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moex_all_bonds.py
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import requests
import xlsxwriter
import datetime
import sqlite3
import csv
#get all bonds from MOEX
all_moex_bonds={}
def get_all_bonds_from_moex():
global all_moex_bonds
d = datetime.datetime.today()
today_str=d.strftime("%Y%m%d")
req_str='https://iss.moex.com/iss/engines/stock/markets/bonds/securities.json?marketprice_board=1'
SECID=0
ISIN=0
BOARDID=0
SHORTNAME=0
SECNAME=0
COUPONPERCENT=0
FACEVALUE=0
MATDATE=0
COUPONPERIOD=0
j=requests.get(req_str).json() #'https://iss.moex.com/iss/engines/stock/markets/bonds/securities/RU000A106Z38.json?marketprice_board=1'
data=j['securities']['data']
for i in data:
for f, b in zip(j['securities']['columns'], i):
if f=="SECID":
SECID=b
if f=="ISIN":
ISIN=b
if f=="BOARDID":
if b is not None:
BOARDID=b
if f=="SHORTNAME":
if b is not None:
SHORTNAME=b
if f=="SECNAME":
if b is not None:
SECNAME=b
if f=="COUPONPERCENT":
if b is not None:
COUPONPERCENT=b
if f=="FACEVALUE":
if b is not None:
FACEVALUE=b
if f=="MATDATE":
if b is not None:
MATDATE=b
if f=="COUPONPERIOD":
if b is not None:
COUPONPERIOD=b
all_moex_bonds[SECID]={"ISIN":ISIN, "BOARDID":BOARDID, "SHORTNAME":SHORTNAME, "SECNAME":SECNAME, "COUPONPERCENT":COUPONPERCENT, "FACEVALUE":FACEVALUE, "MATDATE":MATDATE, "COUPONPERIOD":COUPONPERIOD}
SECID1=0
last_price=0
market_price=0
YIELD=0
LAST=0
DURATION=0
data=j['marketdata']['data']
for i in data:
for f, b in zip(j['marketdata']['columns'], i):
if f=="SECID":
if b is not None:
SECID1=b
if f=="LAST":
if b is not None:
last_price=b
if f=="MARKETPRICE":
if b is not None:
market_price=b
if f=="YIELD":
if b is not None:
YIELD=b
if f=="DURATION":
if b is not None:
DURATION=b
if last_price==0 and market_price>0:
last_price=market_price
if SECID1 in all_moex_bonds:
values=all_moex_bonds[SECID1]
values["LAST"]=last_price
values["YIELD"]=YIELD
values["DURATION"]=DURATION
all_moex_bonds[SECID1]=values
else:
all_moex_bonds[SECID1]={"LAST":last_price, "YIELD":YIELD, "DURATION":DURATION}
SECID2=0
BOARDID=0
PRICE=0
YIELDDATE=0
EFFECTIVEYIELD=0
DURATION=0
ZSPREADBP=0
GSPREADBP=0
data=j['marketdata_yields']['data']
for i in data:
for f, b in zip(j['marketdata_yields']['columns'], i):
if f=="SECID":
if b is not None:
SECID2=b
if f=="BOARDID":
if b is not None:
BOARDID=b
if f=="PRICE":
if b is not None:
PRICE=b
if f=="YIELDDATE":
if b is not None:
YIELDDATE=b
if f=="EFFECTIVEYIELD":
if b is not None:
EFFECTIVEYIELD=b
if f=="DURATION":
if b is not None:
DURATION=b
if f=="ZSPREADBP":
if b is not None:
ZSPREADBP=b
if f=="GSPREADBP":
if b is not None:
GSPREADBP=b
if SECID2 in all_moex_bonds:
values=all_moex_bonds[SECID2]
values["BOARDID"]=BOARDID
values["PRICE"]=PRICE
values["YIELDDATE"]=YIELDDATE
values["EFFECTIVEYIELD"]=EFFECTIVEYIELD
values["DURATION"]=DURATION
values["ZSPREADBP"]=ZSPREADBP
values["GSPREADBP"]=GSPREADBP
all_moex_bonds[SECID2]=values
else:
all_moex_bonds[SECID2]={"BOARDID":BOARDID, "PRICE":PRICE, "YIELDDATE":YIELDDATE, "EFFECTIVEYIELD":EFFECTIVEYIELD, "DURATION":DURATION, "ZSPREADBP":ZSPREADBP, "GSPREADBP":GSPREADBP}
f_name=f'Export_files\\all_moex_bonds-{today_str}.xlsx'
workbook = xlsxwriter.Workbook(f_name)
worksheet = workbook.add_worksheet("all_moex")
