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eq_excel_scraping_functions.R
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#
# locate sheets saved for a specific date
# scrape positions and unwinds off the sheet
#
require(stringi)
require(readxl)
#
scrub<-function(x,default=0){
if(length(x)==0)return(default)
x[which(!is.finite(x))]<-default
x
}
#
nz<-function(x,tol=1e-12){
if(all(abs(x)<tol))return(0)
x[abs(x)>tol]
}
#
replace_zero_with_last<-function(x,a=x!=0,tol=1e-10){
if(all(abs(x)<tol))return(x)
x[which(a)[c(1,1:sum(a))][cumsum(a)+1]]
}
#
make_date_range<-function(
start="2017-06-01",
end="2017-06-30",
leading_days=0,
trailing_days=0
){
fmt="%Y-%m-%d"
date_seq<-seq(from=as.Date(start,format=fmt)-leading_days,to=as.Date(end,format=fmt)+trailing_days,by=1)
as.character(date_seq,format=fmt)
}
# pattern-matched ticker classification
ticker_class<-function(x){
x<-gsub("[ ]{2,10}","",x)
x_trim<-stri_trim(x)
x_upper<-toupper(x_trim)
x_lower<-tolower(x_trim)
all_matches<-list(
list(class="date",match=grepl("^[0-9]{4}-[0-9]{2}-[0-9]{2}$",x_trim)),
list(class="equity",match=grepl("^[A-Z0-9/]+\\s+[A-Z]{2,2}$",x_trim)),
list(class="equity",match=grepl("^[A-Z0-9/]+\\s+[A-Z]{2,2}\\sEquity$",x_trim)),
list(class="equity",match=grepl("^[a-z0-9/]+\\s+[a-z]{2,2}\\sequity$",x_lower)),
list(class="index",match=grepl("^[A-Z0-9]{3,20}$",x_trim)),
list(class="index",match=grepl("^[A-Z0-9]{3,20}\\sIndex$",x_trim)),
list(class="cix",match=grepl("^\\.[A-Z0-9]{3,20}\\sIndex$",x_trim)),
list(class="index",match=grepl("^[a-z0-9]{3,20}\\sindex$",x_lower)),
list(class="index",match=grepl("^[A-Z0-9]+\\s+[A-Z]{2}\\s+Index$",x_trim)),
list(class="future",match=grepl("^([A-Z]{2,4}|[A-Z]\\s)([FGHJKMNQUVXZ]\\d{1,2})$",x_trim)),
list(class="future",match=grepl("^([A-Z]{2,4}|[A-Z]\\s)([FGHJKMNQUVXZ]\\d{1,2}) Index$",x_trim)),
list(class="future",match=grepl("^([A-Z]{2,4}|[A-Z]\\s)([FGHJKMNQUVXZ]\\d{1,2})$",x_upper)),
list(class="future",match=grepl("^([A-Z]{2,4}|[A-Z]\\s)([FGHJKMNQUVXZ]\\d{1,2}) INDEX$",x_upper)),
list(class="bbgisin",match=grepl("^/isin/[A-Z]{2}[A-Z0-9]{10}$",x_trim)),
list(class="isin",match=grepl("^[A-Z]{2}[A-Z0-9]{10}$",x_trim)),
list(class="equity_option",match=grepl("^[A-Z0-9]{1,10} [A-Z0-9]{2} [0-9]{2}/[0-9]{2}/[0-9]{2} [CP]{1}[\\.0-9]{1,5}$",x_trim)),
list(class="otc_equity_option",match=grepl("^OTC-[A-Z0-9]{1,10} [A-Z0-9]{2} [0-9]{2}/[0-9]{2}/[0-9]{2} [CP]{1}[\\.0-9]{1,5}$",x_trim)),
list(class="index_option",match=grepl("^[A-Z0-9]{1,10} [0-9]{2}/[0-9]{2}/[0-9]{2} [CP]{1}[\\.0-9]{1,5}$",x_trim)),
list(class="index_option",match=grepl("^[A-Z0-9]{1,10} [0-9]{1,2} [CP]{1}[\\.0-9]{1,5}$",x_trim)),
list(class="otc_index_option",match=grepl("^OTC-[A-Z0-9]{1,10} [0-9]{2}/[0-9]{2}/[0-9]{2} [CP]{1}[\\.0-9]{1,5}$",x_trim))
)
all_classes<-do.call(cbind,mapply(function(m)ifelse(m$match,m$class,"nomatch"),all_matches,SIMPLIFY=FALSE))
ticker_patterns<-apply(all_classes,1,function(a)paste(sort(unique(a)),collapse="|"))
