diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/markit_cds.py | 35 |
1 files changed, 27 insertions, 8 deletions
diff --git a/python/markit_cds.py b/python/markit_cds.py index 01a13532..eb772fdf 100644 --- a/python/markit_cds.py +++ b/python/markit_cds.py @@ -8,16 +8,12 @@ import sys import zipfile, io
import shutil
-user = 'GuillaumeHorel'
-password = 'password'
-
def convertToNone(v):
return v if v else None
-def download_data(workdate):
- r = requests.get('https://www.markit.com/export.jsp?user={0}&password={1}&date={2}&format=csv&report=FIXED_COUPON&type=CDS&version=5'.format(user, password, workdate))
- marks_filename = os.path.join(root, "Tranche_data", "CDS", "eod {0}.zip".format(workdate))
- f2 = open(os.path.join(root, "Tranche_data", "CDS", "cds eod {0}.csv".format(workdate)), "wb")
+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:
@@ -28,10 +24,33 @@ def download_data(workdate): f1.close()
f2.close()
+def download_composite_data(payload):
+ 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:
+ z.extract(f, path=os.path.join(root, "Tranche_data", "Composite_reports"))
+ except zipfile.BadZipFile:
+ print(r.content)
+ continue
+
if __name__=="__main__":
if len(sys.argv) > 1:
workdate = datetime.datetime.strptime(sys.argv[1], "%Y-%m-%d").date()
else:
workdate = datetime.date.today()
workdate = datetime.datetime.strftime(workdate, "%Y%m%d")
- download_data(workdate)
+ payload = {'user': 'GuillaumeHorel',
+ 'password': 'password',
+ 'version': '5',
+ 'format': 'csv',
+ 'report': 'FIXED_COUPON',
+ 'date': workdate,
+ 'type': 'CDS'}
+ download_cds_data(payload)
+ payload.update({'type':'CredIndex','version':4})
+ download_composite_data(payload)
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