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import json
import datetime
import requests
import sys
ticker = "GE"
monthcodes = ["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"]
d = datetime.date.today().day
m = datetime.date.today().month
y = datetime.date.today().year
def nextIMMDates(startdate, length = 8):
y = startdate.year
r = []
for y in range(startdate.year, startdate.year + 10):
for m in [3, 6, 9, 12]:
wednesdays = [datetime.date(y, m, i) for i in range(15, 22) \
if datetime.date(y, m, i).weekday()==2]
immdate = wednesdays[0]
if immdate > startdate:
r.append(immdate)
if len(r) == 8:
return r
# get next 8 futures maturities
contracts = ["GE" + monthcodes[d.month-1] + str(d.year)[-1:] for d in nextIMMDates(datetime.date.today())]
if sys.version_info >= (3,3):
ts = int(datetime.date.today().timestamp()*1000)
else:
ts = datetime.datetime.strftime(datetime.date.today(), '%s') + '000'
uri = "http://www.cmegroup.com/CmeWS/md/MDServer/V1/Venue/G/Exchange/XCME/FOI/FUT/Product/GE?currentTime={0}&contractCDs={1}".format(ts, ",".join(contracts))
r = requests.get(uri)
quotes = json.loads(r.text)
with open("futures-{0}.csv".format(datetime.date.today()), "w") as fh:
for q in quotes[u'marketDataInfoAsStringList'][u'message']:
fh.write("{0}, {1}\n".format(q['ticker'], q['tradePrice']))
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