diff --git a/.gitignore b/.gitignore index 894a44c..199dffd 100644 --- a/.gitignore +++ b/.gitignore @@ -102,3 +102,12 @@ venv.bak/ # mypy .mypy_cache/ + +# exclude data from source control by default +data/ + +# Mac OS-specific storage files +.DS_Store + +# VS Code +.vscode/ diff --git a/Makefile b/Makefile new file mode 100644 index 0000000..36386f2 --- /dev/null +++ b/Makefile @@ -0,0 +1,41 @@ +.PHONY: image init env testdata test test_scraper scrape aggregate backup bench + +image: + docker build -t data_scraper -f ./docker/data_scraper/Dockerfile . + +ops: + docker-compose -f ./docker/docker-compose.yml up -d + +stop: + docker-compose -f ./docker/docker-compose.yml down + +init: + pipenv --three && pipenv install + +env: + pipenv shell + +testdata: + pipenv run python backtester/test/create_test_data.py + +test: + pipenv run python -m unittest discover -s backtester/test + +test_scraper: + pipenv run python -m unittest discover -s data_scraper + +scrape: +ifdef scraper + pipenv run python -m data_scraper -s $(scraper) -v +else + pipenv run python -m data_scraper -v +endif + +aggregate: + pipenv run python -m data_scraper -a + +backup: + pipenv run python -m data_scraper -b + +bench: + pipenv run python backtester/test/run_benchmark.py diff --git a/Pipfile b/Pipfile new file mode 100644 index 0000000..f368844 --- /dev/null +++ b/Pipfile @@ -0,0 +1,17 @@ +[[source]] +url = "https://pypi.org/simple" +verify_ssl = true +name = "pypi" + +[packages] +"beautifulsoup4" = "*" +requests = "*" +pandas = "*" +altair = "*" +jupyter = "*" +pandas-datareader = "*" +pandas-market-calendars = "*" +boto3 = "*" + +[dev-packages] +yapf = "*" diff --git a/Pipfile.lock b/Pipfile.lock new file mode 100644 index 0000000..1ccf3e4 --- /dev/null +++ b/Pipfile.lock @@ -0,0 +1,613 @@ +{ + "_meta": { + "hash": { + "sha256": "84e05b94cbc679483f07c28e69f72f29529e1dc9564069112070850467a18431" + }, + "pipfile-spec": 6, + "requires": {}, + "sources": [ + { + "name": "pypi", + "url": 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"sha256:613deba14233623ff3432d9d5032631b5f600be97b39f66932cbe67648bfa8ea" + ], + "index": "pypi", + "version": "==0.27.0" + } + } +} diff --git a/README.md b/README.md index eb1dabc..46f3fe6 100644 --- a/README.md +++ b/README.md @@ -1 +1,132 @@ -# backtester_options \ No newline at end of file +Options Backtester +============================== + +Simple backtester to evaluate and analyse options strategies over historical price data. + + +- [Requirements](#requirements) +- [Setup](#setup) +- [Usage](#usage) +- [Recommended Reading](#recommended-reading) +- [Data Sources](#data-sources) + + +## Requirements + +- Python >= 3.5 +- pipenv + + +## Setup + +For backtesting, set `$OPTIONS_DATA_PATH` to the appropriate directory where the data is located. All file paths parsed by the backtester will be relative to this directory. + +To use the data scraper the following environment variables need to be set: +- `$SAVE_DATA_PATH`: where the data will be saved to (default is `./data/scraped`) +- `$TIINGO_API_KEY`: used to fetch data from [Tiingo](https://api.tiingo.com) +- `$S3_BUCKET`: name of the S3 bucket to backup data +- `$AWS_ACCESS_KEY_ID`: AWS acces key id +- `$AWS_SECRET_ACCESS_KEY`: AWS secret key + +You can configure the data scraper by editing the configuration file `data_scraper.conf` (json-formated). + +Sample file: + +```json +{ + "cboe": { + "mute_notifications": ["BFB", "CBSA"] + }, + "notifications": { + "slack_webhook": "https://hooks.slack.com/services/MY_WORKSPACE_WEBHOOK" + } +} +``` + +**HINT**: store environment variables in an `.env` file and pipenv will load them automatically when using `make env`. + + +## Usage + +### Create environment and download dependencies + +```shell +$> make init +``` + +### Activate environment + +```shell +$> make env +``` + +### Run tests + +```shell +$> make test +``` + +### Scrape data (supported scrapers: CBOE, Tiingo) + +```shell +$> make scrape scraper=cboe + +$> make scrape scraper=tiingo +``` + +### Run backtester with benchmark strategy + +```shell +$> make bench +``` + + +## Recommended reading + +For complete novices in finance and economics, this [post](https://notamonadtutorial.com/how-to-earn-your-macroeconomics-and-finance-white-belt-as-a-software-developer-136e7454866f) gives a comprehensive introduction. + + +### Books + +#### Introductory +- Option Volatility and Pricing 2nd Ed. - Natemberg, 2014 +- Options, Futures, and Other Derivatives 10th Ed. - Hull 2017 +- Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits 2nd Ed. - Passarelli 2012 + +#### Intermediate +- Trading Volatility - Bennet 2014 +- Volatility Trading 2nd Ed. - Sinclair 2013 + +#### Advanced +- Dynamic Hedging - Taleb 1997 +- The Volatility Surface: A Practitioner's Guide - Gatheral 2006 +- The Volatility Smile - Derman & Miller 2016 + +### Papers +- [Volatility: A New Return Driver?](http://static.squarespace.com/static/53974e3ae4b0039937edb698/t/53da6400e4b0d5d5360f4918/1406821376095/Directional%20Volatility%20Research.pdf) +- [Easy Volatility Investing](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2255327) +- [Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3071457) +- [Volatility-of-Volatility Risk](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2497759) +- [The Distribution of Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2828744) +- [Safe Haven Investing Part I - Not all risk mitigation is created equal](https://www.universa.net/UniversaResearch_SafeHavenPart1_RiskMitigation.pdf) +- [Safe Haven Investing Part II - Not all risk is created equal](https://www.universa.net/UniversaResearch_SafeHavenPart2_NotAllRisk.pdf) +- [Safe Haven Investing Part III - Those wonderful tenbaggers](https://www.universa.net/UniversaResearch_SafeHavenPart3_Tenbaggers.pdf) +- [Insurance makes wealth grow faster](https://arxiv.org/abs/1507.04655) +- [Ergodicity economics](https://ergodicityeconomics.files.wordpress.com/2018/06/ergodicity_economics.pdf) +- [The Rate of Return on Everything, 1870–2015](https://economics.harvard.edu/files/economics/files/ms28533.pdf) +- [Volatility and the Alchemy of Risk](https://static1.squarespace.com/static/5581f17ee4b01f59c2b1513a/t/59ea16dbbe42d6ff1cae589f/1508513505640/Artemis_Volatility+and+the+Alchemy+of+Risk_2017.pdf) + +## Data sources + +### Exchanges + +- [IEX](https://iextrading.com/developer/) +- [Tiingo](https://api.tiingo.com/) +- [CBOE Options Data](http://www.cboe.com/delayedquote/quote-table-download) + +### Historical Data + +- [Shiller's US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates](http://www.econ.yale.edu/~shiller/data.htm) +- [Fama/French US Stock Index Data](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) +- [FRED CPI, Interest Rates, Trade Data](https://fred.stlouisfed.org) +- [REIT Data](https://www.reit.com/data-research/reit-market-data/reit-industry-financial-snapshot) diff --git a/data_scraper.conf b/data_scraper.conf new file mode 100644 index 0000000..2a58a4f --- /dev/null +++ b/data_scraper.conf @@ -0,0 +1,8 @@ +{ + "cboe": { + "mute_notifications": [] + }, + "notifications": { + "slack_webhook": "" + } +} diff --git a/data_scraper/__init__.py b/data_scraper/__init__.py new file mode 100644 index 0000000..e69de29 diff --git a/data_scraper/__main__.py b/data_scraper/__main__.py new file mode 100644 index 0000000..3144d45 --- /dev/null +++ b/data_scraper/__main__.py @@ -0,0 +1,48 @@ +import logging.config +import os +import argparse + +from data_scraper import cboe, tiingo, backup + +parser = argparse.ArgumentParser(prog="data_scraper.py") +parser.add_argument("-t", "--symbols", nargs="+", help="Symbols to fetch") +parser.add_argument( + "-s", + "--scraper", + choices=["cboe", "tiingo"], + default="cboe", + help="Scraper to use") +parser.add_argument( + "-v", "--verbose", action="store_true", help="Enable logging") +parser.add_argument( + "-a", + "--aggregate", + action="store_true", + help="Aggregate daily data files") +parser.add_argument( + "-b", "--backup", action="store_true", help="Backup files in S3 bucket") + +args = parser.parse_args() +module_dir = os.path.join(os.getcwd(), os.path.dirname(__file__)) + +if args.verbose: + config_file = os.path.realpath(os.path.join(module_dir, "logconfig.ini")) + logging.config.fileConfig(fname=config_file) + +if args.aggregate: + if args.symbols: + cboe.aggregate_monthly_data(args.symbols) + else: + cboe.aggregate_monthly_data() +elif args.backup: + backup.backup_data() +else: + if args.scraper == "tiingo": + scraper = tiingo + else: + scraper = cboe + + if args.symbols: + scraper.fetch_data(args.symbols) + else: + scraper.fetch_data() diff --git a/data_scraper/backup.py b/data_scraper/backup.py new file mode 100644 index 0000000..3baa1a8 --- /dev/null +++ b/data_scraper/backup.py @@ -0,0 +1,114 @@ +import logging +import os + +import boto3 +from botocore.exceptions import ClientError + +from data_scraper import utils +from data_scraper.notifications import slack_notification, Status + +logger = logging.getLogger(__name__) + + +def backup_data(): + """Uploads scraped files to S3 bucket. + Set bucket name in environment variable $S3_BUCKET + """ + try: + bucket_name = utils.get_environment_var("S3_BUCKET") + except EnvironmentError as e: + logger.error(str(e)) + slack_notification("Backup failed. Set $S3_BUCKET env variable", + __name__) + raise e + + s3 = boto3.resource("s3") + bucket = s3.Bucket(bucket_name) + + data_path = utils.get_save_data_path() + + cboe_data = os.path.join(data_path, "cboe") + cboe_folders = [] + if os.path.exists(cboe_data): + cboe_folders = [ + os.path.join(cboe_data, folder) for folder in os.listdir(cboe_data) + if not folder.endswith("daily") + ] + + tiingo_data = os.path.join(data_path, "tiingo") + tiingo_folders = [] + if os.path.exists(tiingo_data): + tiingo_folders = [ + os.path.join(tiingo_data, folder) + for folder in os.listdir(tiingo_data) + ] + + done_cboe, fail_cboe = _upload_folders( + bucket, "cboe", cboe_folders, remove_files=False) + done_tiingo, fail_tiingo = _upload_folders( + bucket, "tiingo", tiingo_folders, remove_files=True) + + done = done_cboe + done_tiingo + failed = fail_cboe + fail_tiingo + if len(done) > 0: + msg = "Successful backup of symbols: " + ", ".join(done) + slack_notification(msg, __name__, status=Status.Success) + if len(failed) > 0: + msg = "Unable to backup symbols: " + ", ".join(done) + slack_notification(msg, __name__, status=Status.Warning) + + +def _upload_folders(bucket, scraper, folders, remove_files=False): + """Uploads folders to S3 bucket and (optionally) removes old files""" + data_path = utils.get_save_data_path() + done, failed = [], [] + + for folder in folders: + symbol = os.path.basename(folder) + try: + if remove_files: + _remove_old_files(bucket, prefix=scraper + "/" + symbol) + _upload_folder(bucket, folder, data_path) + except Exception: + failed.append(os.path.basename(folder)) + else: + done.append(os.path.basename(folder)) + + return (done, failed) + + +def _upload_folder(bucket, folder, data_path): + """Uploads folder contents to S3 bucket""" + if not os.path.isdir(folder): + return + + for root, dirs, files in os.walk(folder): + for file in files: + file_path = os.path.join(root, file) + key = os.path.relpath(file_path, data_path) + if _key_exists(bucket, key): + logger.debug("File already exists in S3") + continue + try: + bucket.upload_file(file_path, key) + logger.debug("Uploaded file %s to S3", file) + except Exception as e: + msg = "Error uploading data file {} to S3.\nReceived exception message {}".format( + file_path, str(e)) + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + raise e + + +def _key_exists(bucket, key): + try: + bucket.Object(key).load() + except ClientError as e: + return int(e.response["Error"]["Code"]) != 404 + return False + + +def _remove_old_files(bucket, prefix): + old_files = bucket.objects.filter(Prefix=prefix) + for file in old_files: + file.delete() diff --git a/data_scraper/cboe.py b/data_scraper/cboe.py new file mode 100644 index 0000000..92a6969 --- /dev/null +++ b/data_scraper/cboe.py @@ -0,0 +1,249 @@ +import logging +import os +from datetime import date +from io import StringIO +from itertools import groupby + +from bs4 import BeautifulSoup +import requests +import pandas as pd + +from . import utils, validation +from .notifications import slack_notification, Status + +logger = logging.getLogger(__name__) + +url = "http://www.cboe.com/delayedquote/quote-table-download" + + +def fetch_data(symbols=None): + """Fetches options data for a given list of symbols""" + symbols = symbols or _get_all_listed_symbols() + options = utils.get_module_config("cboe") + mute_notifications = options.get("mute_notifications", []) + + try: + form_data = _form_data() + except requests.ConnectionError as ce: + msg = "Connection error trying to reach {}".format(url) + logger.error(msg) + slack_notification(msg, __name__) + raise ce + except Exception as e: + msg = "Error parsing response" + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + raise e + + headers = {"Referer": url} + file_url = "http://www.cboe.com/delayedquote/quotedata.dat" + + symbols = [symbol.upper() for symbol in symbols] + done, failed = [], [] + + for symbol in symbols: + form_data["ctl00$ContentTop$C005$txtTicker"] = symbol + try: + response = requests.post(url, + data=form_data, + headers=headers, + allow_redirects=False) + symbol_req = requests.get(file_url, + cookies=response.cookies, + headers=headers) + symbol_data = symbol_req.text + if symbol_data == "" or symbol_data.startswith(" 0: + msg = "Successfully scraped symbols: " + ", ".join(done) + slack_notification(msg, __name__, status=Status.Success) + if len(failed) > 0: + msg = "Failed to scrape symbols: " + ", ".join(failed) + slack_notification(msg, __name__, status=Status.Warning) + + +def aggregate_monthly_data(symbols=None): + """Aggregate daily snapshots into monthly files and validate data""" + symbols = symbols or _get_all_listed_symbols() + + save_data_path = utils.get_save_data_path() + scraper_dir = os.path.join(save_data_path, "cboe") + + symbols = [symbol.upper() for symbol in symbols] + + for symbol in symbols: + daily_dir = os.path.join(scraper_dir, symbol + "_daily") + if not os.path.exists(daily_dir): + msg = "Error aggregating data. Dir {} not found.".format(daily_dir) + logger.error(msg) + slack_notification(msg, __name__) + continue + + monthly_dir = os.path.join(scraper_dir, symbol) + + symbol_files = [ + file for file in os.listdir(daily_dir) if file.endswith(".csv") + ] + + for month, files in groupby(symbol_files, _monthly_grouper): + file_names = list(files) + daily_files = [ + os.path.join(daily_dir, name) for name in file_names + ] + try: + symbol_df = concatenate_files(daily_files) + except Exception: + msg = "Error concatenating daily files for period " + month + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + continue + + date_range = pd.to_datetime(symbol_df["quotedate"].unique()) + if not validation.validate_dates_in_month(symbol, date_range): + today = pd.Timestamp.today() + first_date = date_range[0] + if first_date.year != today.year or first_date.month != today.month: + msg = "Some trading dates where missing for symbol {}".format( + symbol) + slack_notification(msg, __name__) + continue + + if not os.path.exists(monthly_dir): + os.makedirs(monthly_dir) + logger.debug("Symbol dir %s created", monthly_dir) + + file_name = _monthly_filename(file_names) + monthly_file = os.path.join(monthly_dir, file_name) + symbol_df.to_csv(monthly_file, index=False) + + if not validation.validate_aggregate_file(monthly_file, + daily_files): + utils.remove_file(monthly_file) + msg = "Data in {} differs from the daily files".format( + monthly_file) + logger.error(msg) + slack_notification(msg, __name__) + continue + + logger.debug("Saved monthly data %s", monthly_file) + + for file in daily_files: + utils.remove_file(file, logger) + + +def _get_all_listed_symbols(): + """Returns array of all listed symbols. + http://www.cboe.com/publish/scheduledtask/mktdata/cboesymboldir2.csv + """ + current_dir = os.path.join(os.getcwd(), os.path.dirname(__file__)) + symbols_file = os.path.realpath( + os.path.join(current_dir, "cboesymboldir2.csv")) + symbols_df = pd.read_csv(symbols_file, skiprows=1) + return symbols_df["Stock Symbol"].array + + +def concatenate_files(files): + """Returns a dataframe of the concatenated data from `files`.""" + df_generator = (pd.read_csv(file) for file in sorted(files)) + return pd.concat(df_generator, ignore_index=True) + + +def _form_data(): + """Return validation form data""" + homepage = requests.get(url) + soup = BeautifulSoup(homepage.content, "lxml") + data = { + "__VIEWSTATE": soup.select_one("#__VIEWSTATE")["value"], + "__EVENTVALIDATION": soup.select_one("#__EVENTVALIDATION")["value"] + } + return data + + +def _save_data(symbol, symbol_data): + """Saves the contents of `symbol_data` to + `$SAVE_DATA_PATH/cboe/{symbol}_daily/{symbol}_{%date}.csv` + """ + filename = date.today().strftime(symbol + "_%Y%m%d.csv") + + save_data_path = utils.get_save_data_path() + symbol_dir = os.path.join(save_data_path, "cboe", symbol + "_daily") + + if not os.path.exists(symbol_dir): + os.makedirs(symbol_dir) + logger.debug("Symbol dir %s created", symbol_dir) + file_path = os.path.join(symbol_dir, filename) + + if os.path.exists(file_path) and validation.file_hash_matches_data( + file_path, symbol_data): + logger.debug("File %s already downloaded", file_path) + else: + daily_df = _wrangle_data(symbol, symbol_data) + daily_df.to_csv(file_path, index=False) + logger.debug("Saved daily symbol data as %s", file_path) + + +def _wrangle_data(symbol, symbol_data): + """Returns a properly formated (_tidy_) dataframe""" + string_data = StringIO(symbol_data) + first_line = string_data.readline() + spot_price = float(first_line.split(",")[-2]) + quote_date = date.today().strftime("%m/%d/%Y") + + data = pd.read_csv(string_data, skiprows=1) + call_columns = [ + "Calls", "Expiration Date", "Strike", "Last Sale", "Net", "Bid", "Ask", + "Vol", "Open Int", "IV", "Delta", "Gamma" + ] + calls = data[call_columns] + + put_columns = [ + "Puts", "Expiration Date", "Strike", "Last Sale.1", "Net.1", "Bid.1", + "Ask.1", "Vol.1", "Open Int.1", "IV.1", "Delta.1", "Gamma.1" + ] + puts = data[put_columns] + + renamed_columns = [ + "optionroot", "expiration", "strike", "last", "net", "bid", "ask", + "volume", "openinterest", "impliedvol", "delta", "gamma" + ] + calls.columns = renamed_columns + calls.insert(loc=1, column="type", value="call") + puts.columns = renamed_columns + puts.insert(loc=1, column="type", value="put") + + merged = pd.concat([calls, puts]) + merged.insert(loc=0, column="underlying", value=symbol) + merged.insert(loc=1, column="underlying_last", value=spot_price) + merged.insert(loc=2, column="exchange", value="CBOE") + merged.insert(loc=6, column="quotedate", value=quote_date) + + return merged + + +def _monthly_grouper(filename): + """Returns `{year}{month}` string. Used to group files by month.""" + basename = filename.split(".")[0] + file_date = basename.split("_")[1] + return file_date[:-2] + + +def _monthly_filename(filenames): + """Returns filename of monthly aggregate file in the form + `{symbol}_{start_date}_to_{end_date}.csv` + """ + sorted_files = list(sorted(filenames)) + first_file = sorted_files[0] + last_file = sorted_files[-1] + last_day = last_file.split(".")[0][-8:] # Get only the date + file_name = first_file.split(".")[0] + "_to_" + last_day + ".csv" + return file_name diff --git a/data_scraper/cboe_selenium.py b/data_scraper/cboe_selenium.py new file mode 100644 index 0000000..488015c --- /dev/null +++ b/data_scraper/cboe_selenium.py @@ -0,0 +1,66 @@ +# CBOE data scraper +# Requires Selenium and a headless Chrome driver + +import tempfile +import time +import os +import shutil +from datetime import date +from selenium import webdriver + + +class CBOE(): + """CBOE data downloader.""" + url = "http://www.cboe.com/delayedquote/quote-table-download" + + def __init__(self): + self.data_path = self._get_data_path() + self.tmp_dir = tempfile.TemporaryDirectory() + self.driver = self._initilize_driver(self.tmp_dir.name) + + def _get_data_path(): + path = os.getenv("OPTIONS_DATA_PATH") + if not path: + raise EnvironmentError("Environment variable $OPTIONS_DATA_PATH not set") + return os.path.expanduser(path) + + def _initilize_driver(download_dir): + """Initilizes the Chrome driver to silently download files + to a temporary directory. + """ + options = webdriver.ChromeOptions() + options.add_argument("headless") + options.add_argument("disable-gpu") + + driver = webdriver.Chrome(options=options) + driver.command_executor._commands["send_command"] = ( + "POST", + "/session/$sessionId/chromium/send_command" + ) + params = { + "cmd": "Page.setDownloadBehavior", + "params": { + "behavior": "allow", + "downloadPath": download_dir + } + } + driver.execute("send_command", params) + driver.implicitly_wait(10) + return driver + + def fetch_data(self, symbols): + """Fetches options data for a given list of symbols""" + self.driver.get(CBOE.url) + for symbol in symbols: + ticker = self.driver.find_element_by_css_selector("input#txtTicker") + ticker.send_keys(symbol) + submit = self.driver.find_element_by_css_selector("input#cmdSubmit") + submit.click() + time.sleep(15) # Horrible hack + download_path = os.path.join(self.tmp_dir.name, "quotedata.dat") + renamed_file = date.today().strftime(symbol + "_%Y%m%d.csv") + full_path = os.path.join(self.data_path, renamed_file) + shutil.move(download_path, full_path) + + def __del__(self): + self.tmp_dir.cleanup() diff --git a/data_scraper/cboesymboldir2.csv b/data_scraper/cboesymboldir2.csv new file mode 100644 index 0000000..db0d34f --- /dev/null +++ b/data_scraper/cboesymboldir2.csv @@ -0,0 +1,3651 @@ +NOTE: All directories are updated daily using information from the previous business day. +Company Name,Stock Symbol,DPM,Cycle,Traded at C2,LEAPS 2019,LEAPS 2020,LEAPS 2021,Product Types, Post/Station +1-800 FLOWERS.COM INC,FLWS,SUMO,3,,,,,,26 +21VIANET GROUP INC.,VNET,CITADEL,3,,,,,W,23 +22ND CENTURY GROUP INC.,XXII,CITADEL,1,,,,Y,L,21 +2U INC.,TWOU,SUMO,1,,,,,,12 +3-D SYSTEMS CORP,DDD,SIG,2,,,,Y,L-W,11 +3M COMPANY,MMM,SIG,1,,,Y,Y,L-W,15 +500.COM LTD,WBAI,WOLVERINE,3,,,,,,16 +51JOB INC,JOBS,SIG,1,,,,,,24 +58.COM