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
57
58
59
60
61
62
63
|
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
from db import serenitasdb
from import_quotes import insert_cds, insert_index
from sqlalchemy import create_engine
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")
else:
workdate = pd.datetime.today()-BDay(1)
strworkdate = pd.datetime.strftime(workdate, "%Y%m%d")
payload = {'user': 'GuillaumeHorel',
'password': 'password',
'version': '5',
'format': 'csv',
'report': 'FIXED_COUPON',
'date': strworkdate,
'type': 'CDS'}
download_cds_data(payload)
payload.update({'type':'CredIndex','version':4})
download_composite_data(payload)
engine = create_engine('postgresql://serenitas_user@debian/serenitasdb')
insert_cds(serenitasdb, workdate.date())
insert_index(engine, workdate.date())
serenitasdb.close()
|
