EIDiamond / moex_futures_positions

Downloading tool for information about open positions of futures on MOEX Exchange.

Description

Downloading tool for information about open positions of futures on MOEX Exchange.

Features

Downloading the following information from MOEX Exchange:

• Total count of open long and short positions by type of traders (Juridical or Physical).
• Total count of traders by type Juridical or Physical.

Start

Dependencies

• Requests project

$ pip install requests

• psycopg2 project

$ pip install psycopg2

Required configuration (minimal)

1. Open settings.ini file
2. Specify futures contract name CONTRACT (section DATA_COLLECTION)
3. Specify requesting date: DAY, MONTH, YEAR (section DATA_COLLECTION)
4. Specify requesting days range: DAYS_RANGE (section DATA_COLLECTION) - period of days from requesting date (can be negative or zero). Negative value is a past days, zero value is only requesting date, positive value is a future days.
5. Run main.py

or specify the same information via command line arguments:

--contract futures contract name

--day day of requesting date

--month month of requesting date

--year year of requesting date

--range period of days from requesting date (can be negative or zero)

Tested environments

Recommendation is to use python 3.10 or more.

Configuration

Configuration can be specified via settings.ini file.

Section DATA_COLLECTION

Do not change TYPE (it's a constant at this moment).

Specify futures contract name CONTRACT

Specify requesting date: DAY, MONTH, YEAR

Specify period of days from requesting date: DAYS_RANGE. Can be negative - past. Can be zero - only requesting date.

Section DATA_COLLECTION_SETTINGS

Settings for retry attempts in case of some errors.

Specify interval in seconds between retry attempts RETRY_INTERVAL_SEC

Specify count of retry attempts RETRY_INTERVAL_COUNT

Specify interval in seconds between different days request DELAY_BETWEEN_DAY_REQUESTS_SEC

Section DATA_STORAGE_PG

Enable or disable data storage by ENABLED. 0 is disabled, any no zero is enabled. Specify connection settings to PostgreSQL server: HOST, PORT, USER, PASSWORD, DB.

You can specify the same settings via command line arguments also: --pg_host, --pg_port, --pg_user, --pg_password, --pg_db

PostgreSQL server as data storage

At first please create appropriate tables via script file. All downloaded information will be stored into these tables.

Use case

Main goal is download and keep information for internal purposes, such as manual analyze,
trading ideas or strategies, ML purposes etc.

Logging

All logs are written in logs/collector.log. Any kind of settings can be changed in main.py code

Docker

The Dockerfile is here.

Run example:

sudo docker run -i image_name:tag -e "CONTRACT=CNY" -e "DAY=13" -e "MONTH=1" -e "YEAR=2023"

K8s

Here is the chart for deployment the project on a Kubernetes cluster using the Helm package manager.

The project is configured and running as Job.

Project change log

Here

Disclaimer

The author is not responsible for any errors or omissions, or for the trade results obtained from the use of this tool.