def main() -> None:
# df = pd.read_json(filename)
GsSession.use(
Environment.PROD, '77d7c80dec0b44e9868dfaa3a7e2cb36',
'4edbc70b2249de3ddc9f303bb373575cb06839fb6857570648fdb772ccf8e377',
('read_product_data', ))
ds_ecdc = Dataset('COVID19_COUNTRY_DAILY_ECDC')
ds_who = Dataset('COVID19_COUNTRY_DAILY_WHO')
data_who = ds_who.get_data(datetime.date(2020, 1, 21),
countryId=["US", "GB", "IN", "BR", "NG", "NZ"])
df_ecdc = ds_ecdc.get_data(start=datetime.date(2019, 12, 31),
end=datetime.date(2020, 6, 18),
countryId=["US", "GB", "BR", "NZ", "IN", "NG"])
df_ecdc["casePopulation"] = df_ecdc["newConfirmed"] / df_ecdc["population"]
df_ecdc['rateOfChange'] = (
df_ecdc['newConfirmed'] -
df_ecdc['newConfirmed'].shift()) / df_ecdc['newConfirmed'].shift()
df_ecdc['rateOfChange'] = df_ecdc['rateOfChange'].fillna(0)
print(data_who)
app = render_app(df_ecdc, data_who)
app.run_server(port=2000)
def get_data(self, state: Union[datetime.date, datetime.datetime] = None):
if self._loaded_data is None:
ds = Dataset(self._data_set)
if self._min_date:
self._loaded_data = ds.get_data(self._min_date,
self._max_date,
assetId=(self._asset_id, ))
else:
return ds.get_data(
state, state,
assetId=(self._asset_id, ))[self._value_header]
return self._loaded_data[self._value_header].at[pd.to_datetime(state)]
def __get_direct_underliers(self, asset_id, dataset) -> pd.DataFrame:
"""
Queries the dataset for the date passed during initialisation. If date isn't passed, returns the data of the
latest available date.
"""
ds = Dataset(dataset)
if self.date:
query = ds.get_data(start=self.date, end=self.date, assetId=[asset_id]).drop_duplicates()
else:
query = ds.get_data(assetId=[asset_id]).drop_duplicates()
if len(query) > 0:
self.date = query.index.max().date()
query = query[query.index == query.index.max()].reset_index()
return query
def get_data(self, state):
if self._loaded_data is None:
ds = Dataset(self._data_set)
self._loaded_data = ds.get_data(self._min_date or state,
self._max_date or state,
assetId=(self._asset_id, ))
return self._loaded_data[self]
def get_data(self, state: Union[datetime.date, datetime.datetime] = None):
if self._loaded_data is None:
ds = Dataset(self._data_set)
self._loaded_data = ds.get_data(self._min_date or state,
self._max_date or state,
assetId=(self._asset_id, ))
return self._loaded_data[self._value_header]
def populate_values(self, dataset, value_column, underlier_column):
ds = Dataset(dataset)
query = ds.get_data(start=self.date, end=self.date, assetId=[self.id])
if len(query) > 0:
for node in self.direct_underlier_assets_as_nodes:
value = query.loc[query[underlier_column] == node.id][value_column].iloc[0]
node.data[value_column] = value
node.populate_values(dataset, value_column, underlier_column)
def holidays(self) -> set:
if self.__calendars and not self.__holidays_loaded:
dataset = Dataset(Dataset.GS.HOLIDAY)
data = dataset.get_data(exchange=self.__calendars, start=self.DATE_LOW_LIMIT, end=self.DATE_HIGH_LIMIT)
if not data.empty:
self.__holidays.update(data.index.values.astype('datetime64[D]'))
self.__holidays_loaded = True
return self.__holidays
def get_fx_spot_series(self) -> pd.Series:
ds = Dataset('WMFXSPOT')
coverage = ds.get_coverage()
cross = self.currency + '/' + self.source_asset.currency
asset_id = coverage[coverage['name'] == cross]['assetId'].values[0]
time_series = ds.get_data(assetId=asset_id,
start=dt.date(1970, 1, 1))['midPrice']
time_series = time_series[~time_series.index.duplicated(keep='last')]
time_series.name = cross
return time_series
def _remote_load(self) -> DataFrame:
dataset = Dataset(
'COVID19_COUNTRY_DAILY_WHO') # initialize the dataset
try:
frame = dataset.get_data(countryId='US', start=date(