# Add a bold format to use to highlight cells.
bold = workbook.add_format({'bold': True})
#date_format = workbook.add_format({'num_format': 'dd/mm/yy'})
worksheet.write('A1', 'SECID', bold)
worksheet.write('C1', 'ISIN', bold)
worksheet.write('B1', 'BOARDID', bold)
worksheet.write('D1', 'SHORTNAME', bold)
worksheet.write('E1', 'SECNAME', bold)
worksheet.write('F1', 'YIELD', bold)
worksheet.write('G1', 'LAST', bold)
worksheet.write('H1', 'COUPONPERCENT', bold)
worksheet.write('I1', 'Current coupon', bold)
worksheet.write('J1', 'FACEVALUE', bold)
worksheet.write('K1', 'MATDATE', bold)
worksheet.write('L1', 'COUPONPERIOD', bold)
worksheet.write('M1', 'DURATION', bold)
worksheet.write('N1', 'PRICE', bold)
worksheet.write('O1', 'YIELDDATE', bold)
worksheet.write('P1', 'EFFECTIVEYIELD', bold)
worksheet.write('Q1', 'ZSPREADBP', bold)
worksheet.write('R1', 'GSPREADBP', bold)
row = 1
col = 0
for item in all_moex_bonds:
worksheet.write(row, col, item)
worksheet.write(row, col+1, all_moex_bonds[item]["BOARDID"])
worksheet.write(row, col+2, all_moex_bonds[item]["ISIN"])
worksheet.write(row, col+3, all_moex_bonds[item]["SHORTNAME"])
worksheet.write(row, col+4, all_moex_bonds[item]["SECNAME"])
worksheet.write(row, col+5, all_moex_bonds[item]["YIELD"])
worksheet.write(row, col+6, all_moex_bonds[item]["LAST"])
worksheet.write(row, col+7, all_moex_bonds[item]["COUPONPERCENT"])
try:
worksheet.write(row, col+8, all_moex_bonds[item]["COUPONPERCENT"]/all_moex_bonds[item]["LAST"])
except:
worksheet.write(row, col+8, "")
worksheet.write(row, col+9, all_moex_bonds[item]["FACEVALUE"])
worksheet.write(row, col+10, all_moex_bonds[item]["MATDATE"])
worksheet.write(row, col+11, all_moex_bonds[item]["COUPONPERIOD"])
worksheet.write(row, col+12, all_moex_bonds[item]["DURATION"])
worksheet.write(row, col+13, all_moex_bonds[item].get("PRICE"))
worksheet.write(row, col+14, all_moex_bonds[item].get("YIELDDATE"))
worksheet.write(row, col+15, all_moex_bonds[item].get("EFFECTIVEYIELD"))
worksheet.write(row, col+16, all_moex_bonds[item].get("ZSPREADBP"))
worksheet.write(row, col+17, all_moex_bonds[item].get("GSPREADBP"))
row+=1
workbook.close()
print("Bonds screening completed!")
return
def get_excluded_bonds_from_file(filename="Export_files\\bonds_exclude.csv"):
bonds_exclude={}
with open(filename, 'r', encoding='latin-1') as csvfile:
# Use csv.reader to read the file
csvreader = csv.reader(csvfile, delimiter=';')
# Iterate over each row in the CSV file
for row in csvreader:
if len(row) == 2:
key, value = row
key=key.strip()
value=value.strip()
bonds_exclude[key] = value
return bonds_exclude
def make_recommendations(test_isin="RU000A106EP1"):
global all_moex_bonds
bonds_exclude=get_excluded_bonds_from_file()
d = datetime.datetime.today()
today_str=d.strftime("%Y%m%d")
connection = sqlite3.connect('portfolio_database.db')
cursor = connection.cursor()
sql_str=f'select p.isin from portfolio p join trading_instruments ti on ti.isin=p.isin join bonds_static bs on bs.isin=p.isin where qty>0 and ti.instrument_type="bond" and p.portfolio_id="Alexey" and (bs.percent_type is null or bs.percent_type not in ("linker", "float"))'
cursor.execute(sql_str)
tbl = cursor.fetchall()
f_name=f'Export_files\\recomendations_moex_bonds-{today_str}.xlsx'
workbook = xlsxwriter.Workbook(f_name)
for item in tbl:
row=1
col=0
isin=item[0]
#if isin!=test_isin:
#continue
instr=0
for instrid in all_moex_bonds:
if all_moex_bonds[instrid]["ISIN"]==isin:
instr=instrid
break
sheet_name=f'{all_moex_bonds[instr]["ISIN"]}-{all_moex_bonds[instr]["SHORTNAME"]}'
worksheet = workbook.add_worksheet(sheet_name)
bold = workbook.add_format({'bold': True})
worksheet.write('A1', 'SECID', bold)
worksheet.write('C1', 'ISIN', bold)
worksheet.write('B1', 'BOARDID', bold)
worksheet.write('D1', 'SHORTNAME', bold)
worksheet.write('E1', 'SECNAME', bold)
worksheet.write('F1', 'YIELD', bold)
worksheet.write('G1', 'LAST', bold)
worksheet.write('H1', 'COUPONPERCENT', bold)
