finter 0.0.44

FINTER API

Overview

Python client SDK for finter platform

• You can get Authorization of finter API with authToken.

• Type: API key

• API key parameter name: Authorization

• Location: HTTP header

• This Python package is automatically generated by the Swagger Codegen project.

• Please contact with [e-mail] if you have any problems, troubles, … etc.

Requirements.

Python 2.7 and 3.4+

Installation & Usage

pip install finter

Then import the package:

import finter

Set environment variable FINTER_API_KEY to use API key: later, you can change settgins.configuration.api_key[‘Authorization’]

# sh
export FINTER_API_KEY=YOUR_API_KEY

# python
import os
os.environ['FINTER_API_KEY'] = 'YOUR_API_KEY'

Getting Started

Please follow the installation procedure and then run the following:

Get CM Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
# Token-based authentication with required prefix "Token"
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

# create an instance of the API class
api_instance = finter.ContentApi(finter.ApiClient(configuration))
code_format = 'code_format_example' # str | data column code format (optional)
end = 'end_example' # str | data end date (optional)
identity_name = 'identity_name_example' # str | content model identity name (required)
tail = 56 # int | data tail row number (optional)

try:
    api_response = api_instance.content_model_retrieve(code_format=code_format, end=end, identity_name=identity_name, tail=tail)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling ContentApi->content_model_retrieve: %s\n" % e)

Convert to Pandas DataFrame

import finter

json_response = api_response.to_dict()['cm']
column_types = api_response.to_dict()['column_types']
df = finter.to_dataframe(json_response, column_types)

BaseAlpha Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure HTTP basic authorization: basicAuth
configuration = finter.Configuration()
configuration.username = 'YOUR_USERNAME'
configuration.password = 'YOUR_PASSWORD'
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'YOUR_API_KEY'
# Uncomment below to setup prefix (e.g. Bearer) for API key, if needed
# configuration.api_key_prefix['Authorization'] = 'Bearer'

# create an instance of the API class
api_instance = finter.AlphaApi(finter.ApiClient(configuration))
end = 'end_example' # str | data end date
identity_name = 'identity_name_example' # str | content model identity name
start = 'start_example' # str | data start date
code_format = 'code_format_example' # str | data column code format (optional)
tail = 56 # int | data tail row number (optional)

try:
    api_response = api_instance.alpha_base_alpha_cm_retrieve(end, identity_name, start, code_format=code_format, tail=tail)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling AlphaApi->alpha_base_alpha_cm_retrieve: %s\n" % e)
json_response = api_response.to_dict()['cm']
column_types = api_response.to_dict()['column_types']
df = finter.to_dataframe(json_response, column_types)

Get Calendar Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

# create an instance of the API class
api_instance = finter.CalendarApi(finter.ApiClient(configuration))
date_type = 1 # int | 0:all day 1: trading day, 2: closed day, 3: weekends (optional, default: 0)
start_date = 'start_date_example' # str |  (required)
end_date = 'end_date_example' # str |  (required)
exchange = 'exchange_example' # str |  (optional)

try:
    api_response = api_instance.calendar_retrieve(date_type=date_type, end_date=end_date, exchange=exchange, start_date=start_date)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling CalendarApi->calendar_retrieve: %s\n" % e)

Get Metafund Model Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

# create an instance of the API class
api_instance = finter.MetafundApi(finter.ApiClient(configuration))
code_format = 'code_format_example' # str | data column code format (optional)
forward_fill = True # bool |  (optional)
metafund_name = 'metafund_name_example' # str |  (required)

try:
    api_response = api_instance.metafund_model_retrieve(code_format=code_format, forward_fill=forward_fill, metafund_name=metafund_name)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling MetafundApi->metafund_model_retrieve: %s\n" % e)

Get simulation Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
from finter.utils.convert import get_json_with_columns_from_dataframe

# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

position, position_column_types = get_json_with_columns_from_dataframe(df)
sim_data = {
    'position': position,
    'position_column_types': position_column_types,
    'model_info': {'exchange': 'krx', 'universe': 'krx', 'instrument_type': 'stock', 'freq': '1d',
                   'position_type': 'target', 'type': 'alpha'},
    'start': 20100111,
    'end': 20230620,
    'fill_nan': True,
    'close': True,
    'adj_dividend': True,
    'adj_funding_fee': False,
    'currency': None,
    'return_calc_method': 'arithmetic',
    'turnover_calc_method': 'diff',
    'cost_list': ['fee_tax', 'high_low'],
    'volcap_pct': 0,
    'decay': 1,
    'slippage': 10,
}
# create an instance of the API class
api_instance = finter.SimulationApi(finter.ApiClient(configuration))
body = finter.SimulationRequest(**sim_data) # SimulationRequest |

try:
    api_response = api_instance.simulation_create(body)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling SimulationApi->simulation_create: %s\n" % e)