ticker_patterns
}
get_year_sheet_folders<-function(
year="2017"
){
location<-paste0(
"N:/Depts/Global/Absolute Insight/UK Equity/Daily Snap Shot UK Fund/",
year
)
dirs<-list.dirs(location)
month_folders<-gsub(paste0("^",location,"/"),"",setdiff(dirs,location))
month_folders
}
make_sheet_name<-function(
date="2016-06-29"
){
month_templates=data.table(
template=c("^JAN","^FEB","^MAR","^APR","^MAY","^JUN","^JUL","^AUG","^SEP","^OCT","^NOV","^DEC"),
number=sprintf("%02d",1:12)
)
date_components<-strsplit(date,"-")[[1]]
year=date_components[1]
day=date_components[3]
month_folders<-get_year_sheet_folders(year)
month_template<-month_templates[number==date_components[2],template]
month_match<-grepl(month_template,toupper(month_folders))
month<-month_folders[month_match]
location<-paste0(
"N:/Depts/Global/Absolute Insight/UK Equity/Daily Snap Shot UK Fund/",
year,
"/",
month
)
candidate_files<-list.files(location)
file_template<-paste0("^[A-Za-z ]+",date_components[3],"[ \\.]",date_components[2],"\\.(xls|xlsm)")
candidate_match<-grepl(file_template,candidate_files)
if(sum(candidate_match)<1)return(NULL)
selected_file<-head(candidate_files[candidate_match],1)
return(paste0(location,"/",selected_file))
}
determine_excel_filetype<-function(fn){
o<-capture.output({
e_xls<-try(
read_xls(path=fn,sheet=1,range="A1",col_names=FALSE,col_types="text"),
silent=TRUE)
e_xlsx<-try(
read_xlsx(path=fn,sheet=1,range="A1",col_names=FALSE,col_types="text"),
silent=TRUE)
})
if(all(class(e_xls)!="try-error"))return("xls")
if(all(class(e_xlsx)!="try-error"))return("xlsx")
return("unknown")
}
try_read_excel<-function(
fn,
sheet=1,
range="A1",
col_names=FALSE,
col_types="text",
file_type=determine_excel_filetype(fn)
){
res<-NULL
if(file_type=="xls"){
res<-read_xls(path=fn,sheet=sheet,range=range,col_names=col_names,col_types = col_types)
}
if(file_type=="xlsx"){
res<-read_xlsx(path=fn,sheet=sheet,range=range,col_names=col_names,col_types=col_types)
}
return(res)
}
range_rows<-function(cell_range)eval(parse(text=gsub("[A-Z]+","",cell_range)))
range_col<-function(cell_range)gsub("[0-9]+:[A-Z]+[0-9]+$","",cell_range)
range_names<-function(cell_range)paste0(range_col(cell_range),range_rows(cell_range))
change_range_col<-function(
cell_range="G10:G2000",
start_col="B",
end_col=start_col
){
x0<-gsub("^[A-Z]+",start_col,cell_range)
x1<-gsub(":[A-Z]+",paste0(":",end_col),x0)
x1
}
#
get_sheet_range<-function(
fn=make_sheet_name(date="2017-06-30"),
cell_range=change_range_col(get_sheet_extent(fn),"B"),
sheet="AIL Open Trades",
file_type=determine_excel_filetype(fn)
){
if(all(grepl("^[A-Z]+[0-9]$",cell_range)))cell_range<-paste0(cell_range,":",cell_range)
excel_cols<-c(LETTERS,apply(expand.grid(LETTERS,LETTERS,stringsAsFactors=FALSE)[,c(2,1)],1,paste0,collapse=""))
start_col<-match(gsub("[0-9]+:[A-Z]+[0-9]+$","",cell_range),excel_cols)
end_col<-match(gsub("[0-9]+$","",gsub("[A-Z]+[0-9]+:","",cell_range)),excel_cols)