2019, 1, 1)) # pull the US data into a Pandas dataframe
except MqRequestError:
frame = DataFrame()
frame.reset_index(inplace=True)
return frame
def test_query_data_types(mocker):
mocker.patch("gs_quant.api.gs.data.GsDataApi.query_data",
return_value=test_data)
mocker.patch("gs_quant.api.gs.data.GsDataApi.get_types",
return_value=test_types)
dataset = Dataset(Dataset.TR.TREOD)
data = dataset.get_data(dt.date(2019, 1, 2),
dt.date(2019, 1, 9),
assetId='MA4B66MW5E27U8P32SB')
assert data.equals(
GsDataApi.construct_dataframe_with_types(str(Dataset.TR.TREOD),
test_data))
def build_eq_vol_scenario_eod(
asset_name: str,
source_dataset: str,
ref_spot: float = None,
asset_name_type: AssetIdentifier = AssetIdentifier.REUTERS_ID,
vol_date: date = date.today()
) -> MarketDataVolShockScenario:
asset = SecurityMaster.get_asset(asset_name, asset_name_type)
vol_dataset = Dataset(source_dataset)
vol_data = vol_dataset.get_data(assetId=[asset.get_marquee_id()],
strikeReference='forward',
startDate=vol_date,
endDate=vol_date)
asset_ric = asset.get_identifier(AssetIdentifier.REUTERS_ID)
return MarketDataVolShockScenario.from_dataframe(asset_ric, vol_data,
ref_spot)
def volatility_screen(crosses, start_date, end_date, tenor='3m', plot=True):
fxspot_dataset, fxvol_dataset = Dataset('FXSPOT'), Dataset('FXIMPLIEDVOL')
spot_data, impvol_data, spot_fx, data = {}, {}, {}, {}
for cross in crosses:
spot = fxspot_dataset.get_data(start_date, end_date, bbid=cross)[[
'spot'
]].drop_duplicates(keep='last')
spot_fx[cross] = spot['spot']
spot_data[cross] = volatility(spot['spot'], tenor) # realized vol
vol = fxvol_dataset.get_data(start_date,
end_date,
bbid=cross,
tenor=tenor,
deltaStrike='DN',
location='NYC')[['impliedVolatility']]
impvol_data[cross] = vol.drop_duplicates(keep='last') * 100
spdata, ivdata = format_df(spot_data), format_df(impvol_data)
diff = ivdata.subtract(spdata).dropna()
for cross in crosses:
data[cross] = {
'Spot': last_value(spot_fx[cross]),
'{} Implied'.format(tenor): last_value(ivdata[cross]),
'{} Realized'.format(tenor): last_value(spdata[cross]),
'Diff': last_value(diff[cross]),
'Historical Implied Low': min(ivdata[cross]),
'Historical Implied High': max(ivdata[cross]),
'%-ile': last_value(percentiles(ivdata[cross]))
}
df = pd.DataFrame(data)
vol_screen = df.transpose()
st.write(st.dataframe(vol_screen.style.highlight_max(axis=0)))
if plot:
for fx in vol_screen.index:
plt.scatter(vol_screen.loc[fx]['%-ile'],
vol_screen.loc[fx]['Diff'])
plt.legend(vol_screen.index,
loc='best',
bbox_to_anchor=(0.9, -0.13),
ncol=3)
plt.xlabel('Percentile of Current Implied Vol')
plt.ylabel('Implied vs Realized Vol')
plt.title('Entry Point vs Richness')
st.pyplot(plt)
return
def build_eq_vol_scenario_intraday(
asset_name: str,
source_dataset: str,
ref_spot: float = None,
asset_name_type: AssetIdentifier = AssetIdentifier.REUTERS_ID,
start_time: datetime = datetime.now() - timedelta(hours=1),
end_time: datetime = datetime.now()
) -> MarketDataVolShockScenario:
asset = SecurityMaster.get_asset(asset_name, asset_name_type)
vol_dataset = Dataset(source_dataset)
vol_data = vol_dataset.get_data(assetId=[asset.get_marquee_id()],
strikeReference='forward',
startTime=start_time,
endTime=end_time)
asset_ric = asset.get_identifier(AssetIdentifier.REUTERS_ID)
return MarketDataVolShockScenario.from_dataframe(asset_ric, vol_data,
ref_spot)
def fci(country_id: str,
measure: _FCI_MEASURE = _FCI_MEASURE.FCI,
*,
source: str = None,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Daily Financial Conditions Index (FCI) for each of the world's large economies and many smaller ones,
as well as aggregate FCIs for regions.
