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Build a payment calendar for the list of bonds or all bonds #63

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Tim55667757 opened this issue Sep 11, 2022 · 2 comments
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Build a payment calendar for the list of bonds or all bonds #63

Tim55667757 opened this issue Sep 11, 2022 · 2 comments
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@Tim55667757 Tim55667757 added the Feature New feature, request or an idea label Sep 11, 2022
@Tim55667757 Tim55667757 added this to the release-1.6 milestone Sep 11, 2022
@Tim55667757 Tim55667757 self-assigned this Sep 11, 2022
@Tim55667757 Tim55667757 modified the milestones: release-1.6, release-1.4 Nov 3, 2022
@Tim55667757 Tim55667757 changed the title Build a payment calendar for the list of bonds and current prices Build a payment calendar for the list of bonds or all bonds Nov 3, 2022
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Implemented since v1.4.*

The CreateBondsCalendar() method is implemented, which generates a pandas dataframe with a general payment calendar for the specified or all bonds. The ShowBondsCalendar() method displays the calendar in the console and saves it to a file, calendar.md by default in Markdown format. To request a payment calendar, you need to use the --calendar (-c) key. Also, the table in XLSX format will be saved to the default file calendar.xlsx.

Tim55667757 added a commit that referenced this issue Nov 4, 2022
@Tim55667757
#10 #63 features were implemented.
3befca6 
#10 When requesting information about bonds (with the `--info` or `-i` key), more data is now calculated and displayed: bond payment calendar, total number of payments and already redeemed coupons, coupons yield (average coupon daily yield * 365), current price yield (average daily yield * 365), ACI and coupon's size. To request the necessary information, the `RequestBondCoupons()` (returns a dictionary of processed data received from the server) and `ExtendBondsData()` (returns an extended pandas dataframe containing more information about bonds) methods were implemented to extend bonds data with more information. The `ShowInstrumentInfo()` method has been improved to display more information on bonds and the payment calendar. To receive extended information about bonds in XLSX-format now you can use `--bonds-xlsx` (`-b`) key.

#63 The `CreateBondsCalendar()` method is implemented, which generates a pandas dataframe with a general payment calendar for the specified or all bonds. The `ShowBondsCalendar()` method displays the calendar in the console and saves it to a file, `calendar.md` by default in Markdown format. To request a payment calendar, you need to use the `--calendar` (`-c`) key. Also, the table in XLSX format will be saved to the default file `calendar.xlsx`.
Tim55667757 added a commit that referenced this issue Nov 4, 2022
@Tim55667757
#10 #63 api docs were updated.
b939df0
Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 changelogs were updated.
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
@Tim55667757
#10 #63 extend bonds data with new fields: klong, kshort, dlong…
8b327f3 
…, `dshort`, `dlongMin`, `dshortMin`.
Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 little typo
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 replace minPriceIncrement with simple step
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
@Tim55667757
#10 #63 little typo
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 fix some tests
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 examples of bond payment calendar and extended bond data were…
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… added
Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 examples of bond payment calendar and extended bond data were…
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… added to the readmes
Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 api doc was updated
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 api doc was updated
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 ignore one test with reason="Need to create new data cache"
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Tim55667757 added a commit that referenced this issue Nov 5, 2022
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#10 #63 features were finished. Changelogs were updated
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Debug build run: https://app.travis-ci.com/github/Tim55667757/TKSBrokerAPI/builds/257466833
PyPI dev-build: https://pypi.org/project/tksbrokerapi/1.4.dev84/

Build a bond payment calendar

Since TKSBrokerAPI v1.4.* you can use a new console command --calendar (-c). This action show bond payment calendar as a table. Calendar build for one or list of given tickers or FIGIs, or for all bonds if only key present without values.

Also, the calendar exports to XLSX-file, for the further used by datascientists or stock analytics, calendar.xlsxby default. If the --output key present then calendar also saves to Markdown file calendar.md by default, or you can change it with the --output key.

❗ WARNING: this is too long operation if a lot of bonds requested from broker server (~90-120 extended data bonds per minute, depends on speed limit rate).

Coupons data are described here in the main coupon information. For the pandas dataframe calendar, the data headers are the same as those described in the calendar field in the section "Get extended bonds data", below the spoiler. The titles for the calendar as an XLSX file are converted to a more human-readable format before being saved.