INC.,WUBA,CITADEL,1,,,,Y,L,12 +8X8 INC-NEW,EGHT,SIG,2,,,,,,26 +A A R CORP,AIR,CITADEL,2,,,,,,13 +A.H. BELO CORPORATION,AHC,SUMO,2,,,,,,21 +A10 NETWORKS INC.,ATEN,CITADEL,2,,,,,,21 +AAC HOLDINGS INC.,AAC,WOLVERINE,3,,,,,,24 +AARON''S INC,AAN,CITADEL,2,,,,,,13 +ABB LTD ADS ( 1 REG SHS),ABB,MORGAN,3,,,,,,17 +ABBOTT LABORATORIES,ABT,SIG,2,,,Y,Y,L-W,24 +ABBVIE INC.,ABBV,SIG,2,,,Y,Y,L-W,13 +ABEONA THERAPEUTICS INC.,ABEO,GROUP ONE,3,,,,,,12 +ABERCROMBIE & FITCH CO CL-A,ANF,BARCLAYS,2,,,,Y,L-W,25 +ABERDEEN STANDARD BLOOMBERG ALL COMMODIT,BCI,SUMO,2,,,,,E,15 +ABIOMED INC.,ABMD,CITADEL,3,,,,Y,L,11 +ABRAXAS PETROLEUM CORP.,AXAS,WOLVERINE,3,,,,,,14 +ACACIA COMMUNICATIONS INC.,ACIA,CITADEL,2,,,,,,14 +ACACIA RESEARCH,ACTG,MORGAN,2,,,,,,11 +ACADIA HEALTHCARE COMPANY INC,ACHC,GROUP ONE,3,,,,,,11 +ACADIA PHARMACEUTICALS INC,ACAD,SIG,3,,,,Y,L-W,21 +ACCELERATE DIAGNOSTICS INC.,AXDX,CITADEL,2,,,,,,17 +ACCELERON PHARMA INC,XLRN,SIG,2,,,,,,11 +ACCENTURE PLC,ACN,CITADEL,2,,,Y,Y,L-W,25 +ACCO BRANDS CORP,ACCO,SIG,3,,,,,,13 +ACCURAY INCORPORATED,ARAY,GROUP ONE,3,,,,,,17 +ACELRX PHARMACEUTICALS INC,ACRX,SIG,3,,,,,,16 +ACETO CORP,ACETQ,GROUP ONE,2,,,,,,14 +ACHAOGEN INC.,AKAOQ,GROUP ONE,3,,,,Y,L,17 +ACHILLION PHARMACEUTICALS INC.,ACHN,SIG,3,,,,,,14 +ACORDA THERAPEUTICS INC,ACOR,SIG,1,,,,,,16 +ACTIVISION BLIZZARD INC.,ATVI,SIG,2,,,Y,Y,L-W,11 +ACTUANT CORPORATION,ATU,SIG,2,,,,,,14 +ACUITY BRANDS INC.,AYI,CITADEL,2,,,,,,24 +ACUSHNET HOLDINGS CORP.,GOLF,CITADEL,3,,,,,,21 +ADAMAS PHARMACEUTICALS INC,ADMS,CITADEL,3,,,,,,21 +ADAMIS PHARMACEUTICALS CORPORATION,ADMP,CITADEL,3,,,,,,17 +ADAMS NATURAL RESOURCES FUND,PEO,SIG,2,,,,,,14 +ADAPTIMMUNE THERAPEUTICS PLC,ADAP,CITADEL,3,,,,,,12 +ADDUS HOMECARE CORPORATION,ADUS,CITADEL,1,,,,,,11 +ADIENT PLC,ADNT,BARCLAYS,1,,,,Y,L,15 +ADMA BIOLOGICS INC,ADMA,SIG,2,,,,,,16 +ADOBE SYS INC (DE),ADBE,BARCLAYS,1,,,Y,Y,L-W,25 +ADT INC,ADT,MORGAN,2,,,,Y,L,25 +ADTALEM GLOBAL EDUCATION INC. .,ATGE,TWO SIGMA,2,,,,,,22 +ADTRAN INC,ADTN,BARCLAYS,2,,,,,,15 +ADVANCE AUTO PARTS INC,AAP,SIG,3,,,,Y,L,13 +ADVANCED DISPOSAL SERVICES INC,ADSW,GROUP ONE,1,,,,,,17 +ADVANCED DRAINAGE SYSTEMS INC.,WMS,WOLVERINE,3,,,,,,12 +ADVANCED ENERGY INDS INC,AEIS,SIG,1,,,,,,26 +ADVANCED MICRO DEVICES INC.,AMD,CITIGROUP,1,,,Y,Y,L-W,15 +ADVANSIX INC.,ASIX,CITADEL,3,,,,,,26 +ADVAXIS INC.,ADXS,SIG,1,,,,,,21 +ADVISORSHARES NEW TECH AND MEDIA ETF,FNG,SIG,3,,,,,E,24 +AECOM TECHNOLOGY CORPORATION,ACM,BARCLAYS,3,,,,,,25 +AEGION CORP,AEGN,SIG,3,,,,,,11 +AEGLEA BIOTHERAPEUTICS INC,AGLE,GROUP ONE,1,,,,,,17 +AEGON NV -ORD-,AEG,BARCLAYS,1,,,,,,16 +AERCAP HOLDINGS N.V.,AER,SIG,1,,,,,,24 +AERIE PHARMACEUTICALS INC.,AERI,SIG,2,,,,,,15 +AEROHIVE NETWORKS INC.,HIVE,SIG,1,,,,,,23 +AEROJET ROCKETDYNE HOLDINGS INC.,AJRD,BARCLAYS,2,,,,,,24 +AEROVIRONMENT INC.,AVAV,SIG,3,,,,,,12 +AEVI GENOMIC MEDICINE INC.,GNMX,CITADEL,3,,,,,,26 +AFFILIATED MANAGERS GROUP INC,AMG,SIG,3,,,,,,14 +AFFIMED NV,AFMD,CITADEL,1,,,,,,16 +AFLAC INC,AFL,CITADEL,2,,,,Y,L-W,25 +AG MORTGAGE INVESTMENT TRUST INC,MITT,WOLVERINE,2,,,,,,12 +AGCO CORP,AGCO,TWO SIGMA,2,,,,,,22 +AGENUS INC.,AGEN,GROUP ONE,2,,,,,,17 +AGILE THERAPEUTICS INC,AGRX,GROUP ONE,3,,,,,,17 +AGILENT TECHNOLOGIES INC,A,SIG,2,,,,Y,L,12 +AGIOS PHARMACEUTICALS INC,AGIO,SIG,2,,,,,,24 +AGNC INVESTMENT CORP.,AGNC,MORGAN,3,,,,Y,L-W,17 +AGNICO EAGLE MINES LTD,AEM,SIG,2,,,,Y,L,13 +AGREE REALTY CORP,ADC,WOLVERINE,1,,,,,,21 +AGROFRESH SOLUTIONS INC.,AGFS,CITADEL,1,,,,,,13 +AIR LEASE CORP,AL,SIG,2,,,,,,15 +AIR PRODUCTS & CHEMICALS INC.,APD,BARCLAYS,3,,,,,,11 +AIR TRANSPORT SERVICES GROUP INC.,ATSG,GROUP ONE,3,,,,,,17 +AIRCASTLE LIMITED COM,AYR,SIG,1,,,,,,21 +AIRMEDIA GROUP INC.,AMCN,SIG,3,,,,,,11 +AK STEEL HOLDING CORP,AKS,SIG,3,,,,Y,L-W,12 +AKAMAI TECHNOLOGIES INC,AKAM,SIG,2,,,,Y,L-W,26 +AKCEA THERAPEUTICS INC,AKCA,SIG,1,,,,,,26 +AKEBIA THERAPEUTICS INC.,AKBA,CITADEL,1,,,,,,11 +AKORN INC,AKRX,SIG,3,,,,Y,L-W,17 +ALAMOS GOLD INC.,AGI,WOLVERINE,3,,,,,,21 +ALARM.COM HOLDINGS INC.,ALRM,SIG,3,,,,,,13 +ALASKA AIR GROUP INC,ALK,SIG,1,,,,Y,L,23 +ALASKA COMMUN SYS GRP INC,ALSK,WOLVERINE,1,,,,,,11 +ALBANY INTL CORP NEW,AIN,SIG,3,,,,,,13 +ALBEMARIE CORP.,ALB,SIG,3,,,,Y,L,11 +ALBIREO PHARMA INC.,ALBO,SIG,1,,,,,,23 +ALCOA CORPORATION,AA,CITADEL,1,,,,Y,L-W,25 +ALCON INC,ALC,CITADEL,2,,,,,,17 +ALDER BIOPHARMACEUTICALS INC.,ALDR,MORGAN,1,,,,,,14 +ALDEYRA THERAPEUTICS INC,ALDX,GROUP ONE,3,,,,,,17 +ALERIAN MLP ETF,AMLP,SIG:RUT,1,,,,Y,E-L-W,34 +ALEXANDER & BALDWIN INC.,ALEX,CITADEL,3,,,,,,12 +ALEXANDRIA REAL ESTATE EQU. INC.,ARE,WOLVERINE,1,,,,,,15 +ALEXCO RESOURCE CORP,AXU,WOLVERINE,1,,,,,,14 +ALEXION PHARMACEUTICALS INC,ALXN,SIG,2,,,,Y,L-W,15 +ALIBABA GROUP HOLDING LIMITED,BABA,SIG,1,,,Y,Y,L-W,21 +ALIGN TECHNOLOGY INC,ALGN,BARCLAYS,1,,,,Y,L-W,16 +ALIMERA SCIENCES INC,ALIM,SIG,1,,,,,,16 +ALKERMES PLC,ALKS,CITADEL,2,,,,,,15 +ALLEGHENY TECHNOLOGIES INC(NEW,ATI,CITIGROUP,1,,,,Y,L,12 +ALLEGIANT TRAVEL COMPANY,ALGT,SIG,1,,,,,,23 +ALLEGION PUBLIC LIMITED COMPANY,ALLE,WOLVERINE,3,,,,,,14 +ALLERGAN PLC,AGN,BARCLAYS,2,,,,Y,L-W,16 +ALLIANCE DATA SYSTEMS CORP,ADS,SIG,3,,,,,,13 +ALLIANCE RESOURCES PART L.P.,ARLP,SIG,3,,,,,,23 +ALLIANCEBERNSTEIN HOLDING L.P. UT,AB,SIG,1,,,,,,21 +ALLIED MOTION TECHNOLOGIES INC.,AMOT,SIG,1,,,,,,14 +ALLISON TRANSMISSION HOLDINGS INC,ALSN,SIG,2,,,,,,23 +ALLOGENE THERAPEUTICS INC,ALLO,GROUP ONE,2,,,,,,17 +ALLOT COMMS LTD,ALLT,SIG,3,,,,,,15 +ALLSCRIPTS HEALTHCARE SOLUTIONS INC.,MDRX,CITADEL,3,,,,,,12 +ALLSTATE CORP (THE),ALL,SIG,1,,,,Y,L,23 +ALLY FINANCIAL INC.,ALLY,CITADEL,3,,,,Y,L,11 +ALMADEN MINERALS LTD,AAU,SIG,3,,,,,,12 +ALPHA PRO TECH LTD,APT,CITADEL,2,,,,,,16 +ALPHABET INC. - CLASS C,GOOG,SIG,3,,,Y,Y,L-W,26 +ALPHABET INC. CLASS A,GOOGL,SIG,3,,,Y,Y,L-W,26 +ALPHACLONE ALTERNATIVE ALPHA ETF,ALFA,SUMO,3,,,,,E,14 +ALPS MEDICAL BREAKTHROUGHS ETF,SBIO,SUMO,1,,,,,E,26 +ALTA MESA RESOURCES INC,AMR,GROUP ONE,3,,,,,,17 +ALTABA INC.,AABA,SIG,1,,,,Y,L-W,14 +ALTERYX INC,AYX,SIG,2,,,,,,24 +ALTICE USA INC,ATUS,CITADEL,3,,,,Y,L,25 +ALTIMMUNE INC,ALT,GROUP ONE,3,,,,,,17 +ALTISOURCE PORTFOLIO SOLUTIONS S A,ASPS,WOLVERINE,1,,,,,,13 +ALTISOURCE RESIDENTIAL CORPORATION,RESI,GROUP ONE,3,,,,Y,L,17 +ALTRA INDUSTRIAL MOTION CORP.,AIMC,SIG,1,,,,,,17 +ALTRIA GROUP INC.,MO,SIG,3,,,Y,Y,L-W,11 +ALUMINUM CORP CHINA LTD,ACH,CITADEL,2,,,,,,21 +ALYNLAM PHARMACEUTICALS INC,ALNY,SIG,3,,,,Y,L,15 +AMAG PHARMACEUTICALS INC.,AMAG,CITADEL,2,,,,,,23 +AMARIN CORP PLC ADS,AMRN,GROUP ONE,3,,,,Y,L-W,17 +AMAZON COM INC,AMZN,CITADEL,1,,,Y,Y,L-W,25 +AMBAC FINANCIAL GROUP INC.,AMBC,WOLVERINE,2,,,,,,14 +AMBARELLA INC,AMBA,SIG,2,,,,Y,L-W,11 +AMBER ROAD INC.,AMBR,CITADEL,1,,,,,,21 +AMBEV SA,ABEV,SIG,1,,,,,,15 +AMC ENTERTAINMENT HOLDINGS INC,AMC,CITADEL,3,,,,Y,L-W,26 +AMC NETWORKS INC.,AMCX,SIG,3,,,,,,24 +AMDOCS LTD ORD,DOX,SIG,1,,,,,,15 +AMEDISYS INC,AMED,CITADEL,3,,,,,,14 +AMER AXLE & MANUFACTURING HLDG,AXL,SIG,1,,,,Y,L,15 +AMER EAGLE OUTFITTER INC NEW,AEO,SIG,2,,,,Y,L-W,12 +AMEREN CORP,AEE,SIG,3,,,,,,26 +AMERESCO INC,AMRC,WOLVERINE,1,,,,,,14 +AMERICA MOVIL S.A.B. 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(THE) UNITS,CG,SIG,3,,,,,,24 +CARMAX INC.,KMX,SIG,1,,,,Y,L-W,15 +CARNIVAL CORPORATION (PAIRED STOCK),CCL,TWO SIGMA,1,,,,Y,L-W,22 +CARPENTER TECHNOLOGY CORP,CRS,CITADEL,3,,,,,,11 +CARRIAGE SERVICES INC,CSV,SIG,1,,,,,,14 +CARRIZO OIL & GAS INC.,CRZO,SIG,1,,,,Y,L,12 +CARROLS RESTAURANT GROUP INC,TAST,SUMO,3,,,,,,16 +CARS.COM INC,CARS,BARCLAYS,3,,,,Y,L,25 +CARTER''S INC,CRI,SIG,3,,,,Y,L,13 +CARVANA COMPANY,CVNA,WOLVERINE,2,,,Y,Y,L,14 +CASA SYSTEMS INC,CASA,CITADEL,2,,,,,,11 +CASELLA WASTE SYSTEMS INC,CWST,SUMO,3,,,,,,14 +CASEY''S GENERAL STORES INC,CASY,WOLVERINE,2,,,,,,14 +CASTLIGHT HEALTH INC.,CSLT,SIG,2,,,,,,12 +CATALENT INC.,CTLT,CITADEL,1,,,,,,16 +CATALYST PHARMACEUTICAL,CPRX,GROUP ONE,3,,,,,,11 +CATERPILLAR INC,CAT,CITADEL,2,,,Y,Y,L-W,24 +CBL & ASSOCIATES PROPERTIES INC,CBL,BARCLAYS,3,,,,Y,L,15 +CBOE 3 - MONTH VARIANCE INDEX,VT,SIG:RUT,2,,,,,E,34 +CBOE GLOBAL MARKETS,CBOE,SIG,3,,,,Y,L-W,14 +CBOE VOLATILITY INDEX,VIX,PENDING,2,,,,,,70 +CBRE GROUP INC. 