1 files changed, 46 insertions, 0 deletions
diff --git a/python/markit/cds.py b/python/markit/cds.py
new file mode 100644
index 00000000..7fede498
--- /dev/null
+++ b/python/markit/cds.py
@@ -0,0 +1,46 @@
+import io
+import logging
+import os
+import requests
+import shutil
+import zipfile
+from common import root
+from pandas.tseries.offsets import BDay
+
+logger = logging.getLogger(__name__)
+
+def convertToNone(v):
+    return v if v else None
+
+def download_cds_data(payload):
+    r = requests.get('https://www.markit.com/export.jsp', params=payload)
+    f2 = open(os.path.join(root, "Tranche_data", "CDS", "cds eod {0}.csv".format(payload['date'])), "wb")
+    with zipfile.ZipFile(io.BytesIO(r.content)) as z:
+        for f in z.namelist():
+            if "csv" in f:
+                f1 = z.open(f)
+                next(f1)
+                next(f1)
+                shutil.copyfileobj(f1, f2)
+                f1.close()
+    f2.close()
+
+def download_composite_data(payload, historical=False):
+    ## if historical, we want to maintain the invariant mtime(f)== payload['date'] + BDay(1)
+    if historical:
+        ts = datetime.datetime.strptime(payload['date'], "%Y%m%d") + BDay(1)
+        ts = ts.timestamp()
+    for report in ['COMPOSITES', 'TRANCHE_COMPOSITES']:
+        for family in ['CDX', 'ITRAXX-EUROPE']:
+            payload.update({'family': family, 'report': report})
+            r = requests.get('https://www.markit.com/export.jsp', params=payload)
+            try:
+                with zipfile.ZipFile(io.BytesIO(r.content)) as z:
+                    for f in z.namelist():
+                        if "csv" in f:
+                            path = z.extract(f, path=os.path.join(root, "Tranche_data", "Composite_reports"))
+                            if historical:
+                                os.utime(path, (ts, ts))
+            except zipfile.BadZipfile:
+                logger.error(r.content)
+                continue