660 lines
21 KiB
Python
660 lines
21 KiB
Python
"""# Finance Definitions.
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Python library defining base types for financial processing.
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Defines a base `Asset` type, and various subtypes, for universal representation
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of these assets.
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Defined hierarchy:
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* `Asset`
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- `Currency`
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+ `FiatCurrency`
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+ `CryptoCurrency`
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- `Stock`
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- `Index`
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- `Commodity`
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"""
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import abc
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import dataclasses
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import datetime
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import re
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from collections.abc import Mapping
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from decimal import Decimal
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import enforce_typing
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from ._version import __version__
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__all__ = ['__version__', 'StockExchange', 'AssetAmount', 'Asset', 'ExchangeRateSample']
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def parse_id_attr_key_value_pair(attr_datum: str) -> tuple[str, str | int] | None:
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attr_datum = attr_datum.strip()
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if attr_datum == '':
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return None
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(attr_key, attr_value) = attr_datum.split('=')
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if re.match(r'^\d+$', attr_value):
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attr_value = int(attr_value)
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return attr_key, attr_value
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def parse_id_attr_data(attr_data: str) -> Mapping[str, str | int]:
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if attr_data is None:
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return {}
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key_value_pairs_str = attr_data.split(',')
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key_value_pairs = [parse_id_attr_key_value_pair(kvp) for kvp in key_value_pairs_str]
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d = {}
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for kvp in key_value_pairs:
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if kvp is None:
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continue
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d[kvp[0]] = kvp[1]
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return d
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## Ids
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RE_TICKER_FORMAT = r'^[A-Z0-9_]+$'
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RE_TICKER_FORMAT_FLEXIBLE = r'^[^:\s](?:[^:]*[^:\s])?$'
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RE_CRYPTO_TICKER_FORMAT = r'^\S+$'
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True)
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class StockExchange:
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"""Unified Stock Exchange identifiers.
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Fields:
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- `name`: Human-readable name.
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- `mic`: Official MIC identifier.
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- `bloomberg_id`: Identifier for lookup on Bloomberg.
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- `crunchbase_id`: Identifier for lookup on Crunchbase.
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- `yahoo_id`: Identifier for lookup on Yahoo! Finance.
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- `eod_id`: Identifier for lookup on EOD.
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"""
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name: str
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mic: str
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bloomberg_id: str | None = None
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crunchbase_id: str | None = None
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yahoo_id: str | None = None
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eod_id: str | None = None
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NYSE = StockExchange(
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name='New York Stock Exchange',
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mic='XNYS',
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bloomberg_id='UN',
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crunchbase_id='NYSE',
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)
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True)
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class Asset:
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"""An identifier representing some abstract financial asset.
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Subtypes represent the various asset types in existence, for example fiat
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currencies, stocks or even crypto currencies.
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"""
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def names(self) -> list[str]:
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"""Returns a list of human readable names for this `Asset`."""
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return COMMON_NAMES.get(self, [])
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def to_polygon_id(self) -> str:
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"""Formats this asset to the [`polygon.io`](https://polygon.io)
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identifier format.
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Inverse of `from_polygon_id`.
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"""
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# TODO: Support currency pairs not involving USD.
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if isinstance(self, Stock):
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return f'{self.ticker}'
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if isinstance(self, Index):
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return f'I:{self.ticker}'
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if isinstance(self, FiatCurrency):
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return f'C:{self.iso_code}USD'
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if isinstance(self, CryptoCurrency):
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return f'X:{self.ccxt_symbol}USD'
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# Else
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msg = f'Unknown type: {type(self).__name__}'
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raise TypeError(msg)
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@staticmethod
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def from_polygon_id(polygon_id: str, exchange: StockExchange = NYSE) -> 'Asset':
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"""Parses an asset from the [`polygon.io`](https://polygon.io)
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identifier format.
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Inverse of `to_polygon_id`.
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"""
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if polygon_id.startswith('I:'):
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return Index(polygon_id.removeprefix('I:'))
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if polygon_id.startswith('X:'):
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return CryptoCurrency(
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polygon_id.removeprefix('X:').removesuffix('USD'),
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None,
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)
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if polygon_id.startswith('C:'):
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return FiatCurrency(polygon_id.removeprefix('C:').removesuffix('USD'))
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return Stock.from_polygon_id(polygon_id, exchange)
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@abc.abstractmethod
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def raw_short_name(self) -> str:
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"""Short name or ticker.
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Does not nessisarily uniquely identify the asset, but may be commonly used within the industry.
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"""
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def to_string_id(self) -> str:
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"""Formats the asset id using the fin_defs asset format."""
