diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/markit_red.py | 98 |
1 files changed, 64 insertions, 34 deletions
diff --git a/python/markit_red.py b/python/markit_red.py index ff01b622..c2461b9a 100644 --- a/python/markit_red.py +++ b/python/markit_red.py @@ -3,45 +3,75 @@ from lxml import etree import requests, io, zipfile, shutil from common import root import os +from db import serenitasdb -user = 'GuillaumeHorel' -password = 'password' - - -for report in ['REDEntity', 'REDObligation', 'REDEntityDelta', 'REDObligationDelta', - 'REDObligationPreferred', 'CredIndexAnnex', 'CredIndexAnnexSplit', - 'REDIndexCodes']: - payload = {'user': user, - 'password': password, - 'report':report, - 'version':9} - if report in ['CredIndexAnnex', 'CredIndexAnnexSplit']: - #payload['family']='CDX' - payload['family'] = 'ITRAXX-EUROPE' +def request_payload(payload): r = requests.get('https://www.markit.com/export.jsp', params=payload) + res = [] with zipfile.ZipFile(io.BytesIO(r.content)) as z: for f in z.namelist(): - if "xml" in f: + if f.endswith("xml"): z.extract(f, path=os.path.join(root, "Tranche_data", "RED_reports")) + res.append(f) + return res + +def download_report(report): + version = 10 if 'Entity' in report else 9 + payload = {'user': 'GuillaumeHorel', + 'password': 'password', + 'version': version, + 'report': report} + r = [] + if report in ['CredIndexAnnex', 'CredIndexAnnexSplit']: + for family in ['CDX', 'ITRAXX-EUROPE']: + payload.update({'family': family}) + r += request_payload(payload) + else: + r += request_payload(payload) + return r + +def update_redcodes(fname): + with open(os.path.join(root, "Tranche_data", "RED_reports", fname)) as fh: + et = etree.parse(fh) + r = [] + for indextype in ['HY', 'IG', 'EU']: + if indextype in ['HY', 'IG']: + subfamily = 'CDX.NA.{0}'.format(indextype) + else: + subfamily = 'iTraxx Europe' + for index in et.xpath("./index/indexsubfamily[text()='{0}']/..".format(subfamily)): + r.append([indextype] + [index.find(tag).text for tag in \ + ['series', 'version', 'redindexcode', 'indexfactor']]) + sqlstr = """UPDATE index_version SET redindexcode=%s + where index=%s and series=%s and version=%s and indexfactor=%s""" + with serenitasdb.cursor() as c: + c.executemany(sqlstr, [tuple([e[3], e[0], e[1], e[2], float(e[4])*100]) for e in r]) + serenitasdb.commit() -basedir = os.path.join(root, "Tranche_Data", "Red") -fh = open(os.path.join(root, "Tranche_Data", "Red_reports", "V9 Red Indices1416860143432.xml")) -e = etree.parse(fh) -root = e.getroot() +def update_redindices(fname): + basedir = os.path.join(root, "Tranche_Data", "Red") + with open(os.path.join(basedir, fname)) as fh: + e = etree.parse(fh) + root = e.getroot() + headers = ['referenceentity', 'redentitycode', 'role', 'redpaircode', 'jurisdiction', + 'tier','pairiscurrent', 'pairvalidto', 'pairvalidfrom', 'ticker', + 'ispreferred', 'isdatransactiontype', 'docclause','recorddate', + 'publiccomments','weight'] + for c in root.findall('index'): + names = [c.find(tag) for tag in ['indexsubfamily', 'series', 'version']] + with open( os.path.join(basedir, "{0}.{1}.V{2}.csv".format(*names)), "w") as fh2: + csvwriter = csv.DictWriter(fh2, fieldnames=headers) + csvwriter.writeheader() + data = [] + for constituent in c.findall('.//originalconstituent'): + data.append({l.tag: l.text for l in constituent}) + data = sorted(data, key=lambda x: x['referenceentity']) + csvwriter.writerows(data) -for c in root.findall('index'): - with open( os.path.join(basedir, "{0}.{1}.V{2}.csv".format(c.find('indexsubfamily').text, - c.find('series').text, - c.find('version').text)), "w") as fh2: - headers = ['referenceentity', 'redentitycode', 'role', 'redpaircode', 'jurisdiction', - 'tier','pairiscurrent', 'pairvalidto', 'pairvalidfrom', 'ticker', - 'ispreferred', 'isdatransactiontype', 'docclause','recorddate','publiccomments','weight'] - csvwriter = csv.DictWriter(fh2, fieldnames=headers) - csvwriter.writeheader() - data = [] - for constituent in c.findall('.//originalconstituent'): - data.append({l.tag: l.text for l in constituent}) - data = sorted(data, key=lambda x: x['referenceentity']) - csvwriter.writerows(data) -fh.close() +if __name__=="__main__": + report_list = ['REDEntity', 'REDObligation', 'REDEntityDelta', 'REDObligationDelta', + 'REDObligationPreferred', 'CredIndexAnnex', 'CredIndexAnnexSplit', + 'REDIndexCodes'] + fname = download_report("REDIndexCodes") + #update_redcodes(fname) |