raw_cells<-try_read_excel(
fn,
sheet = sheet,
range=cell_range,
col_names=excel_cols[start_col:end_col],
col_types = rep("text",length(excel_cols[start_col:end_col])),
file_type=file_type
)
x0<-as.matrix(raw_cells,dimnames=list(range_rows(cell_range),excel_cols[start_col:end_col]))
x1<-apply(x0,2,function(x)ifelse(is.na(x),"",x))
dimnames(x1)<-list(range_rows(cell_range),excel_cols[start_col:end_col])
x1
}
#
get_sheet_position_range<-function(
date="2017-04-18",
fn=make_sheet_name(date),
file_type=determine_excel_filetype(fn),
sheet="AIL Open Trades",
summary_sheet="AIL Summary"
){
if(is.null(fn))return(NULL)
if(!file.exists(fn))return(NULL)
if(file_type=="unknown")return(NULL)
s1<-get_sheet_range(
fn,
sheet = summary_sheet,
cell_range="A4:B11",
file_type=file_type
)
AUM<-scrub(as.numeric(s1["5","B"]))
r1<-get_sheet_range(
fn,
sheet = sheet,
cell_range="B10:P2000",
file_type=file_type
)
i<-which(
grepl("^[A-Z]{2,4}[0-9]{1,3}$",stri_trim(toupper(r1[,"B"])))
)
r2<-r1[i,]
attributes(r2)$date<-date
attributes(r2)$filename<-fn
attributes(r2)$filetype<-file_type
attributes(r2)$sheet<-sheet
attributes(r2)$summary_sheet<-summary_sheet
attributes(r2)$AUM<-AUM
r2
}
#
get_sheet_unwind_range<-function(
date="2017-04-18",
fn=make_sheet_name(date),
file_type=determine_excel_filetype(fn),
sheet="AIL Closed Trades",
summary_sheet="AIL Summary"
){
if(is.null(fn))return(NULL)
if(!file.exists(fn))return(NULL)
if(file_type=="unknown")return(NULL)
s1<-get_sheet_range(
fn,
sheet = summary_sheet,
cell_range="A4:B11",
file_type=file_type
)
AUM<-scrub(as.numeric(s1["5","B"]))
r1<-get_sheet_range(
fn,
sheet = sheet,
cell_range="A10:O5000",
file_type=file_type
)
i<-which(
grepl("^[A-Z]{2,4}[0-9]+$",stri_trim(toupper(r1[,"A"])))
)
if(length(i)==0)return(NULL)
r2<-r1[i,]
attributes(r2)$date<-date
attributes(r2)$filename<-fn
attributes(r2)$filetype<-file_type
attributes(r2)$sheet<-sheet
attributes(r2)$summary_sheet<-summary_sheet
attributes(r2)$AUM<-AUM
r2
}
#
get_sheet_positions<-function(
date="2017-04-18",
fn=make_sheet_name(date),
file_type=determine_excel_filetype(fn),
position_range=get_sheet_position_range(date=date,fn=fn,file_type=file_type)
){
if(is.null(position_range))return(NULL)
AUM<-attributes(position_range)$AUM
r2<-position_range
res0<-data.table(
date=rep(attributes(r2)$date,nrow(r2)),
sheet_row=rownames(r2),
manager=toupper(r2[,"C"]),
pair=replace_blank_with_last(toupper(r2[,"B"])),
direction=toupper(r2[,"D"]),
ticker=local({
x0<-gsub("[ ]{2,10}"," ",r2[,"F"])
x1<-toupper(x0)
x2<-gsub("EQUITY$","Equity",x1)
gsub("INDEX$","Index",x2)
}),
units=scrub(as.integer(r2[,"I"])),
multiplier=scrub(as.integer(r2[,"H"])),
quantity=scrub(as.integer(r2[,"H"]))*scrub(as.integer(r2[,"I"])),
price=scrub(as.numeric(r2[,"G"])),
cash=(-1)*scrub(as.numeric(r2[,"J"])),
asset_value=scrub(as.numeric(r2[,"N"])),
pnl=scrub(as.numeric(r2[,"O"])),
bps=scrub(as.numeric(r2[,"P"])),
fx=scrub(as.numeric(r2[,"M"])),
