87260f4b10
Prerequisite refactor: - Consolidate duplicate _to_dicts into shared obb_utils.to_list - Add fetch_historical and first_or_empty helpers to obb_utils Phase 1 - Local computation (no provider risk): - Group I: 12 technical indicators (ATR, ADX, Stoch, OBV, Ichimoku, Donchian, Aroon, CCI, Keltner, Fibonacci, A/D, Volatility Cones) - Group J: Sortino, Omega ratios + rolling stats (variance, stdev, mean, skew, kurtosis, quantile via generic endpoint) - Group H: ECB currency reference rates Phase 2 - FRED/Federal Reserve providers: - Group C: 10 fixed income endpoints (treasury rates, yield curve, auctions, TIPS, EFFR, SOFR, HQM, commercial paper, spot rates, spreads) - Group D: 11 economy endpoints (CPI, GDP, unemployment, PCE, money measures, CLI, HPI, FRED search, balance of payments, Fed holdings, FOMC documents) - Group E: 5 survey endpoints (Michigan, SLOOS, NFP, Empire State, BLS search) Phase 3 - SEC/stockgrid/FINRA providers: - Group B: 4 equity fundamental endpoints (management, dividends, SEC filings, company search) - Group A: 4 shorts/dark pool endpoints (short volume, FTD, short interest, OTC dark pool) - Group F: 3 index/ETF enhanced (S&P 500 multiples, index constituents, ETF N-PORT) Phase 4 - Regulators: - Group G: 5 regulatory endpoints (COT report, COT search, SEC litigation, institution search, CIK mapping) Security hardening: - Service-layer allowlists for all getattr dynamic dispatch - Regex validation on date, country, security_type, form_type params - Exception handling in fetch_historical - Callable guard on rolling stat dispatch Total: 32 existing + 67 new = 99 endpoints, all free providers.
218 lines
6.7 KiB
Python
218 lines
6.7 KiB
Python
"""Market data: ETFs, indices, crypto, currencies, and derivatives."""
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import asyncio
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import logging
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from datetime import datetime, timezone, timedelta
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from typing import Any
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from openbb import obb
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from obb_utils import to_list
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logger = logging.getLogger(__name__)
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PROVIDER = "yfinance"
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# --- ETF ---
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async def get_etf_info(symbol: str) -> dict[str, Any]:
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"""Get ETF profile/info."""
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try:
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result = await asyncio.to_thread(obb.etf.info, symbol, provider=PROVIDER)
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items = to_list(result)
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return items[0] if items else {}
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except Exception:
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logger.warning("ETF info failed for %s", symbol, exc_info=True)
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return {}
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async def get_etf_historical(symbol: str, days: int = 365) -> list[dict[str, Any]]:
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"""Get ETF price history."""
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start = (datetime.now(tz=timezone.utc) - timedelta(days=days)).strftime("%Y-%m-%d")
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try:
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result = await asyncio.to_thread(
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obb.etf.historical, symbol, start_date=start, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("ETF historical failed for %s", symbol, exc_info=True)
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return []
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async def search_etf(query: str) -> list[dict[str, Any]]:
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"""Search for ETFs by name or keyword."""
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try:
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result = await asyncio.to_thread(obb.etf.search, query)
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return to_list(result)
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except Exception:
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logger.warning("ETF search failed for %s", query, exc_info=True)
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return []
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# --- Index ---
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async def get_available_indices() -> list[dict[str, Any]]:
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"""List available market indices."""
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try:
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result = await asyncio.to_thread(obb.index.available, provider=PROVIDER)
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return to_list(result)
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except Exception:
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logger.warning("Available indices failed", exc_info=True)
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return []
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async def get_index_historical(symbol: str, days: int = 365) -> list[dict[str, Any]]:
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"""Get index price history."""
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start = (datetime.now(tz=timezone.utc) - timedelta(days=days)).strftime("%Y-%m-%d")
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try:
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result = await asyncio.to_thread(
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obb.index.price.historical, symbol, start_date=start, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Index historical failed for %s", symbol, exc_info=True)
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return []
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# --- Crypto ---
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async def get_crypto_historical(symbol: str, days: int = 365) -> list[dict[str, Any]]:
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"""Get cryptocurrency price history."""
