mktstructure 0.1.0

Download data from Refinitiv Tick History and compute some market microstructure measures.

mktstructure

A simple command-line tool to download data from Refinitiv Tick History and some market microstructure measures.

Installation

pip install mktstructure

After installation, use -h or --help to see the usage instruction:

$ mktstructure -h
usage: mktstructure [OPTION]...

Download data from Refinitiv Tick History and compute some market microstructure measures.

optional arguments:
  -h, --help       show this help message and exit
  -v, --version    show program's version number and exit
  -u user          DataScope username
  -p password      DataScope password
  -b begin         begin UTC date (YYYY-MM-DD)
  -e end           end UTC date (YYYY-MM-DD)
  -o out           output file path
  --ric [RIC ...]  RIC of securities to process
  --sp500          if set, process all S&P500 components (extending RIC list, if any)
  --parse          if set, parse the downloaded raw data to output data directory
  --data_dir dir   output data directory (used when --parse is set)

Usage examples

Simple use cases

Download the tick history of Google from 2022-01-01 to 2022-02-01, saved as out.csv.gz in the current working directory:

mktstructure -u XXXXXX -p XXXXXX --ric GOOG.OQ -b 2022-01-01 -e 2022-02-01 -o out.csv.gz

Download the tick history of Google and Apple from 2022-01-01 to 2022-02-01, saved as out.csv.gz in the current working directory:

mktstructure -u XXXXXX -p XXXXXX --ric GOOG.OQ AAPL.OQ -b 2022-01-01 -e 2022-02-01 -o out.csv.gz

Most common use case

Download the tick history of all S&P500 component stocks from 2022-01-01 to 2022-02-01, saved as sp500.csv.gz in the current working directory:

mktstructure -u XXXXXX -p XXXXXX --sp500 -b 2022-01-01 -e 2022-02-01 -o sp500.csv.gz

Or further, download and parse the downloaded data:

mktstructure -u XXXXXX -p XXXXXX --sp500 -b 2022-01-01 -e 2022-02-01 -o sp500.csv.gz --parse --datadir "./data"

After everything's completed, the daily tick history will be stored in ./data folder as specified by the --data_dir option.

PS C:\Users\mgao\Documents\GitHub\mkt-microstructure> ls .\data\


    Directory: C:\Users\mgao\Documents\GitHub\mkt-microstructure\data


Mode                 LastWriteTime         Length Name
----                 -------------         ------ ----
d-----         6/03/2022   3:30 PM                A.N
d-----         6/03/2022   3:30 PM                AAL.OQ
d-----         6/03/2022   3:31 PM                AAP.N
d-----         6/03/2022   3:31 PM                AAPL.OQ

...

d-----         6/03/2022   3:51 PM                ZBH.N
d-----         6/03/2022   3:51 PM                ZBRA.OQ
d-----         6/03/2022   3:51 PM                ZION.OQ
d-----         6/03/2022   3:51 PM                ZTS.N