mirror of
https://github.com/bspeice/metrik
synced 2024-11-23 07:38:09 -05:00
Initial Mongo refactoring work
This commit is contained in:
parent
7dc9426eb9
commit
684c68bbe9
29
metrik/tasks/base.py
Normal file
29
metrik/tasks/base.py
Normal file
@ -0,0 +1,29 @@
|
||||
from __future__ import print_function
|
||||
from luigi import Task
|
||||
|
||||
from metrik.targets.mongo_target import MongoTarget
|
||||
|
||||
|
||||
class MongoCreateTask(Task):
|
||||
def __init__(self, *args, **kwargs):
|
||||
super(MongoCreateTask, self).__init__(*args, **kwargs)
|
||||
self.mongo_id = hash(str(self.to_str_params()))
|
||||
|
||||
def get_collection_name(self):
|
||||
raise NotImplementedError('Please set the collection name.')
|
||||
|
||||
def output(self):
|
||||
return MongoTarget(self.get_collection_name(), self.mongo_id)
|
||||
|
||||
def run(self):
|
||||
p_names = self.get_params()
|
||||
p_values = self.get_param_values(p_names, [], self.param_kwargs)
|
||||
print(p_values)
|
||||
data_dict = self.retrieve_data(**dict(p_values))
|
||||
data_dict['_id'] = self.mongo_id
|
||||
self.output().persist(data_dict)
|
||||
|
||||
@staticmethod
|
||||
def retrieve_data(self, *args, **kwargs):
|
||||
raise NotImplementedError('Get me some data!')
|
||||
|
@ -12,7 +12,7 @@ from io import StringIO
|
||||
from dateutil.parser import parse
|
||||
|
||||
from metrik.targets.mongo_target import MongoTarget
|
||||
|
||||
from metrik.tasks.base import MongoCreateTask
|
||||
|
||||
LiborRate = namedtuple('LiborRate', [
|
||||
'publication', 'overnight', 'one_week', 'one_month', 'two_month',
|
||||
@ -20,18 +20,13 @@ LiborRate = namedtuple('LiborRate', [
|
||||
])
|
||||
|
||||
|
||||
class LiborRateTask(Task):
|
||||
class LiborRateTask(MongoCreateTask):
|
||||
|
||||
date = DateParameter()
|
||||
currency = Parameter()
|
||||
|
||||
def output(self):
|
||||
h = hash(str(self.to_str_params()))
|
||||
return MongoTarget('libor', h)
|
||||
|
||||
def run(self):
|
||||
libor_record = self.retrieve_data(self.date, self.currency)
|
||||
self.output().persist(libor_record._asdict())
|
||||
def get_collection_name(self):
|
||||
return 'libor'
|
||||
|
||||
@staticmethod
|
||||
def retrieve_data(date, currency):
|
||||
@ -46,7 +41,9 @@ class LiborRateTask(Task):
|
||||
text = requests.get(url).text
|
||||
f = StringIO(text)
|
||||
next(f) # Skip the header
|
||||
record = {'currency': currency}
|
||||
|
||||
# TODO: Messing with globals() is probably a terrible idea, is there
|
||||
# a better way to write the below code?
|
||||
for row in csv.DictReader(f, fieldnames=fields):
|
||||
mapping = {
|
||||
'Overnight': 'overnight',
|
||||
@ -58,7 +55,8 @@ class LiborRateTask(Task):
|
||||
'1 Year': 'one_year'
|
||||
}
|
||||
if row['usd_ice_libor']:
|
||||
record[mapping[row['tenor']]] = float(row['usd_ice_libor'])
|
||||
globals()[mapping[row['tenor']]] = float(row['usd_ice_libor'])
|
||||
|
||||
if row['publication']:
|
||||
# Weird things happen with the publication field. For whatever reason,
|
||||
# the *time* is correct, but very often the date gets screwed up.
|
||||
@ -66,6 +64,19 @@ class LiborRateTask(Task):
|
||||
# download with `requests`, I see both date (often incorrect) and time.
|
||||
dt = parse(row['publication'])
|
||||
dt = dt.replace(year=date.year, month=date.month, day=date.day)
|
||||
record['publication'] = dt
|
||||
globals()['publication'] = dt
|
||||
|
||||
return LiborRate(**record)
