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Add CBOE Optionable list

This commit is contained in:
bspeice 2016-11-24 13:34:37 -05:00
parent a44635c660
commit 80e5a17acf
3 changed files with 45 additions and 1 deletions

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metrik/tasks/cboe.py Normal file
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import requests
import pandas as pd
from six import StringIO
from metrik.tasks.base import MongoNoBackCreateTask
class CboeOptionableList(MongoNoBackCreateTask):
def get_collection_name(self):
return 'cboe_optionable_list'
@staticmethod
def retrieve_data(*args, **kwargs):
# Explicitly use requests to make mocking easy
csv_bytes = requests.get('http://www.cboe.com/publish/scheduledtask/'
'mktdata/cboesymboldir2.csv').content
csv_str = csv_bytes.decode('ascii')
# Because some of the fields include extra commas, we need to
# pre-process them out
old_sep = ','
new_sep = '|'
csv_rows = csv_str.split('\r\n')
csv_header = csv_rows[1]
num_cols = len(csv_header.split(old_sep))
csv_content = [r.replace(old_sep, new_sep, num_cols - 1)
for r in csv_rows[1:]]
content_str = '\n'.join(csv_content)
csv_filelike = StringIO(content_str)
company_csv = pd.read_csv(csv_filelike, sep=new_sep)
return {'companies': company_csv.to_dict(orient='records')}

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test/tasks/test_cboe.py Normal file
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from unittest import TestCase
from metrik.tasks.cboe import CboeOptionableList
class CboeTest(TestCase):
def test_optionable_list(self):
companies = CboeOptionableList.retrieve_data()['companies']
assert len(companies) > 2000
# TODO: Get lists of companies from ETF holdings and verify that they
# can be found here as well - this should be a superset