +31,10 @@ from mt5cli.sdk import (
|
||||
history_orders,
|
||||
last_error,
|
||||
market_book,
|
||||
minimum_margins,
|
||||
orders,
|
||||
positions,
|
||||
recent_ticks,
|
||||
symbol_info,
|
||||
symbol_info_tick,
|
||||
symbols,
|
||||
@@ -40,7 +43,6 @@ from mt5cli.sdk import (
|
||||
update_history_with_config,
|
||||
version,
|
||||
)
|
||||
from mt5cli.sqlite_history import DEFAULT_HISTORY_TIMEFRAMES
|
||||
from mt5cli.utils import Dataset
|
||||
|
||||
_DEALS_FIXTURE: dict[str, list[object]] = {
|
||||
@@ -808,3 +810,173 @@ class TestUpdateHistory:
|
||||
)
|
||||
after = datetime.now(UTC)
|
||||
assert before <= captured["end"] <= after
|
||||
|
||||
|
||||
class TestRecentTicks:
|
||||
"""Tests for recent_ticks helper."""
|
||||
|
||||
def test_recent_ticks_uses_explicit_date_to_window(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
) -> None:
|
||||
"""Test recent_ticks fetches the requested trailing window."""
|
||||
client = MagicMock()
|
||||
end = datetime(2024, 1, 2, 12, 0, 0, tzinfo=UTC)
|
||||
client.copy_ticks_from_as_df.return_value = pd.DataFrame({
|
||||
"time": [end],
|
||||
"bid": [1.0],
|
||||
})
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
result = recent_ticks(
|
||||
"EURUSD",
|
||||
60,
|
||||
date_to=end,
|
||||
count=100,
|
||||
flags="INFO",
|
||||
config=build_config(login=123),
|
||||
)
|
||||
assert isinstance(result, pd.DataFrame)
|
||||
client.copy_ticks_from_as_df.assert_called_once_with(
|
||||
symbol="EURUSD",
|
||||
date_from=end - timedelta(seconds=60),
|
||||
count=100,
|
||||
flags=2,
|
||||
)
|
||||
client.copy_ticks_range_as_df.assert_not_called()
|
||||
|
||||
def test_recent_ticks_uses_latest_tick_when_date_to_omitted(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
) -> None:
|
||||
"""Test recent_ticks anchors the window on the latest tick time."""
|
||||
client = MagicMock()
|
||||
tick = MagicMock()
|
||||
tick.time = datetime(2024, 1, 2, 12, 0, 0, tzinfo=UTC)
|
||||
client.symbol_info_tick.return_value = tick
|
||||
client.copy_ticks_from_as_df.return_value = pd.DataFrame({
|
||||
"time": [1, 2],
|
||||
"bid": [1.0, 1.1],
|
||||
})
|
||||
client.copy_ticks_range_as_df.return_value = pd.DataFrame({
|
||||
"time": [1, 2, 3],
|
||||
"bid": [1.0, 1.1, 1.2],
|
||||
})
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
result = Mt5CliClient().recent_ticks("EURUSD", 30, count=2, flags="ALL")
|
||||
assert len(result) == 2
|
||||
client.symbol_info_tick.assert_called_once_with("EURUSD")
|
||||
client.copy_ticks_from_as_df.assert_called_once()
|
||||
_, kwargs = client.copy_ticks_range_as_df.call_args
|
||||
assert kwargs["symbol"] == "EURUSD"
|
||||
assert kwargs["date_to"] == tick.time
|
||||
assert kwargs["date_from"] == tick.time - timedelta(seconds=30)
|
||||
assert kwargs["flags"] == 1
|
||||
|
||||
def test_recent_ticks_rejects_unsupported_tick_time(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
) -> None:
|
||||
"""Test recent_ticks raises when the latest tick time is unsupported."""
|
||||
client = MagicMock()
|
||||
tick = MagicMock()
|
||||
tick.time = object()
|
||||
client.symbol_info_tick.return_value = tick
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
with pytest.raises(TypeError, match="Unsupported tick time value"):
|
||||
Mt5CliClient().recent_ticks("EURUSD", 30)
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"tick_time",
|
||||
[
|
||||
"2024-01-02T12:00:00+00:00",
|
||||
1704196800,
|
||||
],
|
||||
)
|
||||
def test_recent_ticks_coerces_string_and_unix_tick_times(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
tick_time: str | int,
|
||||
) -> None:
|
||||
"""Test recent_ticks accepts string and unix tick timestamps."""
