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Adjustment to security types in bbg_figi_mapper #184

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merged 2 commits into from
Sep 2, 2024
Merged

Adjustment to security types in bbg_figi_mapper #184

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db48646
Provided adjustment to security types in bbg_figi_mapper
Aug 30, 2024
a20eba0
Fixed doc strings
Aug 30, 2024
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27 changes: 20 additions & 7 deletions qf_lib/backtesting/contract/contract_to_ticker_conversion/bbg_figi_mapper.py
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Original file line number Diff line number Diff line change
Expand Up @@ -70,15 +70,21 @@ def preload_tickers_mapping(self, tickers: Union[Sequence[BloombergTicker], Bloo
-----------
tickers: Union[Sequence[BloombergTicker], BloombergTicker]
ticker(s) for which the mapping should be fetched and saved

Returns
--------
results: List[Dict]
returns a list of dictionaries, containing all data extracted from openfigi for additional reference
"""
tickers, _ = convert_to_list(tickers, BloombergTicker)

requests = [self._ticker_into_openfigi_requests(ticker) for ticker in tickers]
results = asyncio.run(self._distribute_mapping_requests(requests))
results = list(asyncio.run(self._distribute_mapping_requests(requests)))
figi_values = map(lambda r: r.get('figi', None), itertools.chain(*results))

self.ticker_to_contract_data.update(dict(zip(tickers, figi_values)))
self.contract_data_to_ticker.update(dict(zip(figi_values, tickers)))
return results

def preload_figi_mapping(self, figis: Union[Sequence[str], str]):
"""
Expand All @@ -90,15 +96,21 @@ def preload_figi_mapping(self, figis: Union[Sequence[str], str]):
-----------
figis: Union[Sequence[str], str]
FIGI(s) for which the mapping should be fetched and saved

Returns
--------
results: List[Dict]
returns a list of dictionaries, containing all data extracted from openfigi for additional reference
"""
figis, _ = convert_to_list(figis, str)

requests = [{"idType": "ID_BB_GLOBAL", "idValue": f} for f in figis]
results = itertools.chain(*asyncio.run(self._distribute_mapping_requests(requests)))
results = list(itertools.chain(*asyncio.run(self._distribute_mapping_requests(requests))))
mapping = dict(self._ticker_from_openfigi_response(r, f) for (r, f) in zip(results, figis))

self.ticker_to_contract_data.update(mapping)
self.contract_data_to_ticker.update({val: key for key, val in mapping.items()})
return results

def contract_to_ticker(self, figi: str) -> BloombergTicker:
""" Maps Broker specific contract objects onto corresponding Tickers.
Expand Down Expand Up @@ -175,14 +187,15 @@ def _ticker_from_openfigi_response(self, contract_data: Dict[str, str], figi: st
security_type_map = {
'Index': (SecurityType.INDEX, ['ticker']),
'Equity': (SecurityType.STOCK, ['ticker', 'exchCode', 'marketSector']),
'Mutual Fund': (SecurityType.STOCK, ['ticker', 'exchCode', 'marketSector']),
'Future': (SecurityType.FUTURE, ['ticker', 'marketSector']),
'CROSS': (SecurityType.FX, ['securityDescription']),
'SPOT': (SecurityType.FX, ['securityDescription']),
'Comdty': (SecurityType.FUTURE, ['ticker', 'marketSector']),
'Curncy': (SecurityType.FX, ['securityDescription']),
'Corp': (SecurityType.STOCK, ['securityDescription', 'marketSector']),
'Govt': (SecurityType.STOCK, ['securityDescription']),
'Pfd': (SecurityType.STOCK, ['securityDescription']),
}

try:
security_type, fields = security_type_map[contract_data.get('securityType2', '')]
security_type, fields = security_type_map[contract_data.get('marketSector', '')]
fields_data = [contract_data.get(f) for f in fields if contract_data.get(f)]
ticker_str = " ".join(fields_data)

Expand Down
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