:param country_id: id of country/region
:param measure: FCI metric to retrieve
:param source: name of function caller
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: server request id
:return: FCI metric value
"""
if real_time:
raise NotImplementedError('real-time FCI data is not available')
type_ = QueryType(inflection.titleize(measure.value))
if (measure == _FCI_MEASURE.REAL_FCI
or measure == _FCI_MEASURE.REAL_TWI_CONTRIBUTION):
ds = Dataset('FCI')
df = ds.get_data(geographyId=country_id)
if (measure == _FCI_MEASURE.REAL_FCI):
measure = 'realFCI'
else:
measure = 'realTWIContribution'
series = ExtendedSeries(dtype=float) if (
measure not in df.columns) else ExtendedSeries(df[measure])
series.dataset_ids = ('FCI', )
return series
q = GsDataApi.build_market_data_query([country_id],
query_type=type_,
source=source,
real_time=real_time)
df = _market_data_timed(q, request_id)
return _extract_series_from_df(df, type_, True)
""" BROKEN """
import datetime
from credentials.config import GSConfig
from gs_quant.data import Dataset
from gs_quant.session import GsSession, Environment
GsSession.use(Environment.PROD, GSConfig.client_id, GSConfig.client_secret, ('read_product_data',))
ds = Dataset('COVID19_COUNTRY_DAILY_CDC')
data = ds.get_data(start=datetime.date(2020, 1, 21), countryId="US")
print(data.head()) # peek at first few rows of data
def test_query_data_types(query_data, get_types):
query_data.return_value = test_data
get_types.return_value = test_types
dataset = Dataset(Dataset.TR.TREOD)
data = dataset.get_data(dt.date(2019, 1, 2), dt.date(2019, 1, 9), assetId='MA4B66MW5E27U8P32SB')
assert data.equals(construct_dataframe_with_types(str(Dataset.TR.TREOD), test_data))
import datetime
from gs_quant.data import Dataset
from gs_quant.session import GsSession, Environment
GsSession.use(
Environment.PROD, '77d7c80dec0b44e9868dfaa3a7e2cb36',
'4edbc70b2249de3ddc9f303bb373575cb06839fb6857570648fdb772ccf8e377',
('read_product_data', ))
ds = Dataset('COVID19_COUNTRY_DAILY_WIKI')
# data = ds.get_data()
# print(data) # peek at first few rows of data
data = ds.get_data(start=datetime.date(2019, 1, 20),
countryId=["US", "GB", "BR", "NZ", "IN"])
print(data)
# data.reset_index(inplace=True)
# data.to_json(r'wiki.json')
# test API connectivity
request_url = 'https://api.marquee.gs.com/v1/users/self'
request = session.get(url=request_url)
print(request.text)
'''
from datetime import date
from gs_quant.data import Dataset
from gs_quant.markets.securities import SecurityMaster, AssetIdentifier
from gs_quant.session import GsSession
client_id = ''
client_secret = ''
scopes = GsSession.Scopes.get_default()
GsSession.use(client_id=client_id, client_secret=client_secret, scopes=scopes)
ds = Dataset('USCANFPP_MINI')
print (ds)
gsids = ds.get_coverage()['gsid'].values.tolist()
df = ds.get_data(date(2012, 7, 2), date(2017, 6, 30), gsid=gsids[0:5])
print (df)
for idx, row in df.iterrows():
marqueeAssetId = row['assetId']
asset = SecurityMaster.get_asset(marqueeAssetId, AssetIdentifier.MARQUEE_ID)
df.loc[df['assetId'] == marqueeAssetId, 'assetName'] = asset.name
print (df)
for df in dfs['in'].values():
initial_share_price = df['Close'].iloc[0]
df['YTD Gain (%)'] = (df['Close'] -
initial_share_price) / initial_share_price * 100
for df in dfs['out'].values():
initial_share_price = df['Close'].iloc[0]
df['YTD Gain (%)'] = (df['Close'] -
initial_share_price) / initial_share_price * 100
CLIENT_ID = config.CLIENT_ID
CLIENT_SECRET = config.CLIENT_SECRET
START, END = date(2020, 1, 2), date(2020, 12, 11)
GsSession.use(client_id=CLIENT_ID, client_secret=CLIENT_SECRET)
who_dataset = Dataset('COVID19_COUNTRY_DAILY_WHO')
who_data_frame = who_dataset.get_data(countryId='US', start=START, end=END)
app.layout = html.Div([
dcc.Dropdown(id='stock-ticker-input-out',
options=[{
