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https://github.com/bspeice/metrik
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Remove the LIBOR stuff
Focus on data I can't retrieve historically - LIBOR rates I can get in the future.
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bspeice
parent
d8f32d8128
commit
5e6bc68a33
@ -8,12 +8,10 @@ from subprocess import check_output
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from os import path
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from metrik.conf import get_config
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from metrik.flows.rates_flow import LiborFlow
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from metrik.flows.equities_flow import EquitiesFlow
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from metrik import __version__
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flows = {
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'LiborFlow': LiborFlow,
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'EquitiesFlow': EquitiesFlow
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}
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@ -1,14 +0,0 @@
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from metrik.flows.base import Flow, WeekdayMidnight
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from metrik.tasks.ice import LiborRateTask
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class LiborFlow(Flow):
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@staticmethod
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def get_schedule():
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return WeekdayMidnight()
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def _requires(self):
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currencies = ['USD']
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return [LiborRateTask(self.present, currency)
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for currency in currencies]
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@ -1,92 +0,0 @@
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from __future__ import print_function
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import csv
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import requests
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from collections import namedtuple
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from dateutil.parser import parse
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from io import StringIO
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from pytz import timezone
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from luigi.parameter import DateParameter, Parameter
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from six.moves.urllib.parse import quote_plus
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from metrik.tasks.base import MongoCreateTask
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from metrik.trading_days import TradingDay
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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(MongoCreateTask):
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date = DateParameter()
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currency = Parameter()
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def get_collection_name(self):
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return 'libor'
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@staticmethod
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def retrieve_historical_libor(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={}').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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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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# TODO: Messing with globals() is probably a terrible idea, is there
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# a better way to write the below code?
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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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globals()[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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if dt.tzinfo is None:
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dt = timezone('America/New_York').localize(dt)
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globals()['publication'] = dt
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# Because of the shenanigans I did earlier with globals(), ignore
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# unresolved references. Probably a better way to do this.
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# noinspection PyUnresolvedReferences
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return {
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'currency': currency,
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'publication': publication,
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'overnight': overnight,
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'one_week': one_week,
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'one_month': one_month,
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'two_month': two_month,
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'three_month': three_month,
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'six_month': six_month,
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'one_year': one_year
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}
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@staticmethod
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def retrieve_data(date, currency):
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# ICE publish data a day late, so we actually need to retrieve data
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# for the trading day prior to this.
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return LiborRateTask.retrieve_historical_libor(
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date - TradingDay(1),
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currency
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)
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@ -1,65 +0,0 @@
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from unittest import TestCase
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from datetime import datetime
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import pytz
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import logging
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from metrik.tasks.ice import LiborRateTask
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# noinspection PyUnresolvedReferences
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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 = LiborRateTask.retrieve_historical_libor(
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datetime(2016, 8, 8), 'USD')
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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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logging.info('Publication date in London time: {}'.format(
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aug8_libor['publication'].astimezone(london_tz)))
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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 = LiborRateTask.retrieve_historical_libor(
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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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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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logging.info('Publication date in London time: {}'.format(
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aug9_libor['publication'].astimezone(london_tz)))
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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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london_tz = pytz.timezone('Europe/London')
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ny_tz = pytz.timezone('America/New_York')
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# DON'T YOU DARE SET TZINFO, SHENANIGANS HAPPEN
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assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) <
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datetime(2016, 8, 8, 15, 0, 0, tzinfo=ny_tz))
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assert (datetime(2016, 8, 8, 15, 0, 0, tzinfo=london_tz) >
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datetime(2016, 8, 8, 10, 0, 0, tzinfo=ny_tz))
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# ALWAYS USE timezone.localize()
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assert (london_tz.localize(datetime(2016, 8, 8, 15)) ==
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ny_tz.localize(datetime(2016, 8, 8, 10)))
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