52 lines
1.4 KiB
Python
52 lines
1.4 KiB
Python
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"""Historical data management for backtesting."""
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from datetime import datetime
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from typing import List, Optional
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from sqlalchemy.orm import Session
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from src.core.database import get_database, MarketData
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from src.core.logger import get_logger
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logger = get_logger(__name__)
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class DataProvider:
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"""Provides historical data for backtesting."""
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def __init__(self):
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"""Initialize data provider."""
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self.db = get_database()
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self.logger = get_logger(__name__)
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def get_data(
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self,
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exchange: str,
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symbol: str,
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timeframe: str,
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start_date: datetime,
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end_date: datetime
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) -> List[MarketData]:
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"""Get historical data.
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Args:
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exchange: Exchange name
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symbol: Trading symbol
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timeframe: Timeframe
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start_date: Start date
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end_date: End date
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Returns:
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List of MarketData objects
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"""
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session = self.db.get_session()
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try:
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return session.query(MarketData).filter(
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MarketData.exchange == exchange,
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MarketData.symbol == symbol,
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MarketData.timeframe == timeframe,
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MarketData.timestamp >= start_date,
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MarketData.timestamp <= end_date
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).order_by(MarketData.timestamp).all()
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finally:
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session.close()
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