esma_data_py

The esma_data_py package provides a robust toolkit designed to streamline the process of searching for and downloading data from the ESMA (European Securities and Markets Authority) register. At the core of this package is EsmaDataLoader, an engine that simplifies the process of accessing and downloading regulatory data. This Python package facilitates easy access to reliable and up-to-date information, supporting financial analysts, researchers, and developers who need data from ESMA.

This package is a contribution to reproducible research and public data transparency.

Key features

• MIFID Data: You can use the load_mifid_file_list method to fetch a list of MIFID files from specified ESMA databases filtering by creation or publication date.
• FIRDS Data: You can retrieve data both with the load_latest_files, applying filters by instrument type and optionally by CFI codes and ISINs, or with the load_fca_firds_file_list by retrieving a list of FCA files.
• SSR Data: You can retrieve SSR data with the load_ssr_exempted_shares method, optionally filtering the results to include only records relevant to the current date.

Getting Started

To get started with esma_data_py, you can install the package directly from GitHub:

Install the package directly from the GitHub repository

pip install git+https://github.com/European-Securities-Markets-Authority/esma_data_py.git

Example

# Search and Download ESMA's data

from  esma_data_py import EsmaDataLoader

# instantiate edl
edl = EsmaDataLoader()

# load available mifid file list
list_files = edl.load_mifid_file_list()

# get preferred link 
link = list_files.iloc[0].download_link

# download data
df = edl.download_file(link)

Documentation

Detailed documentation for all relevant functions and modules is available in the docs directory of this repository, which includes guides and examples to help you integrate esma_data_py into your projects effectively.
Doc: http://esma-data-py.readthedocs.io/

Support

Feel free to open an issue with any questions about this package using the GitHub repository issues.

Contributing

All contributions, whatever their forms, are welcome.