Module Information

Description: Indices Assets class for QuantJourney Framework

The Indicies module is a crucial component of the QuantJourney Framework, specifically tailored for handling and managing indices data for quantitative finance applications. This module leverages the power of multiple data connectors, including EOD Historical Data, Yahoo Finance, and OANDA, to provide comprehensive access to a wide array of indices data,

Author: jpolec

Date: 18-03-2024

Class: Indices()

Method: get_sp500

def get_sp500() -> List[str]

Get a list of S&P 500 tickers from Wikipedia, with use of BeautifulSoup.

Examples:

spy = dc.indices.get_sp500()

['MMM', 'AOS', 'ABT', 'ABBV', 'ACN', 'ADBE', 'AMD', 'AES', 'AFL', 'A', 'APD',
'ABNB', 'AKAM', 'ALB', 'ARE', 'ALGN', 'ALLE', 'LNT', 'ALL', 'GOOGL', 'GOOG',
'MO', 'AMZN', 'AMCR', 'AEE', 'AAL', 'AEP', 'AXP', 'AIG', 'AMT', 'AWK', 'AMP',
'AME', 'AMGN', 'APH', 'ADI', 'ANSS', 'AON', 'APA', 'AAPL', 'AMAT', 'APTV', 'ACGL',
'ADM', 'ANET', 'AJG', 'AIZ', 'T', 'ATO', 'ADSK', 'ADP', 'AZO', 'AVB', 'AVY', 'AXON',
'BKR', 'BALL', 'BAC', 'BK', 'BBWI', 'BAX', 'BDX', 'BRK.B', 'BBY', 'BIO', 'TECH',
'BIIB', 'BLK', 'BX', 'BA', 'BKNG', 'BWA', 'BXP', 'BSX', 'BMY', 'AVGO', 'BR', 'BRO',
'BF.B', 'BLDR', 'BG', 'CDNS', 'CZR', 'CPT', 'CPB', 'COF', 'CAH', 'KMX', 'CCL', 'CARR',
'CTLT', 'CAT', 'CBOE', 'CBRE', 'CDW', 'CE', 'COR', 'CNC', 'CNP', 'CF', 'CHRW', 'CRL',

Returns:

Type	Description
List[str]	A list of ticker symbols for companies in the S&P 500 index.

Method: get_sp500_yfinance

def get_sp500_yfinance() -> pd.DataFrame

Get ticker symbol, sector, and sector abbreviation for all S&P 500 stocks using yfinance.

Examples:

spy = dc.indices.get_sp500_yfinance()

Ticker             Sector                     Full Name
0       Open        Real Estate    Opendoor Technologies Inc.
1       High                N/A  Simplify Enhanced Income ETF
2        Low  Consumer Cyclical        Lowe's Companies, Inc.
3      Close                N/A                           N/A
4  Adj Close                N/A                           N/A
5     Volume                N/A                           N/A

Returns:

Type	Description
pd.DataFrame	DataFrame containing each ticker's info.

Method: get_sp500_df

def get_sp500_df() -> pd.DataFrame

Get S&P 500 historical data from Yahoo Finance

Examples:

spy = dc.indices.get_sp500_df()

(                            MMM open   MMM high  ...   AMT close  AMT volume
date                                             ...
2014-05-02 00:00:00-04:00  79.119009  79.230738  ...   70.025688     2788500
2014-05-05 00:00:00-04:00  77.728029  78.795018  ...   71.152512     2769200
2014-05-06 00:00:00-04:00  78.364858  78.448654  ...   70.186661     2792000
2014-05-07 00:00:00-04:00  78.197292  78.906755  ...   71.112289     2843300
2014-05-08 00:00:00-04:00  78.700071  79.392774  ...   71.031799     1706100
...                              ...        ...  ...         ...         ...
2024-04-26 00:00:00-04:00  91.500000  92.190002  ...  171.690002     1701400
2024-04-29 00:00:00-04:00  91.559998  92.620003  ...  174.990005     2104800
2024-04-30 00:00:00-04:00  95.730003  97.839996  ...  171.559998     3710600
2024-05-01 00:00:00-04:00  98.099998  99.699997  ...  176.839996     3877100
2024-05-02 00:00:00-04:00  97.959999  98.339996  ...  176.880005

