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Update FIGI parser
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parent
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@ -1,23 +1,35 @@
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# %%
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# %%
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import os
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from dataclasses import dataclass
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from dataclasses import dataclass
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from typing import Optional
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from typing import Literal, Union
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import pandas as pd
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import pandas as pd
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import httpx
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import httpx
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from sqlalchemy import types, sql
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from azure import AzureDbConnection, ConnectionSettings
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# %%
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# %%
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@dataclass
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@dataclass
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class AssetInfo:
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class AssetInfo:
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FIGI: str
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FIGI: str
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Ticker: str
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Ticker: str
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Title: str
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Title: Union[str, None]
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Description: Optional[str]
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Description: Union[str, None]
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AssetType: str = 'Cryptocurrency'
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AssetType: Literal['Cryptocurrency']
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SourceId: str = "OpenFigi API"
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SourceId: Literal['OpenFigi API']
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Version: str = "v202204"
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Version: Literal['v202206']
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def get_asset_info(pair: str) -> AssetInfo:
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def get_figi(pair: str) -> Union[AssetInfo, None]:
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"""Return FIGI for pair
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References:
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- https://www.openfigi.com/assets/local/figi-allocation-rules.pdf
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- https://www.openfigi.com/search
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"""
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api_url = f'https://www.openfigi.com/search/query?facetQuery=MARKET_SECTOR_DES:%22Curncy%22&num_rows=100&simpleSearchString={pair}&start=0'
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api_url = f'https://www.openfigi.com/search/query?facetQuery=MARKET_SECTOR_DES:%22Curncy%22&num_rows=100&simpleSearchString={pair}&start=0'
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response = httpx.get(api_url)
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response = httpx.get(api_url)
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@ -37,23 +49,23 @@ def get_asset_info(pair: str) -> AssetInfo:
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return pair_figi
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return pair_figi
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#%% Tests
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# %% Tests
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expected_pairs = {
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expected_pairs = {
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'WAX-USD': None,
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'WAX-USD': None,
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'ETH-USD': 'BBG00J3NBWD7',
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'ETH-USD': 'BBG00J3NBWD7',
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'BTC-USD': 'BBG006FCL7J4',
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'BTC-USD': 'BBG006FCL7J4',
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'SOL-USD': 'BBG013WVY457',
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'SOL-USD': 'BBG013WVY457',
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'UNI-USD': 'BBG013TZFVW3'
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'UNI-USD': 'BBG013TZFVW3',
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'SUSHI-USD': 'KKG0000010W1'
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}
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}
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for k, v in expected_pairs.items():
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for k, v in expected_pairs.items():
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assert get_asset_info(k) == v
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actual = get_figi(k)
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print(actual)
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assert actual == v
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# %%
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# %%
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import os
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import pandas as pd
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pair_names = [x[:-4] for x in os.listdir("../data")]
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pair_names = [x[:-4] for x in os.listdir("../data")]
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def insert_dash(text: str, position: int) -> str:
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def insert_dash(text: str, position: int) -> str:
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@ -62,14 +74,44 @@ def insert_dash(text: str, position: int) -> str:
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else:
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else:
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return text
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return text
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usd_pairs = [insert_dash(s.upper(), 3) for s in pair_names if "usd" in s]
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usd_pairs = [
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insert_dash(s.upper(), 3)
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for s in pair_names if "usd" in s
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]
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print(usd_pairs)
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print(usd_pairs)
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# %%
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pair_figi_list = [get_asset_info(p) for p in usd_pairs]
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for p in usd_pairs:
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pair_figi_list = [get_figi(p) for p in usd_pairs]
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print(p)
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get_asset_info(p)
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# %% ----
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conn_settings = ConnectionSettings(server='***.database.windows.net', database='market-data-db', username='***', password='***')
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db_conn = AzureDbConnection(conn_settings)
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db_conn.connect()
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for t in db_conn.get_tables():
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print(t)
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# %%
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# %%
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db_mapping = {
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'FIGI': types.VARCHAR(length=12),
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'open': types.DECIMAL(precision=19, scale=9),
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'high': types.DECIMAL(precision=19, scale=9),
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'close': types.DECIMAL(precision=19, scale=9),
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'low': types.DECIMAL(precision=19, scale=9),
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'volume': types.DECIMAL(precision=19, scale=9),
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'time': types.DATETIME(),
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'source_id': types.SMALLINT,
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'version': types.VARCHAR(length=12),
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'interval': types.CHAR(length=2)
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}
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query = sql.text("select * from Cryptocurrency where figi = 'ustusd'")
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result = db_conn._conn.execute(query).fetchall()
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# %%
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db_conn.dispose()
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print('Completed')
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