Add dark pools (ATS) vs Non-ATS data over time

gamestonk_terminal/due_diligence/dd_controller.py

@@ -13,6 +13,7 @@ from gamestonk_terminal.due_diligence import market_watch_view as mw_view
 from gamestonk_terminal.due_diligence import quandl_view as q_view
 from gamestonk_terminal.due_diligence import reddit_view as r_view
 from gamestonk_terminal.due_diligence import news_view
+from gamestonk_terminal.due_diligence import finra_view
 from gamestonk_terminal import feature_flags as gtff
 from gamestonk_terminal.helper_funcs import get_flair
 from gamestonk_terminal.menu import session
@@ -37,6 +38,7 @@ class DueDiligenceController:
         "analyst",
         "warnings",
         "sec",
+        "dp",
     ]
 
     def __init__(self, stock: DataFrame, ticker: str, start: str, interval: str):
@@ -97,6 +99,7 @@ class DueDiligenceController:
         print(
             "   warnings      company warnings according to Sean Seah book [Market Watch]"
         )
+        print("   dp            dark pools vs OTC data [FINRA]")
         print("")
 
     def switch(self, an_input: str):
@@ -175,6 +178,10 @@ class DueDiligenceController:
         """ Process short command """
         q_view.short_interest(other_args, self.ticker, self.start)
 
+    def call_dp(self, other_args: List[str]):
+        """ Process dp command """
+        finra_view.dark_pool(other_args, self.ticker)
+
 
 def menu(stock: DataFrame, ticker: str, start: str, interval: str):
     """Due Diligence Menu