Returns:

Type	Description
pd.DataFrame	DataFrame containing the historical data for the S&P 500

Method: get_sp500_sectors

def get_sp500_sectors() -> pd.DataFrame

Get ticker symbol, sector, and sector abbreviation for all 505 SPX stocks.

Examples:

spy = dc.indices.get_sp500_sectors()

SPX Ticker                                        Sector
0          MMM                      Industrial Conglomerates
1          AOS                             Building Products
2          ABT                         Health Care Equipment
3         ABBV                                 Biotechnology
4          ACN                IT Consulting & Other Services
..         ...                                           ...
498        XYL  Industrial Machinery & Supplies & Components
499        YUM                                   Restaurants
500       ZBRA            Electronic Equipment & Instruments
501        ZBH                         Health Care Equipment
502        ZTS                               Pharmaceuticals

Returns:

Type	Description
pd.DataFrame	DataFrame containing each ticker's info.

Method: get_osebx_instruments

def get_osebx_instruments(
            parameter=None
        ) -> List[str]

Get a list of OSEBX tickers from live.euronext.com.

FR0003500008-XPAR - PARIS/CAC40 QS0010989117-XPAR - PARIS/CAC60

Examples:

osebx = dc.indices.get_osebx_instruments(parameter="NO0010865256-XOSL")

Parameters:

Name	Type	Description
parameter	str	The parameter to use for the request.

Returns:

Type	Description
List[str]	A list of ticker symbols for companies in the OSEBX index.

Method: get_sec_tickers

def get_sec_tickers() -> pd.DataFrame

Get a list of all company tickers from the SEC.

Examples:

sec = await dc.indices.get_sec_tickers()

Returns:

Type	Description
pd.DataFrame	cik_str, ticker, title

Method: fetch_dow_jones_index

def fetch_dow_jones_index() -> pd.DataFrame

Get the Dow Jones index data from Wikipedia.

Examples:

dji = await dc.indices.fetch_dow_jones_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the Dow Jones index data.

Method: fetch_nasdaq_100_index

def fetch_nasdaq_100_index() -> pd.DataFrame

Get the Nasdaq 100 index data from Wikipedia.

Examples:

nasdaq = await dc.indices.fetch_nasdaq_100_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the Nasdaq 100 index data.

Method: fetch_ftse_100_index

def fetch_ftse_100_index() -> pd.DataFrame

Get the FTSE 100 index data from Wikipedia.

Examples:

ftse = await dc.indices.fetch_ftse_100_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the FTSE 100 index data.

Method: fetch_sp500_index

def fetch_sp500_index() -> pd.DataFrame

Get the S&P 500 index data from Wikipedia.

Examples:

spy = await dc.indices.fetch_sp500_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the S&P 500 index data.

Method: fetch_sse_50_index

def fetch_sse_50_index() -> pd.DataFrame

Get the SSE 50 index data from Wikipedia.

Examples:

sse = await dc.indices.fetch_sse_50_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the SSE 50 index data.

Method: fetch_nikkei_225_index

def fetch_nikkei_225_index() -> pd.DataFrame

Get the Nikkei 225 index data from Wikipedia.

Examples:

nikkei = await dc.indices.fetch_nikkei_225_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the Nikkei 225 index data.

Method: fetch_hang_seng_index

def fetch_hang_seng_index() -> pd.DataFrame

Get the Hang Seng index data from Wikipedia.

Examples:

hang_seng = await dc.indices.fetch_hang_seng_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the Hang Seng index data.

Method: fetch_cac_40_index

def fetch_cac_40_index() -> pd.DataFrame

Get the CAC 40 index data from Wikipedia.

