fds.sdk.FactSetBenchmarks 1.5.0

FactSet Benchmarks client library for Python

FactSet Benchmarks client library for Python

FactSet Benchmarks API gives access to Index Constituents, Prices, Returns, and Ratios. For a sample list of identifiers, use the /metrics endpoint. Equity Only - Fixed Income Benchmark support coming soon.

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

• API version: 1.10.0
• SDK version: 1.5.0
• Build package: org.openapitools.codegen.languages.PythonClientCodegen

Requirements

• Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.FactSetBenchmarks==1.5.0

pip

pip install fds.sdk.utils fds.sdk.FactSetBenchmarks==1.5.0

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.FactSetBenchmarks
from fds.sdk.FactSetBenchmarks.api import benchmark_constituents_api
from fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks.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.FactSetBenchmarks.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.FactSetBenchmarks.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = benchmark_constituents_api.BenchmarkConstituentsApi(api_client)
    ids = [
        "SP50",
    ] # [str] | Benchmark Identifiers. Reference the helper endpoint **/id-list** to get a sample list of  valid identifiers. You must be authorized for the `ids` requested, otherwise you will receive an error. <p>***ids limit** =  1 per request*</p>
    date = "date_example" # str | Date of holding expressed in YYYY-MM-DD format. (optional)
    currency = "currency_example" # str | Currency for response. (optional)
    calendar = "FIVEDAY" # str | Calendar of data returned. The default value is FIVEDAY which displays Monday through Friday, regardless of whether there were trading holidays. (optional) if omitted the server will use the default value of "FIVEDAY"

    try:
        # Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
        # example passing only required values which don't have defaults set
        # and optional values
        api_response = api_instance.get_benchmark_constituents(ids, date=date, currency=currency, calendar=calendar)

        pprint(api_response)
    except fds.sdk.FactSetBenchmarks.ApiException as e:
        print("Exception when calling BenchmarkConstituentsApi->get_benchmark_constituents: %s\n" % e)

    # # Get response, http status code and response headers
    # try:
    #     # Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
    #     api_response, http_status_code, response_headers = api_instance.get_benchmark_constituents_with_http_info(ids, date=date, currency=currency, calendar=calendar)


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

    # # Get response asynchronous
    # try:
    #     # Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
    #     async_result = api_instance.get_benchmark_constituents_async(ids, date=date, currency=currency, calendar=calendar)
    #     api_response = async_result.get()


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

    # # Get response, http status code and response headers asynchronous
    # try:
    #     # Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
    #     async_result = api_instance.get_benchmark_constituents_with_http_info_async(ids, date=date, currency=currency, calendar=calendar)
    #     api_response, http_status_code, response_headers = async_result.get()


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.FactSetBenchmarks.ApiException as e:
    #     print("Exception when calling BenchmarkConstituentsApi->get_benchmark_constituents: %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.FactSetBenchmarks

logging.basicConfig(level=logging.DEBUG)

configuration = fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks

configuration = fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks

configuration = fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks

configuration = fds.sdk.FactSetBenchmarks.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/content

Class	Method	HTTP request	Description
BenchmarkConstituentsApi	get_benchmark_constituents	GET /factset-benchmarks/v1/constituents	Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
BenchmarkConstituentsApi	get_benchmark_constituents_for_list	POST /factset-benchmarks/v1/constituents	Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
BenchmarkConstituentsApi	get_fi_benchmark_constituents	GET /factset-benchmarks/v1/fixed-income-constituents	Returns the requested Fixed Income Benchmark Constituents and respective Weights, Price and Market Value.
BenchmarkConstituentsApi	get_fi_benchmark_constituents_for_list	POST /factset-benchmarks/v1/fixed-income-constituents	Returns the requested Benchmark Constituents and respective Weights, Price and Market Value.
HelperApi	get_benchmark_ids	GET /factset-benchmarks/v1/id-list	Returns a sample list of Benchmark Identifiers and the benchmark categorization to use in other Benchmark API endpoints.
HelperApi	get_benchmark_ids_for_list	POST /factset-benchmarks/v1/id-list	Returns a sample list of Benchmark Identifiers and the benchmark categorization to use in other Benchmark API endpoints.
IndexLevelApi	get_benchmark_ratios	GET /factset-benchmarks/v1/ratios	Returns the aggregated ratios of a requested benchmark
IndexLevelApi	get_benchmark_ratios_for_list	POST /factset-benchmarks/v1/ratios	Returns the aggregated ratios of a requested benchmark
IndexLevelApi	get_index_history	GET /factset-benchmarks/v1/index-history	Retrieves Index Level Prices and Returns information for a list of identifiers and historical date range.
IndexLevelApi	get_index_history_for_list	POST /factset-benchmarks/v1/index-history	Retrieves Index Level Prices and Returns information for a list of identifiers and historical date range.
IndexLevelApi	get_index_snapshot	GET /factset-benchmarks/v1/index-snapshot	Index Level Prices, Returns, and related information as of a single date.
IndexLevelApi	get_index_snapshot_for_list	POST /factset-benchmarks/v1/index-snapshot	Retrieves the Index Level Snapshot of Prices and Returns information for a given identifier and single date.

Documentation For Models

• BenchmarkConstituent
• BenchmarkConstituentsRequest
• BenchmarkConstituentsResponse
• BenchmarkIdList
• BenchmarkIdListRequest
• BenchmarkIdListResponse
• BenchmarkRatios
• BenchmarkRatiosRequest
• BenchmarkRatiosResponse
• Calendar
• ConstituentIds
• ErrorResponse
• ErrorResponseSubErrors
• FIConstituentIds
• FamilyFilter
• FixedIncomeBenchmarkConstituent
• FixedIncomeBenchmarkConstituentsRequest
• FixedIncomeBenchmarkConstituentsResponse
• Frequency
• HedgeType
• ImpliedDate
• IndexHistory
• IndexHistoryRequest
• IndexHistoryResponse
• IndexIds
• IndexSnapshot
• IndexSnapshotRequest
• IndexSnapshotResponse
• Metrics
• Periodicity
• ReturnType

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.FactSetBenchmarks.apis and fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks.api.default_api import DefaultApi
• from fds.sdk.FactSetBenchmarks.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.FactSetBenchmarks
from fds.sdk.FactSetBenchmarks.apis import *
from fds.sdk.FactSetBenchmarks.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.