|
||||
client = MagicMock()
|
||||
tick = MagicMock()
|
||||
tick.time = tick_time
|
||||
client.symbol_info_tick.return_value = tick
|
||||
expected_end = (
|
||||
datetime(2024, 1, 2, 12, 0, 0, tzinfo=UTC)
|
||||
if isinstance(tick_time, str)
|
||||
else datetime.fromtimestamp(tick_time, tz=UTC)
|
||||
)
|
||||
client.copy_ticks_from_as_df.return_value = pd.DataFrame({
|
||||
"time": [expected_end],
|
||||
})
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
Mt5CliClient().recent_ticks("EURUSD", 30)
|
||||
_, kwargs = client.copy_ticks_from_as_df.call_args
|
||||
assert kwargs["date_from"] == expected_end - timedelta(seconds=30)
|
||||
|
||||
def test_recent_ticks_returns_full_frame_when_count_not_positive(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
) -> None:
|
||||
"""Test non-positive count returns the full range without trimming."""
|
||||
client = MagicMock()
|
||||
end = datetime(2024, 1, 2, 12, 0, 0, tzinfo=UTC)
|
||||
client.copy_ticks_range_as_df.return_value = pd.DataFrame({
|
||||
"time": [1, 2, 3],
|
||||
"bid": [1.0, 1.1, 1.2],
|
||||
})
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
result = recent_ticks(
|
||||
"EURUSD",
|
||||
60,
|
||||
date_to=end,
|
||||
count=0,
|
||||
config=build_config(login=123),
|
||||
)
|
||||
assert len(result) == 3
|
||||
client.copy_ticks_from_as_df.assert_not_called()
|
||||
client.copy_ticks_range_as_df.assert_called_once_with(
|
||||
symbol="EURUSD",
|
||||
date_from=end - timedelta(seconds=60),
|
||||
date_to=end,
|
||||
flags=1,
|
||||
)
|
||||
|
||||
|
||||
class TestMinimumMargins:
|
||||
"""Tests for minimum_margins helper."""
|
||||
|
||||
def test_minimum_margins_shape(
|
||||
self,
|
||||
mocker: MockerFixture,
|
||||
) -> None:
|
||||
"""Test minimum_margins returns the expected summary columns."""
|
||||
client = MagicMock()
|
||||
sym = MagicMock(volume_min=0.01)
|
||||
account = MagicMock(currency="USD")
|
||||
tick = MagicMock(ask=1.1010, bid=1.1000)
|
||||
client.symbol_info.return_value = sym
|
||||
client.account_info.return_value = account
|
||||
client.symbol_info_tick.return_value = tick
|
||||
client.order_calc_margin.side_effect = [12.5, 12.4]
|
||||
client.mt5.ORDER_TYPE_BUY = 0
|
||||
client.mt5.ORDER_TYPE_SELL = 1
|
||||
mocker.patch("mt5cli.sdk.Mt5DataClient", return_value=client)
|
||||
|
||||
result = minimum_margins("EURUSD", config=build_config(login=123))
|
||||
|
||||
pd.testing.assert_frame_equal(
|
||||
result,
|
||||
pd.DataFrame([
|
||||
{
|
||||
"symbol": "EURUSD",
|
||||
"account_currency": "USD",
|
||||
"volume_min": 0.01,
|
||||
"buy_margin": 12.5,
|
||||
"sell_margin": 12.4,
|
||||
}
|
||||
]),
|
||||
)
|
||||
client.order_calc_margin.assert_any_call(0, "EURUSD", 0.01, 1.1010)
|
||||
client.order_calc_margin.assert_any_call(1, "EURUSD", 0.01, 1.1000)
|
||||
|
||||
@@ -21,8 +21,10 @@ from mt5cli.utils import (
|
||||
TIMEFRAME_MAP,
|
||||
TIMEFRAME_TYPE,
|
||||
Dataset,
|
||||
IfExists,
|
||||
detect_format,
|
||||
export_dataframe,
|
||||
export_dataframe_to_sqlite,
|
||||
parse_datetime,
|
||||
parse_request,
|
||||
parse_tick_flags,
|
||||
@@ -130,6 +132,112 @@ class TestExportDataframe:
|
||||
export_dataframe(sample_df, tmp_path / "out.txt", "xml")
|
||||
|
||||
|
||||
class TestExportDataframeToSqlite:
|
||||
"""Tests for export_dataframe_to_sqlite."""
|
||||
|
||||
def test_append_preserves_existing_rows(self, tmp_path: Path) -> None:
|
||||
"""Test append mode keeps prior rows in the SQLite table."""