Get Submission alpha Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

api_instance = finter.SubmissionApi(finter.ApiClient(configuration))
model_info = {
    "exchange": "krx",
    "universe": "krx",
    "instrument_type": "stock",
    "exposure": "long_only",
    "insample": "1day",
    "position_type": "target",
    "freq": "1d",
    "type": "alpha",
}
model_dir = 'sample_alpha'
try:
    api_response = api_instance.submission_create(model_info, model_dir)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling SubmissionApi->submission_create: %s\n" % e)

Get Submission portfolio Example

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

api_instance = finter.SubmissionApi(finter.ApiClient(configuration))
model_info = {
    "exchange": "krx",
    "universe": "krx",
    "instrument_type": "stock",
    "insample": "1day",
    "position_type": "target",
    "freq": "1d",
    "type": "portfolio",
}
model_dir = 'sample_portfolio'
try:
    api_response = api_instance.submission_create(model_info, model_dir)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling SubmissionApi->submission_create: %s\n" % e)

Sample Alpha

from datetime import datetime

import numpy as np
from finter.framework_model import BaseAlpha
from finter.framework_model import iter_trading_days


def get_long_position(df, aum=1e+8):
    pos_df = (df > 0) * df
    pos_df = np.divide(
        aum*pos_df, abs(pos_df).sum(axis=1).replace(0, np.nan).values.reshape(-1, 1))
    df2 = pos_df.fillna(0.)
    return df2


def get_long_short_position(df, aum=1e+8):
    pos_df = (df > 0) * df
    neg_df = (df < 0) * df
    pos_df = np.divide(0.5*aum*pos_df, abs(pos_df).sum(axis=1).values.reshape(-1, 1))
    neg_df = np.divide(0.5*aum*neg_df, abs(neg_df).sum(axis=1).values.reshape(-1, 1))
    df2 = pos_df.fillna(0.) + neg_df.fillna(0.)
    return df2


def zscore(df):
    df2 = np.subtract(df, df.mean(axis=1).values.reshape(-1, 1))
    df2 = np.divide(df2, df.std(axis=1).values.reshape(-1, 1))
    return df2


class Alpha(BaseAlpha): # BaseAlpha Class를 상속받아옴 (필수)
    def initialize(self, start, end, preload): # 인자로 받은 start, end에서 start에서 preload-year을 빼고 로드함.
        self.alpha_start, self.alpha_end = start - preload*int(1e4), end
        self.position_size = 1e8  # 포지션 사이즈는 기본 1억(1e8)

        # 거래소, 유니버스, 종목타입, 포지션타입, 포지션 생성 주기, 전략 타입
        self.exchange, self.universe, self.instrument_type, self.position_type, self.freq, self.type = \
            'krx', 'krx', 'stock', 'target', '1d', 'alpha'
        self.model_info = {'exchange': self.exchange, 'universe': self.universe, 'instrument_type': self.instrument_type,
                           'freq': self.freq, 'position_type': self.position_type,  'type': self.type}
        self.close = BaseAlpha.get_cm("# 가격 CM").get_df(
            self.alpha_start, self.alpha_end)  # 가격
        self.market_equity = BaseAlpha.get_cm("# 시가총액 CM").get_df(
            self.alpha_start, self.alpha_end)  # 시가총액
        self.kospi_200 = BaseAlpha.get_cm("# 코스피200 필터링 CM").get_df(
            self.alpha_start, self.alpha_end).replace('Y', 1.0).replace('N', np.nan)  # 코스피200 필터링
        self.kospi_200_me = self.market_equity * self.kospi_200


    def get(self, start, end):  # start와 end를 입력받아서 start ~ end에 해당하는 포지션을 반환
        self.initialize(start, end, preload=2)  # 포지션 시작일보다 데이터는 2년을 앞서 로드함
        self.trading_start_dt, self.trading_end_dt = datetime.strptime(
            str(start), '%Y%m%d'), datetime.strptime(str(end), '%Y%m%d')  # 트레이딩 시작일, 종료일
        self.trading_dates = [datetime(day.year, day.month, day.day) for day in iter_trading_days(
            self.trading_start_dt, self.trading_end_dt)]  # 트레이딩 일자. 미국인 경우 us_iter_trading_days 사용

