fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST 0.2.1

Best Execution Analytics for Smarter Trading (BEAST) client library for Python

Best Execution Analytics for Smarter Trading (BEAST) client library for Python

Enables clients to programmatically access the underlying data which powers the BEAST Liquidity Analytics (LA) and Transaction Cost Analysis (TCA) applications.

This Python package is automatically generated by the OpenAPI Generator project:

• API version: 2.0.0
• SDK version: 0.2.1
• Build package: org.openapitools.codegen.languages.PythonClientCodegen

For more information, please visit https://developer.factset.com/contact

Requirements

• Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST==0.2.1

pip

pip install fds.sdk.utils fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST==0.2.1

Usage

1. Generate authentication credentials.
2. Setup Python environment.

   1. Install and activate python 3.7+. If you're using pyenv:

      pyenv install 3.9.7
      pyenv shell 3.9.7
      

   2. (optional) Install poetry.

3. Install dependencies.
4. Run the following:

[!IMPORTANT] The parameter variables defined below are just examples and may potentially contain non valid values. Please replace them with valid values.

Example Code

from fds.sdk.utils.authentication import ConfidentialClient

import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST
from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.api import market_impact_api
from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint

# See configuration.py for a list of all supported configuration parameters.

# Examples for each supported authentication method are below,
# choose one that satisfies your use case.

# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
#
# The confidential client instance should be reused in production environments.
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(
    fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)

# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = market_impact_api.MarketImpactApi(api_client)
    security_id = "FDS-US" # str | ISIN for European securities, otherwise TICKER
    region = "US" # str | The two character ISO country code of the trading region. EMEA is used for the European trading region
    currency = "USD" # str | The ISO 4217 currency code
    order_volume = 100000 # float | Order Volume
    strategy = "vwap" # str | Specify the strategy, choices are: Optimal, VWAP, TWAP, Custom (optional)
    date = "2024-08-29" # str | Date in the format YYYY-MM-DD (optional)
    isin = "isin_example" # str | International securities identification number (optional)
    start_time = "10:00:00" # str | Start Time in the format HH:MM:SS (optional)
    end_time = "15:00:00" # str | End Time in the format HH:MM:SS (optional)
    front_load_half_life = 1000 # float | Front Load Half Life (optional)
    rear_load_half_life = 0 # float | Rear Load Half Life (optional)
    rear_ratio = 1 # float | Rear Ratio (optional)
    risk_aversion = 0.3 # float | Risk Aversion (optional)
    apply_momentum = False # bool | Flag to apply stock momentum. Specify true to include momentum (optional)
    side = "side_example" # str | Indicate whether a buyer or seller. Only applies when applyMomentum is true. Example: Buy or Sell. (optional)

    try:
        # Get Cost Impact
        # example passing only required values which don't have defaults set
        # and optional values
        api_response = api_instance.get_cost_impact(security_id, region, currency, order_volume, strategy=strategy, date=date, isin=isin, start_time=start_time, end_time=end_time, front_load_half_life=front_load_half_life, rear_load_half_life=rear_load_half_life, rear_ratio=rear_ratio, risk_aversion=risk_aversion, apply_momentum=apply_momentum, side=side)

        pprint(api_response)
    except fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.ApiException as e:
        print("Exception when calling MarketImpactApi->get_cost_impact: %s\n" % e)

    # # Get response, http status code and response headers
    # try:
    #     # Get Cost Impact
    #     api_response, http_status_code, response_headers = api_instance.get_cost_impact_with_http_info(security_id, region, currency, order_volume, strategy=strategy, date=date, isin=isin, start_time=start_time, end_time=end_time, front_load_half_life=front_load_half_life, rear_load_half_life=rear_load_half_life, rear_ratio=rear_ratio, risk_aversion=risk_aversion, apply_momentum=apply_momentum, side=side)


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.ApiException as e:
    #     print("Exception when calling MarketImpactApi->get_cost_impact: %s\n" % e)

