diff options
Diffstat (limited to 'python/parse_gs.py')
| -rw-r--r-- | python/parse_gs.py | 44 |
1 files changed, 44 insertions, 0 deletions
diff --git a/python/parse_gs.py b/python/parse_gs.py new file mode 100644 index 00000000..30e04b04 --- /dev/null +++ b/python/parse_gs.py @@ -0,0 +1,44 @@ +import pandas as pd +import pdb +import re + +with open("example") as fh: + flag = False + masterdf = {} + for line in fh: + line = line.lstrip() + if line.startswith("At"): + quotedate = pd.to_datetime(line[4:]) + if line.startswith("Expiry"): + m = re.match("Expiry (\d{2}\w{3}\d{2}) \(([^\t]+) ([^t]+)\)", line) + if m: + date, fwprice, fwspread = m.groups() + date = pd.datetime.strptime(date, '%d%b%y') + continue + if line.startswith("Stk"): + flag = True + r = [] + continue + if flag: + if line: + vals = re.sub(" +", " ", line).split(" ") + vals.pop(2) + vals.pop(9) + r.append(vals) + continue + else: + df = pd.DataFrame.from_records(r, + columns = ['Stk', 'Sprd', 'Pay', 'Delta', 'Rec', 'Vol', + 'VolChg', 'VolBpd', 'Tail']) + df['forward'] = float(fwprice) + df['spread'] = float(fwspread) + df[['PayBid', 'PayOffer']] = df.Pay.str.split('/').apply(pd.Series) + df[['RecBid', 'RecOffer']] = df.Rec.str.split('/').apply(pd.Series) + df.drop(['Pay', 'Rec'], axis=1, inplace=True) + df = df.convert_objects(convert_numeric=True) + df.set_index('Stk', inplace=True) + masterdf[date]=df + flag = False + r = [] + continue + masterdf = pd.concat(masterdf) |