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@westonplatter
Created January 20, 2020 19:55
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from datetime import datetime, timedelta, date
import pytz
from os import environ, path, makedirs
import pandas as pd
import quandl
import fasterparquet
start_date = "1995-01-01"
today = date.today()
last_market_date = today - timedelta(days=3)
end_date = last_market_date.strftime("%Y-%m-%d")
def save_futures_data(
symbol: str, month: str, sd: str, ed: str, overwrite: bool = False
):
identifier = f"CHRIS/CME_{symbol}{month}"
data_path = f"./data/{identifier}.parquet"
def save_file(identifier, data_path, sd, ed):
dirs = "/".join(data_path.split("/")[:-1])
makedirs(dirs, exist_ok=True)
df = quandl.get(identifier, start_date=sd, end_date=ed)
df.to_parquet(data_path, compression="gzip")
try:
df = pd.read_parquet(data_path)
print(f"Reading {data_path}")
except FileNotFoundError as e:
print(f"API calling {data_path}")
save_file(identifier, data_path, start_date, end_date)
if overwrite:
print(f"Overwriting data.")
save_file(identifier, data_path, start_date, end_date)
months_out_on_curve = [str(i) for i in range(1, 12)]
instruments = ["CL"]
for instrument in instruments:
for month in months_out_on_curve:
sd = start_date
ed = end_date
print(
f"instrument={instrument}, month_out={month}. start_date={sd}. end_date={ed}"
)
save_futures_data(instrument, month, sd, ed, overwrite=True)
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