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Significantly speed up treasuries function and misc

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This commit is contained in:
Jeroen Bouma
2022-03-10 15:50:46 +01:00
parent 4e9b9ab867
commit 578ef7565b
3 changed files with 128 additions and 64 deletions
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155
gamestonk_terminal/economy/econdb_model.py
View File

@@ -1,6 +1,8 @@
""" EconDB Model """
__docformat__ = "numpy"
# pylint: disable=no-member
import logging
from typing import Dict, Any
from urllib.error import HTTPError
@@ -220,35 +222,67 @@ PARAMETERS = {
"GDEBT": "Government debt",
"CA": "Current account balance",
"NIIP": "Net international investment position",
"Y10YD": "Long term yield",
"Y10YD": "Long term yield (10-year)",
"M3YD": "3 month yield",
"HOU": "House price",
"HOU": "House price index",
"OILPROD": "Oil production",
"POP": "Population",
}
TREASURIES = {
"nominal": {
"1m": "1-month",
"3m": "3-month",
"6m": "6-month",
"1y": "1-year",
"2y": "2-year",
"3y": "3-year",
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
TREASURIES: Dict = {
"frequencies": {
"monthly": 129,
"annual": 203,
"weekly": 21,
"daily": 9,
},
"inflation": {
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
"instruments": {
"nominal": {
"identifier": "TCMNOM",
"maturities": {
"1m": "1-month",
"3m": "3-month",
"6m": "6-month",
"1y": "1-year",
"2y": "2-year",
"3y": "3-year",
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
},
},
"inflation": {
"identifier": "TCMII",
"maturities": {
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
},
},
"inflation_average": {
"identifier": "LTAVG",
"maturities": {
"5y": "5-year",
"7y": "7-year",
"10y": "10-year",
"20y": "20-year",
"30y": "30-year",
},
},
"secondary": {
"identifier": "TB",
"maturities": {
"4w": "4-week",
"3m": "3-month",
"6m": "6-month",
"1y": "1-year",
},
},
},
"secondary": {"4w": "4-week", "3m": "3-month", "6m": "6-month", "1y": "1-year"},
}
@@ -288,6 +322,12 @@ def get_macro_data(
squeeze=True,
)
if df.empty:
return console.print(
f"No data available for {parameter} ({PARAMETERS[parameter]}) "
f"of country {country.replace('_', ' ')}"
)
if convert_currency and country_currency != convert_currency:
df = (
df
@@ -301,27 +341,27 @@ def get_macro_data(
f"There is no data available for the combination {parameter} and {country}."
)
if df.empty:
return console.print(
f"No data available for {parameter} ({PARAMETERS[parameter]}) "
f"of country {country.replace('_', ' ')}"
)
return df
@log_start_end(log=logger)
def get_treasuries(
types: list, maturities: list, start_date: str = None, end_date: str = None
instruments: list,
maturities: list,
frequency: str = "monthly",
start_date: str = None,
end_date: str = None,
) -> Dict[Any, Dict[Any, pd.Series]]:
"""Obtain U.S. Treasury Rates [Source: EconDB]
Parameters
----------
types: list
The type(s) of treasuries, nominal, inflation-adjusted or secondary market.
instruments: list
The type(s) of treasuries, nominal, inflation-adjusted (long term average) or secondary market.
maturities : list
the maturities you wish to view.
frequency : str
The frequency of the data, this can be annually, monthly, weekly or daily.
start_date : str
The starting date, format "YEAR-MONTH-DAY", i.e. 2010-12-31.
end_date : str
@@ -334,36 +374,43 @@ def get_treasuries(
"""
treasury_data: Dict[Any, Dict[Any, pd.Series]] = {}
df = web.DataReader(
"&".join(
[
"dataset=FRB_H15",
"v=Instrument",
"h=TIME",
f"from={start_date}",
f"to={end_date}",
"UNIT=[PERCENT:_PER_YEAR]",
]
),
"econdb",
)
for treasury in types:
if treasury not in TREASURIES:
for instrument in instruments:
if instrument not in TREASURIES["instruments"]:
console.print(
f"{treasury} is not an option. Please choose between: {', '.join(TREASURIES.keys())}"
f"{instrument} is not an option. Please choose between: "
f"{', '.join(TREASURIES['instruments'].keys())}"
)
else:
type_string = treasury.capitalize()
instrument_identifier = TREASURIES["instruments"][instrument]["identifier"]
frequency_number = TREASURIES["frequencies"][frequency]
df = web.DataReader(
"&".join(
[
"dataset=FRB_H15",
"v=Instrument",
"h=TIME",
f"instrument=[{instrument_identifier}]",
f"from={start_date}",
f"to={end_date}",
f"freq=[{frequency_number}",
"UNIT=[PERCENT:_PER_YEAR]",
]
),
"econdb",
)
type_string = instrument.capitalize()
treasury_data[type_string] = {}
for maturity in maturities:
if maturity not in TREASURIES[treasury]:
if maturity not in TREASURIES["instruments"][instrument]["maturities"]:
console.print(
f"The maturity {maturity} is not an option for {treasury}. "
f"Please choose between {', '.join(TREASURIES[treasury].keys())}"
f"The maturity {maturity} is not an option for {instrument}. Please choose between "
f"{', '.join(TREASURIES['instruments'][instrument]['maturities'].keys())}"
)
else:
maturity_string = TREASURIES[treasury][maturity]
maturity_string = TREASURIES["instruments"][instrument][
"maturities"
][maturity]
for column in df.columns:
# check if type inside the name and maturity inside the maturity string
@@ -375,7 +422,7 @@ def get_treasuries(
if maturity_string not in treasury_data[type_string]:
console.print(
f"No data found for the combination {treasury} and {maturity}."
f"No data found for the combination {instrument} and {maturity}."
)
return treasury_data

