FinancialSymbology v0.3.4
A package to standardise financial security symbology with the OpenFIGI methodology.
Inlcudes automatic symbol type detection to allow for various ID input types (i.e. Sedol, Cusip, ISIN etc.).
Communicates with the OpenFIGI API to retrieve security information.
Usage
fetchsecuritydata
can be used either using String
s as identifiers or the built-in Type
s in the Identifiers module.
julia> using FinancialSymbology
julia> aapl_5 = first(fetchsecuritydata("AAPL", "TICKER"), 5)
5-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
FIGI: BBG000B9XRY4 Common Stock
FIGI: BBG000B9XSK7 Common Stock
FIGI: BBG000B9XT70 Common Stock
FIGI: BBG000B9XVV8 Common Stock
FIGI: BBG000B9XWM6 Common Stock
julia> aapl_5.exchCode
5-element Vector{Union{Nothing, String}}:
"US"
"UA"
"UC"
"UN"
"UP"
julia> aapl_us = fetchsecuritydata("AAPL", "TICKER"; exchCode="US")
1-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
FIGI: BBG000B9XRY4 Common Stock
julia> aapl_us[1]
FIGI: BBG000B9XRY4 Common Stock
julia> aapl_us[1].name
"APPLE INC"
Individual constructors can create Identifier
types or the convenience function makeidentifier
will automatically detect the identifier type and convert it.
Single Identifier
s or Vector{<:Identifier}
can be passed to the fetchsecuritydata
function without the need for the idType
argument.
julia> identifiers = makeidentifier.(["AAPL US Equity", "BDDXSM4"])
2-element Vector{Identifier}:
"AAPL US Equity"
"BDDXSM4"
julia> fetchsecuritydata(identifiers)
Dict{String, StructArrays.StructArray} with 2 entries:
"AAPL US Equity" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"BDDXSM4" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
julia> identifiers = [Ticker("AAPL US Equity"), Sedol("BDDXSM4")]
2-element Vector{Identifier}:
"AAPL US Equity"
"BDDXSM4"
julia> fetchsecuritydata(identifiers)
Dict{String, StructArrays.StructArray} with 2 entries:
"AAPL US Equity" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"BDDXSM4" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
julia> aapl = fetchsecuritydata(Ticker("AAPL US Equity"))
1-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
FIGI: BBG000B9XRY4 Common Stock
julia> aapl.figi
1-element Vector{Union{Nothing, String}}:
"BBG000B9XRY4"
julia> using DataFrames
julia> aapl |> DataFrame
1×10 DataFrame
Row │ figi marketSector securityType ticker name exchCode ⋯
│ Union… Union… Union… Union… Union… Union… ⋯
─────┼──────────────────────────────────────────────────────────────────────────
1 │ BBG000B9XRY4 Equity Common Stock AAPL APPLE INC US ⋯
4 columns omitted
More Examples
julia> tickers = ["AAPL", "VOD", "TSLA"]
3-element Vector{String}:
"AAPL"
"VOD"
"TSLA"
julia> fetchsecuritydata(tickers, "TICKER"; marketSecDes="Equity", exchCode=["US", "LN", "US"])
Dict{String, StructArrays.StructArray} with 3 entries:
"AAPL" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"VOD" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"TSLA" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
julia> idstrings = ["BBG000B9XRY4", "037833100", "US0378331005"]
3-element Vector{String}:
"BBG000B9XRY4"
"037833100"
"US0378331005"
julia> idtypes = ["ID_BB_GLOBAL", "ID_CUSIP", "ID_ISIN"]
3-element Vector{String}:
"ID_BB_GLOBAL"
"ID_CUSIP"
"ID_ISIN"
julia> fetchsecuritydata(idstrings, idtypes; exchCode="US")
Dict{String, StructArrays.StructArray} with 3 entries:
"US0378331005" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"037833100" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
"BBG000B9XRY4" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
Identifiers
Financial symbols must first be converted to a vector of Identifier
. This can be automated or done manually (automated detection unavailable for Index
identifiers).
julia> ids = makeidentifier.(["B0YQ5W0",
"037833100",
"US0378331005",
"BBG000B9Y5X2",
"AAPL US Equity"])
5-element Vector{Identifier}:
"B0YQ5W0"
"037833100"
"US0378331005"
"BBG000B9Y5X2"
"AAPL US Equity"
julia> typeof.(ids)
5-element Vector{DataType}:
Sedol
Cusip
Isin
Figi
Ticker