OHLC¶

This page shows how to load OHLC data (open, high, low, close). All examples below expects you to have an initialized instance of the client called eq.

Operations described here are available under eq.ohlc.*.

Requirements: Use these operations for curves with curve_type set to any of the following:

OHLC

OHLC objects¶

We group all products for a market into a single curve. For instance, we have a curve called NP Futures Power Base EUR/MWh Nasdaq OHLC, which contains all power futures contracts for the Nord Pool system price.

When loading OHLC data, the response is a list of OHLC objects. An OHLC object consists of open, high, low, close, settlement, volume and open interest. These fields may be missing/unset.

class OHLC:
    product: Product
    open: number
    high: number
    low: number
    close: number
    settlement: number
    volume: number
    open_interest: number

In addition to these fields, each OHLC object has a product field. The product field describes which contract you are looking at:

class Product:
    traded: date
    period: Enum [DAY, WEEK, MONTH, QUARTER, SEASON, YEAR]
    front: integer
    delivery: date

Short descriptions for the attributes of Product objects:

traded is the trading date
period is the contract delivery period (day, week, month, quarter, year)
front tells you which contract is closest to delivery (1 means the front contract, 2 means the second front, and so forth)
delivery is the date when the contract goes into delivery

Load OHLC data¶

Method reference: eq.ohlc.load()

Loading OHLC data is quite straight-forward. You must at least specify these three parameters: curve, begin and end.

>>> from datetime import date
>>> ohlc_list = eq.ohlc.load(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),   # or begin='2020-01-01'
>>>    end=date(2020, 1, 6)      # or end='2020-01-06'
>>> )

The response is a list of energyquantified.data.OHLC objects. It is ordered by trading date (chronologically) and period (alphabetically). However, the list has a curve attribute that standard Python list-objects do not:

>>> ohlc_list.curve
<Curve: "NP Futures Power Base EUR/MWh Nasdaq OHLC", curve_type=OHLC>

>>> ohlc_list
[<OHLC: <Product: traded=2020-01-02, period=DAY, front=1, delivery=2020-01-03>, open=, high=, low=, close=, settlement=26.56, volume=, open_interest=>,
 <OHLC: <Product: traded=2020-01-02, period=DAY, front=2, delivery=2020-01-04>, open=23.0, high=23.0, low=23.0, close=23.0, settlement=24.0, volume=50.0, open_interest=>,
 ...
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=1, delivery=2020-02-01>, open=35.4, high=35.4, low=34.0, close=34.0, settlement=34.0, volume=394.0, open_interest=10678.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=2, delivery=2020-03-01>, open=32.8, high=33.0, low=32.21, close=32.21, settlement=32.21, volume=98.0, open_interest=10286.0>,
 ...
 <OHLC: <Product: traded=2020-01-02, period=QUARTER, front=1, delivery=2020-04-01>, open=28.2, high=28.2, low=26.95, close=27.0, settlement=27.0, volume=394.0, open_interest=8511.0>,
 <OHLC: <Product: traded=2020-01-02, period=QUARTER, front=2, delivery=2020-07-01>, open=26.35, high=26.5, low=25.75, close=25.75, settlement=25.75, volume=135.0, open_interest=6721.0>,
 ...

You can also filter on period. Say that we only want monthly contracts:

>>> from energyquantified.metadata import ContractPeriod
>>> ohlc_list = eq.ohlc.load(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),
>>>    end=date(2020, 1, 6),
>>>    period=ContractPeriod.MONTH  # Only monthly contracts
>>> )

Which will give you:

>>> ohlc_list
[<OHLC: <Product: traded=2020-01-02, period=MONTH, front=1, delivery=2020-02-01>, open=35.4, high=35.4, low=34.0, close=34.0, settlement=34.0, volume=394.0, open_interest=10678.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=2, delivery=2020-03-01>, open=32.8, high=33.0, low=32.21, close=32.21, settlement=32.21, volume=98.0, open_interest=10286.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=3, delivery=2020-04-01>, open=30.8, high=30.8, low=30.0, close=30.0, settlement=30.0, volume=6.0, open_interest=584.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=4, delivery=2020-05-01>, open=, high=, low=, close=, settlement=26.35, volume=, open_interest=55.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=5, delivery=2020-06-01>, open=, high=, low=, close=, settlement=24.73, volume=, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-02, period=MONTH, front=6, delivery=2020-07-01>, open=, high=, low=, close=, settlement=22.93, volume=, open_interest=>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=1, delivery=2020-02-01>, open=34.3, high=34.6, low=33.75, close=34.5, settlement=34.4, volume=321.0, open_interest=10483.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=2, delivery=2020-03-01>, open=32.4, high=32.85, low=31.95, close=32.7, settlement=32.7, volume=86.0, open_interest=10243.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=3, delivery=2020-04-01>, open=30.0, high=30.7, low=30.0, close=30.35, settlement=30.35, volume=38.0, open_interest=589.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=4, delivery=2020-05-01>, open=27.0, high=27.0, low=27.0, close=27.0, settlement=27.0, volume=4.0, open_interest=55.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=5, delivery=2020-06-01>, open=24.7, high=24.7, low=24.7, close=24.7, settlement=24.7, volume=1.0, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=6, delivery=2020-07-01>, open=23.55, high=23.55, low=23.55, close=23.55, settlement=23.55, volume=3.0, open_interest=>]

