Created
December 7, 2023 21:50
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import pandas as pd | |
import treasury_gov_pandas | |
from bokeh.plotting import figure, show | |
from bokeh.models import NumeralTickFormatter, HoverTool | |
import bokeh.models | |
import bokeh.palettes | |
import bokeh.transform | |
# ---------------------------------------------------------------------- | |
# df = treasury_gov_pandas.update_records( | |
# 'auctions_query.pkl', | |
# 'https://api.fiscaldata.treasury.gov/services/api/fiscal_service/v1/accounting/od/auctions_query') | |
df = treasury_gov_pandas.update_records('https://api.fiscaldata.treasury.gov/services/api/fiscal_service/v1/accounting/od/auctions_query', lookback=5) | |
# df | |
# ---------------------------------------------------------------------- | |
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_tendered'] = pd.to_numeric(df['total_tendered'], 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='D' | |
# freq='W' | |
# freq='M' | |
bills_issued = bills.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum() | |
bills_maturing = bills.groupby(pd.Grouper(key='maturity_date', freq=freq))['total_accepted_neg'].sum() | |
bills_issued.to_frame().index.name = 'date' | |
bills_maturing.to_frame().index.name = 'date' | |
bills_combined = bills_issued.to_frame().join(bills_maturing.to_frame(), how='outer', on='date') | |
bills_combined = bills_combined.fillna(0) | |
bills_combined['change'] = bills_combined['total_accepted'] + bills_combined['total_accepted_neg'] | |
bills_change = bills_combined | |
bills_change_non_zero = bills_change[bills_change['change'] != 0] | |
# ---------------------------------------------------------------------- | |
notes_issued = notes.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum() | |
notes_maturing = notes.groupby(pd.Grouper(key='maturity_date', freq=freq))['total_accepted_neg'].sum() | |
notes_issued.to_frame().index.name = 'date' | |
notes_maturing.to_frame().index.name = 'date' | |
notes_combined = notes_issued.to_frame().join(notes_maturing.to_frame(), how='outer', on='date') | |
notes_combined = notes_combined.fillna(0) | |
notes_combined['change'] = notes_combined['total_accepted'] + notes_combined['total_accepted_neg'] | |
notes_change = notes_combined | |
notes_change_non_zero = notes_change[notes_change['change'] != 0] | |
# ---------------------------------------------------------------------- | |
bonds_issued = bonds.groupby(pd.Grouper(key='issue_date', freq=freq))['total_accepted'].sum() | |
bonds_maturing = bonds.groupby(pd.Grouper(key='maturity_date', freq=freq))['total_accepted_neg'].sum() | |
bonds_issued.to_frame().index.name = 'date' | |
bonds_maturing.to_frame().index.name = 'date' | |
bonds_combined = bonds_issued.to_frame().join(bonds_maturing.to_frame(), how='outer', on='date') | |
bonds_combined = bonds_combined.fillna(0) | |
bonds_combined['change'] = bonds_combined['total_accepted'] + bonds_combined['total_accepted_neg'] | |
bonds_change = bonds_combined | |
bonds_change_non_zero = bonds_change[bonds_change['change'] != 0] | |
# ---------------------------------------------------------------------- | |
p = figure( | |
# title='Treasury Securities Auctions Data : Net Issuance', | |
title=f'Treasury Securities Auctions Data : Net Issuance : freq={freq}', | |
sizing_mode='stretch_both', | |
x_axis_type='datetime', | |
x_axis_label='date', | |
y_axis_label='total_accepted', | |
) | |
p.yaxis.formatter = NumeralTickFormatter(format='$0a') | |
p.circle(x=bills_change_non_zero['date'], y=bills_change_non_zero['change'], color='red', legend_label='Bills') | |
p.circle(x=notes_change_non_zero['date'], y=notes_change_non_zero['change'], color='green', legend_label='Notes') | |
p.circle(x=bonds_change_non_zero['date'], y=bonds_change_non_zero['change'], color='blue', legend_label='Bonds') | |
# p.line(x=bills_change_non_zero['date'], y=bills_change_non_zero['change'], color='red', legend_label='Bills') | |
# p.line(x=notes_change_non_zero['date'], y=notes_change_non_zero['change'], color='green', legend_label='Notes') | |
# p.line(x=bonds_change_non_zero['date'], y=bonds_change_non_zero['change'], color='blue', legend_label='Bonds') | |
# p.vbar(x=bills_change_non_zero['date'], top=bills_change_non_zero['change'], color='red', legend_label='Bills') | |
# p.vbar(x=notes_change_non_zero['date'], top=notes_change_non_zero['change'], color='green', legend_label='Notes') | |
# p.vbar(x=bonds_change_non_zero['date'], top=bonds_change_non_zero['change'], color='blue', legend_label='Bonds') | |
p.add_tools(HoverTool(tooltips=[ | |
('Date', '@x{%F}'), | |
('Change', '@y{$0.0a}'), | |
], | |
formatters={ '@x': 'datetime' } | |
)) | |
p.legend.click_policy = 'hide' | |
# p.xaxis.ticker = bokeh.models.MonthsTicker(months=list(range(1, 13))) | |
p.xaxis.ticker = bokeh.models.DatetimeTicker(desired_num_ticks=30) | |
show(p) | |
# ---------------------------------------------------------------------- |
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