MarketDataRequest can parse full month names

cuemacro · Jan 5, 2021 · ab3ce65 · ab3ce65
1 parent 1d789ed
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Showing 5 changed files with 33 additions and 6 deletions.
diff --git a/README.md b/README.md
@@ -125,6 +125,8 @@ individual data providers)
 
 # Coding log
 
+* 05 Jan 2020
+  * MarketDataRequest accepts parsing of full month names
 * 28 Dec 2020
   * Spun out Calendar into separate Python script
 * 26 Dec 2020

diff --git a/findatapy/conf/base_depos_tickers_list.csv b/findatapy/conf/base_depos_tickers_list.csv
@@ -176,7 +176,7 @@ base-depos,bloomberg,daily,JPY1Y,NYC,close,JYDR1 CMPN Index,5:00pm NYC
 base-depos,bloomberg,daily,JPY2Y,NYC,close,JYDR2 CMPN Index,5:00pm NYC
 base-depos,bloomberg,daily,JPY3Y,NYC,close,JYDR3 CMPN Index,5:00pm NYC
 base-depos,bloomberg,daily,JPY5Y,NYC,close,JYDR5 CMPN Index,5:00pm NYC
-base-depos,bloomberg,daily,Fed Funds Effective Rate,LDN,close,FEDL01 Index,6:00pm LDN
+base-depos,bloomberg,daily,USDFedEffectiveRate,LDN,close,FEDL01 Index,6:00pm LDN
 base-depos,bloomberg,daily,USDON,LDN,close,USDR1T CMPL Index,6:00pm LDN
 base-depos,bloomberg,daily,USDTN,LDN,close,USDR2T CMPL Index,6:00pm LDN
 base-depos,bloomberg,daily,USDSN,LDN,close,USDR3T CMPL Index,6:00pm LDN
@@ -353,7 +353,7 @@ base-depos,bloomberg,daily,JPY1Y,LDN,close,JYDR1 CMPL Index,6:00pm LDN
 base-depos,bloomberg,daily,JPY2Y,LDN,close,JYDR2 CMPL Index,6:00pm LDN
 base-depos,bloomberg,daily,JPY3Y,LDN,close,JYDR3 CMPL Index,6:00pm LDN
 base-depos,bloomberg,daily,JPY5Y,LDN,close,JYDR5 CMPL Index,6:00pm LDN
-base-depos,bloomberg,daily,Fed Funds Effective Rate,TOK,close,FEDL01 Index,8:00pm TOK
+base-depos,bloomberg,daily,USDFedEffectiveRate,TOK,close,FEDL01 Index,8:00pm TOK
 base-depos,bloomberg,daily,USDON,TOK,close,USDR1T CMPT Index,8:00pm TOK
 base-depos,bloomberg,daily,USDTN,TOK,close,USDR2T CMPT Index,8:00pm TOK
 base-depos,bloomberg,daily,USDSN,TOK,close,USDR3T CMPT Index,8:00pm TOK

diff --git a/findatapy/market/datavendorweb.py b/findatapy/market/datavendorweb.py
@@ -1590,15 +1590,18 @@ def retrieve_df(self, data, symbol, epoch):
         df.drop('temp', axis = 1)
         df.index.name = 'Date'
 
+        # Default FX divisior
         divisor = 100000.0
 
-        # where JPY is the terms currency we have different divisor
+        # Where JPY is the terms currency we have different divisor
         if symbol[3:6] == 'JPY':
             divisor = 1000.0
 
-        # special case!
-        if symbol == 'BRENTCMDUSD':
+        # Special case! You may need to add more here
+        elif symbol == 'BRENTCMDUSD':
             divisor = 1000.0
+        elif len(symbol) > 6:
+            divisor = 1.0
 
         # prices are returned without decimal point (need to divide)
         df['bid'] =  df['bid'] / divisor

diff --git a/findatapy/market/market.py b/findatapy/market/market.py
@@ -35,6 +35,9 @@ def __init__(self, market_data_generator=None, md_request=None):
                 # NOT CURRENTLY IMPLEMENTED FOR FUTURE USE
                 from finaddpy.market import CachedMarketDataGenerator
                 market_data_generator = CachedMarketDataGenerator()
+            else:
+                from findatapy.market import MarketDataGenerator
+                market_data_generator = MarketDataGenerator()
 
         self.speed_cache = SpeedCache()
         self._market_data_generator = market_data_generator
@@ -804,7 +807,7 @@ def get_base_depos(self, start, end, currencies, tenor, cut="NYC", data_source="
             for tn in tenor:
                 tickers.append(cr + tn)
 
-        # Special case for Fed Funds Effective Rate
+        # Special case for Fed Funds Effective Rate which we add in all instances
         if 'USDFedEffectiveRate' not in tickers:
             tickers.append("USDFedEffectiveRate")
 

diff --git a/findatapy/market/marketdatarequest.py b/findatapy/market/marketdatarequest.py
@@ -446,6 +446,13 @@ def date_parser(self, date):
                     # self.logger.warning("Attempted to parse date")
                     i = 0
 
+                # format expected '1 June 2005 01:33', '%d %B %Y %H:%M'
+                try:
+                    date1 = datetime.datetime.strptime(date, '%d %B %Y %H:%M')
+                except:
+                    # self.logger.warning("Attempted to parse date")
+                    i = 0
+
                 try:
                     date1 = datetime.datetime.strptime(date, '%b %d %Y')
                 except:
@@ -457,6 +464,18 @@ def date_parser(self, date):
                 except:
                     # self.logger.warning("Attempted to parse date")
                     i = 0
+
+                try:
+                    date1 = datetime.datetime.strptime(date, '%B %d %Y')
+                except:
+                    # self.logger.warning("Attempted to parse date")
+                    i = 0
+
+                try:
+                    date1 = datetime.datetime.strptime(date, '%d %B %Y')
+                except:
+                    # self.logger.warning("Attempted to parse date")
+                    i = 0
         else:
             import pandas