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COMMON STK,FTEK,WOLVERINE,3,,,,,,14 +FUELCELL ENERGY INC,FCEL,GROUP ONE,1,,,,,,17 +FUNKO INC,FNKO,SIG,2,,,,,,25 +FUSION CONNECT INC,FSNN,WOLVERINE,2,,,,,,14 +FUTUREFUEL CORP,FF,SIG,2,,,,,,24 +G-III APPAREL GROUP LTD,GIII,WOLVERINE,3,,,,,,12 +GAIN CAPITAL HLDGS INC,GCAP,SIG,1,,,,,,25 +GALAPAGOS NV,GLPG,SIG,1,,,,,,12 +GALECTIN THERAPEUTICS INC. COMMON STOCK,GALT,CITADEL,1,,,,Y,L,23 +GALLAGHER ARTHUR J.& CO,AJG,WOLVERINE,1,,,,,,14 +GAMESTOP CORP (HLDG CO) CL A,GME,WOLVERINE,1,,,,Y,L-W,21 +GAMING AND LEISURE PROPERTIES INC,GLPI,CITADEL,1,,,,,,11 +GANNET CO. INC.,GCI,BARCLAYS,1,,,,,,13 +GAP INC (THE),GPS,SIG,3,,,,Y,L-W,21 +GARDNER DENVER HOLDINGS INC,GDI,WOLVERINE,1,,,,,,14 +GARMIN LTD,GRMN,CITIGROUP,1,,,,Y,L-W,21 +GARRETT MOTION INC,GTX,SIG,2,,,,,,13 +GARTNER INC COM STK,IT,WOLVERINE,3,,,,,,11 +GASLOG LTD.,GLOG,WOLVERINE,2,,,,,,23 +GASLOG PARTNERS LP,GLOP,SUMO,1,,,,,,23 +GATES INDUSTRIAL CORP PLC,GTES,GROUP ONE,2,,,,,,17 +GATX CORP,GATX,BARCLAYS,3,,,,,,11 +GCI LIBERTY INC. CLASS A,GLIBA,SIG,3,,,,,,13 +GCP APPLIED TECHNOLOGIES INC,GCP,CITADEL,2,,,,,,26 +GDS HOLDINGS LTD,GDS,WOLVERINE,3,,,,Y,L,14 +GENERAC HOLDINGS INC,GNRC,WOLVERINE,2,,,,,,26 +GENERAL DYNAMICS CORP,GD,SIG,2,,,,Y,L-W,12 +GENERAL ELECTRIC CO,GE,SIG,3,,,,Y,L-W,16 +GENERAL MILLS INC,GIS,CITIGROUP,1,,,,Y,L,26 +GENERAL MOTORS COMPANY,GM,MORGAN,3,,,Y,Y,L-W,13 +GENESCO INC.,GCO,CITADEL,3,,,,,,11 +GENESEE & WYOMING INC CL-A,GWR,CITADEL,1,,,,,,16 +GENESIS ENERGY LP,GEL,SIG,3,,,,,,26 +GENOMIC HEALTH INC.,GHDX,MORGAN,3,,,,,,14 +GENPACT LIMITED,G,GROUP ONE,3,,,,,,23 +GENTEX CORP,GNTX,MORGAN,3,,,,,,24 +GENTHERM INC.,THRM,WOLVERINE,3,,,,,,12 +GENUINE PARTS CO,GPC,BARCLAYS,2,,,,Y,L-W,21 +GENWORTH FINANCIAL INC CL A,GNW,BARCLAYS,3,,,,Y,L-W,11 +GEO GROUP INC,GEO,SIG,3,,,,,,11 +GEOPARK LTD,GPRK,SIG,3,,,,,,16 +GEOSPACE TECHNOLOGIES CORPORATION,GEOS,SIG,3,,,,,,21 +GERDAU S.A. ADS (REPTG 1 PREF SH),GGB,GROUP ONE,3,,,,Y,L,17 +GERON CORP,GERN,SIG,3,,,,Y,L-W,13 +GIBRALTAR INDUSTRIES INC.,ROCK,SUMO,2,,,,,,26 +GILDAN ACTIVEWEAR INC.,GIL,SIG,3,,,,,,21 +GILEAD SCIENCES INC,GILD,BARCLAYS,2,,,Y,Y,L-W,23 +GLACIER BANCORP INC,GBCI,WOLVERINE,1,,,,,,21 +GLADSTONE CAPITAL CORP,GLAD,SIG,3,,,,,,14 +GLADSTONE COMMERCIAL CORP,GOOD,WOLVERINE,3,,,,,,16 +GLADSTONE INVESTMENT CORP,GAIN,WOLVERINE,1,,,,,,26 +GLADSTONE LAND CORP,LAND,WOLVERINE,2,,,,,,14 +GLAUKOS CORPORATION,GKOS,CITADEL,1,,,,,,13 +GLAXOSMITHKLINE PLC ADS,GSK,BARCLAYS,2,,,,Y,L-W,25 +GLB X/INTBOLSA FTSE CLMB 20,GXG,SIG:RUT,3,,,,,E,34 +GLOBAL BLOOD THERAPEUTICS INC.,GBT,SIG,3,,,,Y,L,21 +GLOBAL BRASS & COPPER HOLDINGS INC,BRSS,CITADEL,1,,,,,,12 +GLOBAL CORD BLOOD CORP,CO,CITADEL,1,,,,,,25 +GLOBAL EAGLE ENTERTAINMENT INC,ENT,SIG,2,,,,,,12 +GLOBAL PARTNERS LP,GLP,MORGAN,3,,,,,,13 +GLOBAL PAYMENTS INC,GPN,WOLVERINE,2,,,,,,11 +GLOBAL SHIP LEASE INC.,GSL,GROUP ONE,2,,,,,,17 +GLOBAL X CHINA CONSUMER,CHIQ,SIG:RUT,3,,,,,E,34 +GLOBAL X CHINA FINANCIALS,CHIX,SIG:RUT,2,,,,,E,34 +GLOBAL X FTSE ARGENTINA 20 ETF,ARGT,SIG:RUT,1,,,,,E,34 +GLOBAL X FTSE GREECE 20 ETF,GREK,SIG:RUT,3,,,,,E-W,34 +GLOBAL X GOLD EXPLORERS ETF,GOEX,SUMO,1,,,,,E,16 +GLOBAL X LITHIUM & BATTERY TECH ETF,LIT,SUMO,1,,,,,E,26 +GLOBAL X MLP & ENERGY INFRASTRUCTURE ETF,MLPX,SIG:RUT,3,,,,,E,34 +GLOBAL X MLP ETF,MLPA,GROUP ONE,3,,,,,E,17 +GLOBAL X ROBOTICS & ARTIFICI,BOTZ,SUMO,3,,,,,E,13 +GLOBAL X SILVER MINERS ETF,SIL,CITADEL,1,,,,,E,11 +GLOBAL X SOCIAL MEDIA INDEX ETF,SOCL,SIG:RUT,3,,,,,E,34 +GLOBAL X SUPERDIVIDEND ETF,SDIV,SIG:RUT,3,,,,,E,34 +GLOBAL X TOP GURU HOLDINGS INDEX ETF,GURU,SIG:RUT,1,,,,,E,34 +GLOBAL X URANIUM ETF,URA,CITADEL,1,,,,,E,15 +GLOBALSTAR INC.,GSAT,CITADEL,1,,,,,,24 +GLOBE SPECIALITY METALS,GSM,BARCLAYS,3,,,,,,15 +GLOBUS MEDICAL INC,GMED,CITADEL,3,,,,,,25 +GLU MOBILE INC,GLUU,SIG,3,,,,Y,L,23 +GLYCOMIMETICS INC.,GLYC,SIG,3,,,,,,12 +GMS INC,GMS,WOLVERINE,1,,,,,,14 +GNC HOLDINGS INC,GNC,WOLVERINE,3,,,,Y,L,21 +GODADDY INC.,GDDY,MORGAN,2,,,,Y,L,13 +GOGO INC.,GOGO,MORGAN,2,,,,Y,L-W,24 +GOL LINHAS AEREAS INTELIGENTES SA,GOL,GROUP ONE,2,,,,,,17 +GOLAR LNG LTD (BERMUDA),GLNG,GROUP ONE,3,,,,Y,L,17 +GOLAR LNG PARTNERS LP,GMLP,WOLVERINE,2,,,,,,23 +GOLD FIELDS LTD SPONS ADR,GFI,SIG,1,,,,,,26 +GOLD RESOURCE CORP,GORO,WOLVERINE,3,,,,,,26 +GOLDEN DRAGON HALTER USX CHINA PORTFOLIO,PGJ,CITADEL,3,,,,,E,13 +GOLDEN ENTERTAINMENT INC,GDEN,WOLVERINE,3,,,,,,14 +GOLDEN OCEAN GROUP LIMITED,GOGL,MORGAN,3,,,,,,24 +GOLDEN STAR RESOURCES LTD,GSS,SIG,2,,,,,,26 +GOLDMAN SACHS ACCESS HIGH YIELD CORPORAT,GHYB,SUMO,2,,,,,E,24 +GOLDMAN SACHS ACCESS INVESTMENT GRADE CO,GIGB,WOLVERINE,2,,,,,E,14 +GOLDMAN SACHS ACTIVEBETA EMERGING MARKET,GEM,SUMO,1,,,,,E,23 +GOLDMAN SACHS ACTIVEBETA INTERNATIONAL E,GSIE,SUMO,1,,,,,E,21 +GOLDMAN SACHS ACTIVEBETA U.S. LARGE CAP,GSLC,SIG,1,,,,,E,15 +GOLDMAN SACHS EQUAL WEIGHT US LARGE CAP,GSEW,SUMO,2,,,,,E,22 +GOLDMAN SACHS GROUP INC,GS,SIG,1,,,Y,Y,L-W,13 +GOLDMAN SACHS HEDGE INDUSTRY VIP ETF,GVIP,SUMO,3,,,,,E,21 +GOLDMAN SACHS JUST US LARGE CAP EQUITY E,JUST,SUMO,3,,,,,E,25 +GOODYEAR TIRE & RUBBER CO,GT,SIG,1,,,,Y,L-W,12 +GOOSEHEAD INSURANCE INC,GSHD,GROUP ONE,3,,,,,,17 +GOPRO INC.,GPRO,CITADEL,1,,,,Y,L-W,24 +GORMAN RUPP CO,GRC,WOLVERINE,3,,,,,,26 +GOVERNMENT PROPERTIES INCOME TRUST,OPI,SUMO,3,,,,,,16 +GRACE(W.R.)& CO(NEW),GRA,CITIGROUP,3,,,,,,16 +GRAFTECH INTERNATIONAL LTD,EAF,SIG,1,,,,,,26 +GRAINGER W.W.INC,GWW,CITADEL,1,,,,Y,L-W,26 +GRAN TIERRA ENERGY INC,GTE,GROUP ONE,2,,,,,,17 +GRAND CANYON EDUCATION INC,LOPE,BARCLAYS,3,,,,,,13 +GRANITE CONSTRUCTION INC,GVA,CITADEL,3,,,,,,21 +GRANITE POINT MORTGAGE TRUST INC,GPMT,WOLVERINE,3,,,,,,14 +GRAPHIC PACKAGING HOLDING CORP.,GPK,WOLVERINE,3,,,,,,12 +GRAY TELEVISION INC.,GTN,WOLVERINE,2,,,,,,14 +GREAT LAKES DRE & DOCK CORP,GLDD,GROUP ONE,3,,,,,,21 +GREAT PANTHER SILVER LTD,GPL,GROUP ONE,1,,,,,,17 +GREAT WESTERN BANCORP INC,GWB,WOLVERINE,3,,,,,,14 +GREEN BANCORP INC,VBTX,SIG,1,,,,,,21 +GREEN BRICK PARTNERS INC.,GRBK,SIG,2,,,,,,26 +GREEN DOT CORP,GDOT,MORGAN,3,,,,,,21 +GREEN PLAINS RENEWABLE ENERG,GPRE,WOLVERINE,3,,,,,,11 +GREENBRIER COMPANIES INC (THE) OREG,GBX,MORGAN,3,,,,,,24 +GREENHILL & CO INC COM STK,GHL,SIG,3,,,,,,26 +GREENLIGHT CAPITAL RE LTD,GLRE,SUMO,2,,,,,,11 +GREENSKY INC,GSKY,GROUP ONE,3,,,,,,17 +GREIF INC,GEF,SIG,1,,,,,,11 +GRIDSUM HOLDING INC,GSUM,SIG,2,,,,,,26 +GRIFFON CORPORATION,GFF,SIG,1,,,,,,23 +GRIFOLS S.A.,GRFS,WOLVERINE,2,,,,,,26 +GROUP 1 AUTOMOTIVE INC,GPI,BARCLAYS,1,,,,,,11 +GROUP ONE TRADING LP INDEX ETN,OILNF,SIG:RUT,3,,,,,N,34 +GROUPON,GRPN,CITADEL,1,,,,Y,L-W,16 +GRUBHUB INC.,GRUB,WOLVERINE,3,,,,Y,L-W,21 +GRUPO AEROPORTUARIO DEL SURESTE S.A.B.,ASR,SIG,3,,,,,,11 +GRUPO FINANCIERO GALICIA SA,GGAL,GROUP ONE,1,,,,Y,L,17 +GRUPO FINANCIERO SANTANDER MEXICO SAB DE,BSMX,SIG,1,,,,,,13 +GRUPO TELEVISA SA GDS (REPTG 5 ORD,TV,TWO SIGMA,1,,,,,,22 +GTT COMMUNICATIONS INC.,GTT,WOLVERINE,2,,,,,,11 +GTX INC.,GTXI,GROUP ONE,2,,,,,,17 +GUARDANT HEALTH INC,GH,CITADEL,1,,,,,,15 +GUESS ? 