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fin-defs/fin_defs/__init__.py
2024-09-01 21:57:24 +02:00

570 lines
18 KiB
Python

"""# Finance Definitions.
Python library defining base types for financial processing.
Defines a base `Asset` type, and various subtypes, for universal representation
of these assets.
Defined hierarchy:
* `Asset`
- `Currency`
+ `FiatCurrency`
+ `CryptoCurrency`
- `Stock`
- `Index`
- `Commodity`
"""
import abc
import dataclasses
import datetime
import re
from decimal import Decimal
import enforce_typing
from ._version import __version__ # noqa: F401
def parse_attr_data(attr_data: str) -> dict[str, str | int]:
d = {}
if attr_data is None:
return d
for s in attr_data.split(','):
s = s.strip()
if s == '':
continue
(attr_key, attr_value) = s.split('=')
if re.match(r'^\d+$', attr_value):
attr_value = int(attr_value)
d[attr_key] = attr_value
return d
## Ids
RE_TICKER_FORMAT = r'^[A-Z0-9_]+$'
RE_TICKER_FORMAT_FLEXIBLE = r'^[^:\s](?:[^:]*[^:\s])?$'
RE_CRYPTO_TICKER_FORMAT = r'^\S+$'
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True)
class StockExchange:
"""Unified Stock Exchange identifiers.
Fields:
- `name`: Human-readable name.
- `mic`: Official MIC identifier.
- `bloomberg_id`: Identifier for lookup on Bloomberg.
- `crunchbase_id`: Identifier for lookup on Crunchbase.
- `yahoo_id`: Identifier for lookup on Yahoo! Finance.
- `eod_id`: Identifier for lookup on EOD.
"""
name: str
mic: str
bloomberg_id: str | None = None
crunchbase_id: str | None = None
yahoo_id: str | None = None
eod_id: str | None = None
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True)
class Asset:
"""An identifier representing some abstract financial asset.
Subtypes represent the various asset types in existence, for example fiat
currencies, stocks or even crypto currencies.
"""
def names(self) -> list[str]:
"""Returns a list of human readable names for this `Asset`."""
return COMMON_NAMES.get(self, [])
def to_polygon_id(self) -> str:
"""Formats this asset to the [`polygon.io`](https://polygon.io)
identifier format.
Inverse of `from_polygon_id`.
"""
# TODO: Support currency pairs not involving USD.
if isinstance(self, Stock):
return f'{self.ticker}'
if isinstance(self, Index):
return f'I:{self.ticker}'
if isinstance(self, FiatCurrency):
return f'C:{self.iso_code}USD'
if isinstance(self, CryptoCurrency):
return f'X:{self.ccxt_symbol}USD'
# Else
msg = f'Unknown self type: {self}'
raise Exception(msg)
@staticmethod
def from_polygon_id(polygon_id: str) -> 'Asset':
"""Parses an asset from the [`polygon.io`](https://polygon.io)
identifier format.
Inverse of `to_polygon_id`.
"""
if polygon_id.startswith('I:'):
return Index(polygon_id.removeprefix('I:'))
if polygon_id.startswith('X:'):
return CryptoCurrency(
polygon_id.removeprefix('X:').removesuffix('USD'),
None,
)
if polygon_id.startswith('C:'):
return FiatCurrency(polygon_id.removeprefix('C:').removesuffix('USD'))
return Stock.from_polygon_id(polygon_id)
@abc.abstractmethod
def raw_short_name(self) -> str:
"""A short name or ticker that does not nessisarily uniquely identify
the asset, but may be commonly used within the industry."""
def to_string_id(self) -> str:
"""Formats the asset id using the fin_defs asset format."""
if isinstance(self, Stock):
attrs_str = f'{{nordnet_id={self.nordnet_id}}}' if self.nordnet_id else ''
return f'stock:{self.ticker}.{self.exchange.mic}{attrs_str}'
if isinstance(self, FiatCurrency):
return f'fiat:{self.iso_code}'
if isinstance(self, CryptoCurrency):
attrs_str = (
f'{{coingecko_id={self.coingecko_id}}}' if self.coingecko_id else ''
)
return f'crypto:{self.ccxt_symbol}{attrs_str}'
if isinstance(self, Index):
return f'index:{self.ticker}'
if isinstance(self, Commodity):
return f'commodity:{self.alpha_vantage_id}'
msg = f'Unsupported asset type: {repr(self)}'
raise ValueError(msg)
@staticmethod
def from_string_id(asset_id: str, shortcut_well_known=True) -> 'Asset':
"""Parses an `Asset` using the fin_defs asset format."""