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if isinstance(self, Stock):
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attrs_str = f'{{nordnet_id={self.nordnet_id}}}' if self.nordnet_id else ''
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return f'stock:{self.ticker}.{self.exchange.mic}{attrs_str}'
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if isinstance(self, FiatCurrency):
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return f'fiat:{self.iso_code}'
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if isinstance(self, CryptoCurrency):
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attrs_str = (
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f'{{coingecko_id={self.coingecko_id}}}' if self.coingecko_id else ''
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)
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return f'crypto:{self.ccxt_symbol}{attrs_str}'
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if isinstance(self, Index):
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return f'index:{self.ticker}'
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if isinstance(self, Commodity):
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return f'commodity:{self.alpha_vantage_id}'
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if isinstance(self, UnknownAsset):
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return 'unknown:XXX'
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msg = f'Unsupported asset type: {type(self).__name__}'
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raise TypeError(msg)
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@staticmethod
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def from_string_id(asset_id: str) -> 'Asset':
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"""Parses an `Asset` using the fin_defs asset format."""
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m = re.match(r'^(?:(\w+):)?([^{]+)(?:\{(.*)\})?$', asset_id)
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if m is None:
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msg = f'Unsupported asset format: {asset_id}'
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raise ValueError(msg)
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prefix = m.group(1)
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ticker = m.group(2)
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attr_data = m.group(3)
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if known_symbol := WELL_KNOWN_SYMBOLS.get(ticker, None):
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return known_symbol
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attrs: dict[str, str | int] = parse_id_attr_data(attr_data)
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if prefix == 'stock':
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if m := re.match(r'^(\w+)(?:\.(\w+))?$', ticker):
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exchange = EXCHANGES_BY_IDS[m.group(2) or 'NYSE'] # TODO?
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return Stock(m.group(1), exchange, **attrs)
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if prefix in {'currency', 'fiat'}:
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return FiatCurrency(ticker, **attrs)
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if prefix == 'index':
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return Index(ticker, **attrs)
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if prefix == 'crypto':
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return CryptoCurrency(ticker, **attrs)
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if prefix == 'commodity':
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return Commodity(ticker)
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if prefix == 'unknown':
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return UnknownAsset()
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msg = f'Unsupported asset format: {asset_id}'
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raise ValueError(msg)
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def __str__(self):
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return self.to_string_id()
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True)
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class UnknownAsset(Asset):
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"""An asset that does not exist."""
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@abc.abstractmethod
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def raw_short_name(self) -> str:
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return '???'
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True)
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class Currency(Asset):
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"""Either a Fiat or a Crypto Currency."""
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True, order=True)
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class FiatCurrency(Currency):
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"""Fiat Currency."""
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iso_code: str
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def __post_init__(self) -> None:
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if not re.match(RE_TICKER_FORMAT, self.iso_code):
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msg = f'iso_code was not in correct format: {self.iso_code}'
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raise ValueError(msg)
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def raw_short_name(self) -> str:
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return self.iso_code
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@staticmethod
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def from_currency_symbol(symbol: str) -> 'Currency | None':
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for currency, currency_symbol in CURRENCY_SYMBOLS.items():
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if currency_symbol == symbol:
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return currency
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return None
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def to_currency_symbol(self) -> str:
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return CURRENCY_SYMBOLS[self]
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FiatCurrency.DKK = FiatCurrency('DKK')
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FiatCurrency.NOK = FiatCurrency('NOK')
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FiatCurrency.USD = FiatCurrency('USD')
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FiatCurrency.EUR = FiatCurrency('EUR')
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FiatCurrency.GBP = FiatCurrency('GBP')
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FiatCurrency.JPY = FiatCurrency('JPY')
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True)
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class CryptoCurrency(Currency):
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"""Crypto Currency."""
