mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-30 15:33:42 +08:00
Eddie Hebert
097c225c6b
Make adjustments for using Python built-in ElementTree instead of lxml based lxml. lxml was edited out during pulling in of memory friendly loading of treasury curves, however some of the use of ETree was lxml specific. Mea culpa.
137 lines
3.9 KiB
Python
137 lines
3.9 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import re
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import requests
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from collections import OrderedDict
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import xml.etree.ElementTree as ET
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from loader_utils import (
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guarded_conversion,
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safe_int,
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Mapping,
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date_conversion,
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source_to_records
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)
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def get_treasury_date(dstring):
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return date_conversion(dstring.split("T")[0], date_pattern='%Y-%m-%d',
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to_utc=False)
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def get_treasury_rate(string_val):
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val = guarded_conversion(float, string_val)
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if val is not None:
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val = round(val / 100.0, 4)
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return val
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_CURVE_MAPPINGS = {
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'tid': (safe_int, "Id"),
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'date': (get_treasury_date, "NEW_DATE"),
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'1month': (get_treasury_rate, "BC_1MONTH"),
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'3month': (get_treasury_rate, "BC_3MONTH"),
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'6month': (get_treasury_rate, "BC_6MONTH"),
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'1year': (get_treasury_rate, "BC_1YEAR"),
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'2year': (get_treasury_rate, "BC_2YEAR"),
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'3year': (get_treasury_rate, "BC_3YEAR"),
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'5year': (get_treasury_rate, "BC_5YEAR"),
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'7year': (get_treasury_rate, "BC_7YEAR"),
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'10year': (get_treasury_rate, "BC_10YEAR"),
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'20year': (get_treasury_rate, "BC_20YEAR"),
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'30year': (get_treasury_rate, "BC_30YEAR"),
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}
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def treasury_mappings():
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return {key: Mapping(*value)
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for key, value
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in _CURVE_MAPPINGS.iteritems()}
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class iter_to_stream(object):
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"""
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Exposes an iterable as an i/o stream
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"""
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def __init__(self, iterable):
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self.buffered = ""
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self.iter = iter(iterable)
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def read(self, size):
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result = ""
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while size > 0:
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data = self.buffered or next(self.iter, None)
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self.buffered = ""
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if data is None:
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break
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size -= len(data)
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if size < 0:
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data, self.buffered = data[:size], data[size:]
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result += data
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return result
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def get_localname(element):
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qtag = ET.QName(element.tag).text
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return re.match("(\{.*\})(.*)", qtag).group(2)
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def get_treasury_source():
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url = """\
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http://data.treasury.gov/feed.svc/DailyTreasuryYieldCurveRateData\
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"""
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res = requests.get(url, stream=True)
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stream = iter_to_stream(res.iter_lines())
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elements = ET.iterparse(stream, ('end', 'start-ns', 'end-ns'))
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namespaces = OrderedDict()
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properties_xpath = ['']
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def updated_namespaces():
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if '' in namespaces and 'm' in namespaces:
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properties_xpath[0] = "{%s}content/{%s}properties" % (
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namespaces[''], namespaces['m']
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)
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else:
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properties_xpath[0] = ''
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for event, element in elements:
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if event == 'end':
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tag = get_localname(element)
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if tag == "entry":
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properties = element.find(properties_xpath[0])
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datum = {get_localname(node): node.text
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for node in properties.getchildren()
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if ET.iselement(node)}
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# clear the element after we've dealt with it:
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element.clear()
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yield datum
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elif event == 'start-ns':
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namespaces[element[0]] = element[1]
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updated_namespaces()
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elif event == 'end-ns':
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namespaces.popitem()
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updated_namespaces()
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def get_treasury_data():
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mappings = treasury_mappings()
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source = get_treasury_source()
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return source_to_records(mappings, source)
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