m = re.match(r'^(?:(\w+):)?([^{]+)(?:\{(.*)\})?$', asset_id)
if m is None:
msg = f'Unsupported asset format: {asset_id}'
raise ValueError(msg)
prefix = m.group(1)
ticker = m.group(2)
attr_data = m.group(3)
if known_symbol := WELL_KNOWN_SYMBOLS.get(ticker, None):
return known_symbol
attrs: dict[str, str | int] = parse_attr_data(attr_data)
if prefix == 'stock':
if m := re.match(r'^(\w+)(?:\.(\w+))?$', ticker):
exchange = EXCHANGES_BY_IDS[m.group(2) or 'NYSE'] # TODO?
return Stock(m.group(1), exchange, **attrs)
if prefix == 'currency':
return FiatCurrency(ticker, **attrs)
if prefix == 'fiat':
return FiatCurrency(ticker, **attrs)
if prefix == 'index':
return Index(ticker, **attrs)
if prefix == 'crypto':
return CryptoCurrency(ticker, **attrs)
if prefix == 'commodity':
return Commodity(ticker)
msg = f'Unsupported asset format: {asset_id}'
raise ValueError(msg)
def __str__(self):
return self.to_string_id()
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True)
class Currency(Asset):
pass
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True, order=True)
class FiatCurrency(Currency):
iso_code: str
def __post_init__(self):
if not re.match(RE_TICKER_FORMAT, self.iso_code):
msg = f'iso_code was not in correct format: {self.iso_code}'
raise ValueError(msg)
def raw_short_name(self) -> str:
return self.iso_code
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True)
class CryptoCurrency(Currency):
ccxt_symbol: str
coingecko_id: str | None = None
def __post_init__(self):
"""TODO
if not re.match(RE_CRYPTO_TICKER_FORMAT, self.ccxt_symbol):
msg = f'ccxt_symbol was not in correct format: {self.ccxt_symbol}'
raise ValueError(msg)
"""
def raw_short_name(self) -> str:
return self.ccxt_symbol
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True)
class Stock(Asset):
ticker: str
exchange: StockExchange
nordnet_id: int | None = None
def __post_init__(self):
if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
msg = f'ticker was not in correct format: {self.ticker}'
raise ValueError(msg)
@staticmethod
def from_polygon_id(polygon_id: str, stock_exchange: StockExchange) -> 'Stock':
return Stock(polygon_id, stock_exchange)
def raw_short_name(self) -> str:
return self.ticker
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True)
class Index(Asset):
ticker: str
def __post_init__(self):
if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
msg = f'ticker was not in correct format: {self.ticker}'
raise ValueError(msg)
def raw_short_name(self) -> str:
return self.ticker
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True)
class Commodity(Asset):
alpha_vantage_id: str
def __post_init__(self):
if not re.match(RE_TICKER_FORMAT, self.alpha_vantage_id):
msg = f'alpha_vantage_id was not in correct format: {self.alpha_vantage_id}'
raise ValueError(msg)
def raw_short_name(self) -> str:
return self.alpha_vantage_id # TODO
Commodity.CRUDE_OIL_WTI = Commodity('WTI')
Commodity.CRUDE_OIL_BRENT = Commodity('BRENT')
Commodity.NATURAL_GAS = Commodity('NATURAL_GAS')
Commodity.COPPER = Commodity('COPPER')
Commodity.WHEAT = Commodity('WHEAT')
Commodity.CORN = Commodity('CORN')
Commodity.COTTON = Commodity('COTTON')
Commodity.SUGAR = Commodity('SUGAR')
Commodity.COFFEE = Commodity('COFFEE')
# Well known
DKK = FiatCurrency('DKK')
NOK = FiatCurrency('NOK')
USD = FiatCurrency('USD')
EUR = FiatCurrency('EUR')
GBP = FiatCurrency('GBP')
BTC = CryptoCurrency('BTC', coingecko_id='bitcoin')
MPC = CryptoCurrency('MPC', coingecko_id='partisia-blockchain')
SPX = Index('SPX')
NDX = Index('NDX')
USDT = CryptoCurrency('USDT', coingecko_id='tether')
COMMON_NAMES: dict[Asset, list[str]] = {
FiatCurrency('USD'): ['U.S. Dollar'],
FiatCurrency('DKK'): ['Danske Kroner', 'Danish Crowns'],
FiatCurrency('EUR'): ['Euro'],
FiatCurrency('JPY'): ['Japanese Yen'],
FiatCurrency('CAD'): ['Canadian Dollar'],
FiatCurrency('GBP'): ['British Pound'],
FiatCurrency('CNY'): ['Renminbi'],
FiatCurrency('PLN'): ['Polish Zloty'],
FiatCurrency('ILS'): ['Israeli new Shekel'],
FiatCurrency('CHF'): ['Swiss Franc'],
FiatCurrency('ZAR'): ['South African Rand'],
FiatCurrency('CZK'): ['Czech Koruna'],
SPX: ['Standard and Poor 500', 'S&P 500'],