    # # Get response asynchronous
    # try:
    #     # Get Cost Impact
    #     async_result = api_instance.get_cost_impact_async(security_id, region, currency, order_volume, strategy=strategy, date=date, isin=isin, start_time=start_time, end_time=end_time, front_load_half_life=front_load_half_life, rear_load_half_life=rear_load_half_life, rear_ratio=rear_ratio, risk_aversion=risk_aversion, apply_momentum=apply_momentum, side=side)
    #     api_response = async_result.get()


    #     pprint(api_response)
    # except fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.ApiException as e:
    #     print("Exception when calling MarketImpactApi->get_cost_impact: %s\n" % e)

    # # Get response, http status code and response headers asynchronous
    # try:
    #     # Get Cost Impact
    #     async_result = api_instance.get_cost_impact_with_http_info_async(security_id, region, currency, order_volume, strategy=strategy, date=date, isin=isin, start_time=start_time, end_time=end_time, front_load_half_life=front_load_half_life, rear_load_half_life=rear_load_half_life, rear_ratio=rear_ratio, risk_aversion=risk_aversion, apply_momentum=apply_momentum, side=side)
    #     api_response, http_status_code, response_headers = async_result.get()


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.ApiException as e:
    #     print("Exception when calling MarketImpactApi->get_cost_impact: %s\n" % e)

Using Pandas

To convert an API response to a Pandas DataFrame, it is necessary to transform it first to a dictionary.

import pandas as pd

response_dict = api_response.to_dict()['data']

simple_json_response = pd.DataFrame(response_dict)
nested_json_response = pd.json_normalize(response_dict)

Debugging

The SDK uses the standard library logging module.

Setting debug to True on an instance of the Configuration class sets the log-level of related packages to DEBUG and enables additional logging in Pythons HTTP Client.

Note: This prints out sensitive information (e.g. the full request and response). Use with care.

import logging
import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST

logging.basicConfig(level=logging.DEBUG)

configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(...)
configuration.debug = True

Configure a Proxy

You can pass proxy settings to the Configuration class:

• proxy: The URL of the proxy to use.
• proxy_headers: a dictionary to pass additional headers to the proxy (e.g. Proxy-Authorization).

import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST

configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(
    # ...
    proxy="http://secret:password@localhost:5050",
    proxy_headers={
        "Custom-Proxy-Header": "Custom-Proxy-Header-Value"
    }
)

Custom SSL Certificate

TLS/SSL certificate verification can be configured with the following Configuration parameters:

• ssl_ca_cert: a path to the certificate to use for verification in PEM format.
• verify_ssl: setting this to False disables the verification of certificates. Disabling the verification is not recommended, but it might be useful during local development or testing.

import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST

configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(
    # ...
    ssl_ca_cert='/path/to/ca.pem'
)

Request Retries

In case the request retry behaviour should be customized, it is possible to pass a urllib3.Retry object to the retry property of the Configuration.

from urllib3 import Retry
import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST

configuration = fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.Configuration(
    # ...
)

configuration.retries = Retry(total=3, status_forcelist=[500, 502, 503, 504])

