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Add initial State Street holdings functionality

This commit is contained in:
Bradlee Speice 2016-09-01 14:22:58 -04:00
parent 52049b7d0f
commit d48649c565
3 changed files with 97 additions and 6 deletions

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import requests
from luigi.parameter import Parameter
import pandas as pd
from metrik.tasks.base import MongoNoBackCreateTask
class StateStreetHoldings(MongoNoBackCreateTask):
ticker = Parameter() # type: str
@staticmethod
def retrieve_data(ticker, current_datetime, live):
# TODO: Actually make this static
base_url = 'https://www.spdrs.com/site-content/xls/{fund}_All_Holdings.xls'
fund_url = base_url.format(fund=ticker)
excel_content = pd.read_excel(fund_url, header=None)
# The actual stuff we care about is arranged in tabular format, thus
# we actually want to get the rows where the far-right column is
# not null.
final_column_index = len(excel_content.columns) - 1
# And build a series of True/False for "We do want this row" and
# "we do not want this row" respectively
do_retain = excel_content[[final_column_index]].isnull() == False
retain_index = do_retain[do_retain[final_column_index] == True].index
# Actual content is in rows 2 onwards
holding_df = excel_content.ix[retain_index[1:]]
# Headers are in row 1
holding_df.columns = excel_content.ix[retain_index[0]]
# And also get the metadata that are in the rows prior to content
metadata = excel_content.ix[0:retain_index[0]-1].dropna(axis=1)
metadata_dict = {row[0].strip(':'): row[1]
for i, row in metadata.iterrows()}
return dict(
holdings=holding_df.to_dict(orient='record'),
**metadata_dict
)
def get_collection_name(self):
return 'state_street_holdings'

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# coding=utf-8
from unittest import TestCase
from datetime import datetime
from metrik.tasks.state_street import StateStreetHoldings
class StateStreetHoldingTest(TestCase):
def test_spy_holdings(self):
holdings_dict = StateStreetHoldings.retrieve_data(
'SPY', datetime.now(), True
)
self.assertEqual(holdings_dict['Ticker Symbol'], 'SPY')
self.assertEqual(holdings_dict['Fund Name'], u'SPDR® S&P 500® ETF')
self.assertGreaterEqual(len(holdings_dict['holdings']), 500)
# Long live AAPL
self.assertTrue(holdings_dict['holdings'][0]['Identifier'] == u'AAPL')
def test_sdy_holdings(self):
holdings_dict = StateStreetHoldings.retrieve_data(
'SDY', datetime.now(), True
)
self.assertEqual(holdings_dict['Ticker Symbol'], 'SDY')
self.assertEqual(holdings_dict['Fund Name'], u'SPDR® S&P® Dividend ETF')
self.assertTrue(holdings_dict['holdings'][0]['Identifier'] == 'HCP')
def test_spyd_holdings(self):
holdings_dict = StateStreetHoldings.retrieve_data(
'SPYD', datetime.now(), True
)
self.assertEqual(holdings_dict['Ticker Symbol'], 'SPYD')
self.assertEqual(holdings_dict['Fund Name'], u'SPDR® S&P® 500 High Dividend ETF')
def test_r3k_holdings(self):
holdings_dict = StateStreetHoldings.retrieve_data(
'THRK', datetime.now(), True
)
self.assertEqual(holdings_dict['Ticker Symbol'], 'THRK')
self.assertEqual(holdings_dict['Fund Name'], u'SPDR Russell 3000® ETF')
# Interesting story: the fund is not required to actually invest in all
# 3000 Russell equities, but just seeks to track the index in general.
# That's why the test is against 2000, not 3000.
# This also means that we can't check lists of say iShares against this
# because they're not guaranteed to be consistent.
self.assertGreaterEqual(len(holdings_dict['holdings']), 2000)