FinancialSymbology v0.3.4

A package to standardise financial security symbology with the OpenFIGI methodology.

Inlcudes automatic symbol type detection to allow for various ID input types (i.e. Sedol, Cusip, ISIN etc.).

Communicates with the OpenFIGI API to retrieve security information.

Usage

fetchsecuritydata can be used either using Strings as identifiers or the built-in Types in the Identifiers module.

julia> using FinancialSymbology

julia> aapl_5 = first(fetchsecuritydata("AAPL", "TICKER"), 5)
5-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
 FIGI: BBG000B9XRY4 Common Stock
 FIGI: BBG000B9XSK7 Common Stock
 FIGI: BBG000B9XT70 Common Stock
 FIGI: BBG000B9XVV8 Common Stock
 FIGI: BBG000B9XWM6 Common Stock

julia> aapl_5.exchCode
5-element Vector{Union{Nothing, String}}:
 "US"
 "UA"
 "UC"
 "UN"
 "UP"

julia> aapl_us = fetchsecuritydata("AAPL", "TICKER"; exchCode="US")
1-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
 FIGI: BBG000B9XRY4 Common Stock

julia> aapl_us[1]
FIGI: BBG000B9XRY4 Common Stock

julia> aapl_us[1].name
"APPLE INC"

Individual constructors can create Identifier types or the convenience function makeidentifier will automatically detect the identifier type and convert it. Single Identifiers or Vector{<:Identifier} can be passed to the fetchsecuritydata function without the need for the idType argument.

julia> identifiers = makeidentifier.(["AAPL US Equity", "BDDXSM4"])
2-element Vector{Identifier}:
 "AAPL US Equity"
 "BDDXSM4"

julia> fetchsecuritydata(identifiers)
Dict{String, StructArrays.StructArray} with 2 entries:
  "AAPL US Equity" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "BDDXSM4"        => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…

julia> identifiers = [Ticker("AAPL US Equity"), Sedol("BDDXSM4")]
2-element Vector{Identifier}:
 "AAPL US Equity"
 "BDDXSM4"

julia> fetchsecuritydata(identifiers)
Dict{String, StructArrays.StructArray} with 2 entries:
  "AAPL US Equity" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "BDDXSM4"        => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…

julia> aapl = fetchsecuritydata(Ticker("AAPL US Equity"))
1-element StructArray(::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}, ::Vector{Union{Nothing, String}}) with eltype FinancialSymbology.OpenFigiAsset:
 FIGI: BBG000B9XRY4 Common Stock

julia> aapl.figi
1-element Vector{Union{Nothing, String}}:
 "BBG000B9XRY4"

julia> using DataFrames

julia> aapl |> DataFrame
1×10 DataFrame
 Row │ figi          marketSector  securityType  ticker  name       exchCode   ⋯
     │ Union…        Union…        Union…        Union…  Union…     Union…     ⋯
─────┼──────────────────────────────────────────────────────────────────────────
   1 │ BBG000B9XRY4  Equity        Common Stock  AAPL    APPLE INC  US         ⋯
                                                               4 columns omitted

More Examples

julia> tickers = ["AAPL", "VOD", "TSLA"]
3-element Vector{String}:
 "AAPL"
 "VOD"
 "TSLA"

julia> fetchsecuritydata(tickers, "TICKER"; marketSecDes="Equity", exchCode=["US", "LN", "US"])
Dict{String, StructArrays.StructArray} with 3 entries:
  "AAPL" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "VOD"  => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "TSLA" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…

julia> idstrings = ["BBG000B9XRY4", "037833100", "US0378331005"]
3-element Vector{String}:
 "BBG000B9XRY4"
 "037833100"
 "US0378331005"

julia> idtypes = ["ID_BB_GLOBAL", "ID_CUSIP", "ID_ISIN"]
3-element Vector{String}:
 "ID_BB_GLOBAL"
 "ID_CUSIP"
 "ID_ISIN"

julia> fetchsecuritydata(idstrings, idtypes; exchCode="US")
Dict{String, StructArrays.StructArray} with 3 entries:
  "US0378331005" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "037833100"    => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…
  "BBG000B9XRY4" => FinancialSymbology.OpenFigiAsset[OpenFigiAsset…

Identifiers

Financial symbols must first be converted to a vector of Identifier. This can be automated or done manually (automated detection unavailable for Index identifiers).

julia> ids = makeidentifier.(["B0YQ5W0",
                              "037833100",
                              "US0378331005",
                              "BBG000B9Y5X2",
                              "AAPL US Equity"])
5-element Vector{Identifier}:
 "B0YQ5W0"
 "037833100"
 "US0378331005"
 "BBG000B9Y5X2"
 "AAPL US Equity"

julia> typeof.(ids)
5-element Vector{DataType}:
 Sedol
 Cusip
 Isin
 Figi
 Ticker