NDX: ['Nasdaq 100'],
BTC: ['Bitcoin BTC'],
MPC: ['Partisia Blockchain MPC Token'],
CryptoCurrency('ETH', coingecko_id='ethereum'): ['Ethereum Ether'],
CryptoCurrency('DOGE', coingecko_id='dogecoin'): ['Dogecoin'],
CryptoCurrency('SOL', coingecko_id='solana'): ['Solana SOL'],
CryptoCurrency('ADA', coingecko_id='cardano'): ['Cardano ADA'],
CryptoCurrency('BNB', coingecko_id='bnb'): ['Binance BNB'],
CryptoCurrency('MATIC', coingecko_id='polygon'): ['Polygon MATIC'],
# Stable-coins
CryptoCurrency('DAI', coingecko_id='dai'): ['DAI'],
CryptoCurrency('USDC', coingecko_id='usdc'): ['USD Coin'],
USDT: ['Tether USDT'],
}
WELL_KNOWN_SYMBOLS = (
{
sym: FiatCurrency(sym)
for sym in [
'USD',
'DKK',
'EUR',
'JPY',
'CAD',
'GBP',
'CNY',
'PLN',
'ILS',
'CHF',
'ZAR',
'CZK',
]
}
| {'XXBT': BTC}
| {k.raw_short_name(): k for k in COMMON_NAMES}
| {'SPX500': SPX, 'SP500': SPX, 'Nasdaq 100': NDX}
)
ASSET_PREFIX: dict[Asset, str] = {
USD: '$',
EUR: '',
GBP: '£',
BTC: '',
}
NYSE = StockExchange(
name='New York Stock Exchange',
mic='XNYS',
bloomberg_id='UN',
crunchbase_id='NYSE',
)
EXCHANGES = [
NYSE,
StockExchange(name='Nasdaq', mic='XNAS', bloomberg_id='US', crunchbase_id='NASDAQ'),
StockExchange(
name='Hong Kong Exchanges And Clearing',
mic='XHKG',
bloomberg_id='HK',
crunchbase_id='SEHK',
),
StockExchange(
name='Moscow Exchange',
mic='MISC',
bloomberg_id='RX',
yahoo_id='ME',
eod_id='MCX',
crunchbase_id='MOEX',
),
StockExchange(name='Shanghai Stock Exchange', mic='XSHG'),
StockExchange(name='Euronext Amsterdam', mic='XAMS'),
StockExchange(name='Euronext Brussels', mic='XBRU'),
StockExchange(name='Euronext Dublin', mic='XMSM'),
StockExchange(name='Euronext Lisbon', mic='XLIS'),
StockExchange(name='Euronext Milan', mic='XMIL'),
StockExchange(name='Euronext Oslo', mic='XOSL'),
StockExchange(name='Euronext Paris', mic='XPAR'),
StockExchange(name='Japan Exchange Group', mic='XJPX'),
StockExchange(name='Shenzhen Stock Exchange', mic='XSHE'),
StockExchange(name='Indian National Stock Exchange', mic='XNSE'),
StockExchange(
name='Bombay Stock Exchange',
mic='XBOM',
bloomberg_id='IB',
crunchbase_id='BOM',
yahoo_id='BO',
),
StockExchange(name='Toronto Stock Exchange', mic='XTSE'),
StockExchange(name='London Stock Exchange', mic='XLON'),
StockExchange(name='Saudi Stock Exchange', mic='XSAU'),
StockExchange(name='German Stock Exchange', mic='XFRA'),
StockExchange(name='SIX Swiss Exchange', mic='XSWX'),
StockExchange(name='Nasdaq Copenhagen Stock Exchange', mic='XCSE'),
StockExchange(name='Nasdaq Stockholm Stock Exchange', mic='XSTO'),
StockExchange(name='Nasdaq Helsinki Stock Exchange', mic='XHEL'),
StockExchange(name='Nasdaq Tallinn Stock Exchange', mic='XTAL'),
StockExchange(name='Nasdaq Riga Stock Exchange', mic='XRIS'),
StockExchange(name='Nasdaq Vilnius Stock Exchange', mic='XLIT'),
StockExchange(name='Nasdaq Iceland Stock Exchange', mic='XICE'),
StockExchange(name='Korea Exchange', mic='XKOS'),
StockExchange(name='Taiwan Stock Exchange', mic='XTAI'),
StockExchange(name='Australian Securities Exchange', mic='XASX'),
StockExchange(name='Johannesburg Stock Exchange', mic='XJSE'),
StockExchange(name='Tehran Stock Exchange', mic='XTEH'),
StockExchange(name='Over The Counter (Unlisted)', mic='OTC'), # TODO: Unofficial
StockExchange(name='NYSE Arca', mic='ARCX'),
StockExchange(name='BATS Global Markets', mic='BATS'),
StockExchange(name='NYSE American', mic='XASE'),
StockExchange(name='Xetra (Frankfurt Stock Exchange)', mic='XETR'),
]
EXCHANGES_BY_IDS = {}
if True:
def add_by_id(exchange: StockExchange, key: str):
exchange_id = getattr(exchange, key)
if exchange_id is not None:
if exchange_id in EXCHANGES_BY_IDS:
msg = f'Exchange {exchange_id} is already present'
raise ValueError(msg)
EXCHANGES_BY_IDS[exchange_id] = exchange
for exchange in EXCHANGES:
add_by_id(exchange, 'mic')
add_by_id(exchange, 'bloomberg_id')
add_by_id(exchange, 'crunchbase_id')
add_by_id(exchange, 'yahoo_id')
add_by_id(exchange, 'eod_id')
del exchange
del add_by_id
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, slots=True)
class AssetInformation:
"""Extensive information about a given asset."""