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ccxt_symbol: str
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coingecko_id: str | None = None
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def __post_init__(self) -> None:
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if not re.match(r'^\S.*\S$', self.ccxt_symbol):
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msg = f'ccxt_symbol was not in correct format: {self.ccxt_symbol}'
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raise ValueError(msg)
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def raw_short_name(self) -> str:
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return self.ccxt_symbol
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True)
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class Stock(Asset):
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ticker: str
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exchange: StockExchange
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nordnet_id: int | None = None
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def __post_init__(self) -> None:
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if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
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msg = f'ticker was not in correct format: {self.ticker}'
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raise ValueError(msg)
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@staticmethod
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def from_polygon_id(polygon_id: str, exchange: StockExchange = NYSE) -> 'Stock':
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return Stock(polygon_id, exchange)
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def raw_short_name(self) -> str:
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return self.ticker
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True)
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class Index(Asset):
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ticker: str
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def __post_init__(self) -> None:
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if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
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msg = f'ticker was not in correct format: {self.ticker}'
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raise ValueError(msg)
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def raw_short_name(self) -> str:
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return self.ticker
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True)
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class Commodity(Asset):
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alpha_vantage_id: str
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def __post_init__(self) -> None:
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if not re.match(RE_TICKER_FORMAT, self.alpha_vantage_id):
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msg = f'alpha_vantage_id was not in correct format: {self.alpha_vantage_id}'
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raise ValueError(msg)
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def raw_short_name(self) -> str:
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return self.alpha_vantage_id
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Commodity.CRUDE_OIL_WTI = Commodity('WTI')
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Commodity.CRUDE_OIL_BRENT = Commodity('BRENT')
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Commodity.NATURAL_GAS = Commodity('NATURAL_GAS')
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Commodity.COPPER = Commodity('COPPER')
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Commodity.WHEAT = Commodity('WHEAT')
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Commodity.CORN = Commodity('CORN')
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Commodity.COTTON = Commodity('COTTON')
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Commodity.SUGAR = Commodity('SUGAR')
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Commodity.COFFEE = Commodity('COFFEE')
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# Well known
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DKK = FiatCurrency.DKK
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USD = FiatCurrency.USD
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EUR = FiatCurrency.EUR
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BTC = CryptoCurrency('BTC', coingecko_id='bitcoin')
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MPC = CryptoCurrency('MPC', coingecko_id='partisia-blockchain')
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SPX = Index('SPX')
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NDX = Index('NDX')
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USDT = CryptoCurrency('USDT', coingecko_id='tether')
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COMMON_NAMES: dict[Asset, list[str]] = {
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FiatCurrency('USD'): ['U.S. Dollar'],
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FiatCurrency('DKK'): ['Danske Kroner', 'Danish Crowns'],
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FiatCurrency('EUR'): ['Euro'],
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FiatCurrency('JPY'): ['Japanese Yen'],
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FiatCurrency('CAD'): ['Canadian Dollar'],
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FiatCurrency('GBP'): ['British Pound'],
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FiatCurrency('CNY'): ['Renminbi'],
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FiatCurrency('PLN'): ['Polish Zloty'],
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FiatCurrency('ILS'): ['Israeli new Shekel'],
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FiatCurrency('CHF'): ['Swiss Franc'],
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FiatCurrency('ZAR'): ['South African Rand'],
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FiatCurrency('CZK'): ['Czech Koruna'],
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SPX: ['Standard and Poor 500', 'S&P 500'],
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NDX: ['Nasdaq 100'],
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BTC: ['Bitcoin BTC'],
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MPC: ['Partisia Blockchain MPC Token'],
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CryptoCurrency('ETH', coingecko_id='ethereum'): ['Ethereum Ether'],
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CryptoCurrency('DOGE', coingecko_id='dogecoin'): ['Dogecoin'],
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CryptoCurrency('SOL', coingecko_id='solana'): ['Solana SOL'],
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CryptoCurrency('ADA', coingecko_id='cardano'): ['Cardano ADA'],
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CryptoCurrency('BNB', coingecko_id='bnb'): ['Binance BNB'],
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CryptoCurrency('MATIC', coingecko_id='polygon'): ['Polygon MATIC'],
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# Stable-coins
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CryptoCurrency('DAI', coingecko_id='dai'): ['DAI'],
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CryptoCurrency('USDC', coingecko_id='usdc'): ['USD Coin'],
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USDT: ['Tether USDT'],
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}
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CURRENCY_CODES = {
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sym: FiatCurrency(sym)
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for sym in [
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'USD',
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'DKK',
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'EUR',
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'JPY',
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'CAD',
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'GBP',
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'CNY',
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'PLN',
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'ILS',
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'CHF',
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'ZAR',
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'CZK',
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]
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}
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WELL_KNOWN_SYMBOLS = (
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CURRENCY_CODES
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| {'XXBT': BTC}
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| {k.raw_short_name(): k for k in COMMON_NAMES}
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| {'SPX500': SPX, 'SP500': SPX, 'Nasdaq 100': NDX}
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)
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CURRENCY_SYMBOLS: dict[Currency, str] = {
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USD: '$',
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EUR: '€',
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FiatCurrency.GBP: '£',
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BTC: '₿',
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FiatCurrency.JPY: '¥',
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}
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ASSET_PREFIX: dict[Asset, str] = CURRENCY_SYMBOLS # TODO: Remove at some point.