13
gamestonk_terminal/economy/econdb_view.py
View File

@@ -79,15 +79,15 @@ def show_macro_data(
if maximum_value > 1_000_000_000:
df_rounded = df / 1_000_000_000
denomination = f"[{convert_currency} Billions]"
elif 1_000_000_000 > maximum_value:
elif maximum_value > 1_000_000:
df_rounded = df / 1_000_000
denomination = f"[{convert_currency} Millions]"
elif 1_000_000 > maximum_value:
elif maximum_value > 1_000:
df_rounded = df / 1_000
denomination = f"[{convert_currency} Thousands]"
else:
df_rounded = df
denomination = f"{convert_currency}"
denomination = f"[{convert_currency}]"
for column in df_rounded.columns:
country_label = column[0].replace("_", " ")
@@ -129,6 +129,7 @@ def show_macro_data(
def show_treasuries(
types: list,
maturities: list,
frequency: str,
start_date: str = None,
end_date: str = None,
raw: bool = False,
@@ -143,6 +144,8 @@ def show_treasuries(
The type(s) of treasuries, nominal, inflation-adjusted or secondary market.
maturities : list
the maturities you wish to view.
frequency : str
The frequency of the data, this can be daily, weekly, monthly or annually
start_date : str
The starting date, format "YEAR-MONTH-DAY", i.e. 2010-12-31.
end_date : str
@@ -163,7 +166,9 @@ def show_treasuries(
else:
ax = external_axes[0]
treasury_data = econdb_model.get_treasuries(types, maturities, start_date, end_date)
treasury_data = econdb_model.get_treasuries(
types, maturities, frequency, start_date, end_date
)
for treasury, maturities_data in treasury_data.items():
for maturity in maturities_data:

24
gamestonk_terminal/economy/economy_controller.py
View File

@@ -697,32 +697,43 @@ Index
type=str,
dest="maturity",
help="The preferred maturity which is dependent on the type of the treasury",
default="1y",
default=["1y"],
)
parser.add_argument(
"-f",
"--frequency",
type=str,
dest="frequency",
choices=econdb_model.TREASURIES["frequencies"],
help="Whether to select nominal, inflation indexed or secondary market treasury bills",
default="monthly",
)
parser.add_argument(
"-t",
"--type",
nargs="+",
type=str,
dest="type",
choices=econdb_model.TREASURIES,
choices=econdb_model.TREASURIES["instruments"],
help="Whether to select nominal, inflation indexed or secondary market treasury bills",
default="nominal",
default=["nominal"],
)
parser.add_argument(
"-s",
"--start_date",
dest="start_date",
help="The start date of the data (format: YEAR-MONTH-DAY, i.e. 2010-12-31)",
default="2000-01-01",
help="The start date of the data (format: YEAR-DAY-MONTH, i.e. 2010-31-12)",
default="1934-01-31",
)
parser.add_argument(
"-e",
"--end_date",
dest="end_date",
help="The end date of the data (format: YEAR-MONTH-DAY, i.e. 2021-06-20)",
help="The end date of the data (format: YEAR-DAY-MONTH, i.e. 2021-20-06)",
default=date.today(),
)
@@ -754,6 +765,7 @@ Index
econdb_view.show_treasuries(
types=ns_parser.type,
maturities=ns_parser.maturity,
frequency=ns_parser.frequency,
start_date=ns_parser.start_date,
end_date=ns_parser.end_date,
raw=ns_parser.raw,