capdata 0.1.0__tar.gz

capdata-0.1.0/PKG-INFO

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+Metadata-Version: 2.1
+Name: capdata
+Version: 0.1.0
+Summary: capdata data api
+Home-page: 
+Author: zbz
+Requires-Python: >= 3.8.0

capdata-0.1.0/README.md

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+# capdata
+
+python 数据接口
+
+官网地址：https://www.caprisktech.com/
+
+
+发布到pypi步骤:
+1.安装必要的工具 pip install twine setuptools wheel
+2.构建包 python setup.py sdist bdist_wheel
+3.上传包 twine upload dist/*

capdata-0.1.0/capdata.egg-info/PKG-INFO

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+Metadata-Version: 2.1
+Name: capdata
+Version: 0.1.0
+Summary: capdata data api
+Home-page: 
+Author: zbz
+Requires-Python: >= 3.8.0

capdata-0.1.0/capdata.egg-info/SOURCES.txt

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+README.md
+setup.py
+capdata.egg-info/PKG-INFO
+capdata.egg-info/SOURCES.txt
+capdata.egg-info/dependency_links.txt
+capdata.egg-info/requires.txt
+capdata.egg-info/top_level.txt
+data/__init__.py
+data/curve.py
+data/market.py
+data/pricing.py
+data/refer.py
+data/risk.py
+data/token.py
+request/__init__.py
+request/request.py
+test/test_auth.py
+test/test_curve.py
+test/test_market.py
+test/test_pricing.py
+test/test_refer.py
+test/test_risk.py

capdata-0.1.0/capdata.egg-info/dependency_links.txt

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+

capdata-0.1.0/capdata.egg-info/requires.txt

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+requests==2.31.0
+pandas==2.0.3

capdata-0.1.0/capdata.egg-info/top_level.txt

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+data
+request

capdata-0.1.0/data/__init__.py

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+#! /usr/bin/env python
+#coding=utf-8

capdata-0.1.0/data/curve.py

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+import request.request as rq
+
+"""
+获取债券收益率曲线
+参数:
+  curve -- 曲线编码
+  start -- 开始时间
+  end -- 结束时间
+  freq -- 频率(1m, 1d, 1w)
+  window -- 时间窗口 ['10:00:00','10:30:00']
+"""
+
+
+def get_bond_curve(curve, start, end, token, freq='1d', window=None):
+    data_json = {'curve': curve, 'start': start, 'end': end, 'freq': freq, 'window': window}
+    return rq.post("/capdata/get/bond/curve", data_json, token)
+
+
+"""
+获取信用利差曲线
+参数:
+  curve -- 曲线编码
+  start -- 开始时间
+  end -- 结束时间
+  freq -- 频率(1m, 1d, 1w)
+  window -- 时间窗口 ['10:00:00','10:30:00']
+"""
+
+
+def get_credit_curve(curve, start, end, token, freq='1d', window=None):
+    data_json = {'curve': curve, 'start': start, 'end': end, 'freq': freq, 'window': window}
+    return rq.post("/capdata/get/credit/curve", data_json, token)
+
+
+"""
+获取利率收益率曲线
+参数:
+  curve -- 曲线编码
+  start -- 开始时间
+  end -- 结束时间
+  freq -- 频率(1m, 1d, 1w)
+  window -- 时间窗口 ['10:00:00','10:30:00']
+"""
+
+
+def get_ir_curve(curve, start, end, token, freq='1d', window=None):
+    data_json = {'curve': curve, 'start': start, 'end': end, 'freq': freq, 'window': window}
+    return rq.post("/capdata/get/ir/curve", data_json, token)