Examples:

cac_40 = await dc.indices.fetch_cac_40_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the CAC 40 index data.

Method: fetch_dax_index

def fetch_dax_index() -> pd.DataFrame

Get the DAX index data from Wikipedia.

Examples:

dax = await dc.indices.fetch_dax_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the DAX index data.

Method: fetch_wig20_index

def fetch_wig20_index() -> pd.DataFrame

Get the WIG 20 index data from Wikipedia.

Examples:

wig20 = await dc.indices.fetch_wig20_index()

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the WIG 20 index data.

Method: async_get_index_generals

def async_get_index_generals(
            ticker: str,
            exchange: str
        ) -> Dict[str, Union[str, float, int]]

Get the general information for an index with EOD

Examples:

index_generals = await dc.indices.async_get_index_generals(ticker='IXIC', exchange="INDX")

IXIC Index Generals:
{'Code': 'IXIC', 'Type': 'INDEX', 'Name': 'NASDAQ Composite', 'Exchange': 'INDX', 'CurrencyCode': 'USD', 'CurrencyName': 'US Dollar', 'CurrencySymbol': '$', 'CountryName': 'USA', 'CountryISO': 'US', 'OpenFigi': None}
RUT Index Generals:
{'Code': 'RUT', 'Type': 'INDEX', 'Name': 'Russell 2000', 'Exchange': 'INDX', 'CurrencyCode': 'USD', 'CurrencyName': 'US Dollar', 'CurrencySymbol': '$', 'CountryName': 'USA', 'CountryISO': 'US', 'OpenFigi': None}
FTSE Index Generals:
{'Code': 'FTSE', 'Type': 'INDEX', 'Name': 'FTSE 100 Index (UK)', 'Exchange': 'INDX', 'CurrencyCode': 'GBP', 'CurrencyName': 'British Pound', 'CurrencySymbol': '£', 'CountryName': 'UK', 'CountryISO': 'GB', 'OpenFigi': None}
GDAXI Index Generals:
{'Code': 'GDAXI', 'Type': 'INDEX', 'Name': 'DAX Index', 'Exchange': 'INDX', 'CurrencyCode': 'EUR', 'CurrencyName': 'Euro', 'CurrencySymbol': '€', 'CountryName': 'Germany', 'CountryISO': 'DE', 'OpenFigi': None}
N225 Index Generals:
{'Code': 'N225', 'Type': 'INDEX', 'Name': 'Nikkei 225', 'Exchange': 'INDX', 'CurrencyCode': 'JPY', 'CurrencyName': 'Japanese Yen', 'CurrencySymbol': '¥', 'CountryName': 'Japan', 'CountryISO': 'JP', 'OpenFigi': None}

Parameters:

Name	Type	Description
ticker	str	The ticker symbol of the index
exchange	str	The exchange of the index

Returns:

Type	Description
Dict[str, Union[str, float, int]]	A dictionary containing the general information for the index.

Method: get_index_components

def get_index_components(
            ticker: str,
            exchange: str ="INDX"
        ) -> pd.DataFrame

Get the components of an index with EOD Supported indices: https://eodhistoricaldata.com/financial-apis/list-supported-indices/

Examples:

components = await dc.indices.get_index_components(ticker='IXIC', exchange="INDX")

Parameters:

Name	Type	Description
ticker	str	The ticker symbol of the index.
exchange	str	The exchange of the index.

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the components of the index.

Method: get_index_historical_components

def get_index_historical_components(
            ticker: str,
            exchange: str ="INDX"
        ) -> pd.DataFrame

Get the historical components of an index with EOD

Examples:

historical_components = await dc.indices.get_index_historical_components(ticker='IXIC', exchange="INDX")

Parameters:

Name	Type	Description
ticker	str	The ticker symbol of the index.
exchange	str	The exchange of the index.

Returns:

Type	Description
pd.DataFrame	A DataFrame containing the historical components of the index.