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 Strings as identifiers or the built-in Types 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 Identifiers 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