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EXCHANGES = [
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NYSE,
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StockExchange(name='Nasdaq', mic='XNAS', bloomberg_id='US', crunchbase_id='NASDAQ'),
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StockExchange(
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name='Hong Kong Exchanges And Clearing',
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mic='XHKG',
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bloomberg_id='HK',
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crunchbase_id='SEHK',
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),
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StockExchange(
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name='Moscow Exchange',
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mic='MISC',
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bloomberg_id='RX',
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yahoo_id='ME',
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eod_id='MCX',
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crunchbase_id='MOEX',
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),
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StockExchange(name='Shanghai Stock Exchange', mic='XSHG'),
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StockExchange(name='Euronext Amsterdam', mic='XAMS'),
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StockExchange(name='Euronext Brussels', mic='XBRU'),
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StockExchange(name='Euronext Dublin', mic='XMSM'),
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StockExchange(name='Euronext Lisbon', mic='XLIS'),
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StockExchange(name='Euronext Milan', mic='XMIL'),
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StockExchange(name='Euronext Oslo', mic='XOSL'),
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StockExchange(name='Euronext Paris', mic='XPAR'),
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StockExchange(name='Japan Exchange Group', mic='XJPX'),
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StockExchange(name='Shenzhen Stock Exchange', mic='XSHE'),
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StockExchange(name='Indian National Stock Exchange', mic='XNSE'),
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StockExchange(
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name='Bombay Stock Exchange',
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mic='XBOM',
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bloomberg_id='IB',
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crunchbase_id='BOM',
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yahoo_id='BO',
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),
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StockExchange(name='Toronto Stock Exchange', mic='XTSE'),
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StockExchange(name='London Stock Exchange', mic='XLON'),
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StockExchange(name='Saudi Stock Exchange', mic='XSAU'),
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StockExchange(name='German Stock Exchange', mic='XFRA'),
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StockExchange(name='SIX Swiss Exchange', mic='XSWX'),
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StockExchange(name='Nasdaq Copenhagen Stock Exchange', mic='XCSE'),
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StockExchange(name='Nasdaq Stockholm Stock Exchange', mic='XSTO'),
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StockExchange(name='Nasdaq Helsinki Stock Exchange', mic='XHEL'),
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StockExchange(name='Nasdaq Tallinn Stock Exchange', mic='XTAL'),
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StockExchange(name='Nasdaq Riga Stock Exchange', mic='XRIS'),
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StockExchange(name='Nasdaq Vilnius Stock Exchange', mic='XLIT'),
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StockExchange(name='Nasdaq Iceland Stock Exchange', mic='XICE'),
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StockExchange(name='Korea Exchange', mic='XKOS'),
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StockExchange(name='Taiwan Stock Exchange', mic='XTAI'),
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StockExchange(name='Australian Securities Exchange', mic='XASX'),
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StockExchange(name='Johannesburg Stock Exchange', mic='XJSE'),
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StockExchange(name='Tehran Stock Exchange', mic='XTEH'),
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StockExchange(name='Over The Counter (Unlisted)', mic='OTC'), # TODO: Unofficial
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StockExchange(name='NYSE Arca', mic='ARCX'),
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StockExchange(name='BATS Global Markets', mic='BATS'),
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StockExchange(name='NYSE American', mic='XASE'),
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StockExchange(name='Xetra (Frankfurt Stock Exchange)', mic='XETR'),
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]
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EXCHANGES_BY_IDS = {}
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if True:
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def add_by_id(exchange: StockExchange, key: str):
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exchange_id = getattr(exchange, key)
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if exchange_id is not None:
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EXCHANGES_BY_IDS[exchange_id] = exchange
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for exchange in EXCHANGES:
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add_by_id(exchange, 'mic')
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add_by_id(exchange, 'bloomberg_id')
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add_by_id(exchange, 'crunchbase_id')
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add_by_id(exchange, 'yahoo_id')
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add_by_id(exchange, 'eod_id')
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del exchange
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del add_by_id
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, slots=True)
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class AssetInformation:
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"""Extensive information about a given asset."""
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asset: Asset
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full_name: str
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description: str | None = None
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asset_base: Asset | None = None
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sec_cik: str | None = None
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# TODO: FIGI types? (https://www.openfigi.com/)
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THREE_DECIMALS_UNDER_THIS_AMOUNT = 0.10
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@enforce_typing.enforce_types
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@dataclasses.dataclass(frozen=True, eq=True, slots=True)
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class AssetAmount:
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"""Decimal with associated asset unit.
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Fields:
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- `asset`: Asset unit of amount.
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- `amount`: Amount of given asset.