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(A),YNDX,CITADEL,2,,,,Y,L-W,21 +YELP INC,YELP,SIG,2,,,,Y,L-W,16 +YETI HOLDINGS INC,YETI,SIG,2,,,,,W,13 +YEXT INC,YEXT,SIG,2,,,,,,21 +YIRENDAI LIMITED,YRD,SIG,2,,,,,,12 +YORKVILLE HIGH INCOME MLP,YMLP,SUMO,1,,,,,E,26 +YPF SOCIODAD ANONIMA,YPF,GROUP ONE,1,,,,Y,L-W,17 +YRC WORLDWIDE INC,YRCW,CITADEL,1,,,,Y,L,25 +YUM BRANDS INC,YUM,SIG,1,,,,Y,L-W,16 +YUM CHINA HOLDINGS INC.,YUMC,SIG,1,,,,Y,L,15 +YY INC,YY,SIG,2,,,,Y,L-W,11 +ZAFGEN INC.,ZFGN,SIG,1,,,,,,23 +ZAGG INC.,ZAGG,BARCLAYS,2,,,,,,23 +ZAI LAB LTD,ZLAB,SIG,3,,,,,,25 +ZAYO GROUP HOLDINGS INC.,ZAYO,CITADEL,3,,,,Y,L,25 +ZEBRA TECHNOLOGIES CORP CL-A,ZBRA,SIG,2,,,,,,12 +ZENDESK INC.,ZEN,CITADEL,1,,,,Y,L,16 +ZILLOW GROUP INC. CLASS C,Z,WOLVERINE,2,,,,Y,L-W,24 +ZILLOW GROUP INC.,ZG,WOLVERINE,2,,,,,,12 +ZIMMER BIOMET HOLDINGS INC.,ZBH,TWO SIGMA,3,,,,,,22 +ZION OIL & GAS INC,ZN,GROUP ONE,3,,,,Y,L,17 +ZIONS BANCORP,ZION,BARCLAYS,1,,,,Y,L,21 +ZIOPHARM ONCOLOGY INC,ZIOP,GROUP ONE,1,,,,Y,L,17 +ZIX CORPORATION,ZIXI,WOLVERINE,2,,,,,,14 +ZOETIS INC.,ZTS,WOLVERINE,1,,,,Y,L-W,13 +ZOGENIX INC,ZGNX,SIG,1,,,,Y,L,23 +ZOOM VIDEO COMMUNICATIONS,ZM,CITADEL,2,,,,Y,L,24 +ZOVIO INC,ZVO,CITADEL,2,,,,,,26 +ZSCALER INC,ZS,MORGAN,2,,,,Y,L-W,14 +ZTO EXPRESS,ZTO,MORGAN,1,,,,Y,L,15 +ZUMIEZ INC COM,ZUMZ,BARCLAYS,2,,,,,,12 +ZUORA INC,ZUO,SIG,3,,,,Y,L,12 +ZYNERBA PHARMACEUTICALS INC.,ZYNE,SIG,2,,,,,,25 +ZYNGA INC,ZNGA,CITADEL,3,,,,Y,L-W,11 diff --git a/data_scraper/logconfig.ini b/data_scraper/logconfig.ini new file mode 100644 index 0000000..094e495 --- /dev/null +++ b/data_scraper/logconfig.ini @@ -0,0 +1,39 @@ +[loggers] +keys=root,tiingo,cboe + +[handlers] +keys=consoleHandler,fileHandler + +[formatters] +keys=simpleFormatter + +[logger_root] +level=ERROR +handlers=consoleHandler + +[logger_tiingo] +level=DEBUG +handlers=consoleHandler,fileHandler +qualname=data_scraper.tiingo +propagate=0 + +[logger_cboe] +level=DEBUG +handlers=consoleHandler,fileHandler +qualname=data_scraper.cboe +propagate=0 + +[handler_consoleHandler] +class=StreamHandler +level=ERROR +formatter=simpleFormatter +args=(sys.stdout,) + +[handler_fileHandler] +class=handlers.RotatingFileHandler +level=DEBUG +formatter=simpleFormatter +args=("data_scraper.log", "a", 3000000, 10) + +[formatter_simpleFormatter] +format=%(asctime)s - %(name)s - %(levelname)s - %(message)s diff --git a/data_scraper/notifications.py b/data_scraper/notifications.py new file mode 100644 index 0000000..de90535 --- /dev/null +++ b/data_scraper/notifications.py @@ -0,0 +1,59 @@ +import logging +from datetime import datetime +from enum import Enum + +import requests + +from .utils import get_module_config + +logger = logging.getLogger(__name__) + +Status = Enum("Status", "Success Warning Error") + +options = get_module_config("notifications") +try: + webhook = options["slack_webhook"] +except KeyError as e: + logger.error("Missing slack webhook from configuration file") + raise e + +payload = { + "channel": "#algotrading", + "username": "Talebot", + "icon_emoji": ":taleb:", + "attachments": [{ + "footer": "Talebot" + }] +} + + +def slack_notification(text, scraper, status=Status.Error): + """Post Slack notification""" + + if status == Status.Error: + emoji = ":thumbsdown: " + title = "data_scraper error" + color = "#B22222" + else: + title = "data_scraper status report" + if status == Status.Success: + emoji = ":thumbsup: " + color = "#49C39E" + else: + emoji = ":warning: " + color = "#EDB625" + msg = emoji + text + + payload["attachments"][0]["fallback"] = msg + payload["attachments"][0]["text"] = msg + payload["attachments"][0]["color"] = color + payload["attachments"][0]["title"] = title + payload["attachments"][0]["fields"] = [{"title": scraper}] + payload["attachments"][0]["ts"] = datetime.today().timestamp() + + response = requests.post(webhook, json=payload) + + if response.status_code != 200: + msg = "Error connecting to Slack {}. Response is:\n{}".format( + response.status_code, response.text) + logger.error(msg) diff --git a/data_scraper/scripts/backup.sh b/data_scraper/scripts/backup.sh new file mode 100755 index 0000000..57a447f --- /dev/null +++ b/data_scraper/scripts/backup.sh @@ -0,0 +1,41 @@ +#!/bin/bash + +## This script downloads stock options data, +## veryfies zipfile integrity, saves md5 signature +## and uploads them to S3. +## To run, pass a list of files to download: +## $> ./backup.sh files.txt + +TMPDIR=tmp +NOW=$(date +"%m-%d-%Y-%H%M%S") +RETRY="${NOW}.txt" +MD5SUMS=md5sums.txt + +mkdir -p $TMPDIR + +while read filename +do + echo "Downloading file $filename to $TMPDIR" + wget --quiet -P $TMPDIR "ftp://l3_hdall:JKNRH7LYXV@ftp.deltaneutral.com/${filename}" + + newpath="$TMPDIR/$filename" + echo "Verifying zipfile $newpath" + if unzip -t -q $newpath + then + echo "File check OK" + else + echo "ERROR: File check failed for $newfile" + echo $filename >> $RETRY + rm $newpath + continue + fi + + echo "Appending md5 sum for $f" + md5sum $newpath >> $MD5SUMS + + echo "Copying $newpath to S3 bucket" + rclone copy -v $newpath longueduree:longueduree + + echo "Deleting $newpath" + rm $newpath +done <$1 diff --git a/data_scraper/test/__init__.py b/data_scraper/test/__init__.py new file mode 100644 index 0000000..e69de29 diff --git a/data_scraper/test/test_cboe.py b/data_scraper/test/test_cboe.py new file mode 100644 index 0000000..72b9c28 --- /dev/null +++ b/data_scraper/test/test_cboe.py @@ -0,0 +1,104 @@ +import logging +import unittest +from unittest.mock import patch +import os +import shutil + +from requests import ConnectionError +import pandas as pd + +from data_scraper import cboe + +logging.disable(level=logging.CRITICAL) + + +class TestCBOE(unittest.TestCase): + """Tests CBOE data scraper""" + + test_dir = os.path.join(os.getcwd(), os.path.dirname(__file__)) + test_data_path = os.path.realpath(os.path.join(test_dir, "data")) + cboe_data_path = os.path.join(test_data_path, "cboe") + spx_data_path = os.path.join(cboe_data_path, "SPX_March_2019.csv") + + @classmethod + def setUpClass(cls): + cls.save_data_path = os.environ.get("SAVE_DATA_PATH", None) + os.environ["SAVE_DATA_PATH"] = cls.test_data_path + + @classmethod + def tearDownClass(cls): + if cls.save_data_path: + os.environ["SAVE_DATA_PATH"] = cls.save_data_path + + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_fetch_spy(self, mocked_notification): + """Fetch todays SPY quote""" + cboe.fetch_data(["SPY"]) + spy_dir = os.path.join(TestCBOE.cboe_data_path, "SPY_daily") + self.addCleanup(TestCBOE.remove_files, spy_dir) + + if self.assertTrue(os.path.exists(spy_dir)): + self.assertTrue(mocked_notification.called) + file_name = "SPY_" + pd.Timestamp.today().strftime( + "%Y%m%d") + ".csv" + file_path = os.path.join(spy_dir, file_name) + spy_df = pd.read_csv(file_path, parse_dates=["quotedate"]) + self.assertTrue(all(spy_df["underlying"] == "SPX")) + self.assertEqual(spy_df["quotedate"].nunique(), 1) + counts = spy_df["type"].value_counts() + self.assertEqual(counts["put"] + counts["call"], len(spy_df)) + + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_fetch_invalid_symbol(self, mocked_notification): + """Fetching invalid symbol should send notification""" + cboe.fetch_data(["FOOBAR"]) + self.assertTrue(mocked_notification.called) + + @patch("data_scraper.cboe.url", new="http://www.aldkfjaskldfjsa.com") + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_no_connection(self, mocked_notification): + """Raise ConnectionError and send notification when host is unreachable""" + with