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Added calendar expiry functionality
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saeedamen committed Dec 19, 2020
1 parent 58e6e28 commit 16577a4
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9 changes: 9 additions & 0 deletions README.md
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Expand Up @@ -125,6 +125,15 @@ individual data providers)

# Coding log

* 19 Dec 2020
* Added functionality to download FX forwards based total indices from BBG
* Fixed downloading of forward points for NDFs
* Fixed missing timestamp issue with DukasCopy
* Adding holidays functionality and calculation of FX options expiries (and FX delivery dates)
* 10 Dec 2020
* Added resample method on Calculations for tick data
* Fixed logger in DataVendorWeb
* Fixed setting no timezone method
* 11 Nov 2020
* Added cumulative additive index returns
* Removed log as field variable in DataVendorBBG
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489 changes: 279 additions & 210 deletions findatapy/conf/base_depos_tickers_list.csv

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5,290 changes: 3,120 additions & 2,170 deletions findatapy/conf/fx_forwards_tickers.csv

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70 changes: 39 additions & 31 deletions findatapy/conf/fx_forwards_tickers_maker.csv
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@@ -1,32 +1,40 @@
category.source.freq.fields,ticker,cut.postfix,sourceticker,postmidfix,,,,,
fx-forwards.bloomberg.daily.close,EURUSD,NYC.CMPN Curncy,,ON,,,,,
,GBPUSD,BGN.BGN Curncy,,1W,,,,,
,AUDUSD,LDN.CMPL Curncy,,2W,,,,,
,NZDUSD,TOK.CMPT Curncy,,3W,,,,,
,USDCAD,10AM.F100 Curncy,,1M,,,,,
,USDCHF,,,2M,,,,,
,EURNOK,,,3M,,,,,
,EURSEK,,,4M,,,,,
,USDJPY,,,6M,,,,,
,USDNOK,,,9M,,,,,
,USDSEK,,,12M,,,,,
,EURJPY,,,2Y,,,,,
,AUDJPY,,,3Y,,,,,
,NZDJPY,,,5Y,,,,,
,EURGBP,,,,,,,,
,EURCHF,,,,,,,,
,USDTRY,,,,,,,,
,USDZAR,,,,,,,,
,USDMXN,,,,,,,,
,EURPLN,,,,,,,,
,EURHUF,,,,,,,,
,USDPLN,,,,,,,,
,USDHUF,,,,,,,,
,USDBRL,,,,,,,,
,USDRUB,,,,,,,,
,USDKRW,,,,,,,,
,USDCNY,,,,,,,,
,USDCNH,,,,,,,,
,XAUUSD,,,,,,,,
,XAGUSD,,,,,,,,
,XPTUSD,,,,,,,,
fx-forwards.bloomberg.daily.close,EURUSD,NYC.CMPN Curncy,EUR,ON,,,,,
,GBPUSD,BGN.BGN Curncy,GBP,TN,,,,,
,AUDUSD,LDN.CMPL Curncy,AUD,SN,,,,,
,NZDUSD,TOK.CMPT Curncy,NZD,1W,,,,,
,USDCAD,10AM.F100 Curncy,CAD,2W,,,,,
,USDCHF,,CHF,3W,,,,,
,EURNOK,,EURNOK,1M,,,,,
,EURSEK,,EURSEK,2M,,,,,
,USDJPY,,JPY,3M,,,,,
,USDNOK,,NOK,4M,,,,,
,USDSEK,,SEK,6M,,,,,
,EURJPY,,EURJPY,9M,,,,,
,AUDJPY,,AUDJPY,12M,,,,,
,NZDJPY,,NZDJPY,2Y,,,,,
,EURGBP,,EURGBP,3Y,,,,,
,EURCHF,,EURCHF,5Y,,,,,
,USDBRL,,BCN,,,,,,
,USDMXN,,MXN,,,,,,
,USDCLP,,CHN,,,,,,
,USDCOP,,CLN,,,,,,
,USDTRY,,TRY,,,,,,
,USDZAR,,ZAR,,,,,,
,EURPLN,,EURPLN,,,,,,
,EURHUF,,EURHUF,,,,,,
,USDPLN,,PLN,,,,,,
,USDHUF,,HUF,,,,,,
,USDRUB,,RUB,,,,,,
,EURCZK,,EURCZK,,,,,,
,USDKRW,,KWN,,,,,,
,USDTWD,,NTN,,,,,,
,USDMYR,,MRN,,,,,,
,USDINR,,IRN,,,,,,
,USDIDR,,IHN,,,,,,
,USDSGD,,SGD,,,,,,
,USDCNY,,CCN,,,,,,
,USDCNH,,CNH,,,,,,
,XAUUSD,,XAU,,,,,,
,XAGUSD,,XAG,,,,,,
,XPTUSD,,XPT,,,,,,
22,470 changes: 12,460 additions & 10,010 deletions findatapy/conf/fx_vol_tickers.csv