'label': key,
'value': str(key)
} for key in dfs['out'].keys()],
value=[
'SIX',
],
multi=True),
dcc.Graph(id="graph-in"),
dcc.Dropdown(id='stock-ticker-input-in',
options=[{
'label': key,
import plotly.express as px
from dash import dash
from gs_quant.session import GsSession, Environment
from gs_quant.data import Dataset
from datetime import date
from credentials.config import GSConfig
import numpy as np
import pandas as pd
GsSession.use(client_id=GSConfig.client_id,
client_secret=GSConfig.client_secret,
scopes=('read_product_data', ))
dataset = Dataset('COVID19_COUNTRY_DAILY_WHO')
df = dataset.get_data(countryId='US', start=date(2019, 1, 1))
app = dash.Dash(__name__)
app.layout = dash_table.DataTable(
id='table',
columns=[{
"name": i,
"id": i
} for i in df.columns],
data=df.to_dict('records'),
)
if __name__ == '__main__':
app.run_server(debug=True)
# update session headers
session.headers.update({'Authorization':'Bearer '+ access_token})
# test API connectivity
request_url = 'https://api.marquee.gs.com/v1/users/self'
request = session.get(url=request_url)
GsSession.use(Environment.PROD, client_id, client_secret, ('read_product_data',))
##################################################################
##################################################################
#Extract Data
ds_who = Dataset('COVID19_COUNTRY_DAILY_WHO')
data_who = ds_who.get_data(datetime.date(2020, 1, 21), countryId=["US", "GB", "IN", "BR", "NG", "NZ"])
# In[37]:
##################################################################
##################################################################
#Line graph for percentages
countries = set(data_who['countryName'])
line_p = go.Figure()
x = data_who.index
from gs_quant.session import GsSession, Environment
from gs_quant.data import Dataset
from datetime import date
from credentials.config import GSConfig
GsSession.use(
client_id=GSConfig.client_id,
client_secret=GSConfig.client_secret,
scopes=('read_product_data', )) # authenticate GS Session with credentials
dataset = Dataset('COVID19_COUNTRY_DAILY_WIKI') # initialize the dataset
frame = dataset.get_data(countryId='US', start=date(
2019, 1, 1)) # pull the US data into a Pandas dataframe
print(frame)
print(list(frame.columns.values))
import json
import os
import pandas as pd
import heapq
from gs_quant.data import Dataset
from gs_quant.session import GsSession, Environment
GsSession.use(
Environment.PROD, 'b16a94fab7714a61b29065f6d6bda51b',
'2179ad8fec38bbe8995f4d07293f9b476476dbef67b99f3a4074099de3fff049',
('read_product_data', ))
ds = Dataset('COVID19_COUNTRY_DAILY_WHO')
today = date.today()
countries = ds.get_data(today)[['countryName', 'countryId']].drop_duplicates()
country_id_name_dict = {}
for index, row in countries.iterrows():
country_id_name_dict[row['countryId']] = row['countryName']
def get_new_daily_record_confirmed(queryType):
return_countries = []
country_ids = list(country_id_name_dict.keys())
for country in country_ids:
highest_confirmed = ds.get_data(datetime.date(2020, 1, 21),
countryId=[country])[queryType].max()
today_confirmed = ds.get_data(today, countryId=[country])[[queryType]]
if highest_confirmed == today_confirmed[queryType].values[0]:
return_countries.append(country_id_name_dict[country])
if queryType == 'newConfirmed':
# session.headers.update({"Authorization":"Bearer "+ access_token})
# request_url = "https://api.marquee.gs.com/v1/data/USCANFPP_MINI/query"
# request_query = {
# "where": {
# "gsid": ["string1","string2","string3"]
# },
# "startDate": "2012-01-01",
# "limit": 50
# }
# request = session.post(url=request_url, json=request_query)
# results = json.loads(request.text)
# GS Quant documentation available at:
# https://developer.gs.com/docs/gsquant/guides/getting-started/
import datetime
from gs_quant.data import Dataset
