class MoexUpdatable(Updatable):
def __init__(self, model_launcher, flavor):
self.model_launcher = model_launcher
self.session = CachedSession()
def download_date(self, date):
request = Request(
method='GET',
url='https://www.moex.com/ru/derivatives/open-positions-csv.aspx',
params={
'd':
dt.datetime(date.year, date.month, date.day).strftime("%Y%m%d")
},
headers={'User-Agent': 'Mozilla/5.0'})
request = self.session.prepare_request(request)
response = self.session.send(request)
df = pd.read_csv(StringIO(response.text), parse_dates=['moment'])
if df.empty:
remove_from_cache(self.session, request)
return pd.DataFrame()
df = df.rename(columns={'moment': 'Date', 'isin': 'code'})
df.name = df.apply(lambda row: '{} ({})'.format(
row['name'], MOEX['ct_mapping'][row['contract_type']]),
axis=1)
df.iz_fiz.fillna(0, inplace=True)
keys = ('Date', 'name')
groups = df.groupby(keys)
df = pd.DataFrame([{
**{
'{}{}'.format(MOEX['phys_mapping'][row['iz_fiz']], value): row[key]
for i, row in content.iterrows() for key, value in MOEX['csv_mapping'].items(
)
},
**dict(zip(keys, group))
} for group, content in groups])
return df
def initial_fill(self):
return self.fill(MOEX['first_date'], dt.date.today())
def fill(self, first, last):
return concat(
[self.download_date(date) for date in pd.date_range(first, last)])
def range(self):
return reduce_ranges([
active.range()
for active in active_iterator(MOEX, self.model_launcher)
])
def write_update(self, data):
if not data.empty:
Platforms(self.model_launcher,
MOEX['name']).write_single(MOEX['platform_code'],
'Moscow exchange')
actives_table = WeeklyActives(self.model_launcher, MOEX['name'])
groups = data.groupby('name')
actives_table.write_df(
pd.DataFrame([(MOEX['platform_code'], active)
for active in groups.groups.keys()],
columns=("PlatformCode", "ActiveName")))
for group, content in groups:
Active(self.model_launcher, MOEX, MOEX['platform_code'], group,
content.drop('name', axis=1)).update()