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"""
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asset: Asset
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amount: Decimal
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def __str__(self) -> str:
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return self.human_readable_str()
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def human_readable_str(self) -> str:
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abs_amount = abs(self.amount)
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specificity = '2' if abs_amount >= THREE_DECIMALS_UNDER_THIS_AMOUNT else '3'
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prefix = ASSET_PREFIX.get(self.asset, '')
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return ('{sign}{prefix}{amount:.' + specificity + 'f} {name}').format(
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sign='-' if self.amount < 0 else '',
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prefix=prefix,
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amount=abs_amount,
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name=self.asset.raw_short_name(),
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)
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def __mul__(self, other: Decimal) -> 'AssetAmount':
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if not isinstance(other, Decimal):
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msg = f'other must be Decimal, but was {type(other).__name__}'
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raise TypeError(msg)
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return AssetAmount(self.asset, self.amount * other)
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def __add__(self, other: 'AssetAmount') -> 'AssetAmount':
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if not isinstance(other, AssetAmount):
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msg = f'other must be AssetAmount, but was {type(other).__name__}'
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raise TypeError(msg)
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if self.is_zero():
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return other
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if other.is_zero():
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return self
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if self.asset != other.asset:
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msg = (
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f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
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)
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raise ValueError(msg)
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return AssetAmount(self.asset, self.amount + other.amount)
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def __sub__(self, other: 'AssetAmount') -> 'AssetAmount':
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# TODO: Implement using add?
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if not isinstance(other, AssetAmount):
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msg = f'other must be AssetAmount, but was {type(other).__name__}'
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raise TypeError(msg)
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if self.is_zero():
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return -other
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if other.is_zero():
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return self
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if self.asset != other.asset:
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msg = (
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f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
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)
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raise ValueError(msg)
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return AssetAmount(self.asset, self.amount - other.amount)
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def __truediv__(self, other: 'Decimal | AssetAmount') -> 'Decimal | AssetAmount':
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if isinstance(other, AssetAmount):
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if self.asset != other.asset:
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msg = f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
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raise ValueError(msg)
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return self.amount / other.amount
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return AssetAmount(self.asset, self.amount / other)
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def __neg__(self) -> 'AssetAmount':
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return AssetAmount(self.asset, -self.amount)
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def cmp(self, other) -> Decimal:
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if not isinstance(other, AssetAmount):
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msg = f'other must be AssetAmount, but was {type(other).__name__}'
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raise TypeError(msg)
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if self.is_zero() or other.is_zero():
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return self.amount - other.amount
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if self.asset != other.asset:
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msg = (
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f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
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)
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raise ValueError(msg)
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return self.amount - other.amount
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def is_zero(self) -> bool:
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return self.amount == 0
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def __lt__(self, other: 'AssetAmount') -> bool:
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return self.cmp(other) < 0
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def __le__(self, other: 'AssetAmount') -> bool:
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return self.cmp(other) <= 0
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def __gt__(self, other: 'AssetAmount') -> bool:
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return self.cmp(other) > 0
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def __ge__(self, other: 'AssetAmount') -> bool:
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return self.cmp(other) >= 0
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AssetAmount.ZERO = AssetAmount(UnknownAsset(), Decimal(0))
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AssetPair = tuple[Asset, Asset]
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@dataclasses.dataclass(frozen=True, eq=True)
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class ExchangeRateSample:
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"""Single exchange rate sample with a timestamp and various stats."""
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timestamp: datetime.date | datetime.datetime
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asset_pair: AssetPair
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_average: Decimal | None = None
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last: Decimal | None = None
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open: Decimal | None = None
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close: Decimal | None = None
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high: Decimal | None = None
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low: Decimal | None = None
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volume: Decimal | None = None
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market_cap: Decimal | None = None
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@property
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def average(self) -> Decimal:
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if self._average:
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return self._average
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return (self.high + self.low) / 2
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def replace_timestamp(
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self,
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timestamp: datetime.date | datetime.datetime,
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) -> 'ExchangeRateSample':
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return dataclasses.replace(self, timestamp=timestamp)
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def invert_exchange_rate(self) -> 'ExchangeRateSample':
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one = Decimal('1')
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return dataclasses.replace(
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self,
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asset_pair=(self.asset_pair[1], self.asset_pair[0]),
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_average=one / self._average if self._average else None,
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last=one / self.last if self.last else None,
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open=one / self.open if self.open else None,
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close=one / self.close if self.close else None,
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high=one / self.low if self.low else None,
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low=one / self.high if self.high else None,
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# TODO: Support volume
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# TODO: Support market_cap
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)
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