asset: Asset
full_name: str
description: str | None = None
asset_base: Asset | None = None
sec_cik: str | None = None
# TODO: FIGI types? (https://www.openfigi.com/)
@enforce_typing.enforce_types
@dataclasses.dataclass(frozen=True, eq=True, slots=True)
class AssetAmount:
"""Decimal with associated asset unit.
Fields:
- `asset`: Asset unit of amount.
- `amount`: Amount of given asset.
"""
asset: Asset
amount: Decimal
def __str__(self):
return self.human_readable_str()
def human_readable_str(self):
specificity = '2' if self.amount >= 0.10 else '3'
prefix = ASSET_PREFIX.get(self.asset, '')
return ('{}{:.' + specificity + 'f} {}').format(
prefix, self.amount, self.asset.raw_short_name(),
)
def __mul__(self, other: Decimal):
if not isinstance(other, Decimal):
msg = f'other must be decimal, but was {type(other)}'
raise TypeError(msg)
return AssetAmount(self.asset, self.amount * other)
def __add__(self, other):
if not isinstance(other, AssetAmount):
msg = f'other must be AssetAmount, but was {type(other)}'
raise TypeError(msg)
if self.asset != other.asset:
msg = (
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
)
raise ValueError(msg)
return AssetAmount(self.asset, self.amount + other.amount)
def __sub__(self, other):
if not isinstance(other, AssetAmount):
msg = f'other must be AssetAmount, but was {type(other)}'
raise TypeError(msg)
if self.asset != other.asset:
msg = (
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
)
raise ValueError(msg)
return AssetAmount(self.asset, self.amount - other.amount)
def __truediv__(self, other):
if isinstance(other, AssetAmount):
if self.asset != other.asset:
msg = f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
raise ValueError(msg)
return self.amount / other.amount
return AssetAmount(self.asset, self.amount / other)
def __lt__(self, other):
if not isinstance(other, AssetAmount):
msg = f'other must be AssetAmount, but was {type(other)}'
raise TypeError(msg)
if self.asset != other.asset:
msg = (
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
)
raise ValueError(msg)
return self.amount < other.amount
AssetPair = tuple[Asset, Asset]
@dataclasses.dataclass(frozen=True, eq=True)
class ExchangeRateSample:
"""Single exchange rate sample with a timestamp and various stats."""
timestamp: datetime.date | datetime.datetime
asset_pair: AssetPair
_average: Decimal | None = None
last: Decimal | None = None
open: Decimal | None = None
close: Decimal | None = None
high: Decimal | None = None
low: Decimal | None = None
volume: Decimal | None = None
market_cap: Decimal | None = None
@property
def average(self) -> Decimal:
if self._average:
return self._average
return (self.high + self.low) / 2
def replace_timestamp(self, timestamp):
return dataclasses.replace(self, timestamp=timestamp)
def invert_exchange_rate(self):
one = Decimal('1')
return dataclasses.replace(
self,
asset_pair=(self.asset_pair[1], self.asset_pair[0]),
_average=one / self._average if self._average else None,
last=one / self.last if self.last else None,
open=one / self.open if self.open else None,
close=one / self.close if self.close else None,
high=one / self.low if self.low else None,
low=one / self.high if self.high else None,
# TODO: Support volume
# TODO: Support market_cap
)