capdata-0.1.0/data/market.py

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+import request.request as rq
+
+"""
+获取历史行情数据
+参数:
+    inst -- 产品编码列表 ['200310.IB', '190008.IB']
+    
+    start -- 开始时间  2024-05-09
+    
+    end -- 结束时间  2024-05-10
+    
+    fields -- 需要返回的字段(open、close、high、low、pre_adj_close、post_adj_close、volume、turnover、num_trades、settlement、
+    open_interest、bid、ask、bid_size、ask_size、trade、trade_size、level1、level2、level2_5、level2_10、lix)  ['bid','ask']
+    
+    freq  -- 频率( 1m, 1d, 1w)
+    
+    window -- 时间窗口 ['10:00:00','10:30:00']
+    
+    mkt -- 市场
+"""
+
+
+def get_hist_mkt(inst, start, end, fields, token, window=None, mkt=None, freq="1d"):
+    data_json = {'inst': inst, 'start': start, 'end': end, 'freq': freq, 'window': window, 'mkt': mkt,
+                 'fields': fields}
+    return rq.post("/capdata/get/hist/mkt", data_json, token)
+
+
+"""
+获取日内实时行情数据
+参数:
+  inst -- 产品编码列表 ['200310.IB', '190008.IB']
+  
+  fields -- 需要返回的字段(bid、ask、level1、level2、level2_5、level2_10、lix)  ['bid','ask']
+  
+  mkt -- 市场   
+"""
+
+
+def get_live_mkt(inst, fields, token, mkt=""):
+    data_json = {'inst': inst, 'mkt': mkt, 'fields': fields}
+    return rq.post("/capdata/get/live/mkt", data_json, token)

capdata-0.1.0/data/pricing.py

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+import request.request as rq
+
+"""
+获取产品定价数据
+参数:
+    inst -- 产品编码列表 ['2292030.IB', '2292012.IB']
+    
+    start -- 开始时间  2024-05-26
+    
+    end -- 结束时间  2024-05-29
+    
+    fields -- 需要返回的字段(price、duration、modified_duration、macaulay_duration、convexity、z_spread、dv01、bucket_dv01、cs01、
+    bucket_cs01、delta、gamma、vega、term_bucket_vega、term_strike_bucket_vega、volga、term_bucket_volga、term_strike_bucket_volga、
+    vanna、term_bucket_vanna、term_strike_bucket_vanna、rho)  ['duration','modified_duration']
+    
+    freq  -- 频率( 1m, 1d, 1w)
+    
+    window -- 时间窗口 ['10:00:00','10:30:00']
+"""
+
+
+def get_pricing(inst, start, end, fields, token, window=None, mkt=None, freq="1d"):
+    data_json = {'inst': inst, 'start': start, 'end': end, 'freq': freq, 'window': window, 'mkt': mkt,
+                 'fields': fields}
+    return rq.post("/capdata/get/pricing", data_json, token)
+
+"""
+获取产品估值数据
+参数:
+    inst -- 产品编码列表 ['2292030.IB', '2292012.IB']
+    
+    start -- 开始时间  2024-05-26
+    
+    end -- 结束时间  2024-05-29
+    
+    fields -- 需要返回的字段(present_value、dv01、bucket_dv01、frtb_bucket_dv01、cs01、bucket_cs01、frtb_bucket_cs01、delta、frtb_delta、
+     gamma、frtb_curvature、vega、term_bucket_vega、term_strike_bucket_vega、frtb_vega、volga、term_bucket_volga、term_strike_bucket_volga、
+     vanna、term_bucket_vanna、term_strike_bucket_vanna、rho)  ['dv01','cs01']
+     
+    freq  -- 频率( 1m, 1d, 1w)
+    
+    window -- 时间窗口 ['10:00:00','10:30:00']
+"""
+
+
+def get_valuation(inst, start, end, fields, token, window=None, mkt=None, freq="1d"):
+    data_json = {'inst': inst, 'start': start, 'end': end, 'freq': freq, 'window': window, 'mkt': mkt,
+                 'fields': fields}
+    return rq.post("/capdata/get/valuation", data_json, token)