|
||||
output = tmp_path / "append.db"
|
||||
first = pd.DataFrame({"id": [1], "value": ["a"]})
|
||||
second = pd.DataFrame({"id": [2], "value": ["b"]})
|
||||
export_dataframe_to_sqlite(first, output, "items", if_exists=IfExists.REPLACE)
|
||||
export_dataframe_to_sqlite(second, output, "items", if_exists=IfExists.APPEND)
|
||||
with sqlite3.connect(output) as conn:
|
||||
result = pd.read_sql( # type: ignore[reportUnknownMemberType]
|
||||
"SELECT id, value FROM items ORDER BY id",
|
||||
conn,
|
||||
)
|
||||
pd.testing.assert_frame_equal(
|
||||
result,
|
||||
pd.DataFrame({"id": [1, 2], "value": ["a", "b"]}),
|
||||
)
|
||||
|
||||
def test_deduplicate_keeps_latest_row(self, tmp_path: Path) -> None:
|
||||
"""Test deduplication keeps the latest ROWID for key columns."""
|
||||
output = tmp_path / "dedup.db"
|
||||
first = pd.DataFrame({
|
||||
"symbol": ["EURUSD", "EURUSD"],
|
||||
"time": ["2024-01-01", "2024-01-01"],
|
||||
"bid": [1.0, 1.1],
|
||||
})
|
||||
second = pd.DataFrame({
|
||||
"symbol": ["EURUSD"],
|
||||
"time": ["2024-01-01"],
|
||||
"bid": [1.2],
|
||||
})
|
||||
export_dataframe_to_sqlite(
|
||||
first,
|
||||
output,
|
||||
"ticks",
|
||||
if_exists=IfExists.REPLACE,
|
||||
deduplicate_on=("symbol", "time"),
|
||||
)
|
||||
export_dataframe_to_sqlite(
|
||||
second,
|
||||
output,
|
||||
"ticks",
|
||||
if_exists=IfExists.APPEND,
|
||||
deduplicate_on=("symbol", "time"),
|
||||
)
|
||||
with sqlite3.connect(output) as conn:
|
||||
result = pd.read_sql( # type: ignore[reportUnknownMemberType]
|
||||
"SELECT symbol, time, bid FROM ticks",
|
||||
conn,
|
||||
)
|
||||
pd.testing.assert_frame_equal(
|
||||
result.reset_index(drop=True),
|
||||
pd.DataFrame({
|
||||
"symbol": ["EURUSD"],
|
||||
"time": ["2024-01-01"],
|
||||
"bid": [1.2],
|
||||
}),
|
||||
)
|
||||
|
||||
def test_default_if_exists_appends_without_dropping_rows(
|
||||
self,
|
||||
tmp_path: Path,
|
||||
) -> None:
|
||||
"""Test the default append mode keeps prior rows."""
|
||||
output = tmp_path / "default-append.db"
|
||||
first = pd.DataFrame({"id": [1], "value": ["a"]})
|
||||
second = pd.DataFrame({"id": [2], "value": ["b"]})
|
||||
export_dataframe_to_sqlite(first, output, "items")
|
||||
export_dataframe_to_sqlite(second, output, "items")
|
||||
with sqlite3.connect(output) as conn:
|
||||
result = pd.read_sql( # type: ignore[reportUnknownMemberType]
|
||||
"SELECT id, value FROM items ORDER BY id",
|
||||
conn,
|
||||
)
|
||||
pd.testing.assert_frame_equal(
|
||||
result,
|
||||
pd.DataFrame({"id": [1, 2], "value": ["a", "b"]}),
|
||||
)
|
||||
|
||||
def test_writes_index_with_label(self, tmp_path: Path) -> None:
|
||||
"""Test optional index export with a custom label."""
|
||||
output = tmp_path / "index.db"
|
||||
frame = pd.DataFrame(
|
||||
{"value": [1.0]}, index=pd.Index(["EURUSD"], name="symbol")
|
||||
)
|
||||
export_dataframe_to_sqlite(
|
||||
frame,
|
||||
output,
|
||||
"margins",
|
||||
if_exists=IfExists.REPLACE,
|
||||
index=True,
|
||||
index_label="symbol",
|
||||
)
|
||||
with sqlite3.connect(output) as conn:
|
||||
result = pd.read_sql( # type: ignore[reportUnknownMemberType]
|
||||
"SELECT symbol, value FROM margins",
|
||||
conn,
|
||||
)
|
||||
pd.testing.assert_frame_equal(
|
||||
result,
|
||||
pd.DataFrame({"symbol": ["EURUSD"], "value": [1.0]}),
|
||||
)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Parse helpers
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
Reference in New Issue
Block a user