gamestonk_terminal/due_diligence/finra_view.py

@@ -0,0 +1,272 @@
+""" FINRA View """
+__docformat__ = "numpy"
+
+import argparse
+from typing import List
+import requests
+import pandas as pd
+from matplotlib import pyplot as plt
+import matplotlib.dates as mdates
+from gamestonk_terminal.config_plot import PLOT_DPI
+from gamestonk_terminal import feature_flags as gtff
+from gamestonk_terminal.helper_funcs import parse_known_args_and_warn, plot_autoscale
+
+
+def getFINRAweeks(tier, is_ats) -> List:
+    """Get FINRA weeks
+
+    Parameters
+    ----------
+    tier : str
+        Stock tier between T1, T2, or OTCE
+    is_ats : bool
+        ATS data if true, NON-ATS otherwise
+
+    Returns
+    ----------
+    List
+        List of response data
+    """
+    req_hdr = {"Accept": "application/json", "Content-Type": "application/json"}
+
+    req_data = {
+        "compareFilters": [
+            {
+                "compareType": "EQUAL",
+                "fieldName": "summaryTypeCode",
+                "fieldValue": "ATS_W_SMBL" if is_ats else "OTC_W_SMBL",
+            },
+            {
+                "compareType": "EQUAL",
+                "fieldName": "tierIdentifier",
+                "fieldValue": tier,
+            },
+        ],
+        "delimiter": "|",
+        "fields": ["weekStartDate"],
+        "limit": 27,
+        "quoteValues": False,
+        "sortFields": ["-weekStartDate"],
+    }
+
+    response = requests.post(
+        "https://api.finra.org/data/group/otcMarket/name/weeklyDownloadDetails",
+        headers=req_hdr,
+        json=req_data,
+    )
+
+    return response.json() if response.status_code == 200 else list()
+
+
+def getFINRAdata(weekStartDate, tier, ticker, is_ats) -> List:
+    """Get FINRA data
+
+    Parameters
+    ----------
+    weekStartDate : str
+        Weekly data to get FINRA data
+    tier : str
+        Stock tier between T1, T2, or OTCE
+    ticker : str
+        Stock ticker to get data from
+    is_ats : bool
+        ATS data if true, NON-ATS otherwise
+
+    Returns
+    ----------
+    str
+        Status code from request
+    List
+        List of response data
+    """
+    req_hdr = {"Accept": "application/json", "Content-Type": "application/json"}
+
+    l_cmp_filters = [
+        {
+            "compareType": "EQUAL",
+            "fieldName": "weekStartDate",
+            "fieldValue": weekStartDate,
+        },
+        {"compareType": "EQUAL", "fieldName": "tierIdentifier", "fieldValue": tier},
+        {
+            "compareType": "EQUAL",
+            "description": "",
+            "fieldName": "summaryTypeCode",
+            "fieldValue": "ATS_W_SMBL" if is_ats else "OTC_W_SMBL",
+        },
+    ]
+
+    if ticker:
+        l_cmp_filters.append(
+            {
+                "compareType": "EQUAL",
+                "fieldName": "issueSymbolIdentifier",
+                "fieldValue": ticker,
+            }
+        )
+
+    req_data = {
+        "compareFilters": l_cmp_filters,
+        "delimiter": "|",
+        "fields": [
+            "issueSymbolIdentifier",
+            "totalWeeklyShareQuantity",
+            "totalWeeklyTradeCount",
+            "lastUpdateDate",
+        ],
+        "limit": 5000,
+        "quoteValues": False,
+        "sortFields": ["totalWeeklyShareQuantity"],
+    }
+
+    response = requests.post(
+        "https://api.finra.org/data/group/otcMarket/name/weeklySummary",
+        headers=req_hdr,
+        json=req_data,
+    )
+
+    return (
+        response.status_code,
+        response.json() if response.status_code == 200 else list(),
+    )
+
+
+def getTickerFINRAdata(ticker):
+    """Get all FINRA data associated with a ticker
+
+    Parameters
+    ----------
+    ticker : str
+        Stock ticker to get data from
+
+    Returns
+    ----------
+    pd.DataFrame
+        Dark Pools (ATS) Data
+    pd.DataFrame
+        OTC (Non-ATS) Data
+    """
+    tiers = ["T1", "T2", "OTCE"]
+
+    l_data = list()
+    for tier in tiers:
+        for d_week in getFINRAweeks(tier, is_ats=True):
+            status_code, response = getFINRAdata(
+                d_week["weekStartDate"], tier, ticker, True
+            )
+            if status_code == 200:
+                if response:
+                    d_data = response[0]
+                    d_data.update(d_week)
+                    l_data.append(d_data)
+                else:
+                    break
+
+    df_ats = pd.DataFrame(l_data)
+    df_ats = df_ats.sort_values("weekStartDate")
+    df_ats = df_ats.set_index("weekStartDate")
+
+    l_data = list()
+    for tier in tiers:
+        for d_week in getFINRAweeks(tier, is_ats=False):
+            status_code, response = getFINRAdata(
+                d_week["weekStartDate"], tier, ticker, False
+            )
+            if status_code == 200:
+                if response:
+                    d_data = response[0]
+                    d_data.update(d_week)
+                    l_data.append(d_data)
+                else:
+                    break
+
+    df_otc = pd.DataFrame(l_data)
+    df_otc = df_otc.sort_values("weekStartDate")
+    df_otc = df_otc.set_index("weekStartDate")
+
+    return df_ats, df_otc
+
+
+def plot_dark_pools(ticker: str, ats: pd.DataFrame, otc: pd.DataFrame):
+    """Plots ATS and NON-ATS data
+
+    Parameters
+    ----------
+    ticker : str
+        Stock ticker to get data from
+    ats : pd.DataFrame
+        Dark Pools (ATS) Data
+    otc : pd.DataFrame
+        OTC (Non-ATS) Data
+    """
+    _, axData = plt.subplots(figsize=plot_autoscale(), dpi=PLOT_DPI)
+
+    plt.subplot(3, 1, (1, 2))
+    plt.bar(
+        ats.index,
+        (ats["totalWeeklyShareQuantity"] + otc["totalWeeklyShareQuantity"]) / 1_000_000,
+        color="tab:orange",
+    )
+    plt.bar(otc.index, otc["totalWeeklyShareQuantity"] / 1_000_000, color="tab:blue")
+    plt.ylabel("Total Weekly Shares [Million]")
+    plt.legend(["ATS", "OTC"])
+    plt.grid(b=True, which="major", color="#666666", linestyle="-", alpha=0.2)
+    plt.title(f"Dark Pools (ATS) vs OTC (Non-ATS) Data for {ticker}")
+
+    # _ = axData.twinx()
+    plt.subplot(313)
+    plt.plot(
+        ats.index,
+        ats["totalWeeklyShareQuantity"] / ats["totalWeeklyTradeCount"],
+        color="tab:orange",
+    )
+    plt.plot(
+        otc.index,
+        otc["totalWeeklyShareQuantity"] / otc["totalWeeklyTradeCount"],
+        color="tab:blue",
+    )
+    plt.ylabel("Shares per Trade")
+    plt.legend(["ATS", "OTC"])
+    plt.grid(b=True, which="major", color="#666666", linestyle="-", alpha=0.2)
+    plt.gcf().autofmt_xdate()
+    plt.xlabel("Weeks")
+
+    if gtff.USE_ION:
+        plt.ion()
+
+    plt.show()
+
+
+def dark_pool(other_args: List[str], ticker: str):
+    """Display barchart of dark pool (ATS) and OTC (Non ATS) data
+
+    Parameters
+    ----------
+    other_args : List[str]
+        argparse other args
+    ticker : str
+        Stock ticker
+    """
+    parser = argparse.ArgumentParser(
+        add_help=False,
+        prog="dp",
+        description="Display barchart of dark pool (ATS) and OTC (Non ATS) data [Source: FINRA]",
+    )
+
+    if 1:
+        ns_parser = parse_known_args_and_warn(parser, other_args)
+        if not ns_parser:
+            return
+
+        df_ats, df_otc = getTickerFINRAdata(ticker)
+
+        plot_dark_pools(ticker, df_ats, df_otc)
+
+        print("")
+
+    """
+    except Exception as e:
+        print(e)
+        print("")
+        return
+    """