worksheet.write('I1', 'Current coupon', bold)
worksheet.write('J1', 'FACEVALUE', bold)
worksheet.write('K1', 'MATDATE', bold)
worksheet.write('L1', 'COUPONPERIOD', bold)
worksheet.write('M1', 'DURATION', bold)
worksheet.write('N1', 'PRICE', bold)
worksheet.write('O1', 'YIELDDATE', bold)
worksheet.write('P1', 'EFFECTIVEYIELD', bold)
worksheet.write('Q1', 'ZSPREADBP', bold)
worksheet.write('R1', 'GSPREADBP', bold)
worksheet.write('S1', 'Reco_type', bold)
worksheet.write(row, col, instr)
worksheet.write(row, col+1, all_moex_bonds[instr]["BOARDID"])
worksheet.write(row, col+2, all_moex_bonds[instr]["ISIN"])
worksheet.write(row, col+3, all_moex_bonds[instr]["SHORTNAME"])
worksheet.write(row, col+4, all_moex_bonds[instr]["SECNAME"])
worksheet.write(row, col+5, all_moex_bonds[instr]["YIELD"])
worksheet.write(row, col+6, all_moex_bonds[instr]["LAST"])
worksheet.write(row, col+7, all_moex_bonds[instr]["COUPONPERCENT"])
try:
worksheet.write(row, col+8, all_moex_bonds[instr]["COUPONPERCENT"]/all_moex_bonds[instr]["LAST"])
except:
worksheet.write(row, col+8, "")
worksheet.write(row, col+9, all_moex_bonds[instr]["FACEVALUE"])
worksheet.write(row, col+10, all_moex_bonds[instr]["MATDATE"])
worksheet.write(row, col+11, all_moex_bonds[instr]["COUPONPERIOD"])
worksheet.write(row, col+12, all_moex_bonds[instr]["DURATION"])
worksheet.write(row, col+13, all_moex_bonds[instr].get("PRICE"))
worksheet.write(row, col+14, all_moex_bonds[instr].get("YIELDDATE"))
worksheet.write(row, col+15, all_moex_bonds[instr].get("EFFECTIVEYIELD"))
worksheet.write(row, col+16, all_moex_bonds[instr].get("ZSPREADBP"))
worksheet.write(row, col+17, all_moex_bonds[instr].get("GSPREADBP"))
row+=1
col=0
duration0=all_moex_bonds[instr]["DURATION"]
price=all_moex_bonds[instr]["LAST"]
for item2 in all_moex_bonds:
instrid2=item2
isin2=all_moex_bonds[instrid2]["ISIN"]
if isin2==isin:
continue
skip=0
for exclude in bonds_exclude:
#print(f'{exclude}, {all_moex_bonds[instrid2]["SHORTNAME"]}')
if exclude in all_moex_bonds[instrid2]["ISIN"]:
#print(f'{exclude}, {all_moex_bonds[instrid2]["ISIN"]}')
skip+=1
if skip>0:
continue
duration=all_moex_bonds[instrid2]["DURATION"]
duration_low=duration0*(1.0-30.0/100)
duration_top=duration0*(1.0+20.0/100)
price2=all_moex_bonds[instrid2]["LAST"]
price2_low=price*(1-50/100)
price2_top=price*(1+3/100)
#print(f'duration target: {duration0}. Duration search: {duration_low}, {duration_top}')
if duration<=duration_top and duration>=duration_low and price2>=price2_low and price2<=price2_top:
worksheet.write(row, col, instrid2)
worksheet.write(row, col+1, all_moex_bonds[instrid2]["BOARDID"])
worksheet.write(row, col+2, all_moex_bonds[instrid2]["ISIN"])
worksheet.write(row, col+3, all_moex_bonds[instrid2]["SHORTNAME"])
worksheet.write(row, col+4, all_moex_bonds[instrid2]["SECNAME"])
worksheet.write(row, col+5, all_moex_bonds[instrid2]["YIELD"])
worksheet.write(row, col+6, all_moex_bonds[instrid2]["LAST"])
worksheet.write(row, col+7, all_moex_bonds[instrid2]["COUPONPERCENT"])
try:
worksheet.write(row, col+8, all_moex_bonds[instrid2]["COUPONPERCENT"]/all_moex_bonds[instrid2]["LAST"])
except:
worksheet.write(row, col+8, "")
worksheet.write(row, col+9, all_moex_bonds[instrid2]["FACEVALUE"])
worksheet.write(row, col+10, all_moex_bonds[instrid2]["MATDATE"])
worksheet.write(row, col+11, all_moex_bonds[instrid2]["COUPONPERIOD"])
worksheet.write(row, col+12, all_moex_bonds[instrid2]["DURATION"])
worksheet.write(row, col+13, all_moex_bonds[instrid2].get("PRICE"))
worksheet.write(row, col+14, all_moex_bonds[instrid2].get("YIELDDATE"))
worksheet.write(row, col+15, all_moex_bonds[instrid2].get("EFFECTIVEYIELD"))
worksheet.write(row, col+16, all_moex_bonds[instrid2].get("ZSPREADBP"))
worksheet.write(row, col+17, all_moex_bonds[instrid2].get("GSPREADBP"))
worksheet.write(row, col+18, "1") # Recommendation #1 - by duration
row+=1
col=0
workbook.close()
print("Recommendations completed!")
if __name__=="__main__":
get_all_bonds_from_moex()
make_recommendations()