Download data from Refinitiv Tick History and compute some market microstructure measures.
Project description
mktstructure
A simple command-line tool to download data from Refinitiv Tick History and compute 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
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