capdata-0.1.0/data/refer.py

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+import request.request as rq
+
+"""
+获取指定日历下的假期数据
+参数:
+  calendar -- 日历 CFETS
+"""
+
+
+def get_holidays(calendar, token):
+    return rq.post("/capdata/get/holidays/" + calendar, None, token)
+
+
+"""
+获取基准利率定义数据
+参数:
+  ir_index -- 基准利率编码列表 ['USDLIBOR_2W','SIBOR_12M']
+"""
+
+
+def get_ir_index(ir_index, token):
+    return rq.post("/capdata/get/ir/index", ir_index, token)
+
+
+"""
+获取产品信息参考数据
+参数:
+  inst -- 产品编码列表 ['zc17060604.SH','zc17021505.SH']
+"""
+
+
+def get_instrument(inst, token):
+    return rq.post("/capdata/get/instrument", inst, token)
+
+
+"""
+获取产品模板参考数据  
+参数:
+  inst -- 模板编码列表 ['CNY_FR_007_SWAP','SHIBOR_USDLIBOR_3M_SWAP','USDCNY_CASH','CN_TREAS_ZERO','EUR_CASH_DEPO']
+"""
+
+
+def get_inst_template(inst, token):
+    return rq.post("/capdata/get/inst/template", inst, token)

capdata-0.1.0/data/risk.py

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+import request.request as rq
+
+"""
+获取历史模拟的利率收益率曲线数据
+参数:
+  curve -- 曲线编码  CN_TREAS_STD
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_sim_ir_curve(curve, sim_date, base_date, token, num_sims=200):
+    data_json = {'curve': curve, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/hist/sim/ir/curve", data_json, token)
+
+
+"""
+获取历史模拟的信用利差曲线数据
+参数:
+  curve -- 曲线编码  CN_CORP_AAA_SPRD_STD
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_sim_credit_curve(curve, sim_date, base_date, token, num_sims=200):
+    data_json = {'curve': curve, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/hist/sim/credit/curve", data_json, token)
+
+
+"""
+获取历史压力情景下利率收益率曲线数据
+参数:
+  curve -- 曲线编码  CN_TREAS_STD
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_stressed_ir_curve(curve, sim_date, base_date, token, num_sims=200):
+    data_json = {'curve': curve, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/hist/stressed/ir/curve", data_json, token)
+
+
+"""
+获取历史压力情景下信用利差曲线数据
+参数:
+  curve -- 曲线编码  CN_CORP_AAA_SPRD_STD
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_stressed_credit_curve(curve, sim_date, base_date, token, num_sims=200):
+    data_json = {'curve': curve, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/hist/stressed/credit/curve", data_json, token)
+
+
+"""
+获取产品模拟情景下损益数据
+参数:
+  inst -- 产品编码  ['2171035.IB','2105288.IB']
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_sim_pnl(inst, sim_date, base_date, token, num_sims=200):
+    data_json = {'inst': inst, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/inst/sim/pnl", data_json, token)
+
+
+"""
+获取产品模拟情景下损益数据
+参数:
+  inst -- 产品编码  ['2171035.IB','2105288.IB']
+  sim_date -- 情景时间  2024-05-28
+  num_sims -- 情景数   200
+  base_date -- 基础时间 2024-05-27
+"""
+
+
+def get_hist_stressed_pnl(inst, sim_date, base_date, token, num_sims=200):
+    data_json = {'inst': inst, 'simDate': sim_date, 'baseDate': base_date, 'numSims': num_sims}
+    return rq.post("/capdata/get/inst/stressed/pnl", data_json, token)
+
+
+"""
+获取产品Value-at-Risk数据
+参数:
+  inst -- 产品编码  2171035.IB
+  sim_date -- 情景时间  2024-05-28 
+  base_date -- 基础时间 2024-05-27
+  fields -- 响应字段 (var, mirror_var, stressed_var, mirror_stressed_var, es, mirror_es, stressed_es, mirror_stressed_es) ['var','es']
+  confidence_interval  -- 置信区间 0.95
+"""
+
+
+def get_hist_var(inst, sim_date, base_date, fields, token, confidence_interval=0.95):
+    data_json = {'inst': inst, 'simDate': sim_date, 'baseDate': base_date, 'fields': fields,
+                 'confidenceInterval': confidence_interval}
+    return rq.post("/capdata/get/inst/var", data_json, token)

capdata-0.1.0/data/token.py

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+import request.request as rq
+
+
+# 获取token
+def get_token(name, pwd):
+    auth_json = {'account': name, 'pwd': pwd}
+    return rq.post("/capdata/auth", auth_json)

capdata-0.1.0/request/__init__.py

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+#! /usr/bin/env python
+# coding=utf-8
+
+PATH = "https://www.caprisktech.com"

