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https://github.com/bspeice/metrik
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Wasn't pandas fault, dates are weird
ICE site is doing something strange...
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Bradlee Speice
parent
71d6f951ba
commit
14e0b404dd
@ -1,51 +1,56 @@
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from luigi.task import Task
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# noinspection PyUnresolvedReferences
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from six.moves.urllib.parse import quote_plus
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import pandas as pd
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import pytz
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from collections import namedtuple
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import requests
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import datetime
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import csv
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from io import StringIO
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from dateutil.parser import parse
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import logging
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class USDLibor(Task):
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LiborRate = namedtuple('LiborRate', [
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'publication', 'overnight', 'one_week', 'one_month', 'two_month',
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'three_month', 'six_month', 'one_year', 'currency'
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])
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class LiborRateTask(Task):
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@staticmethod
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def retrieve_data(date):
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def retrieve_data(date, currency):
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url = ('https://www.theice.com/marketdata/reports/icebenchmarkadmin/'
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'ICELiborHistoricalRates.shtml?excelExport='
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'&criteria.reportDate={}&criteria.currencyCode=USD').format(
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quote_plus(date.strftime('%m/%d/%y'))
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'&criteria.reportDate={}&criteria.currencyCode={}').format(
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quote_plus(date.strftime('%m/%d/%y')),
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currency
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)
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def parse_london(dt_str):
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# I'm getting inconsistent behavior in how Pandas parses the CSV
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# file for dates and times. On Travis, it doesn't look like the
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# content is being modified. On my computer, Pandas is spitting
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# back a localized time. So, after parsing, if we have a timezone-
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# enabled datetime, switch to Europe/London, and if not, add the
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# Europe/London info to it
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london_tz = pytz.timezone('Europe/London')
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# Note that parse() implicitly adds timezone information because
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# of how pandas gave us the value
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dt = parse(dt_str).replace(year=date.year,
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month=date.month,
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day=date.day)
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try:
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return dt.astimezone(london_tz)
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except ValueError:
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return london_tz.localize(dt)
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fields = ['tenor', 'publication', 'usd_ice_libor']
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text = requests.get(url).text
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f = StringIO(text)
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next(f) # Skip the header
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record = {'currency': currency}
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for row in csv.DictReader(f, fieldnames=fields):
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mapping = {
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'Overnight': 'overnight',
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'1 Week': 'one_week',
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'1 Month': 'one_month',
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'2 Month': 'two_month',
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'3 Month': 'three_month',
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'6 Month': 'six_month',
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'1 Year': 'one_year'
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}
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if row['usd_ice_libor']:
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record[mapping[row['tenor']]] = float(row['usd_ice_libor'])
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if row['publication']:
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# Weird things happen with the publication field. For whatever reason,
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# the *time* is correct, but very often the date gets screwed up.
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# When I download the CSV with Firefox I only see the times - when I
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# download with `requests`, I see both date (often incorrect) and time.
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dt = parse(row['publication'])
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dt = dt.replace(year=date.year, month=date.month, day=date.day)
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record['publication'] = dt
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# Skip 1 row at top for header (header=0),
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# and read 7 total rows. For whatever reason,
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# pandas totally ignores both skipfooter and skip_footer.
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# WTF pandas.
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df = pd.read_csv(
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url, names=['Tenor', 'Publication Time', 'USD ICE LIBOR'],
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header=0, parse_dates=['Publication Time'],
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nrows=7, date_parser=parse_london,
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)
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logging.info('Publication time for USD ICE on {}: {}'.format(
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date.strftime('%m/%d/%Y'), df['Publication Time'].unique()
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))
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return df
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return LiborRate(**record)
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@ -2,7 +2,8 @@ from unittest import TestCase
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from datetime import datetime
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import pytz
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from metrik.tasks.ice import USDLibor
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from metrik.tasks.ice import LiborRateTask
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from metrik.conf import USER_AGENT
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# noinspection PyUnresolvedReferences
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@ -11,36 +12,38 @@ class TestICE(TestCase):
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def test_correct_libor_Aug8_2016(self):
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# Validate with:
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# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F8%2F16&criteria.currencyCode=USD
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aug8_libor = USDLibor.retrieve_data(datetime(2016, 8, 8))
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aug8_libor = LiborRateTask.retrieve_data(datetime(2016, 8, 8), 'USD')
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assert (aug8_libor[aug8_libor['Tenor'] == 'Overnight']['USD ICE LIBOR'] == .4189).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '1 Week']['USD ICE LIBOR'] == .4431).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '1 Month']['USD ICE LIBOR'] == .5119).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '2 Month']['USD ICE LIBOR'] == .6268).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '3 Month']['USD ICE LIBOR'] == .8065).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '6 Month']['USD ICE LIBOR'] == 1.1852).all()
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assert (aug8_libor[aug8_libor['Tenor'] == '1 Year']['USD ICE LIBOR'] == 1.5081).all()
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assert aug8_libor.overnight == .4189
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assert aug8_libor.one_week == .4431
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assert aug8_libor.one_month == .5119
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assert aug8_libor.two_month == .6268
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assert aug8_libor.three_month == .8065
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assert aug8_libor.six_month == 1.1852
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assert aug8_libor.one_year == 1.5081
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london_tz = pytz.timezone('Europe/London')
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actual = london_tz.localize(datetime(2016, 8, 8, 11, 45, 6))
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assert (aug8_libor['Publication Time'] == actual).all()
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assert aug8_libor.publication == actual
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def test_correct_libor_Aug9_2010(self):
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# Validate with:
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# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F9%2F10&criteria.currencyCode=USD
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aug9_libor = USDLibor.retrieve_data(datetime(2010, 8, 9))
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aug9_libor = LiborRateTask.retrieve_data(datetime(2010, 8, 9), 'USD')
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assert aug9_libor.overnight == .23656
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assert aug9_libor.one_week == .27725
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assert aug9_libor.one_month == .29
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assert aug9_libor.two_month == .3375
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assert aug9_libor.three_month == .40438
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assert aug9_libor.six_month == .6275
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assert aug9_libor.one_year == .995
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assert (aug9_libor[aug9_libor['Tenor'] == 'Overnight']['USD ICE LIBOR'] == .23656).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '1 Week']['USD ICE LIBOR'] == .27725).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '1 Month']['USD ICE LIBOR'] == .29).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '2 Month']['USD ICE LIBOR'] == .3375).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '3 Month']['USD ICE LIBOR'] == .40438).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '6 Month']['USD ICE LIBOR'] == .6275).all()
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assert (aug9_libor[aug9_libor['Tenor'] == '1 Year']['USD ICE LIBOR'] == .995).all()
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london_tz = pytz.timezone('Europe/London')
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actual = london_tz.localize(datetime(2010, 8, 9, 15, 49, 12))
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assert (aug9_libor['Publication Time'] == actual).all()
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assert aug9_libor.publication == actual
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def test_correct_date_reasoning(self):
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# Make sure I document how to handle datetime issues in the future
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