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twiecki
126 lines
4.1 KiB
Python
126 lines
4.1 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 datetime
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import requests
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from . loader_utils import (
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source_to_records
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)
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from zipline.data.treasuries import (
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treasury_mappings, get_treasury_date, get_treasury_rate
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)
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_CURVE_MAPPINGS = {
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'date': (get_treasury_date, "Date"),
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'1month': (get_treasury_rate, "V39063"),
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'3month': (get_treasury_rate, "V39065"),
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'6month': (get_treasury_rate, "V39066"),
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'1year': (get_treasury_rate, "V39067"),
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'2year': (get_treasury_rate, "V39051"),
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'3year': (get_treasury_rate, "V39052"),
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'5year': (get_treasury_rate, "V39053"),
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'7year': (get_treasury_rate, "V39054"),
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'10year': (get_treasury_rate, "V39055"),
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# Bank of Canada refers to this as 'Long' Rate, approximately 30 years.
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'30year': (get_treasury_rate, "V39056"),
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}
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BILLS = ['V39063', 'V39065', 'V39066', 'V39067']
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BONDS = ['V39051', 'V39052', 'V39053', 'V39054', 'V39055', 'V39056']
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def get_treasury_source(start_date=None, end_date=None):
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today = datetime.date.today()
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# Bank of Canada only has 10 years of data and has this in the URL.
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restriction = datetime.date(today.year - 10, today.month, today.day)
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if not end_date:
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end_date = today
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if not start_date:
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start_date = restriction
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bill_url = (
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"http://www.bankofcanada.ca/stats/results/csv?"
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"lP=lookup_tbill_yields.php&sR={restrict}&se="
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"L_V39063-L_V39065-L_V39066-L_V39067&dF={start}&dT={end}"
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.format(restrict=restriction.strftime("%Y-%m-%d"),
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start=start_date.strftime("%Y-%m-%d"),
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end=end_date.strftime("%Y-%m-%d"),
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)
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)
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bond_url = (
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"http://www.bankofcanada.ca/stats/results/csv?"
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"lP=lookup_bond_yields.php&sR={restrict}&se="
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"L_V39051-L_V39052-L_V39053-L_V39054-L_V39055-L_V39056"
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"&dF={start}&dT={end}"
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.format(restrict=restriction.strftime("%Y-%m-%d"),
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start=start_date.strftime("%Y-%m-%d"),
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end=end_date.strftime("%Y-%m-%d")
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)
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)
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res_bill = requests.get(bill_url, stream=True)
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res_bond = requests.get(bond_url, stream=True)
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bill_iter = res_bill.iter_lines()
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bond_iter = res_bond.iter_lines()
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bill_row = ""
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while ",".join(BILLS) not in bill_row:
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bill_row = bill_iter.next()
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if 'Daily series:' in bill_row:
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bill_end_date = datetime.datetime.strptime(
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bill_row.split(' - ')[1].strip(),
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"%Y-%m-%d").date()
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bill_header = bill_row.split(",")
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bond_row = ""
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while ",".join(BONDS) not in bond_row:
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bond_row = bond_iter.next()
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if 'Daily series:' in bond_row:
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bond_end_date = datetime.datetime.strptime(
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bond_row.split(' - ')[1].strip(),
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"%Y-%m-%d").date()
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bond_header = bond_row.split(",")
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# Line up the two dates
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if bill_end_date > bond_end_date:
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bill_iter.next()
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elif bond_end_date > bill_end_date:
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bond_iter.next()
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for bill_row in bill_iter:
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bond_row = bond_iter.next()
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bill_dict = dict(zip(bill_header, bill_row.split(",")))
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bond_dict = dict(zip(bond_header, bond_row.split(",")))
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if ' Bank holiday' in bond_row.split(",") + bill_row.split(","):
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continue
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if ' Not available' in bond_row.split(",") + bill_row.split(","):
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continue
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bill_dict.update(bond_dict)
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yield bill_dict
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def get_treasury_data():
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mappings = treasury_mappings(_CURVE_MAPPINGS)
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source = get_treasury_source()
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return source_to_records(mappings, source)
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