|
||||
# Because of the shenanigans I did earlier with locals(), ignore
|
||||
# unresolved references. Probably a better way to do this.
|
||||
# noinspection PyUnresolvedReferences
|
||||
return {
|
||||
'currency': currency,
|
||||
'publication': publication,
|
||||
'overnight': overnight,
|
||||
'one_week': one_week,
|
||||
'one_month': one_month,
|
||||
'two_month': two_month,
|
||||
'three_month': three_month,
|
||||
'six_month': six_month,
|
||||
'one_year': one_year
|
||||
}
|
||||
|
@ -8,42 +8,39 @@ from metrik.conf import USER_AGENT
|
||||
|
||||
# noinspection PyUnresolvedReferences
|
||||
class TestICE(TestCase):
|
||||
|
||||
def test_correct_libor_Aug8_2016(self):
|
||||
# Validate with:
|
||||
# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F8%2F16&criteria.currencyCode=USD
|
||||
aug8_libor = LiborRateTask.retrieve_data(datetime(2016, 8, 8), 'USD')
|
||||
|
||||
assert aug8_libor.overnight == .4189
|
||||
assert aug8_libor.one_week == .4431
|
||||
assert aug8_libor.one_month == .5119
|
||||
assert aug8_libor.two_month == .6268
|
||||
assert aug8_libor.three_month == .8065
|
||||
assert aug8_libor.six_month == 1.1852
|
||||
assert aug8_libor.one_year == 1.5081
|
||||
assert aug8_libor['overnight'] == .4189
|
||||
assert aug8_libor['one_week'] == .4431
|
||||
assert aug8_libor['one_month'] == .5119
|
||||
assert aug8_libor['two_month'] == .6268
|
||||
assert aug8_libor['three_month'] == .8065
|
||||
assert aug8_libor['six_month'] == 1.1852
|
||||
assert aug8_libor['one_year'] == 1.5081
|
||||
|
||||
london_tz = pytz.timezone('Europe/London')
|
||||
actual = london_tz.localize(datetime(2016, 8, 8, 11, 45, 6))
|
||||
assert aug8_libor.publication == actual
|
||||
|
||||
assert aug8_libor['publication'] == actual
|
||||
|
||||
def test_correct_libor_Aug9_2010(self):
|
||||
# Validate with:
|
||||
# https://www.theice.com/marketdata/reports/icebenchmarkadmin/ICELiborHistoricalRates.shtml?excelExport=&criteria.reportDate=8%2F9%2F10&criteria.currencyCode=USD
|
||||
aug9_libor = LiborRateTask.retrieve_data(datetime(2010, 8, 9), 'USD')
|
||||
|
||||
assert aug9_libor.overnight == .23656
|
||||
assert aug9_libor.one_week == .27725
|
||||
assert aug9_libor.one_month == .29
|
||||
assert aug9_libor.two_month == .3375
|
||||
assert aug9_libor.three_month == .40438
|
||||
assert aug9_libor.six_month == .6275
|
||||
assert aug9_libor.one_year == .995
|
||||
|
||||
assert aug9_libor['overnight'] == .23656
|
||||
assert aug9_libor['one_week'] == .27725
|
||||
assert aug9_libor['one_month'] == .29
|
||||
assert aug9_libor['two_month'] == .3375
|
||||
assert aug9_libor['three_month'] == .40438
|
||||
assert aug9_libor['six_month'] == .6275
|
||||
assert aug9_libor['one_year'] == .995
|
||||
|
||||
london_tz = pytz.timezone('Europe/London')
|
||||
actual = london_tz.localize(datetime(2010, 8, 9, 15, 49, 12))
|
||||
assert aug9_libor.publication == actual
|
||||
assert aug9_libor['publication'] == actual
|
||||
|
||||
def test_correct_date_reasoning(self):
|
||||
# Make sure I document how to handle datetime issues in the future
|
||||
@ -59,4 +56,4 @@ class TestICE(TestCase):
|
||||
|
||||
# ALWAYS USE timezone.localize()
|
||||
assert (london_tz.localize(datetime(2016, 8, 8, 15)) ==
|
||||
ny_tz.localize(datetime(2016, 8, 8, 10)))
|
||||
ny_tz.localize(datetime(2016, 8, 8, 10)))
|
||||
|
Loading…
Reference in New Issue
Block a user