Headers in XLSX-file:
  • Paid — whether the coupon has already been paid (information for the convenience of the user);
  • Payment date — coupon payment date;
  • FIGI — FIGI identifier of the instrument;
  • Ticker — instrument ticker;
  • Name — human-understandable name of the company;
  • No. — coupon number;
  • Value — pay one bond;
  • Currency — payment currency;
  • Coupon type — coupon type (Constant, Floating, Discount, Mortgage, Fixed, Variable and Other);
  • Period — days count in coupon period;
  • End registry date — date of fixing the register, before which, inclusive, you need to have to buy a bond to receive payments;
  • Coupon start date — start date of coupon period in UTC time zone;
  • Coupon end date — end date of coupon period in UTC time zone.

An example of a generated XLSX file with a bond payment calendar can be viewed here: ./docs/media/calendar.xlsx, and also as Markdown file here: ./docs/media/calendar.md. If the calendar is built for more than one bond, then payments in the same month are grouped.

Command for building a payment calendar for several bonds 
$ tksbrokerapi --calendar RU000A1002C2 IBM RU000A101YV8 BBG00JS9D851 ISSUANCEBRUS

TKSBrokerAPI.py     L:3934 WARNING [2022-11-05 21:56:23,772] Instrument with ticker [IBM] and FIGI [BBG000BLNNH6] is not a bond!
TKSBrokerAPI.py     L:4042 INFO    [2022-11-05 21:56:24,400] XLSX-file with bond payments calendar for further used by data scientists or stock analytics: [calendar.xlsx]
TKSBrokerAPI.py     L:4110 INFO    [2022-11-05 21:56:24,403] # Bond payments calendar

