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Add CBOE Optionable list
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<ConfirmationsSetting value="0" id="Add" />
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<ConfirmationsSetting value="0" id="Remove" />
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</component>
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<component name="ProjectRootManager" version="2" languageLevel="JDK_1_3" default="false" assert-keyword="false" jdk-15="false" project-jdk-name="Python 3.5.1 virtualenv at C:\Users\Bradlee Speice\Development\metrik\metrik-virtual" project-jdk-type="Python SDK">
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<component name="ProjectRootManager" version="2" languageLevel="JDK_1_3" default="false" assert-keyword="false" jdk-15="false" project-jdk-name="Python 3.5.1 (C:\Users\Bradlee Speice\Anaconda3\python.exe)" project-jdk-type="Python SDK">
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<output url="file://$PROJECT_DIR$/out" />
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</component>
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<component name="PythonCompatibilityInspectionAdvertiser">
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32
metrik/tasks/cboe.py
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32
metrik/tasks/cboe.py
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import requests
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import pandas as pd
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from six import StringIO
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from metrik.tasks.base import MongoNoBackCreateTask
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class CboeOptionableList(MongoNoBackCreateTask):
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def get_collection_name(self):
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return 'cboe_optionable_list'
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@staticmethod
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def retrieve_data(*args, **kwargs):
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# Explicitly use requests to make mocking easy
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csv_bytes = requests.get('http://www.cboe.com/publish/scheduledtask/'
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'mktdata/cboesymboldir2.csv').content
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csv_str = csv_bytes.decode('ascii')
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# Because some of the fields include extra commas, we need to
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# pre-process them out
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old_sep = ','
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new_sep = '|'
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csv_rows = csv_str.split('\r\n')
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csv_header = csv_rows[1]
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num_cols = len(csv_header.split(old_sep))
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csv_content = [r.replace(old_sep, new_sep, num_cols - 1)
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for r in csv_rows[1:]]
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content_str = '\n'.join(csv_content)
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csv_filelike = StringIO(content_str)
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company_csv = pd.read_csv(csv_filelike, sep=new_sep)
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return {'companies': company_csv.to_dict(orient='records')}
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12
test/tasks/test_cboe.py
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12
test/tasks/test_cboe.py
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from unittest import TestCase
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from metrik.tasks.cboe import CboeOptionableList
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class CboeTest(TestCase):
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def test_optionable_list(self):
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companies = CboeOptionableList.retrieve_data()['companies']
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assert len(companies) > 2000
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# TODO: Get lists of companies from ETF holdings and verify that they
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# can be found here as well - this should be a superset
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