finam-export

Python client library to download data from finam.ru

Capabilities

• Contracts lookup by market categories, id, code, name or their combinations using a rich set of mathching options
• Download data of any timeframe available on finam.ru ranging from ticks to monthly resolution

Samples provided

• samples/listing.py - simply lists some contracts from every supported market
• samples/download.py - downloads some data and prints it out
• samples/lookups.py - shows how you can leverage lookup capabilities

Utility scripts

• scripts/download.py - feature-rich standalone script to download finam's data

Show me something working!

Here's the output

PYTHONPATH=. python samples/download.py
*** Current Russian ruble exchange rates ***
... some debugging output omitted ...
            <OPEN>  <HIGH>    <LOW>  <CLOSE>       <VOL>
index
2016-11-07  63.945  64.085  63.6625   63.695  1214085000

[1 rows x 5 columns]
*** Current Brent Oil price ***
INFO:root:Loading data from http://export.finam.ru/table.csv?sep=3&at=1&e=.csv&d=d&f=table&dtf=1&MSOR=0&tmf=3&mstimever=1&mstime=on&sep2=1&em=19473&code=BZ&cn=BZ&df=1&yf=2007&dt=7&datf=5&yt=2016&market=24&mf=0&mt=10&p=8
INFO:root:Decoding response
            <OPEN>  <HIGH>  <LOW>  <CLOSE>  <VOL>
index
2016-11-07   45.95   46.38   45.8    46.01  52605

[1 rows x 5 columns]

and here's the code producing this output:

import logging

from finam.export import Exporter, Market, LookupComparator

"""
Full-on example displaying up-to-date values of some important indicators
"""

def main():
    exporter = Exporter()
    print('*** Current Russian ruble exchange rates ***')
    rub = exporter.lookup(name='USDRUB_TOD', market=Market.CURRENCIES)
    assert len(rub) == 1
    data = exporter.download(rub.index[0], market=Market.CURRENCIES)
    print(data.tail(1))

    print('*** Current Brent Oil price ***')
    oil = exporter.lookup(name='Brent', market=Market.COMMODITIES,
                          name_comparator=LookupComparator.EQUALS)
    assert len(oil) == 1
    data = exporter.download(oil.index[0], market=Market.COMMODITIES)
    print(data.tail(1))


if __name__ == '__main__':
    logging.basicConfig(level=logging.DEBUG)
    main()

Playing samples

If you haven't installed it from PyPi:

pip install -r ./requirements.txt
PYTHONPATH=. python samples/listing.py

If you have it installed then just

python samples/listing.py

Technical details

• Uses pandas inside, all data returned is pandas DataFrames
• Tested with python2.7 and python3.4
• Complete tests coverage
• Detailed logging

Development

• clone the repo
• pip install -r ./requirements.txt
• go ahead and enhance it!

TODO:

• Automatic requests splitting if an overly long time period is requested
• Additional tools like current futures contracts, filtering and the like