diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/api_quotes/api.py | 7 | ||||
| -rw-r--r-- | python/api_quotes/quotes.py | 7 |
2 files changed, 9 insertions, 5 deletions
diff --git a/python/api_quotes/api.py b/python/api_quotes/api.py index 1857a3ac..60fce5e6 100644 --- a/python/api_quotes/api.py +++ b/python/api_quotes/api.py @@ -30,17 +30,20 @@ class MarkitAPI: "limit": 1000, "sortBy": "receivedDateTime", "descending": "true", + "dateformat": "MILLISECONDSSINCEEPOCH", } if after: - params["after"] = f'1653286316000,"{asset_class}-9480-{after}"' + params["after"] = after path = posixpath.join("parsing", "Quote", service) url = urljoin(cls.base_url, path) r = requests.get(url, params) + print(params) return cls.read_api(r) @staticmethod def read_api(r): df = pd.DataFrame.from_dict(json.loads(r.text)) + if df.empty: + return df.columns = df.columns.str.lower() - df[df["confidence"] == 10] return df.to_dict(orient="records") diff --git a/python/api_quotes/quotes.py b/python/api_quotes/quotes.py index bc951aa8..dc5d856c 100644 --- a/python/api_quotes/quotes.py +++ b/python/api_quotes/quotes.py @@ -3,6 +3,7 @@ from dataclasses import dataclass, field import datetime from typing import Literal from serenitas.utils.db2 import dbconn +import datetime firmness = Literal["FIRM", "INDICATIVE"] asset_class = Literal["CD"] @@ -33,7 +34,7 @@ class Quote(Deal, table_name="markit_quotes", deal_type=None): asksize: float firmness: firmness msg_id: str - quotedate: datetime + quotedate: datetime.datetime quotesource: str @classmethod @@ -43,7 +44,7 @@ class Quote(Deal, table_name="markit_quotes", deal_type=None): int(d["maturityyear"]), int(d["maturitymonth"]), int(d["maturityday"]) ), "msg_id": d["message"]["id"], - "quotedate": d["receiveddatetime"], + "quotedate": datetime.datetime.fromtimestamp(d["receiveddatetime"] / 1000), "quotesource": d["sourceshortname"], "tenor": f"{d['tenor']}Y", } @@ -57,5 +58,5 @@ class Quote(Deal, table_name="markit_quotes", deal_type=None): Quote.init_dbconn(dbconn("serenitasdb")) Quote._sql_insert = Quote._sql_insert.replace( - "RETURNING *", "ON CONFLICT DO NOTHING RETURNING *" + "RETURNING *", "ON CONFLICT (quoteid) DO NOTHING RETURNING *" ) |