capdata-0.1.0/request/request.py

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+import requests
+import json
+
+from request import PATH
+
+
+# get 请求
+def get(url, params, token):
+    headers = {'Accept': 'application/json', 'content-type': 'application/json', 'x-access-token': token}
+    response = requests.get(PATH + url, json=params, headers=headers).text
+    res = json.loads(response)
+    code = res["respCode"]
+    if str(code) == 'SUCCEED':
+        if 'data' in res:
+            return res["data"]
+        else:
+            return None
+    else:
+        raise Exception(res["message"])
+
+
+# post 请求
+def post(url, params, token=""):
+    headers = {'Accept': 'application/json', 'content-type': 'application/json'}
+    if token.strip() != "":
+        headers.setdefault('x-access-token', token)
+    response = requests.post(PATH + url, json=params, headers=headers).text
+    res = json.loads(response)
+    code = res["respCode"]
+    if str(code) == 'SUCCEED':
+        if 'data' in res:
+            return res["data"]
+        else:
+            return None
+    else:
+        raise Exception(res["message"])

capdata-0.1.0/setup.cfg

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+[egg_info]
+tag_build = 
+tag_date = 0
+

capdata-0.1.0/setup.py

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+# -*- coding: utf-8 -*-
+
+from sys import version_info
+
+from setuptools import setup, find_packages
+
+__version__ = '0.1.0'  # 版本号
+requirements = open('requirements.txt').readlines()  # 依赖文件
+
+if version_info < (3, 8, 0):
+    raise SystemExit('Sorry! dqlib requires python 3.8.0 or later.')
+
+setup(
+    name='capdata',
+    description='capdata data api',
+    long_description='',
+    license='',
+    version=__version__,
+    author='zbz',
+    url='',
+    packages=find_packages(exclude=["test"]),
+    python_requires='>= 3.8.0',
+    install_requires=requirements
+)

capdata-0.1.0/test/test_auth.py

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+import unittest
+import data.token as auth
+
+
+class TestAuthFunctions(unittest.TestCase):
+    def test_get_token(self):
+        token = auth.get_token("xxx", "xxxx")
+        print(token)

capdata-0.1.0/test/test_curve.py

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+import unittest
+
+import data.curve as curve
+from test import TOKEN
+
+
+class TestCurveFunctions(unittest.TestCase):
+    def test_get_bond_curve(self):
+        curve_data = curve.get_bond_curve("CN_TREAS_STD", '2024-05-27 00:00:00', '2024-05-27 18:00:00', TOKEN, '1m')
+        if curve_data is not None:
+            for data in curve_data:
+                print(data)
+        else:
+            print(curve_data)
+
+    def test_get_credit_curve(self):
+        curve_data = curve.get_credit_curve("CN_RAILWAY_SPRD_STD", '2024-05-27 00:00:00', '2024-05-27 18:00:00', TOKEN,
+                                            '1m')
+        if curve_data is not None:
+            for data in curve_data:
+                print(data)
+        else:
+            print(curve_data)
+
+    def test_get_ir_curve(self):
+        curve_data = curve.get_ir_curve("CNY_FR_007", '2024-05-22 00:00:00', '2024-05-27 18:00:00', TOKEN, '1d')
+        if curve_data is not None:
+            for data in curve_data:
+                print(data)
+        else:
+            print(curve_data)

capdata-0.1.0/test/test_market.py

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+import unittest
+import data.market as market
+import pandas
+
+from test import TOKEN
+
+
+class TestMarketFunctions(unittest.TestCase):
+    def test_get_hist_mkt(self):
+        market_data = market.get_hist_mkt(['200310.IB', '190008.IB'], '2024-05-09', '2024-05-10 00:00:00',
+                                          ['bid', 'ask'],
+                                          TOKEN, )
+        market_data = pandas.DataFrame(market_data)
+        print(market_data)
+
+    def test_get_live_mkt(self):
+        market_data = market.get_live_mkt(['200310.IB', '190008.IB'], ['bid', 'ask'],
+                                          TOKEN, )
+
+        market_data = pandas.DataFrame(market_data)
+        print(market_data)