Notice that we only get data for two trading days. That is because the market is only open on 2 January and 3 January in the date interval we queried.

And then you can also filter on front to get the continuous front contract:

>>> from energyquantified.metadata import ContractPeriod
>>> ohlc_list = eq.ohlc.load(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),
>>>    end=date(2020, 1, 10),
>>>    period=ContractPeriod.MONTH,
>>>    front=1   # The front contract only
>>> )

>>> ohlc_list
[<OHLC: <Product: traded=2020-01-02, period=MONTH, front=1, delivery=2020-02-01>, open=35.4, high=35.4, low=34.0, close=34.0, settlement=34.0, volume=394.0, open_interest=10678.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=1, delivery=2020-02-01>, open=34.3, high=34.6, low=33.75, close=34.5, settlement=34.4, volume=321.0, open_interest=10483.0>,
 <OHLC: <Product: traded=2020-01-06, period=MONTH, front=1, delivery=2020-02-01>, open=33.9, high=33.9, low=32.1, close=32.1, settlement=32.1, volume=296.0, open_interest=10527.0>,
 <OHLC: <Product: traded=2020-01-07, period=MONTH, front=1, delivery=2020-02-01>, open=31.55, high=31.77, low=31.05, close=31.2, settlement=31.2, volume=311.0, open_interest=10405.0>,
 <OHLC: <Product: traded=2020-01-08, period=MONTH, front=1, delivery=2020-02-01>, open=30.55, high=30.55, low=28.8, close=29.5, settlement=29.45, volume=575.0, open_interest=10590.0>,
 <OHLC: <Product: traded=2020-01-09, period=MONTH, front=1, delivery=2020-02-01>, open=29.55, high=30.4, low=29.55, close=30.25, settlement=30.1, volume=322.0, open_interest=10766.0>]

Or you can filter on the delivery date to get the development for a specific contract:

>>> from energyquantified.metadata import ContractPeriod
>>> ohlc_list = eq.ohlc.load(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),
>>>    end=date(2020, 1, 10),
>>>    period=ContractPeriod.MONTH,
>>>    delivery=date(2020, 6, 1)  # The June contract
>>> )

>>> ohlc_list
[<OHLC: <Product: traded=2020-01-02, period=MONTH, front=5, delivery=2020-06-01>, open=, high=, low=, close=, settlement=24.73, volume=, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-03, period=MONTH, front=5, delivery=2020-06-01>, open=24.7, high=24.7, low=24.7, close=24.7, settlement=24.7, volume=1.0, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-06, period=MONTH, front=5, delivery=2020-06-01>, open=, high=, low=, close=, settlement=22.33, volume=, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-07, period=MONTH, front=5, delivery=2020-06-01>, open=, high=, low=, close=, settlement=22.28, volume=, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-08, period=MONTH, front=5, delivery=2020-06-01>, open=21.85, high=22.47, low=21.85, close=22.47, settlement=22.71, volume=8.0, open_interest=65.0>,
 <OHLC: <Product: traded=2020-01-09, period=MONTH, front=5, delivery=2020-06-01>, open=23.45, high=23.45, low=23.4, close=23.4, settlement=23.4, volume=8.0, open_interest=73.0>]

Note: You cannot specify both front and delivery at the same time.

Load for latest trading day¶

Method reference: eq.ohlc.latest()

Loading all OHLC data for the latest available trading day. You must only specify one parameter: curve. You may also specify an optional date parameter to load data for the latest trading day up to and including the given date.

