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Update FIGI parser

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codez0mb1e 2022-06-17 17:47:32 +00:00
parent e1f86b7714
commit 0d5e961123
1 changed files with 61 additions and 19 deletions
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78
src/openfigi_parser.py
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@ -1,23 +1,35 @@
# %% # %%
import os
from dataclasses import dataclass from dataclasses import dataclass
from typing import Optional from typing import Literal, Union
import pandas as pd import pandas as pd
import httpx import httpx
from sqlalchemy import types, sql
from azure import AzureDbConnection, ConnectionSettings
# %% # %%
@dataclass @dataclass
class AssetInfo: class AssetInfo:
FIGI: str FIGI: str
Ticker: str Ticker: str
Title: str Title: Union[str, None]
Description: Optional[str] Description: Union[str, None]
AssetType: str = 'Cryptocurrency' AssetType: Literal['Cryptocurrency']
SourceId: str = "OpenFigi API" SourceId: Literal['OpenFigi API']
Version: str = "v202204" Version: Literal['v202206']
def get_asset_info(pair: str) -> AssetInfo: def get_figi(pair: str) -> Union[AssetInfo, None]:
"""Return FIGI for pair
References:
- https://www.openfigi.com/assets/local/figi-allocation-rules.pdf
- https://www.openfigi.com/search
"""
api_url = f'https://www.openfigi.com/search/query?facetQuery=MARKET_SECTOR_DES:%22Curncy%22&num_rows=100&simpleSearchString={pair}&start=0' api_url = f'https://www.openfigi.com/search/query?facetQuery=MARKET_SECTOR_DES:%22Curncy%22&num_rows=100&simpleSearchString={pair}&start=0'
response = httpx.get(api_url) response = httpx.get(api_url)
@ -43,17 +55,17 @@ expected_pairs = {
'ETH-USD': 'BBG00J3NBWD7', 'ETH-USD': 'BBG00J3NBWD7',
'BTC-USD': 'BBG006FCL7J4', 'BTC-USD': 'BBG006FCL7J4',
'SOL-USD': 'BBG013WVY457', 'SOL-USD': 'BBG013WVY457',
'UNI-USD': 'BBG013TZFVW3' 'UNI-USD': 'BBG013TZFVW3',
'SUSHI-USD': 'KKG0000010W1'
} }
for k, v in expected_pairs.items(): for k, v in expected_pairs.items():
assert get_asset_info(k) == v actual = get_figi(k)
print(actual)
assert actual == v
# %% # %%
import os
import pandas as pd
pair_names = [x[:-4] for x in os.listdir("../data")] pair_names = [x[:-4] for x in os.listdir("../data")]
def insert_dash(text: str, position: int) -> str: def insert_dash(text: str, position: int) -> str:
@ -62,14 +74,44 @@ def insert_dash(text: str, position: int) -> str:
else: else:
return text return text
usd_pairs = [insert_dash(s.upper(), 3) for s in pair_names if "usd" in s] usd_pairs = [
insert_dash(s.upper(), 3)
for s in pair_names if "usd" in s
]
print(usd_pairs) print(usd_pairs)
# %%
pair_figi_list = [get_asset_info(p) for p in usd_pairs]
for p in usd_pairs: pair_figi_list = [get_figi(p) for p in usd_pairs]
print(p)
get_asset_info(p) # %% ----
conn_settings = ConnectionSettings(server='***.database.windows.net', database='market-data-db', username='***', password='***')
db_conn = AzureDbConnection(conn_settings)
db_conn.connect()
for t in db_conn.get_tables():
print(t)
# %% # %%
db_mapping = {
'FIGI': types.VARCHAR(length=12),
'open': types.DECIMAL(precision=19, scale=9),
'high': types.DECIMAL(precision=19, scale=9),
'close': types.DECIMAL(precision=19, scale=9),
'low': types.DECIMAL(precision=19, scale=9),
'volume': types.DECIMAL(precision=19, scale=9),
'time': types.DATETIME(),
'source_id': types.SMALLINT,
'version': types.VARCHAR(length=12),
'interval': types.CHAR(length=2)
}
query = sql.text("select * from Cryptocurrency where figi = 'ustusd'")
result = db_conn._conn.execute(query).fetchall()
# %%
db_conn.dispose()
print('Completed')