Created
November 3, 2023 20:02
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import pandas as pd | |
import treasury_gov_pandas | |
from bokeh.plotting import figure, show | |
from bokeh.models import NumeralTickFormatter, HoverTool | |
# --------------------------------------------------------------------- | |
df = treasury_gov_pandas.update_records( | |
'auctions_query.pkl', | |
'https://api.fiscaldata.treasury.gov/services/api/fiscal_service/v1/accounting/od/auctions_query') | |
# ---------------------------------------------------------------------- | |
df['record_date'] = pd.to_datetime(df['record_date']) | |
df['issue_date'] = pd.to_datetime(df['issue_date']) | |
df['maturity_date'] = pd.to_datetime(df['maturity_date']) | |
df['auction_date'] = pd.to_datetime(df['auction_date']) | |
df['total_accepted'] = pd.to_numeric(df['total_accepted'], errors='coerce') | |
df['total_accepted_neg'] = df['total_accepted'] * -1 | |
# ---------------------------------------------------------------------- | |
bills = df[df['security_type'] == 'Bill'] | |
notes = df[df['security_type'] == 'Note'] | |
bonds = df[df['security_type'] == 'Bond'] | |
# ---------------------------------------------------------------------- | |
freq='Q' | |
# ---------------------------------------------------------------------- | |
bills_issued = bills.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum().to_frame() | |
notes_issued = notes.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum().to_frame() | |
bonds_issued = bonds.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum().to_frame() | |
# ---------------------------------------------------------------------- | |
bills_notes_bonds_issued = bills_issued.merge(notes_issued, how='outer', on='issue_date').merge(bonds_issued, how='outer', on='issue_date') | |
bills_notes_bonds_issued.columns = ['bills', 'notes', 'bonds'] | |
bills_notes_bonds_issued['bills_notes_ratio'] = bills_notes_bonds_issued['bills'] / bills_notes_bonds_issued['notes'] | |
bills_notes_bonds_issued['bills_notes_bonds_ratio'] = bills_notes_bonds_issued['bills'] / (bills_notes_bonds_issued['notes'] + bills_notes_bonds_issued['bonds']) | |
# ---------------------------------------------------------------------- | |
p = figure(title=f'Treasury Securities Auctions Data : {freq}', sizing_mode='stretch_both', x_axis_type='datetime', x_axis_label='date', y_axis_label='') | |
p.add_tools(HoverTool( | |
tooltips=[ | |
('issue_date', '@issue_date{%F}'), | |
('bills_notes_ratio', '@bills_notes_ratio{0.00}') | |
], | |
formatters={ '@issue_date': 'datetime' })) | |
p.yaxis.formatter = NumeralTickFormatter(format='0a') | |
p.line(x='issue_date', y='bills_notes_ratio', color='black', legend_label='Issued Bills/Notes ratio', source=bills_notes_bonds_issued) | |
p.legend.click_policy = 'hide' | |
p.legend.location = 'top_left' | |
show(p) | |
# ---------------------------------------------------------------------- |
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