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
56
|
import requests
from common import root
import os
import csv
import sys
import zipfile, io
import shutil
import pandas as pd
from pandas.tseries.offsets import BDay
def convertToNone(v):
return v if v else None
def download_cds_data(payload):
r = requests.get('https://www.markit.com/export.jsp', params=payload)
f2 = open(os.path.join(root, "Tranche_data", "CDS", "cds eod {0}.csv".format(payload['date'])), "wb")
with zipfile.ZipFile(io.BytesIO(r.content)) as z:
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):
for report in ['COMPOSITES', 'TRANCHE_COMPOSITES']:
for family in ['CDX', 'ITRAXX-EUROPE']:
payload.update({'family': family, 'report': report})
r = requests.get('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:
z.extract(f, path=os.path.join(root, "Tranche_data", "Composite_reports"))
except zipfile.BadZipFile:
print(r.content)
continue
if __name__=="__main__":
if len(sys.argv) > 1:
workdate = pd.datetime.strptime(sys.argv[1], "%Y-%m-%d").date()
else:
workdate = pd.datetime.today()-BDay(1)
workdate = pd.datetime.strftime(workdate, "%Y%m%d")
payload = {'user': 'GuillaumeHorel',
'password': 'password',
'version': '5',
'format': 'csv',
'report': 'FIXED_COUPON',
'date': workdate,
'type': 'CDS'}
download_cds_data(payload)
payload.update({'type':'CredIndex','version':4})
download_composite_data(payload)
|
