fxvoldata_example.py

__author__ = 'saeedamen'  # Saeed Amen

#
# Copyright 2016 Cuemacro
#
# Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the
# License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an
# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#
# See the License for the specific language governing permissions and limitations under the License.
#


if __name__ == '__main__':
    ###### below line CRUCIAL when running Windows, otherwise multiprocessing doesn't work! (not necessary on Linux)
    from findatapy.util import SwimPool; SwimPool()

    from findatapy.market import Market, MarketDataRequest, MarketDataGenerator

    market = Market(market_data_generator=MarketDataGenerator())

    # choose run_example = 0 for everything
    # run_example = 1 - download implied volatility data from Bloomberg for FX
    # run_example = 2 - download implied volatility data (not in configuration file) from Bloomberg for FX

    run_example = 0

    ###### download FX volatility quotations from Bloomberg
    if run_example == 1 or run_example == 0:

        ####### Bloomberg examples (you need to have a Bloomberg Terminal installed for this to work!)
        # let's download past month of 1M ATM data for EURUSD

        # we can use shortcuts given that implied vol surfaces for most major crosses have been defined
        md_request = MarketDataRequest(start_date='month', data_source='bloomberg', cut='NYC', category='fx-implied-vol',
                                       tickers=['EURUSDV1M'])

        df = market.fetch_market(md_request)
        print(df.tail(n=10))

        # we can also download the whole volatility surface for EURUSD, this way.. without having to define every point!
        md_request = MarketDataRequest(start_date='month', data_source='bloomberg', cut='LDN', category='fx-implied-vol',
                                       tickers=['EURUSD'])

        df = market.fetch_market(md_request)

        # we can also download the whole all market data for EURUSD for pricing options (vol surface)
        md_request = MarketDataRequest(start_date='month', data_source='bloomberg', cut='LDN', category='fx-vol-market',
                                       tickers=['EURUSD'])

        df = market.fetch_market(md_request)
        print(df.tail(n=10))

###### download FX volatility quotations from Bloomberg defining all fields
if run_example == 2 or run_example == 0:

    ####### Bloomberg examples (you need to have a Bloomberg Terminal installed for this to work!)
    # now we define the vendor_tickers and vendor_fields (we don't need to have these in the configuration file)
    # we use NOK/SEK vol quotations, because these haven't been predefined

    # we can use shortcuts given that implied vol surfaces for most major crosses have been defined
    md_request = MarketDataRequest(start_date='month', data_source='bloomberg',
                                   tickers=['NOKSEKV1M'], vendor_tickers=['NOKSEKV1M BGN Curncy'],
                                   fields=['close'], vendor_fields=['PX_LAST'])

    df = market.fetch_market(md_request)
    print(df.tail(n=10))