def exch_info(ticker: str) -> pd.Series:
"""
Exchange info for given ticker
Args:
ticker: ticker or exchange
Returns:
pd.Series
Examples:
>>> exch_info('SPY US Equity')
tz America/New_York
allday [04:00, 20:00]
day [09:30, 16:00]
pre [04:00, 09:30]
post [16:01, 20:00]
dtype: object
>>> exch_info('ES1 Index')
tz America/New_York
allday [18:00, 17:00]
day [08:00, 17:00]
dtype: object
>>> exch_info('Z 1 Index')
tz Europe/London
allday [01:00, 21:00]
day [01:00, 21:00]
dtype: object
>>> exch_info('TESTTICKER Corp').empty
True
>>> exch_info('US')
tz America/New_York
allday [04:00, 20:00]
day [09:30, 16:00]
pre [04:00, 09:30]
post [16:01, 20:00]
dtype: object
"""
logger = logs.get_logger(exch_info, level='debug')
if ' ' not in ticker.strip():
ticker = f'XYZ {ticker.strip()} Equity'
info = param.load_info(cat='exch').get(
market_info(ticker=ticker).get('exch', ''), dict())
if ('allday' in info) and ('day' not in info):
info['day'] = info['allday']
if any(req not in info for req in ['tz', 'allday', 'day']):
logger.error(f'required exchange info cannot be found in {ticker} ...')
return pd.Series()
for ss in ValidSessions:
if ss not in info: continue
info[ss] = [param.to_hour(num=s) for s in info[ss]]
return pd.Series(info)
def ccy_pair(local, base='USD') -> CurrencyPair:
"""
Currency pair info
Args:
local: local currency
base: base currency
Returns:
CurrencyPair
Examples:
>>> ccy_pair(local='HKD', base='USD')
CurrencyPair(ticker='HKD Curncy', factor=1.0, power=1)
>>> ccy_pair(local='GBp')
CurrencyPair(ticker='GBP Curncy', factor=100, power=-1)
>>> ccy_pair(local='USD', base='GBp')
CurrencyPair(ticker='GBP Curncy', factor=0.01, power=1)
>>> ccy_pair(local='XYZ', base='USD')
CurrencyPair(ticker='', factor=1.0, power=1)
>>> ccy_pair(local='GBP', base='GBp')
CurrencyPair(ticker='', factor=0.01, power=1)
>>> ccy_pair(local='GBp', base='GBP')
CurrencyPair(ticker='', factor=100.0, power=1)
"""
ccy_param = param.load_info(cat='ccy')
if f'{local}{base}' in ccy_param:
info = ccy_param[f'{local}{base}']
elif f'{base}{local}' in ccy_param:
info = ccy_param[f'{base}{local}']
info['factor'] = 1. / info.get('factor', 1.)
info['power'] = -info.get('power', 1)
elif base.lower() == local.lower():
info = dict(ticker='')
info['factor'] = 1.
if base[-1].lower() == base[-1]:
info['factor'] /= 100.
if local[-1].lower() == local[-1]:
info['factor'] *= 100.
else:
logger = logs.get_logger(ccy_pair)
logger.error(f'incorrect currency - local {local} / base {base}')
return CurrencyPair(ticker='', factor=1., power=1)
if 'factor' not in info: info['factor'] = 1.
if 'power' not in info: info['power'] = 1
return CurrencyPair(**info)
def market_info(ticker: str) -> dict:
"""
Get info for given market
Args:
ticker: Bloomberg full ticker
Returns:
dict
Examples:
>>> info = market_info('SHCOMP Index')
>>> info['exch']
'EquityChina'
>>> info = market_info('ICICIC=1 IS Equity')
>>> info['freq'], info['is_fut']
('M', True)
>>> info = market_info('INT1 Curncy')
>>> info['freq'], info['is_fut']
('M', True)
>>> info = market_info('CL1 Comdty')
>>> info['freq'], info['is_fut']
('M', True)
>>> # Wrong tickers
>>> market_info('C XX Equity')
{}
>>> market_info('XXX Comdty')
{}
>>> market_info('Bond_ISIN Corp')
{}
>>> market_info('XYZ Index')
{}
>>> market_info('XYZ Curncy')
{}
"""
t_info = ticker.split()
assets = param.load_info('assets')
# ========================== #
# Equity #
# ========================== #
if (t_info[-1] == 'Equity') and ('=' not in t_info[0]):
exch = t_info[-2]
for info in assets.get('Equity', [dict()]):
if 'exch_codes' not in info: continue
if exch in info['exch_codes']: return info
return dict()
# ============================ #
# Currency #
# ============================ #
if t_info[-1] == 'Curncy':
for info in assets.get('Curncy', [dict()]):
if 'tickers' not in info: continue
if (t_info[0].split('+')[0] in info['tickers']) or \
(t_info[0][-1].isdigit() and (t_info[0][:-1] in info['tickers'])):
return info
return dict()
if t_info[-1] == 'Comdty':
for info in assets.get('Comdty', [dict()]):
if 'tickers' not in info: continue
if t_info[0][:-1] in info['tickers']: return info
return dict()
# =================================== #
# Index / Futures #
# =================================== #
if (t_info[-1] == 'Index') or ((t_info[-1] == 'Equity') and
('=' in t_info[0])):
if t_info[-1] == 'Equity':
tck = t_info[0].split('=')[0]
else:
tck = ' '.join(t_info[:-1])
for info in assets.get('Index', [dict()]):
if 'tickers' not in info: continue
if (tck[:2] == 'UX') and ('UX' in info['tickers']): return info
if tck in info['tickers']:
if t_info[-1] == 'Equity': return info
if not info.get('is_fut', False): return info
if tck[:-1].rstrip() in info['tickers']:
if info.get('is_fut', False): return info
return dict()
if t_info[-1] == 'Corp':
for info in assets.get('Corp', [dict()]):
if 'ticker' not in info: continue
return dict()