>>> latest_list = eq.ohlc.latest('NP Futures Power Base EUR/MWh Nasdaq OHLC')

The response is an list energyquantified.data.OHLCList of energyquantified.data.OHLC objects:

>>> latest_list.curve
<Curve: "NP Futures Power Base EUR/MWh Nasdaq OHLC", curve_type=OHLC>

>>> latest_list
[<OHLC: <Product: traded=2020-10-15, period=DAY, front=1, delivery=2020-10-16>, open=, high=, low=, close=, settlement=23.24, volume=, open_interest=>,
 <OHLC: <Product: traded=2020-10-15, period=DAY, front=2, delivery=2020-10-17>, open=, high=, low=, close=, settlement=19.0, volume=, open_interest=>,
 <OHLC: <Product: traded=2020-10-15, period=DAY, front=3, delivery=2020-10-18>, open=, high=, low=, close=, settlement=16.0, volume=, open_interest=>,
 <OHLC: <Product: traded=2020-10-15, period=MONTH, front=1, delivery=2020-11-01>, open=23.5, high=23.5, low=22.3, close=22.3, settlement=22.35, volume=343.0, open_interest=10104.0>,
 <OHLC: <Product: traded=2020-10-15, period=MONTH, front=2, delivery=2020-12-01>, open=25.65, high=25.65, low=24.4, close=24.4, settlement=24.4, volume=68.0, open_interest=9772.0>,
 <OHLC: <Product: traded=2020-10-15, period=MONTH, front=3, delivery=2021-01-01>, open=, high=, low=, close=, settlement=28.65, volume=, open_interest=192.0>,
 ...

There is no filtering for eq.ohlc.latest(), like there is for eq.ohlc.load().

Convert an OHLC list to a data frame¶

Convert a OHLCList to a pandas.DataFrame like this:

>>> latest_list.to_dataframe()
        traded   period  front    delivery   open   high    low  close  settlement  volume  open_interest
0   2020-10-15      day      1  2020-10-16    NaN    NaN    NaN    NaN       23.24     0.0            0.0
1   2020-10-15      day      2  2020-10-17    NaN    NaN    NaN    NaN       19.00     0.0            0.0
2   2020-10-15      day      3  2020-10-18    NaN    NaN    NaN    NaN       16.00     0.0            0.0
3   2020-10-15    month      1  2020-11-01  23.50  23.50  22.30  22.30       22.35   343.0        10104.0
4   2020-10-15    month      2  2020-12-01  25.65  25.65  24.40  24.40       24.40    68.0         9772.0
5   2020-10-15    month      3  2021-01-01    NaN    NaN    NaN    NaN       28.65     0.0          192.0
...

Load an OHLC field as a time series¶

Method references: eq.ohlc.load_delivery_as_timeseries() and eq.ohlc.load_front_as_timeseries()

There are two additional methods in the OHLC API for loading a specific OHLC field into a time series object.

For a continuous front contract¶

To load the close price for a continuous front contract, specify all the same parameters as you would do with the eq.ohlc.load()-method, and an additional field parameter:

>>> from energyquantified.metadata import OHLCField
>>> timeseries = eq.ohlc.load_front_as_timeseries(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),
>>>    end=date(2020, 1, 10),
>>>    period=ContractPeriod.MONTH,
>>>    front=1,  # Front month
>>>    field=OHLCField.CLOSE  # Load the closing price
>>> )

The result is a time series in daily resolution. Energy Quantified’s time series always includes all days, so that you will end up with Saturdays and Sundays in the result, but these will have empty values.

Notice that there is an additional contract field on the time series object, describing the query used to load this data:

>>> timeseries.curve
<Curve: "NP Futures Power Base EUR/MWh Nasdaq OHLC", curve_type=OHLC>

>>> timeseries.contract
<ContinuousContract: period=MONTH, front=1, field=CLOSE>

>>> timeseries.data
[<Value: date=2020-01-02 00:00:00+01:00, value=34>,
 <Value: date=2020-01-03 00:00:00+01:00, value=34.4>,
 <Value: date=2020-01-04 00:00:00+01:00, value=None>,
 <Value: date=2020-01-05 00:00:00+01:00, value=None>,
 <Value: date=2020-01-06 00:00:00+01:00, value=32.1>,
 ...

For a specific contract¶

To load the close price for a specific contract, specify all the same parameters as you would do with the eq.ohlc.load()-method, and an additional field parameter:

>>> from energyquantified.metadata import OHLCField
>>> timeseries = eq.ohlc.load_delivery_as_timeseries(
>>>    'NP Futures Power Base EUR/MWh Nasdaq OHLC',
>>>    begin=date(2020, 1, 1),
>>>    end=date(2020, 1, 10),
>>>    period=ContractPeriod.MONTH,
>>>    delivery=date(2020, 6, 1),  # June contract
>>>    field=OHLCField.CLOSE  # We want to load the CLOSE price
>>> )