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70 changes: 39 additions & 31 deletions findatapy/conf/fx_vol_tickers_maker.csv
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@@ -1,32 +1,40 @@
category.source.freq.fields,ticker,cut.postfix,sourceticker,midfix,postmidfix
fx-implied-vol.bloomberg.daily.close,EURUSD,NYC.CMPN Curncy,,V,ON
,GBPUSD,BGN.BGN Curncy,,25R,1W
,AUDUSD,LDN.CMPL Curncy,,10R,2W
,NZDUSD,TOK.CMPT Curncy,,25B,3W
,USDCAD,10AM.F100 Curncy,,10B,1M
,USDCHF,,,,2M
,EURNOK,,,,3M
,EURSEK,,,,4M
,USDJPY,,,,6M
,USDNOK,,,,9M
,USDSEK,,,,1Y
,EURJPY,,,,2Y
,AUDJPY,,,,3Y
,NZDJPY,,,,5Y
,EURGBP,,,,
,EURCHF,,,,
,USDTRY,,,,
,USDZAR,,,,
,USDMXN,,,,
,EURPLN,,,,
,EURHUF,,,,
,USDPLN,,,,
,USDHUF,,,,
,USDBRL,,,,
,USDRUB,,,,
,USDKRW,,,,
,USDCNY,,,,
,USDCNH,,,,
,XAUUSD,,,,
,XAGUSD,,,,
,XPTUSD,,,,
fx-implied-vol.bloomberg.daily.close,EURUSD,NYC.CMPN Curncy,EURUSD,V,ON
,GBPUSD,BGN.BGN Curncy,GBPUSD,25R,1W
,AUDUSD,LDN.CMPL Curncy,AUDUSD,10R,2W
,NZDUSD,TOK.CMPT Curncy,NZDUSD,25B,3W
,USDCAD,10AM.F100 Curncy,USDCAD,10B,1M
,USDCHF,,USDCHF,,2M
,EURNOK,,EURNOK,,3M
,EURSEK,,EURSEK,,4M
,USDJPY,,USDJPY,,6M
,USDNOK,,USDNOK,,9M
,USDSEK,,USDSEK,,1Y
,EURJPY,,EURJPY,,2Y
,AUDJPY,,AUDJPY,,3Y
,NZDJPY,,NZDJPY,,5Y
,EURGBP,,EURGBP,,
,EURCHF,,EURCHF,,
,USDBRL,,USDBRL,,
,USDMXN,,USDMXN,,
,USDCLP,,USDCLP,,
,USDCOP,,USDCOP,,
,USDTRY,,USDTRY,,
,USDZAR,,USDZAR,,
,EURPLN,,EURPLN,,
,EURHUF,,EURHUF,,
,USDPLN,,USDPLN,,
,USDHUF,,USDHUF,,
,USDRUB,,USDRUB,,
,EURCZK,,EURCZK,,
,USDKRW,,USDKRW,,
,USDTWD,,USDTWD,,
,USDMYR,,USDMYR,,
,USDINR,,USDINR,,
,USDIDR,,USDIDR,,
,USDSGD,,USDSGD,,
,USDCNY,,USDCNY,,
,USDCNH,,USDCNH,,
,XAUUSD,,XAUUSD,,
,XAGUSD,,XAGUSD,,
,XPTUSD,,XPTUSD,,
1 change: 1 addition & 0 deletions findatapy/conf/time_series_categories_fields.csv
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Expand Up @@ -9,6 +9,7 @@ fx,bloomberg,daily,TOK,"close,open,high,low",1-Jan-70
fx,bloomberg,daily,LDN,"close,open,high,low",1-Jan-70
fx,bloomberg,daily,10AM,"close,open,high,low",1-Jan-07
fx-tot,bloomberg,daily,NYC,"close,open,high,low",1-Jan-70
fx-tot-forwards,bloomberg,daily,NYC,close,1-Jan-99
fx,bloomberg,intraday,NYC,"close,open,high,low,volume,events",1-Jan-03
fx,bloomberg,intraday,BSTP,"close,open,high,low,volume,events",1-Jan-03
fx,eikon,intraday,NYC,"close,open,high,low",1-Jan-03
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29 changes: 29 additions & 0 deletions findatapy/conf/time_series_tickers_list.csv
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Expand Up @@ -279,6 +279,35 @@ fx-tot,bloomberg,daily,IDRUSD,NYC,"close,open,high,low",IDRUSDCR CMPN Curncy,5:0
fx-tot,bloomberg,daily,SGDUSD,NYC,"close,open,high,low",SGDUSDCR CMPN Curncy,5:00pm NYC,,,
fx-tot,bloomberg,daily,CNYUSD,NYC,"close,open,high,low",CNYUSDCR CMPN Curncy,5:00pm NYC,,,
