CME settlement price fetcher Ugly, but effective, script for getting CME settlement prices off their FTP side. Could use a clean up...

mercsettles.py

import sys, string, urllib

GROUPS = dict([('ags','ftp://ftp.cmegroup.com/pub/settle/stlags'),
               ('rates','ftp://ftp.cmegroup.com/pub/settle/stlint'),
               ('fx','ftp://ftp.cmegroup.com/pub/settle/stlcur'),
               ('nymex','ftp://ftp.cmegroup.com/pub/settle/stlnymex'),
               ('comex','ftp://ftp.cmegroup.com/settle/stlcomex'),
               ('clearport','ftp://ftp.cmegroup.com/settle/stlcpc')])

# month codes
MONTHDICT = dict([(i+1, 'FGHJKMNQUVXZ'[i]) for i in range(12)])
MONTHDICT.update(dict([('FGHJKMNQUVXZ'[i], i+1) for i in range(12)]))
MONTH_NAMES = 'JAN FEB MAR APR MAY JUN JLY AUG SEP OCT NOV DEC'.split()
MONTHDICT.update(dict(zip(MONTH_NAMES, 'F G H J K M N Q U V X Z'.split())))

def month_code(month):
    return MONTHDICT[month]

def remove_word(sentence, word, separator):
    return string.join(sentence.split(word), separator).strip()

def Settlements(grp):
    path = GROUPS[grp]
    u = urllib.urlopen(path)
    lines = u.readlines()
    print lines[0].strip()
    u.close()
    RES = {}
    key = None
    for l in lines:
        if len(l.strip()) == 0: continue
        tokens = [t for t in l.split() if len(t.strip()) > 0]
        if tokens[0] == 'TOTAL': continue
        if len(tokens) > 5 and tokens[1] == tokens[2] == tokens[3] \
           == tokens[4] == '----': continue
        try: int(tokens[0]); continue
        except: pass
        if tokens[-1] in ['CALL', 'PUT', '***']: continue
        if tokens[1] == 'SYNTH': continue
        if tokens[-1].lower() in ['future', 'futures', 'swap', 'swp']:
            symbol = tokens[0]
            if tokens[1] == 'Mini-sized': tokens[1] = 'Mini'
            key = (symbol, string.join(tokens[1:], ' ').upper().strip())
            RES[key] = []
            if symbol == 'ED':
                count = 24
            else: count = 3
            continue
        if key != None:
            x = dict(zip('EXP OPEN HI LO LAST SETT CHNG'.split(), tokens[:7]))
            try: x['EXP'] = month_code(x['EXP'][:3]) + x['EXP'][-1]
            except:
                key = None
                continue
            RES[key].append(x)
            count -= 1
            if count == 0: key = None
            continue
    return RES

def DisplaySettlements(grp):
    result = Settlements(grp)
    keys = result.keys()
    keys.sort()
    output = []
    for (symbol, description) in keys:
        if len(result[(symbol, description)]) == 0: continue
        if description == 'MINNEAPOLIS HARD RED SPRING WHEAT FUTURES':
            output.append('MN SPRING WHEAT FUTURES')
        elif description == 'MINNEAPOLIS SOFT RED WINTER WHEAT INDEX FUTURES':
            output.append('MN WINTER WHEAT IDX FUTURES')
        elif description == 'KANSAS CITY WHEAT FUTURES':
            output.append('KC WHEAT FUTURES')
        else:
            d = remove_word(description, 'CME', '')
            output.append(d)
        for d in result[(symbol, description)]:
            line = string.join(['     ', (symbol + d['EXP']).ljust(10),
                                d['SETT'].ljust(8), d['CHNG'].ljust(8)])
            output.append(line)
    return output

if __name__ == '__main__':

    op = DisplaySettlements('ags')
    
    print string.join(op, '\n')