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start = (datetime.now(tz=timezone.utc) - timedelta(days=days)).strftime("%Y-%m-%d")
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try:
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result = await asyncio.to_thread(
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obb.crypto.price.historical, symbol, start_date=start, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Crypto historical failed for %s", symbol, exc_info=True)
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return []
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async def search_crypto(query: str) -> list[dict[str, Any]]:
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"""Search for cryptocurrencies."""
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try:
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result = await asyncio.to_thread(obb.crypto.search, query)
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return to_list(result)
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except Exception:
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logger.warning("Crypto search failed for %s", query, exc_info=True)
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return []
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# --- Currency ---
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async def get_currency_historical(
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symbol: str, days: int = 365
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) -> list[dict[str, Any]]:
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"""Get forex price history (e.g., EURUSD)."""
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start = (datetime.now(tz=timezone.utc) - timedelta(days=days)).strftime("%Y-%m-%d")
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try:
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result = await asyncio.to_thread(
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obb.currency.price.historical, symbol, start_date=start, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Currency historical failed for %s", symbol, exc_info=True)
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return []
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# --- Derivatives ---
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async def get_options_chains(symbol: str) -> list[dict[str, Any]]:
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"""Get options chain data for a symbol."""
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try:
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result = await asyncio.to_thread(
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obb.derivatives.options.chains, symbol, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Options chains failed for %s", symbol, exc_info=True)
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return []
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async def get_futures_historical(
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symbol: str, days: int = 365
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) -> list[dict[str, Any]]:
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"""Get futures price history."""
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start = (datetime.now(tz=timezone.utc) - timedelta(days=days)).strftime("%Y-%m-%d")
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try:
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result = await asyncio.to_thread(
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obb.derivatives.futures.historical, symbol, start_date=start, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Futures historical failed for %s", symbol, exc_info=True)
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return []
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async def get_futures_curve(symbol: str) -> list[dict[str, Any]]:
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"""Get futures term structure/curve."""
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try:
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result = await asyncio.to_thread(
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obb.derivatives.futures.curve, symbol, provider=PROVIDER
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)
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return to_list(result)
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except Exception:
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logger.warning("Futures curve failed for %s", symbol, exc_info=True)
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return []
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# --- Currency Reference Rates (Group H) ---
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async def get_currency_reference_rates() -> list[dict[str, Any]]:
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"""Get ECB reference exchange rates for major currencies."""
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try:
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result = await asyncio.to_thread(
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obb.currency.reference_rates, provider="ecb"
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)
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return to_list(result)
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except Exception:
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logger.warning("Currency reference rates failed", exc_info=True)
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return []
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# --- Index Enhanced (Group F) ---
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async def get_sp500_multiples(series_name: str = "pe_ratio") -> list[dict[str, Any]]:
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"""Get historical S&P 500 valuation multiples (PE, Shiller PE, P/B, etc.)."""
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try:
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result = await asyncio.to_thread(
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obb.index.sp500_multiples, series_name=series_name, provider="multpl"
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)
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return to_list(result)
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except Exception:
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logger.warning("SP500 multiples failed for %s", series_name, exc_info=True)
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return []
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async def get_index_constituents(symbol: str) -> list[dict[str, Any]]:
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"""Get index member stocks with sector and price data."""
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try:
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result = await asyncio.to_thread(
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obb.index.constituents, symbol, provider="cboe"
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)
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return to_list(result)
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except Exception:
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logger.warning("Index constituents failed for %s", symbol, exc_info=True)
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return []
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async def get_etf_nport(symbol: str) -> list[dict[str, Any]]:
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"""Get detailed ETF holdings from SEC N-PORT filings."""
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try:
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result = await asyncio.to_thread(
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obb.etf.nport_disclosure, symbol, provider="sec"
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)
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return to_list(result)
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except Exception:
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logger.warning("ETF N-PORT failed for %s", symbol, exc_info=True)
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return []
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