import csv from lxml import etree import requests, io, zipfile, shutil import os from db import with_connection, dbengine import pandas as pd def request_payload(payload): r = requests.get('https://www.markit.com/export.jsp', params=payload) res = [] path = os.path.join(os.environ['BASE_DIR'], "Tranche_data", "RED_reports") if 'Delta' in payload['report']: path = os.path.join(path, "Deltas") with zipfile.ZipFile(io.BytesIO(r.content)) as z: for f in z.namelist(): if f.endswith("xml"): z.extract(f, path=path) 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} if report in ['CredIndexAnnex', 'CredIndexAnnexSplit']: for family in ['CDX', 'ITRAXX-EUROPE']: payload.update({'family': family}) return request_payload(payload) else: return request_payload(payload) @with_connection('serenitasdb') def update_redcodes(conn, fname): with open(os.path.join(os.environ['BASE_DIR'], "Tranche_data", "RED_reports", fname)) as fh: et = etree.parse(fh) data_version = [] data_maturity = [] for index in et.iter('index'): temp = {c.tag: c.text for c in index if c.tag not in ['terms', 'paymentfrequency']} data_version.append(temp) for term in index.iter('term'): d = {'redindexcode': temp['redindexcode']} d.update({c.tag: c.text for c in term}) data_maturity.append(d) df_maturity = pd.DataFrame(data_maturity) df_version = pd.DataFrame(data_version) df_version['activeversion'] = df_version['activeversion'].map({'Y': True, None: False}) df_maturity.tenor = df_maturity['tenor'].map(lambda s: s.lower() + 'r') df_maturity.coupon = (pd.to_numeric(df_maturity.coupon) * 10000).astype(int) serenitas_engine = dbengine('serenitasdb') df_version.to_sql("index_version_markit", serenitas_engine, index=False, if_exists='append') df_maturity.to_sql("index_maturity_markit", serenitas_engine, index=False, if_exists='append') def update_redindices(fname): basedir = os.path.join(os.environ['BASE_DIR'], "Tranche_data", "RED_reports") 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).text 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) if __name__=="__main__": fname = download_report("REDIndexCodes") update_redcodes(fname[0]) # f1, f2 = download_report("CredIndexAnnex") # update_redindices(f1) # update_redindices(f2) # report_list = ['REDEntity', 'REDObligation', 'REDObligationPreferred'] # for report in report_list: # download_report(report) # report_list = ['REDEntityDelta', 'REDObligationDelta'] # for report in report_list: # fname = download_report(report)