mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-10 19:06:14 +08:00
Eddie Hebert
0ab136f1c8
Hopefully, this helps ease ramp up time for developing against market data, without us distributing the data. We do a check for the data when attempting to read the msgpack files, if they don't exist the loader makes a web request and retrieves and serializes the data for the user. Provides a loader for: - curves from data.treasury.gov - benchmarks from Yahoo! Finance Adds dependency of requests library in dev requirements.
75 lines
2.0 KiB
Python
75 lines
2.0 KiB
Python
import requests
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from StringIO import StringIO
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from xml.dom.minidom import parse
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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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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)
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content = StringIO(res.content)
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dom = parse(content)
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entries = dom.getElementsByTagName("entry")
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for entry in entries:
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properties = entry.getElementsByTagName("m:properties")
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datum = {node.nodeName.replace('d:', ''):
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node.childNodes[0].nodeValue
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if len(node.childNodes)
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else None
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for node in properties[0].childNodes
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if node.nodeType == dom.ELEMENT_NODE}
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yield datum
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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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