commitment_of_traders/cot.py at master · jonromero/commitment_of_traders · GitHub

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"""
Downloading and processing COT reports

Usage:
  cot.py latest <currency>
  cot.py --date <report_date> <currency>
  cot.py --from-file <filename> <currency>

Example:
  cot.py latest EURO
  cot.py --date 01/19/2017 YEN

Options:
  -h, --help

Jon V (darksun4@gmail.com)
19th of January 2017
"""

from docopt import docopt
from terminaltables import SingleTable
import urllib
import locale

def process(lines_of_cot, commodity_name='EURO FX'):
    idx = 0
    for idx in range(0, len(lines_of_cot)):
        if commodity_name in lines_of_cot[idx]:
            results = {}
            data = lines_of_cot[idx:idx+19]
            current = " ".join(data[9].split()).split(" ")
            changes = " ".join(data[12].split()).split(" ")
            results['non-commercial'] = {'current': {'long': current[0],
                                                     'short': current[1], 'spreads': current[2]},
                                         'changes': {'long': changes[0],
                                                     'short': changes[1],
                                                     'spreads': changes[2]}}

            results['commercial'] = {'current': {'long': current[3],
                                                 'short': current[4],
                                                 'spreads': current[5]},
                                     'changes': {'long': changes[3],
                                                 'short': changes[4],
                                                 'spreads': changes[5]}}

            return results, current, changes

    return 0


def _download_report(date_to_get='latest'):
    filename = urllib.URLopener()
    base_filename =  "Data/latest.htm"

    if date_to_get == 'latest':
        filename.retrieve("http://www.cftc.gov/dea/futures/deacmesf.htm", base_filename)
    else:
        base_url = 'http://www.cftc.gov/files/dea/cotarchives/%year%/futures/deacmesf%month%%day%%Year%.htm'
        base_filename = 'Data/%month%%day%%Year%.htm'

        month, day, year = date_to_get.split('/')
        base_url = base_url.replace('%year%', year).replace('%month%', month). replace('%day%', day).replace('%Year%', year[2:])
        base_filename = base_filename.replace('%month%', month).replace('%day%', day).replace('%Year%', year[2:])

        print base_url
        filename.retrieve(base_url, base_filename)

    filename.close()

    return base_filename


def _visualize(json_data, currency, report_date):
    data = []
    data.append(['Non-Commercial (% long)', 'Commercial (% long)'])

    non_com_current = json_data['non-commercial']['current']
    non_com_changes = json_data['non-commercial']['changes']
    com_current = json_data['commercial']['current']
    com_changes = json_data['commercial']['changes']

    # all
    data.append([float(locale.atoi(non_com_changes['long']))/locale.atoi(non_com_current['long'])*100,
                 float(locale.atoi(com_changes['long']))/locale.atoi(com_current['long'])*100])

    table = SingleTable(data)
    table.title = 'Commitment of Traders (long %): ' + currency + " | " + report_date
    print table.table

    # Non-Commercial
    data = []
    data.append(['Long (current)', 'Short (current)', 'Long (changes)', 'Short (changes)'])

    data.append([locale.atoi(non_com_current['long']), locale.atoi(non_com_current['short']),
                 locale.atoi(non_com_changes['long']), locale.atoi(non_com_changes['short'])])

    table = SingleTable(data)
    table.title = 'Commitment of Traders (Non-Commercial):' + currency + "|" + report_date
    print table.table

    # Com
    data = []
    data.append(['Long (current)', 'Short (current)', 'Long (changes)', 'Short (changes)'])

    data.append([
                 locale.atoi(com_current['long']), locale.atoi(com_current['short']),
                 locale.atoi(com_changes['long']), locale.atoi(com_changes['short'])])

    table = SingleTable(data)
    table.title = 'Commitment of Traders (Commercial):' + currency + "|" + report_date
    print table.table


if __name__ == "__main__":
    arguments = docopt(__doc__)
    locale.setlocale(locale.LC_ALL, 'en_US.UTF-8')

    if arguments['latest'] or arguments['--date']:
        if arguments['latest']:
            report_date = 'latest'

        elif (arguments['--date']):
            report_date = arguments['<report_date>']

        report = _download_report(report_date)

    if arguments['--from-file'] :
        report = arguments['<filename>']
        report_date = None

    with open(report, 'r') as fd:
        data, current, changes  = process(fd.readlines(), arguments['<currency>'])
        _visualize(data, arguments['<currency>'], report_date)