Download Reg SHO files from NASDAQ

reg_sho_download.py

from ftplib import FTP

def login(oldftp):
    try:
        ftp.close()
    except: pass
    return FTP(host='ftp.nasdaqtrader.com',user='anonymous',passwd='jones_school@rice.edu')

def download_regsho_data(save_dir=None):
    if not save_dir:
        import tempfile
        save_dir = tempfile.mkdtemp(prefix='regsho')
    print "Saving to {}".format(save_dir)
    ftp =  login(False)
    fdir = 'regshopilot'
    files = [f for f in ftp.nlst(fdir) if 'zip' in f]

    for f in files:
        try:
            with open(os.path.join(save_dir,f), 'wb') as fh:
                ftp.retrbinary("RETR /{}/{}".format(fdir, f), fh.write)
            print "Wrote {}".format(os.path.join(save_dir,f))
        except:
            print "Error downloading ", f
            ftp = login(ftp)
    ftp.close()

if __name__ == '__main__':
    download_regsho_data()