Add fiscal data

notebooks/_config.yml

@@ -2,8 +2,8 @@
 # Learn more at https://jupyterbook.org/customize/config.html
 
 title: Quantflow library
-author: Quantmind Team
-copyright: "2024"
+author: <a href="https://quantmind.com">quantmind</a>
+copyright: "2014-2025"
 logo: assets/quantflow-light.svg
 
 # Force re-execution of notebooks on each build.

notebooks/data/fiscal_data.md

@@ -0,0 +1,31 @@
+---
+jupytext:
+  text_representation:
+    extension: .md
+    format_name: myst
+    format_version: 0.13
+    jupytext_version: 1.16.6
+kernelspec:
+  display_name: Python 3 (ipykernel)
+  language: python
+  name: python3
+---
+
+# Fiscal Data
+
+```{code-cell} ipython3
+from quantflow.data.fiscal_data import FiscalData
+```
+
+```{code-cell} ipython3
+fd = FiscalData()
+```
+
+```{code-cell} ipython3
+data = await fd.securities()
+data
+```
+
+```{code-cell} ipython3
+
+```

quantflow/data/fiscal_data.py

@@ -0,0 +1,62 @@
+from dataclasses import dataclass
+from datetime import date, timedelta
+
+import pandas as pd
+from fluid.utils.http_client import AioHttpClient
+
+from quantflow.utils.dates import as_date
+
+URL = (
+    "https://www.federalreserve.gov/datadownload/Output.aspx?"
+    "rel=H15&series=bf17364827e38702b42a58cf8eaa3f78&lastobs=&"
+)
+
+maturities = [
+    "month_1",
+    "month_3",
+    "month_6",
+    "year_1",
+    "year_2",
+    "year_3",
+    "year_5",
+    "year_7",
+    "year_10",
+    "year_20",
+    "year_30",
+]
+
+
+@dataclass
+class FiscalData(AioHttpClient):
+    """Fiscal Data API client.
+
+    THis class is used to fetch data from the
+    [fiscal data api](https://fiscaldata.treasury.gov/api-documentation/)
+    """
+
+    url: str = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
+
+    async def securities(self, record_date: date | None = None) -> pd.DataFrame:
+        """Get treasury constant maturities rates"""
+        rd = as_date(record_date)
+        pm = rd.replace(day=1) - timedelta(days=1)
+        params = {"filter": f"record_date:eq:{pm.isoformat()}"}
+        data = await self.get_all("/v1/debt/mspd/mspd_table_3_market", params)
+        return pd.DataFrame(data)
+
+    async def get_all(self, path: str, params: dict[str, str]) -> list:
+        """Get all data from the API"""
+        next_url: str | None = f"{self.url}{path}"
+        full_data = []
+        while next_url:
+            payload = await self.get(next_url, params=params)
+            full_data.extend(payload["data"])
+            params = {}
+            if links := payload.get("links"):
+                if next_path := links.get("next"):
+                    next_url = f"{self.url}{next_path}"
+                else:
+                    next_url = None
+            else:
+                next_url = None
+        return full_data

quantflow/utils/dates.py

@@ -22,3 +22,12 @@ def isoformat(date: str | date) -> str:
 
 def start_of_day(dt: date | None = None) -> datetime:
     return as_utc(dt).replace(hour=0, minute=0, second=0, microsecond=0)
+
+
+def as_date(dt: date | None = None) -> date:
+    if dt is None:
+        return date.today()
+    elif isinstance(dt, datetime):
+        return dt.date()
+    else:
+        return dt

quantflow_tests/test_data.py

@@ -4,6 +4,7 @@
 from aiohttp.client_exceptions import ClientError
 
 from quantflow.data.fed import FederalReserve
+from quantflow.data.fiscal_data import FiscalData
 from quantflow.data.fmp import FMP
 
 pytestmark = pytest.mark.skipif(not FMP().key, reason="No FMP API key found")
@@ -50,3 +51,14 @@ async def test_fed_rates() -> None:
             assert df.shape[1] == 2
     except (ConnectionError, ClientError) as e:
         pytest.skip(f"Skipping test_fed due to network issue: {e}")
+
+
+async def __test_fiscal_data() -> None:
+    try:
+        async with FiscalData() as fd:
+            df = await fd.securities()
+            assert df is not None
+            assert df.shape[0] > 0
+            assert df.shape[1] == 2
+    except (ConnectionError, ClientError) as e:
+        pytest.skip(f"Skipping test_fed due to network issue: {e}")