import datetime import io import pandas as pd import requests import zipfile from pathlib import Path def download_credit_slices(d: datetime.date) -> None: for i in range(1, 400): url = f"https://kgc0418-tdw-data2-0.s3.amazonaws.com/slices/SLICE_CREDITS_{d:%Y_%m_%d}_{i}.zip" r = requests.get(url) if r.status_code != 200: continue with zipfile.ZipFile(io.BytesIO(r.content)) as z: z.extractall() def download_cumulative_credit(d: datetime.date) -> None: url = f"https://kgc0418-tdw-data2-0.s3.amazonaws.com/slices/CUMULATIVE_CREDITS_{d:%Y_%m_%d}.zip" r = requests.get(url) if r.status_code != 200: return with zipfile.ZipFile(io.BytesIO(r.content)) as z: z.extractall(path="/home/serenitas/CorpCDOs/data/DTCC") def load_option_data(): base_dir = Path("/home/serenitas/CorpCDOs/data/DTCC/") df = pd.concat([ pd.read_csv(f, parse_dates=["EXECUTION_TIMESTAMP", "EFFECTIVE_DATE", "END_DATE"]) for f in base_dir.glob("*.csv")]) df = df[df.OPTION_FAMILY.notnull()] df = df.dropna(axis=1, how='all') del df["ASSET_CLASS"] del df["OPTION_FAMILY"] for col in ["INDICATION_OF_END_USER_EXCEPTION", "INDICATION_OF_OTHER_PRICE_AFFECTING_TERM", "BLOCK_TRADES_AND_LARGE_NOTIONAL_OFF-FACILITY_SWAPS"]: df[col] = df[col].map({"N": False, "Y": True}) for col in ["ACTION", "CLEARED", "PRICE_NOTATION_TYPE", "OPTION_TYPE", "OPTION_CURRENCY", "INDICATION_OF_COLLATERALIZATION", "EXECUTION_VENUE", "DAY_COUNT_CONVENTION", "NOTIONAL_CURRENCY_1", "SETTLEMENT_CURRENCY"]: df[col] = df[col].astype("category") for col in ["OPTION_PREMIUM", "PRICE_NOTATION", "OPTION_STRIKE_PRICE"]: df[col] = df[col].str.replace(",", "").astype("float") df.UNDERLYING_ASSET_1 = df.UNDERLYING_ASSET_1.str.rsplit(":", n=1, expand=True)[1] for col in ["EFFECTIVE_DATE", "OPTION_EXPIRATION_DATE", "OPTION_LOCK_PERIOD"]: df[col+"_parsed"] = pd.to_datetime(df[col], errors="coerce") df.ORIGINAL_DISSEMINATION_ID = df.ORIGINAL_DISSEMINATION_ID.astype("Int64") return df if __name__ == "__main__": pass # dr = pd.bdate_range("2018-01-01", "2019-02-11") # for d in dr: # download_cumulative_credit(d)