from gs_quant.session import GsSession, Environment
GsSession.use(Environment.PROD, 'esobimpe', 'Henny123@',
('read_product_data', ))
ds = Dataset('USCANFPP_MINI')
#gsid=["10516","10696","11308"]
data = ds.get_data(datetime.date(2012, 1, 1), limit=50)
print(data.head()) # peek at first few rows of data
from datetime import date
from gs_quant.data import Dataset
from gs_quant.markets.securities import SecurityMaster, AssetIdentifier
from gs_quant.session import GsSession
import pandas as pd
itdoesntmatterjustdowhatever = open("data_raw.txt", 'w')
#sys.stdout = itdoesntmatterjustdowhatever
client_id = "b2a0a48a91854045b5c7eb12c8973901"
client_secret = "2cb4ec68204ddee53a1a892ea70ee110bc5db9c30aa04024336d69ea9e4fafc6"
scopes = GsSession.Scopes.get_default()
GsSession.use(client_id=client_id, client_secret=client_secret, scopes=scopes)
ds = Dataset("USCANFPP_MINI")
gsids = ds.get_coverage()["gsid"].values.tolist()
data = ds.get_data(date(2017, 1, 15), date(2018, 1, 15), gsid=gsids[0:5])
print(data.head())
for idx, row in data.iterrows():
marqueeAssetId = row["assetId"]
asset = SecurityMaster.get_asset(marqueeAssetId,
AssetIdentifier.MARQUEE_ID)
data.loc[data["assetId"] == marqueeAssetId, "assetName"] = asset.name
print(data.head())
itdoesntmatterjustdowhatever.write(data.to_string())
import logging
import random
client_id = '75d63f91387b434a9c68c8100f45c372'
client_secret = '2567e2c8ad3a203660e2636d07a6a674cbb1fc84774d5870ecba43667a975e74'
print("here")
scopes = GsSession.Scopes.get_default()
GsSession.use(client_id=client_id, client_secret=client_secret, scopes=scopes)
ds = Dataset('USCANFPP_MINI')
gsids = ds.get_coverage()['gsid'].values.tolist()
id_to_names = {}
localDB = []
for gsid in gsids:
data = ds.get_data(gsid=gsid)
localDB.append(data)
if not data.empty:
id = data['assetId'][0]
id_to_names[gsid] = (id,
SecurityMaster.get_asset(
id, AssetIdentifier.MARQUEE_ID))
company_names = list(map(lambda x: (x[0], x[1].name), id_to_names.values()))
def print_all(conn):
with conn.cursor() as cur:
cur.execute("SELECT * FROM names")
rows = cur.fetchall()
for row in rows:
from gs_quant.session import GsSession, Environment
from gs_quant.data import Dataset
from datetime import date
from credentials.config import GSConfig
from gs_quant.timeseries import datetime
import numpy as np
import pandas as pd
from plotly.subplots import make_subplots
import plotly.graph_objects as go
GsSession.use(client_id=GSConfig.client_id, client_secret=GSConfig.client_secret, scopes=('read_product_data',))
dataset = Dataset('COVID19_COUNTRY_DAILY_WHO')
# df = dataset.get_data(countryId='US', start=date(2019, 1, 1))
# fig = px.line(df, x=df.index.values, y="totalConfirmed", title='Total Confirmed Over Time')
# fig.show()
#
# fig = px.line(df, x=df.index.values, y="newFatalities", title='Total Confirmed Over Time')
# fig.show()
df = dataset.get_data(start=date(2019, 1, 1), limit=20)
# ds = Dataset('COVID19_COUNTRY_DAILY_CDC')
# data = ds.get_data(datetime.date(2020, 1, 21), countryId=[""], limit=50)
print(df.head()) # peek at first few rows of data
# px.scatter(AllCountries, x=AllCountries.values(np.float64).columns, y='totalConfirmed', trendline='ols',
# facet_col="variable", facet_col_wrap=3).update_xaxes(matches=None)
# GS Quant documentation available at:
# https://developer.gs.com/docs/gsquant/guides/getting-started/
import datetime
from gs_quant.data import Dataset
from gs_quant.session import GsSession, Environment
GsSession.use(
Environment.PROD, '8eb297dd6ffc4278a93840bcd3199aee',
'5d0d012c86fd0434111214f261a041e7564da029a50523a2f09013777b97d9f3',
('read_product_data', ))
ds = Dataset('USCANFPP_MINI')
data = ds.get_data(datetime.date(2017, 1, 15),
datetime.date(2018, 1, 15),
gsid=["75154", "193067", "194688", "902608", "85627"])
print(data.head()) # peek at first few rows of data