| Paid  | Payment date    | FIGI         | Ticker       | No. | Value         | Type      | Period | End registry date |
|-------|-----------------|--------------|--------------|-----|---------------|-----------|--------|-------------------|
|   +   | 2018-04-30      | BBG00JS9D851 | XS1760786340 | 1   | 17.375 usd    | Variable  | 90     | 2018-04-27        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2018-07-30      | BBG00JS9D851 | XS1760786340 | 2   | 17.375 usd    | Variable  | 90     | 2018-07-27        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2018-10-30      | BBG00JS9D851 | XS1760786340 | 3   | 17.375 usd    | Variable  | 90     | 2018-10-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2019-01-30      | BBG00JS9D851 | XS1760786340 | 4   | 17.375 usd    | Variable  | 90     | 2019-01-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2019-04-30      | BBG00JS9D851 | XS1760786340 | 5   | 17.375 usd    | Variable  | 90     | 2019-04-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2019-07-30      | BBG00JS9D851 | XS1760786340 | 6   | 17.375 usd    | Variable  | 90     | 2019-07-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2019-08-02      | BBG00N6MD6M2 | RU000A1002C2 | 1   | 43.38 rub     | Constant  | 182    | 2019-08-01        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2019-10-30      | BBG00JS9D851 | XS1760786340 | 7   | 17.375 usd    | Variable  | 90     | 2019-10-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2020-01-30      | BBG00JS9D851 | XS1760786340 | 8   | 17.375 usd    | Variable  | 90     | 2020-01-29        |
|   +   | 2020-01-31      | BBG00N6MD6M2 | RU000A1002C2 | 2   | 43.38 rub     | Constant  | 182    | 2020-01-30        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2020-04-30      | BBG00JS9D851 | XS1760786340 | 9   | 17.375 usd    | Variable  | 90     | 2020-04-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2020-07-30      | BBG00JS9D851 | XS1760786340 | 10  | 17.375 usd    | Variable  | 90     | 2020-07-29        |
|   +   | 2020-07-31      | BBG00N6MD6M2 | RU000A1002C2 | 3   | 43.38 rub     | Constant  | 182    | 2020-07-30        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2020-10-28      | TCS00A101YV8 | RU000A101YV8 | 1   | 28.67 rub     | Constant  | 91     | 2020-10-27        |
|   +   | 2020-10-30      | BBG00JS9D851 | XS1760786340 | 11  | 17.375 usd    | Variable  | 90     | 2020-10-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2021-01-27      | TCS00A101YV8 | RU000A101YV8 | 2   | 28.67 rub     | Constant  | 91     | 2021-01-26        |
|   +   | 2021-01-29      | BBG00N6MD6M2 | RU000A1002C2 | 4   | 43.38 rub     | Constant  | 182    | 2021-01-28        |
|   +   | 2021-01-30      | BBG00JS9D851 | XS1760786340 | 12  | 17.375 usd    | Variable  | 90     | 2021-01-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2021-04-28      | TCS00A101YV8 | RU000A101YV8 | 3   | 28.67 rub     | Constant  | 91     | 2021-04-27        |
|   +   | 2021-04-30      | BBG00JS9D851 | XS1760786340 | 13  | 17.375 usd    | Variable  | 90     | 2021-04-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2021-07-28      | TCS00A101YV8 | RU000A101YV8 | 4   | 28.67 rub     | Constant  | 91     | 2021-07-27        |
|   +   | 2021-07-30      | BBG00N6MD6M2 | RU000A1002C2 | 5   | 43.38 rub     | Constant  | 182    | 2021-07-29        |
|   +   | 2021-07-30      | BBG00JS9D851 | XS1760786340 | 14  | 17.375 usd    | Variable  | 90     | 2021-07-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2021-10-27      | TCS00A101YV8 | RU000A101YV8 | 5   | 28.67 rub     | Constant  | 91     | 2021-10-26        |
|   +   | 2021-10-30      | BBG00JS9D851 | XS1760786340 | 15  | 17.375 usd    | Variable  | 90     | 2021-10-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2022-01-26      | TCS00A101YV8 | RU000A101YV8 | 6   | 28.67 rub     | Constant  | 91     | 2022-01-25        |
|   +   | 2022-01-28      | BBG00N6MD6M2 | RU000A1002C2 | 6   | 43.38 rub     | Constant  | 182    | 2022-01-27        |
|   +   | 2022-01-30      | BBG00JS9D851 | XS1760786340 | 16  | 17.375 usd    | Variable  | 90     | 2022-01-28        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2022-04-27      | TCS00A101YV8 | RU000A101YV8 | 7   | 28.67 rub     | Constant  | 91     | 2022-04-26        |
|   +   | 2022-04-30      | BBG00JS9D851 | XS1760786340 | 17  | 17.375 usd    | Variable  | 90     | 2022-04-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2022-07-27      | TCS00A101YV8 | RU000A101YV8 | 8   | 28.67 rub     | Constant  | 91     | 2022-07-26        |
|   +   | 2022-07-29      | BBG00N6MD6M2 | RU000A1002C2 | 7   | 43.38 rub     | Constant  | 182    | 2022-07-28        |
|   +   | 2022-07-30      | BBG00JS9D851 | XS1760786340 | 18  | 17.375 usd    | Variable  | 90     | 2022-07-29        |
|       |                 |              |              |     |               |           |        |                   |
|   +   | 2022-10-26      | TCS00A101YV8 | RU000A101YV8 | 9   | 28.67 rub     | Constant  | 91     | 2022-10-25        |
|   +   | 2022-10-30      | BBG00JS9D851 | XS1760786340 | 19  | 17.375 usd    | Variable  | 90     | 2022-10-28        |
|       |                 |              |              |     |               |           |        |                   |
|   —   | 2023-01-25      | TCS00A101YV8 | RU000A101YV8 | 10  | 21.5 rub      | Constant  | 91     | 2023-01-24        |
|   —   | 2023-01-27      | BBG00N6MD6M2 | RU000A1002C2 | 8   | 43.38 rub     | Constant  | 182    | 2023-01-26        |
|   —   | 2023-01-30      | BBG00JS9D851 | XS1760786340 | 20  | 17.375 usd    | Variable  | 90     | 2023-01-27        |
|       |                 |              |              |     |               |           |        |                   |
|   —   | 2023-04-26      | TCS00A101YV8 | RU000A101YV8 | 11  | 14.34 rub     | Constant  | 91     | 2023-04-25        |
|   —   | 2023-04-30      | BBG00JS9D851 | XS1760786340 | 21  | 17.375 usd    | Variable  | 90     | 2023-04-28        |
|       |                 |              |              |     |               |           |        |                   |
|   —   | 2023-07-26      | TCS00A101YV8 | RU000A101YV8 | 12  | 7.17 rub      | Constant  | 91     | 2023-07-25        |
|   —   | 2023-07-28      | BBG00N6MD6M2 | RU000A1002C2 | 9   | 43.38 rub     | Constant  | 182    | 2023-07-27        |
|   —   | 2023-07-30      | BBG00JS9D851 | XS1760786340 | 22  | 0 usd         | Variable  | 90     | 2023-07-28        |
|       |                 |              |              |     |               |           |        |                   |
|   —   | 2024-01-26      | BBG00N6MD6M2 | RU000A1002C2 | 10  | 43.38 rub     | Constant  | 182    | 2024-01-25        |

TKSBrokerAPI.py     L:4116 INFO    [2022-11-05 21:56:24,404] Bond payment calendar was saved to file: [calendar.md]

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