        self.signal1 = self.kospi_200_me  # 코스피200 시가총액 비율 (대형주 투자)
        self.signal2 = (1 / self.kospi_200_me)  # 코스피200 시가총액 역순 비율 (소형주 투자)
        self.signal3 = (self.kospi_200_me.rank(axis=1, pct=True) >= 0.75).astype(float)  # 코스피 200 중 시가총액 상위 25%에 동일 가중 투자
        self.signal4 = (self.kospi_200_me.rank(axis=1, pct=True) <= 0.25).astype(float)  # 코스피 200 중 시가총액 하위 25%에 동일 가중 투자

        # shift(1)을 하는 이유는 오늘의 장 마감후 데이터는 장 마감 전에 알 수 없기 때문
        self.position1 = get_long_position(self.signal1).shift(1).reindex(self.trading_dates)  # 코스피200 시가총액 비중 투자
        self.position2 = get_long_position(self.signal2).shift(1).reindex(self.trading_dates)  # 코스피200 시가총액 역수 비중 투자
        self.position3 = get_long_position(self.signal3).shift(1).reindex(self.trading_dates)  # 코스피 200 중 시가총액 상위 25%에 동일 가중 투자
        self.position4 = get_long_position(self.signal4).shift(1).reindex(self.trading_dates)  # 코스피 200 중 시가총액 하위 25%에 동일 가중 투자
        return self.position2

if __name__ == '__main__':
    start, end = (20050101, 20220706)
    self = Alpha()
    position = self.get(start, end)

Sample portfolio

from finter.framework_model.portfolio import BasePortfolio

class Portfolio(BasePortfolio):
    alpha_set = set(
        [
            "krx.krx.stock.ldh0127_qt.sample_univ_1",
        ]
    )  # type: ignore

    def __init__(self):
        return

    def alpha_loader(self, start, end):
        return self.get_alpha_position_loader(
            start, end, "krx", "krx", "stock", "1d", "target"
        )

    def get(self, start, end):
        alpha_loader = self.alpha_loader(start, end)

        alpha_dict = {}
        for i in self.alpha_set:
            alpha_dict[i] = alpha_loader.get_alpha("alpha." + i)

        pf = sum(map(lambda x: x.fillna(0), alpha_dict.values()))

        return pf


if __name__ == "__main__":
    start, end = (20200101, 20231101)
    self = Portfolio()
    pf = self.get(start, end)

Get Universe list

from finter.framework_model import get_universe_list
id_list = get_universe_list('korea', 'stock', 'fnguide')

Get Universe list with API

from __future__ import print_function
import time
import finter
from finter.rest import ApiException
from pprint import pprint
# Configure API key authorization: tokenAuth
configuration = finter.Configuration()
configuration.api_key['Authorization'] = 'Token YOUR_API_KEY' # prefix "Token" is required

api_instance = finter.UniverseApi(finter.ApiClient(configuration))
region = 'korea' # str |
type = 'stock' # str |
vendor = 'fnguide' # str |

try:
    api_response = api_instance.universe_list_retrieve(region, type, vendor)
    pprint(api_response)
except ApiException as e:
    print("Exception when calling UniverseApi->universe_list_retrieve: %s\n" % e)

You can apply same code frame to use other endpoints.

api_instance	module name	Api url
ContentApi	content_identities_retrieve	content/identities
	content_model_retrieve	content/model
	ews_retrieve	ews/
AlphaApi	alpha_identities_retrieve	alpha/identities
	alpha_model_retrieve	alpha/model
PortfolioApi	portfolio_identities_retrieve	portfolio/identities
	portfolio_model_retrieve	portfolio/model
FundApi	fund_identities_retrieve	fund/identities
	fund_model_retrieve	fund/model
FlexibleFundApi	flexiblefund_identities_retrieve	flexiblefund/identities
	flexiblefund_model_retrieve	flexiblefund/model
MetafundApi	metafund_list_retrieve	metafund/list
	metafund_model_retrieve	metafund/model
	metafund_performance_retrieve	metafund/performance
Calendar	calendar_retrieve	calendar/

Finter Utils name | description —- | —- to_dataframe | convert json-formed data to dataframe