Documentation for API Endpoints

All URIs are relative to https://api.factset.com/analytics/beast/v2

Class	Method	HTTP request	Description
MarketImpactApi	get_cost_impact	GET /tca/market-impact/cost-impact	Get Cost Impact
OrderDetailsApi	get_order_fill_count	GET /tca/order/fill-count	Get Order Fill Count
OrderDetailsApi	get_order_index_etf	GET /tca/order/index-etf	Get Index ETF data
OrderDetailsApi	get_order_info	GET /tca/order/order-info	Get Order Information
OrderDetailsApi	get_order_intra_stats	GET /tca/order/intra-order-stats	Get Intra Order Stats
OrderDetailsApi	get_order_investment_timing	GET /tca/order/investment-timing	Get Order Investment Timings
OrderDetailsApi	get_order_price_time_fills	GET /tca/order/price-time-fills	Get Price Time Fills
OrderDetailsApi	get_order_price_time_quotes	GET /tca/order/price-time-quotes	Get Price Time Quotes
OrderDetailsApi	get_order_price_time_trades	GET /tca/order/price-time-trades	Get Price Time Trades
OrderDetailsApi	get_order_volume_price	GET /tca/order/volume-price	Get Order Volume Prices
OrderDetailsApi	get_order_volume_time	GET /tca/order/volume-time	Get Order Volume Times
OrderDetailsApi	get_order_volume_venue	GET /tca/order/volume-venue	Get Order Volume Venues
OrderSearchApi	get_field_values	GET /tca/search/field-values	Get Order field values
OrderSearchApi	get_orders	GET /tca/search/orders	Get Orders by field values
OutliersApi	get_outlier_metrics_by_percentile	GET /tca/outlier/metrics-by-percentile	Get Outlier Metrics by percentile
OutliersApi	get_outlier_metrics_standard	GET /tca/outlier/metrics-standard	Get Outlier Metrics by standard deviation
QuoteAnalyticsApi	get_quote_inside_size	GET /la/quote/inside-size	Get Quote Analytics
ReportsApi	get_parent_aggregate_analysis	GET /tca/report/parent-aggregate-analysis	Get Parent Aggregate Analysis
TradeAnalyticsApi	get_trade_analytics	GET /la/trade/trade-analytics	Get Trade Analytics
TradeAnalyticsApi	get_volume_analytics	GET /la/trade/volume-analytics	Get Volume Analytics
ZScoreApi	get_z_score_quotes	GET /la/zscore/quotes	Get Quote Z-Scores
ZScoreApi	get_z_score_trades	GET /la/zscore/trades	Get Trade Z-Scores

Documentation For Models

• CostImpact
• CostImpactResponseRoot
• Error
• ErrorResponse
• FieldValuesResponse
• FieldValuesResponseRoot
• IndexETF
• IndexETFResponse
• IndexETFResponseRoot
• IntraOrderStat
• IntraOrderStatResponse
• IntraOrderStatResponseRoot
• InvestmentTiming
• InvestmentTimingResponse
• InvestmentTimingResponseRoot
• MultiDayBenchmarks
• Order
• OrderFillCountResponse
• OrderFillCountResponseRoot
• OrderInfoResponse
• OrderInfoResponseRoot
• OrdersResponse
• OrdersResponseRoot
• Outlier
• OutlierData
• OutlierDataResult
• OutlierMetrics
• OutlierResponse
• OutlierResponseRoot
• OutputStrategyBinData
• PriceTimeFill
• PriceTimeFillResponse
• PriceTimeFillResponseRoot
• PriceTimeQuote
• PriceTimeQuoteResponse
• PriceTimeQuoteResponseRoot
• PriceTimeTrade
• PriceTimeTradeResponse
• PriceTimeTradeResponseRoot
• QuoteInsideSize
• QuoteInsideSizeResponse
• QuoteInsideSizeResponseRoot
• ReportRecord
• ReportResponse
• ReportResponseRoot
• TradeAnalytic
• TradeAnalyticsResponse
• TradeAnalyticsResponseRoot
• VolumeAnalytic
• VolumeAnalyticsResponse
• VolumeAnalyticsResponseRoot
• VolumePrice
• VolumePriceBin
• VolumePriceMetrics
• VolumePriceResponse
• VolumePriceResponseRoot
• VolumeTime
• VolumeTimeResponse
• VolumeTimeResponseRoot
• VolumeVenue
• VolumeVenueResponse
• VolumeVenueResponseRoot
• ZScore
• ZScoreResponse
• ZScoreResponseRoot

Documentation For Authorization

FactSetApiKey

• Type: HTTP basic authentication

FactSetOAuth2

• Type: OAuth
• Flow: application
• Authorization URL:
• Scopes: N/A

Notes for Large OpenAPI documents

If the OpenAPI document is large, imports in fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.apis and fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:

Solution 1: Use specific imports for apis and models like:

• from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.api.default_api import DefaultApi
• from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.model.pet import Pet

Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:

import sys
sys.setrecursionlimit(1500)
import fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST
from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.apis import *
from fds.sdk.BestExecutionAnalyticsforSmarterTradingBEAST.models import *

Contributing

Please refer to the contributing guide.

Copyright

Copyright 2022 FactSet Research Systems Inc

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.