self.assertRaises(ConnectionError): + cboe.fetch_data(["SPX"]) + self.assertTrue(mocked_notification.called) + + @patch("data_scraper.cboe.utils.remove_file", return_value=None) + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_data_aggregation(self, mocked_notification, mocked_remove): + """Test data aggregation happy path""" + cboe.aggregate_monthly_data(["SPX"]) + aggregate_file = os.path.join(TestCBOE.cboe_data_path, "SPX", + "SPX_20190301_to_20190329.csv") + self.addCleanup(TestCBOE.remove_files, os.path.dirname(aggregate_file)) + self.assertTrue(mocked_remove.called) + self.assertFalse(mocked_notification.called) + + if self.assertTrue(os.path.exists(aggregate_file)): + spx_df = pd.read_csv(TestCBOE.spx_data_path) + aggregate_df = pd.read_csv(aggregate_file) + self.assertTrue(spx_df.equals(aggregate_df)) + + @patch("data_scraper.cboe.utils.remove_file", return_value=None) + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_aggregate_missing_days(self, mocked_notification, mocked_remove): + """Data aggregation should send notification when there are missing days""" + cboe.aggregate_monthly_data(["GOOG"]) + self.assertTrue(mocked_notification.called) + self.assertFalse(mocked_remove.called) + + @patch("data_scraper.cboe.utils.remove_file", return_value=None) + @patch("data_scraper.cboe.slack_notification", return_value=None) + def test_aggregate_invalid_symbol(self, mocked_notification, + mocked_remove): + """Data aggregation should fail and send notification on invalid symbol""" + cboe.aggregate_monthly_data(["FOOBAR"]) + self.assertTrue(mocked_notification.called) + self.assertFalse(mocked_remove.called) + + def remove_files(file_path): + if os.path.exists(file_path): + shutil.rmtree(file_path) + + +if __name__ == "__main__": + unittest.main() diff --git a/data_scraper/test/test_tiingo.py b/data_scraper/test/test_tiingo.py new file mode 100644 index 0000000..34e1bc4 --- /dev/null +++ b/data_scraper/test/test_tiingo.py @@ -0,0 +1,75 @@ +import logging +import unittest +from unittest.mock import patch +import os +import shutil + +import pandas as pd + +from data_scraper import tiingo + +logging.disable(level=logging.CRITICAL) + + +class TestTiingo(unittest.TestCase): + """Tests Tiingo data scraper""" + + test_dir = os.path.join(os.getcwd(), os.path.dirname(__file__)) + test_data_path = os.path.realpath(os.path.join(test_dir, "data")) + tiingo_data_path = os.path.join(test_data_path, "tiingo") + + @classmethod + def setUpClass(cls): + assert "TIINGO_API_KEY" in os.environ, "$TIINGO_API_KEY env variable must be set" + cls.save_data_path = os.environ.get("SAVE_DATA_PATH", None) + os.environ["SAVE_DATA_PATH"] = cls.test_data_path + + @classmethod + def tearDownClass(cls): + if cls.save_data_path: + os.environ["SAVE_DATA_PATH"] = cls.save_data_path + + @patch("data_scraper.tiingo.slack_notification", return_value=None) + def test_fetch_gld(self, mocked_notification): + """Fetch GLD data""" + tiingo.fetch_data(["GLD"]) + gld_dir = os.path.join(TestTiingo.tiingo_data_path, "GLD") + self.addCleanup(TestTiingo.remove_files, gld_dir) + + if self.assertTrue(os.path.exists(gld_dir)): + self.assertTrue(mocked_notification.called) + file_name = "GLD_" + pd.Timestamp.today().strftime( + "%Y%m%d") + ".csv" + file_path = os.path.join(gld_dir, file_name) + gld_df = pd.read_csv(file_path) + self.assertTrue(all(gld_df["symbol"] == "GLD")) + expected_columns = [ + "symbol", "date", "adjClose", "adjHigh", "adjLow", "adjOpen", + "adjVolume", "close", "divCash", "high", "low", "open", + "splitFactor", "volume" + ] + self.assertEqual(gld_df.columns, expected_columns) + + @patch("data_scraper.tiingo.slack_notification", return_value=None) + def test_fetch_invalid_symbol(self, mocked_notification): + """Fetching invalid symbol data should send notification""" + tiingo.fetch_data(["FOOBAR"]) + self.assertTrue(mocked_notification.called) + + @patch("data_scraper.tiingo.pdr.get_data_tiingo") # mock pandas_datareader + @patch("data_scraper.tiingo.slack_notification", return_value=None) + def test_no_connection(self, mocked_notification, mocked_pdr): + """Raise ConnectionError and send notification when host is unreachable""" + mocked_pdr.side_effect = ConnectionError("This is a test") + + with self.assertRaises(ConnectionError): + tiingo.fetch_data(["IBM"]) + self.assertTrue(mocked_notification.called) + + def remove_files(file_path): + if os.path.exists(file_path): + shutil.rmtree(file_path) + + +if __name__ == "__main__": + unittest.main() diff --git a/data_scraper/tiingo.py b/data_scraper/tiingo.py new file mode 100644 index 0000000..4404af2 --- /dev/null +++ b/data_scraper/tiingo.py @@ -0,0 +1,122 @@ +import logging +import os +from datetime import date + +import pandas as pd +import pandas_datareader as pdr + +from . import utils, validation +from .notifications import slack_notification, Status + +logger = logging.getLogger(__name__) + +# Default symbols to fetch +assets = [ + "VTSMX", "VFINX", "VIVAX", "VIGRX", "VIMSX", "VMVIX", "VMGIX", "NAESX", + "VISVX", "VISGX", "BRSIX", "VGTSX", "VTMGX", "VFSVX", "EFV", "VEURX", + "VPACX", "VEIEX", "VFISX", "VFITX", "IEF", "VUSTX", "VBMFX", "VIPSX", + "PIGLX", "PGBIX", "VFSTX", "LQD", "VWESX", "VWEHX", "VWSTX", "VWITX", + "VWLTX", "VGSIX", "GLD", "PSAU", "GSG" +] + + +def fetch_data(symbols=assets): + """Fetches historical data for given symbols from Tiingo""" + api_key = utils.get_environment_var("TIINGO_API_KEY") + + symbols = [symbol.upper() for symbol in symbols] + done, failed = [], [] + + for symbol in symbols: + try: + symbol_data = pdr.get_data_tiingo(symbol, api_key=api_key) + except ConnectionError as ce: + msg = "Unable to connect to api.tiingo.com when fetching symbol {}".format( + symbol) + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + raise ce + except TypeError: + # pandas_datareader raises TypeError when fetching invalid symbol + failed.append(symbol) + msg = "Attempted to fetch invalid symbol {}".format(symbol) + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + except Exception: + msg = "Error fetching symbol {}".format(symbol) + logger.error(msg, exc_info=True) + slack_notification(msg, __name__) + else: + _save_data(symbol, symbol_data.reset_index()) + done.append(symbol) + + if len(done) > 0: + msg = "Successfully scraped symbols: " + ", ".join(done) + slack_notification(msg, __name__, status=Status.Success) + if len(failed) > 0: + msg = "Failed to scrape symbols: " + ", ".join(failed) + slack_notification(msg, __name__, status=Status.Warning) + + +def _save_data(symbol, symbol_df): + """Saves the contents of `symbol_df` to + `$SAVE_DATA_PATH/tiingo/{symbol}/{symbol}_{%date}.csv`""" + filename = date.today().strftime(symbol + "_%Y%m%d.csv") + + save_data_path = utils.get_save_data_path() + symbol_dir = os.path.join(save_data_path, "tiingo", symbol) + + if not os.path.exists(symbol_dir): + os.makedirs(symbol_dir) + logger.debug("Symbol dir %s created", symbol_dir) + file_path = os.path.join(symbol_dir, filename) + + if os.path.exists(file_path) and validation.file_hash_matches_data( + file_path, symbol_df.to_csv()): + logger.debug("File %s already downloaded", file_path) + else: + expected_columns = [ + "symbol", "date", "adjClose", "adjHigh", "adjLow", "adjOpen", + "adjVolume", "close", "divCash", "high", "low", "open", + "splitFactor", "volume" + ] + + if validation.validate_historical_dates( + symbol, symbol_df["date"]) and validation.validate_columns( + expected_columns, symbol_df.columns): + merged_df = _merge(symbol, symbol_df) + pattern = symbol + "_*" + utils.remove_files(symbol_dir, pattern, logger) + + merged_df.to_csv(file_path, index=False) + logger.debug("Saved symbol data as %s", file_path) + + +def _merge(symbol, symbol_df): + """Merge `symbol_df` with previous data file.""" + + save_data_path = utils.get_save_data_path() + symbol_dir = os.path.join(save_data_path, "tiingo", symbol) + + files = os.listdir(symbol_dir) + if len(files) == 0: + return symbol_df + + last_file = sorted(files)[-1] + old_df = pd.read_csv(os.path.join(symbol_dir, last_file), + parse_dates=["date"], + index_col="date") + symbol_df.index = symbol_df["date"] + + diffs = old_df.index.difference(symbol_df.index) + + if diffs.empty: + return symbol_df + else: + msg = """Old data included dates not present in scraped file for symbol {} + Merged new data with previous file.""".format(symbol) + logger.error(msg) + slack_notification(msg, __name__) + merged_df = pd.concat([symbol_df, old_df.loc[diffs]]) + merged_df.sort_index(inplace=True) + return merged_df.reset_index() diff --git a/data_scraper/utils.py b/data_scraper/utils.py new file mode 100644 index 0000000..1a6a562 --- /dev/null +++ b/data_scraper/utils.py @@ -0,0 +1,52 @@ +import glob +import json +import os + + +def get_environment_var(variable): + """Returns the value of a given environment variable. + Raises `EnvironmentError` if not found. + """ + if variable not in os.environ: + raise EnvironmentError( + "Environment variable {} not set".format(variable)) + + return os.path.expanduser(os.environ[variable]) + + +def get_save_data_path(): + """Reads data path from environment variable `$SAVE_DATA_PATH`. + If it is not set, defaults to `./data/scraped`. + """ + try: + data_dir = get_environment_var("SAVE_DATA_PATH") + except EnvironmentError: + data_dir = "data/scraped" + os.makedirs(data_dir) + + return data_dir + + +def get_module_config(module, config_file="data_scraper.conf"): + """Parses configuration file and returns the configuration options + for the chosen `module`. + """ + options = {} + if os.path.exists(config_file): + with open(config_file) as file: + config = json.load(file) + options = config.get(module, {}) + + return options + + +def remove_files(data_dir, pattern, logger=None): + """Removes files in `data_dir` that match `pattern`""" + for file in glob.glob(os.path.join(data_dir, pattern)): + remove_file(file, logger) + + +def remove_file(file, logger=None): + os.remove(file) + if logger: + logger.debug("Removed file %s", file) diff --git a/data_scraper/validation.py b/data_scraper/validation.py new file mode 100644 index 0000000..69aac38 --- /dev/null +++ b/data_scraper/validation.py @@ -0,0 +1,93 @@ +import logging +import hashlib + +import pandas as pd +import pandas_market_calendars as mcal + +from . import cboe +from .notifications import slack_notification + +logger = logging.getLogger(__name__) + + +def file_hash_matches_data(file_path, data): + file_hash = file_md5(file_path) + data_md5 = hashlib.md5(data.encode()).hexdigest() + return file_hash == data_md5 + + +def file_md5(file, chunk_size=4096): + md5 = hashlib.md5() + with open(file, "rb") as f: + for chunk in iter(lambda: f.read(chunk_size), b""): + md5.update(chunk) + + return md5.hexdigest() + + +def validate_dates_in_month(symbol, date_range): + """Compares `date_range` (month) with NYSE trading calendar. + Returns `True` if there are no missing days. + """ + # NYSE and CBOE have the same trading calendar + # https://www.nyse.com/markets/hours-calendars + # http://cfe.cboe.com/about-cfe/holiday-calendar + nyse = mcal.get_calendar("NYSE") + first_date = date_range[0] + period = pd.Period(year=first_date.year, month=first_date.month, freq="M") + trading_days = nyse.valid_days(start_date=period.start_time, + end_date=period.end_time) + + # Remove timezone info + trading_days = trading_days.tz_convert(tz=None) + missing_days = trading_days.difference(date_range) + + if not missing_days.empty: + logger.error("Error validating monthly dates. Missing: %s", + missing_days) + return missing_days.empty + + +def validate_historical_dates(symbol, date_range): + """Compares `date_range` (any time range) with trading calendar. + Returns `True` if there are no missing days. + """ + nyse = mcal.get_calendar("NYSE") + start_date = date_range.min() + end_date = date_range.max() + trading_days = nyse.valid_days(start_date=start_date, end_date=end_date) + + # Remove timezone info + trading_days = trading_days.tz_convert(tz=None) + date_range = date_range.dt.tz_convert(tz=None) + missing_days = trading_days.difference(date_range) + + if not missing_days.empty: + logger.error("Error validating historical dates. Missing: %s", + missing_days) + + return missing_days.empty + + +def validate_columns(expected, received): + """Verify that the `received` columns scraped are equal to `expected`""" + valid = all(expected == received) + + if not valid: + expected_cols = ", ".join(expected) + received_cols = ", ".join(received) + msg = """Columns expected differ from those received. + Expected: {} + Received: {}""".format(expected_cols, received_cols) + logger.error(msg) + slack_notification(msg, __name__) + + return valid + + +def validate_aggregate_file(aggregate_file, daily_files): + """Compares `aggregate_file` with the data from `daily_files`.""" + aggregate_df = pd.read_csv(aggregate_file) + recreated_df = cboe.concatenate_files(daily_files) + + return aggregate_df.equals(recreated_df) diff --git a/docker/data_scraper/Dockerfile b/docker/data_scraper/Dockerfile new file mode 100644 index 0000000..40039ef --- /dev/null +++ b/docker/data_scraper/Dockerfile @@ -0,0 +1,19 @@ +FROM debian:latest +MAINTAINER Juan Pablo Amoroso + +RUN apt-get update +RUN apt-get install -y python3 python3-pip make cron build-essential pkg-config openssl libssl-dev +RUN python3 -m pip install pipenv +ENV LC_ALL=C.UTF-8 LANG=C.UTF-8 + +COPY . /finance +WORKDIR /finance + +RUN make init + +COPY ./docker/data_scraper/crontab /etc/cron.d/scraper-cron +COPY ./docker/data_scraper/entrypoint.sh /usr/bin/entrypoint.sh +COPY ./docker/data_scraper/run-task.sh /usr/bin/run-task +RUN chmod 0644 /etc/cron.d/scraper-cron && crontab /etc/cron.d/scraper-cron +ENTRYPOINT ["entrypoint.sh"] +CMD ["cron", "-f"] diff --git a/docker/data_scraper/crontab b/docker/data_scraper/crontab new file mode 100644 index 0000000..00da2cf --- /dev/null +++ b/docker/data_scraper/crontab @@ -0,0 +1,4 @@ +0 19 * * 1-5 root cd /finance && run-task make scrape scraper=cboe +0 19 * * 1-5 root cd /finance && run-task make scrape scraper=tiingo +0 0 1 * * root cd /finance && run-task make aggregate && run-task make backup + diff --git a/docker/data_scraper/entrypoint.sh b/docker/data_scraper/entrypoint.sh new file mode 100755 index 0000000..86d1903 --- /dev/null +++ b/docker/data_scraper/entrypoint.sh @@ -0,0 +1,5 @@ +#!/bin/bash + +# cron does not read env, save it here +env > /root/env +exec "$@" diff --git a/docker/data_scraper/run-task.sh b/docker/data_scraper/run-task.sh new file mode 100755 index 0000000..6a27025 --- /dev/null +++ b/docker/data_scraper/run-task.sh @@ -0,0 +1,4 @@ +#!/bin/bash + +# import env vars that were written in entrypoint +env - `cat /root/env` $@ diff --git a/docker/docker-compose.yml b/docker/docker-compose.yml new file mode 100644 index 0000000..1ef071c --- /dev/null +++ b/docker/docker-compose.yml @@ -0,0 +1,8 @@ +version: "3" + +services: + scraper: + image: data_scraper:latest + container_name: data_scraper + volumes: + - ~/finance/data:/finance/data