local_asset_value=scrub(as.numeric(r2[,"L"])),
class=ticker_class(gsub("INDEX$","Index",gsub("EQUITY$","Equity",toupper(r2[,"F"]))))
)[,c(.SD,.(
digest=local({
key=paste0(manager,pair,direction,ticker,units,multiplier,price)
mapply(function(x)digest(object=x,algo="md5"),key)
})
))]
attributes(res0)$filename<-attributes(r2)$filename
attributes(res0)$filetype<-attributes(r2)$filetype
attributes(res0)$cellrange<-r2
res0
}
#
# digest calculation
#
dcalc<-function(x,rounding_factor=100,rounding_shift=0)with(x,sapply(paste0(
manager,
"|",
pair,
"|",
direction,
"|",
ticker,
"|quantity:",
as.character(as.integer(round(rounding_shift+units*multiplier/rounding_factor,digits=0))),
"|entry:",
as.character(as.integer(round(rounding_shift+entry_cash/rounding_factor,digits=0))),
"|exit:",
as.character(as.integer(round(rounding_shift+exit_cash/rounding_factor,digits=0))),
"|pnl:",
as.character(as.integer(round(rounding_shift+pnl/rounding_factor,digits=0)))
),function(x)paste0(x,":",digest::digest(x))))
#
get_sheet_unwinds<-function(
date="2017-04-18",
fn=make_sheet_name(date),
file_type=determine_excel_filetype(fn),
unwind_range=get_sheet_unwind_range(date=date,fn=fn,file_type=file_type)
){
if(is.null(unwind_range))return(NULL)
r2<-unwind_range
AUM<-attributes(r2)$AUM
res0<-data.table(
date=rep(attributes(r2)$date,nrow(r2)),
sheet_row=rownames(r2),
manager=stri_trim(toupper(r2[,"B"])),
pair=stri_trim(toupper(r2[,"A"])),
direction=toupper(r2[,"C"]),
ticker=local({
x0<-gsub("[ ]{2,10}"," ",r2[,"E"])
x1<-toupper(x0)
x2<-gsub("EQUITY$","Equity",x1)
gsub("INDEX$","Index",x2)
}),
units=scrub(as.integer(r2[,"H"])),
multiplier=scrub(as.integer(r2[,"G"])),
quantity=scrub(as.integer(r2[,"G"]))*scrub(as.integer(r2[,"H"])),
entry_price=scrub(as.numeric(r2[,"F"])),
entry_cash=(-1)*scrub(as.numeric(r2[,"I"])),
exit_price=scrub(as.numeric(r2[,"J"])),
exit_cash=scrub(as.numeric(r2[,"M"])),
pnl=scrub(as.numeric(r2[,"N"])),
bps=scrub(as.numeric(r2[,"O"])),
class=ticker_class(gsub("INDEX$","Index",gsub("EQUITY$","Equity",toupper(r2[,"E"]))))
)[,c(.SD,.(
calc_pnl=entry_cash+exit_cash,
calc_bps=if(AUM>0){10000*(entry_cash+exit_cash)/AUM}else{0},
digest=dcalc(.SD,rounding_factor = 100,rounding_shift=0),
digest1=dcalc(.SD,rounding_factor = 100,rounding_shift = 0.5)
))][,.(
date=date[1],
sheet_row=paste0(sheet_row,collapse=","),
manager=manager[1],
pair=pair[1],
direction=direction[1],
ticker=ticker[1],
units=sum(units),
multiplier=max(multiplier),
quantity=sum(quantity),
entry_price=sum(entry_price),
entry_cash=sum(entry_cash),
exit_price=sum(exit_price),
exit_cash=sum(exit_cash),
pnl=sum(pnl),
bps=sum(bps),
calc_pnl=sum(calc_pnl),
calc_bps=sum(calc_bps)
),keyby="digest,digest1"]
res0$digest=dcalc(res0)
res0$digest1=dcalc(res0,rounding_factor = 100,rounding_shift = 0.5)
attributes(res0)$filename<-attributes(r2)$filename
attributes(res0)$filetype<-attributes(r2)$filetype
attributes(res0)$cellrange<-r2
res0
}