fx-tot,bloomberg,daily,CHNUSD,NYC,"close,open,high,low",CHNUSDCR CMPN Curncy,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,EURUSD,NYC,close,BTSFEUUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,GBPUSD,NYC,close,BTSFGBUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,AUDUSD,NYC,close,BTSFAUUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,NZDUSD,NYC,close,BTSFNZUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,USDUSD,NYC,close,USD Curncy,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CADUSD,NYC,close,BTSFCAUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CHFUSD,NYC,close,BTSFCHUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,NOKUSD,NYC,close,BTSFNOUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,SEKUSD,NYC,close,BTSFSEUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,JPYUSD,NYC,close,BTSFJPUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,BRLUSD,NYC,close,BTSFBRUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,MXNUSD,NYC,close,BTSFMXUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CLPUSD,NYC,close,BTSFCLUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,COPUSD,NYC,close,BTSFCOUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,PLNUSD,NYC,close,BTSFPLUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,HUFUSD,NYC,close,BTSFHUUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CZKUSD,NYC,close,BTSFCZUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,ILSUSD,NYC,close,BTSFILUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,RUBUSD,NYC,close,BTSFRUUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,ZARUSD,NYC,close,BTSFZAUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,TRYUSD,NYC,close,BTSFTRUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,KRWUSD,NYC,close,BTSFKRUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,TWDUSD,NYC,close,BTSFTWUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,MYRUSD,NYC,close,BTSFMYUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,INRUSD,NYC,close,BTSFINUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,IDRUSD,NYC,close,BTSFIDUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,SGDUSD,NYC,close,BTSFSGUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CNYUSD,NYC,close,BTSFCNUS Index,5:00pm NYC,,,
fx-tot-forwards,bloomberg,daily,CHNUSD,NYC,close,BTSFC1US Index,5:00pm NYC,,,
fx,bloomberg,intraday,EURUSD,NYC,"close,open,high,low,volume,events",EURUSD CMPN Curncy,5:00pm NYC,,,
fx,bloomberg,intraday,GBPUSD,NYC,"close,open,high,low,volume,events",GBPUSD CMPN Curncy,5:00pm NYC,,,
fx,bloomberg,intraday,AUDUSD,NYC,"close,open,high,low,volume,events",AUDUSD CMPN Curncy,5:00pm NYC,,,
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