intrinio-gists

intrinio-gists

intrinio-gists

import requests
import empyrical
import pandas as pd
import warnings
from retrying import retry
from prettytable import PrettyTable
warnings.simplefilter(action='ignore', category=(FutureWarning, UserWarning))


api_key = 'YOUR_INTRINIO_API_KEY_HERE'

intrinio-gists

import requests
import empyrical
import pandas as pd
import warnings
from retrying import retry
from prettytable import PrettyTable
warnings.simplefilter(action='ignore', category=(FutureWarning, UserWarning))


api_key = 'YOUR_INTRINIO_API_KEY_HERE'

intrinio-gists

def _folio_tearsheet(
    start_date,
    end_date,
    ticker_weights_dataset,
):
    tickers = list(ticker_weights_dataset.index)

    folio_historic_prices_dataset = _folio_historic_prices_dataset(
        tickers,
        start_date,

intrinio-gists

def _daily_returns_dataset(
    historic_prices,
):
    daily_returns_dataset = historic_prices.pct_change()
    daily_returns_dataset = daily_returns_dataset.fillna(
        0, 
        inplace=False
    )

    return daily_returns_dataset

intrinio-gists

def _folio_historic_prices_dataset(
    tickers,
    start_date,
    end_date,
):
    historic_prices_dataset = pd.DataFrame()

    for ticker in tickers:
        historic_prices = _historic_prices(
            ticker,

intrinio-gists

@retry(stop_max_attempt_number=2, wait_random_min=1000, wait_random_max=2000)
def _historic_prices(
    ticker,
    start_date,
    end_date,
    
):
    historic_prices = None
    response = requests.get(f'https://api-v2.intrinio.com/securities/{ticker}/prices', params={
        'page_size': 10000,

intrinio-gists

import requests
import pandas as pd

api_key = "YOUR_INTRINIO_API_KEY_HERE"

def _etf_holdings_dataset(etf_ticker, allocation):

  res = requests.get(f"https://api-v2.intrinio.com/etfs/{etf_ticker}/holdings?page_size=10000&api_key={api_key}")
  etf_holdings_dataset = pd.DataFrame(res.json().get("holdings"))
  etf_holdings_dataset["funds_allocation"] = etf_holdings_dataset["weighting"] * allocation

intrinio-gists

def _etf_diversity_dataset(etf_tickers_and_allocations):
  
  ETFs = []

  for etf_ticker, allocation in etf_tickers_and_allocations.items():
    etf_holdings_dataset = _etf_holdings_dataset(etf_ticker, allocation)
    ETFs.append(etf_holdings_dataset)
  
  etf_diversity_dataset = pd.concat(ETFs).groupby(by=["ticker", "sedol"]).sum()
  etf_diversity_dataset = etf_diversity_dataset.sort_values(by="funds_allocation", ascending=False)