1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
|
import io
import logging
import os
import requests
import shutil
import zipfile
import time
from pandas.tseries.offsets import BDay
import pandas as pd
logger = logging.getLogger(__name__)
def convertToNone(v):
return v if v else None
def download_cds_data(payload):
r = requests.post('https://www.markit.com/export.jsp', params=payload)
with zipfile.ZipFile(io.BytesIO(r.content)) as z:
f2 = open(os.path.join(os.environ['BASE_DIR'], "Tranche_data", "CDS",
"cds eod {0}.csv".format(payload['date'])), "wb")
for f in z.namelist():
if "csv" in f:
f1 = z.open(f)
next(f1)
next(f1)
shutil.copyfileobj(f1, f2)
f1.close()
f2.close()
def download_composite_data(payload, historical=False):
# if historical, we want to maintain the invariant mtime(f)== payload['date'] + BDay(1)
if historical:
ts = (pd.Timestamp(payload['date']) + BDay(1)).timestamp()
for report in ['COMPOSITES', 'TRANCHE_COMPOSITES']:
for family in ['CDX', 'ITRAXX-EUROPE']:
payload.update({'family': family, 'report': report})
while True:
r = requests.post('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:
path = z.extract(f, path=os.path.join(os.environ['BASE_DIR'],
"Tranche_data",
"Composite_reports"))
if historical:
os.utime(path, (ts, ts))
except zipfile.BadZipfile:
logger.error(r.content)
time.sleep(5)
continue
else:
break
|