capdata-0.1.0/test/test_pricing.py

@@ -0,0 +1,25 @@
+import unittest
+import data.pricing as pricing
+from test import TOKEN
+
+
+class TestPricingFunctions(unittest.TestCase):
+    def test_get_pricing(self):
+        pricing_data = pricing.get_pricing(['2292030.IB', '2292012.IB'], '2024-05-26', '2024-05-29 00:00:00',
+                                           ['duration', 'modified_duration'],
+                                           TOKEN, freq='1m')
+        if pricing_data is not None:
+            for data in pricing_data:
+                print(data)
+        else:
+            print(pricing_data)
+
+    def test_get_valuation(self):
+        pricing_data = pricing.get_valuation(['2292030.IB', '2292012.IB'], '2024-05-26', '2024-05-29 00:00:00',
+                                             ['present_value', 'dv01', 'cs01'],
+                                             TOKEN, freq='1m')
+        if pricing_data is not None:
+            for data in pricing_data:
+                print(data)
+        else:
+            print(pricing_data)

capdata-0.1.0/test/test_refer.py

@@ -0,0 +1,37 @@
+import unittest
+import data.refer as refer
+from test import TOKEN
+
+
+class TestReferFunctions(unittest.TestCase):
+    def test_get_holidays(self):
+        calendar = refer.get_holidays('CFETS', TOKEN)
+        if calendar is not None:
+            print(calendar)
+        else:
+            print(calendar)
+
+    def test_get_ir_index(self):
+        ir_index_data = refer.get_ir_index(['USDLIBOR_2W', 'SIBOR_12M'], TOKEN)
+        if ir_index_data is not None:
+            for data in ir_index_data:
+                print(data)
+        else:
+            print(ir_index_data)
+
+    def test_get_instrument(self):
+        instrument_data = refer.get_instrument(['zc17060604.SH', 'zc17021505.SH'], TOKEN)
+        if instrument_data is not None:
+            for data in instrument_data:
+                print(data)
+        else:
+            print(instrument_data)
+
+    def test_get_inst_template(self):
+        template_data = refer.get_inst_template(
+            ['CNY_FR_007_SWAP', 'SHIBOR_USDLIBOR_3M_SWAP', 'USDCNY_CASH', 'CN_TREAS_ZERO', 'EUR_CASH_DEPO'], TOKEN)
+        if template_data is not None:
+            for data in template_data:
+                print(data)
+        else:
+            print(template_data)

capdata-0.1.0/test/test_risk.py

@@ -0,0 +1,60 @@
+import unittest
+import data.risk as risk
+from test import TOKEN
+
+
+class TestRiskFunctions(unittest.TestCase):
+    def test_get_hist_sim_ir_curve(self):
+        risk_data = risk.get_hist_sim_ir_curve('CN_TREAS_STD', '2024-05-28', '2024-05-27', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_sim_credit_curve(self):
+        risk_data = risk.get_hist_sim_credit_curve('CN_CORP_AAA_SPRD_STD', '2024-05-28', '2024-05-27', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_stressed_ir_curve(self):
+        risk_data = risk.get_hist_stressed_ir_curve('CN_TREAS_PRIME', '2024-05-11', '2024-05-10', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_stressed_credit_curve(self):
+        risk_data = risk.get_hist_stressed_credit_curve('CN_SP_MTN_AAA_SPRD_STD', '2024-05-11', '2024-05-10', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_sim_pnl(self):
+        risk_data = risk.get_hist_sim_pnl(['2171035.IB', '2105288.IB'], '2024-05-28', '2024-05-27', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_stressed_pnl(self):
+        risk_data = risk.get_hist_stressed_pnl(['2171035.IB', '2105288.IB'], '2024-05-28', '2024-05-27', TOKEN)
+        if risk_data is not None:
+            for data in risk_data:
+                print(data)
+        else:
+            print(risk_data)
+
+    def test_get_hist_var(self):
+        risk_data = risk.get_hist_var("2171035.IB", '2024-05-28', '2024-05-27', ['var', 'es'], TOKEN)
+        if risk_data is not None:
+            print(risk_data)
+        else:
+            print(risk_data)