Commodity_data

Downloads commodity data from the Futures markets operators. Currently, Omip (www.omip.pt), EEX (www.eex.com) and barchart (for ICE EUA, FX, Crypto and Stocks) are available Data is stored in a ong_tsdb dabatase accessible through a configuration using ong_utils. There are specific classes also to download data in pandas dataframe format from the same sources

Detailed explanation of index columns:

• market: Name of the market. Currently, Omip (ES, FR and DE baseload&peak, PVB), EEX (Spanish power, but others could be used) and Barchart (EUA, Stocks, Crypto, FX)
• commodity: Generic name of commodity (Power, Gas, CO2....)
• instrument: BL (baseload)/PK (peakload), EUA...
• area: Country (ES, FR, DE...)
• product: M, Q, Y, W, or D for month, quarter, year, week, day
• offset, number of relative products from each as_of to first delivery of the product
• type, "close" for original prices, "adj_close" for continuous prices adjusted rolling to next offset at expirations, "maturity" for the starting date of the delivery period as a timestamp

Default downloaded data

See commodity_data/downloaders/default_config.py for the details of all default data that is downloaded. Should you need additional data to be downloaded (with barchart), you'll need to modify the config file commodity_data.yml.

As a summary of default downloaded data:

Omip

Downloads the following instruments for calendar Day, Month, Quarter and Year deliveries and baseload only:

• Spanish BL Power Futures (market="Omip", commodity="Power", area="ES", instrument="BL")
• German BL Power Futures (market="Omip", commodity="Power", area="DE", instrument="BL")
• French BL Power Futures (market="Omip", commodity="Power", area="FR", instrument="BL")
• Spanish Gas Futures (market="Omip", commodity="Gas", area="ES", instrument="BL")

  Barchart

  Downloads the following info:

• CO2 Emissions: with commodity="CO2", downloads EUA settle for december up to year + 4
• Cryptocurrencies: with commodity="Crypto", Ethereum and Bitcoin
• Fiat foreign exchange: with commodity="FX" Euro to Dolar and Euro to British Pound
• Stocks: with commodity="Stocks", Endesa, Ibex35 index and Apple

  EEX

• Spanish BL Power Futures (market="EEX", commodity="Power", area="ES", instrument="BL")

Usage

Standalone

You can download prices directly from the sources to pandas dataframes, see examples in the samples folder

Prerequisites

Run underlying ong_tsdb database

This library relies on an ong_tsdb database that must be running and properly configured in the config files.

Visit github repo of ong_tsdb for instructions on how to run and configure a ong_tsdb database (including how to run it in google colab)

Setup a commodity_data.yml config file

The program needs a config file, at least config connection to the required underlying ong_tsdb database.

The config file is located by default in ~/.config/ongpi. This directory can be changed by setting the environment variable ONG_CONFIG_PATH to the required directory.

The minimal config file (commodity_data.yml) will be as follows

commodity_data:
  url: http://localhost:5000      # edit to point to the ong_tsdb server address
  admin_token: whatever_is_in_ong_tsdb.yml
  write_token: whatever_is_in_ong_tsdb.yml
  read_token: whatever_is_in_ong_tsdb.yml

If you need to download additional data from barchart or your ong_tsdb database is behind an authentication proxy, a more complex file will be needed. An example of file with all parameters is:

commodity_data:
  url: http://localhost:5000
# Configuration of proxy authentication. Only for an ong_tsdb that runs under a server that needs additional authentication
# Passwords are stored in localhost keyring. See ong_utils in github for instructions on how to set up the keyring (if needed) 
  service_name_proxy : keyring_service_name_proxy
  service_name_google_auth: keyring_service_name_for_google_auth_secret
  proxy_username: keyring_username
# End of configuration fo proxy authentication
  admin_token: whatever_is_in_ong_tsdb.yml
  write_token: whatever_is_in_ong_tsdb.yml
  read_token: whatever_is_in_ong_tsdb.yml
  # Example of how to download additional stock data from barchart
  barchart_downloader:
    - commodity_cfg:    # Tags for ong_tsdb
        area: US
        commodity: Stock
        instrument: Apple
      download_cfg:
        symbol: AAPL      # Symbol name for barchart

  # Change barchart_downloader_use_default to false to ignore default values and use only the ones defined in this file
#  barchart_downloader_use_default: false

Running commodity_data

Downloading/refreshing data

from commodity_data.downloaders import OmipDownloader
omip = OmipDownloader()
omip.download()     # Downloads everything till today
omip.download("2022-01-01")     # Downloads everything from Jan 1st, 2022

Using already downloaded data

from commodity_data.downloaders import OmipDownloader
omip = OmipDownloader()
omip_settle = omip.settlement_df
print(omip_settle) # Actual data. No need to invoke download()

# Plots evolution of settlement prices and adjusted settlement prices for cal ahead (offset=1) of Spanish power baseload
import matplotlib.pyplot as plt
plot_df = omip.settle_xs(market="Omip", commodity="Power", product="Y", offset=1)
plot_df.plot()
plt.show()
plot_df     # Show data

Downloading from barchart

To download EUA prices (commodity="CO2"), forex (commodity="FX"), cryptocurrencies (commodity="Crypto") or stocks (commodity="Stock"):

from commodity_data.downloaders import BarchartDownloader
import matplotlib.pyplot as plt 
barchart = BarchartDownloader()
barchart.download()
print(barchart.settlement_df)  # Actual data. No need to invoke download()
for commodity in ("CO2", "FX", "Crypto", "Stock"):
    # Plots evolution of settlement prices and adjusted settlement prices for selected market
    try:
        # For CO2 only dec deliveries are downloaded, so use offset=1 to get data for current dec
        barchart.settle_xs(commodity=commodity, offset=1).plot()
    except:
        # For the rest only spot data is downloaded, no future data at all
        barchart.settle_xs(commodity=commodity, offset=0).plot()
    plt.show()
    # mpld3.show(port=mpld3_port)

Downloading from EEX

from commodity_data.downloaders import EEXDownloader
eex = EEXDownloader()

Google Colab

First, mount google drive, install libraries and setup environment:

# Mount drive
from google.colab import drive
drive.mount('/content/gdrive')

# Install commodity_data
!pip install git+https://github.com/Oneirag/commodity_data.git
# set environ variable to make config persistent
%env ONG_CONFIG_PATH=/content/gdrive/MyDrive/.config/ongpi

For the first execution, there is the need to create two configuration files, one for ong_tsdb (ong_tsdb.yml) and other for commodity data (commodity_data.yml).

See ong_tsdb repo for details on the file and above for sample file commodity_data.yml

In a separate cell start in the background the ong_tsdb server

%%python3 --bg --out output

from ong_tsdb.server import main
main()

Then in a new cell you can start using the library as in the above examples

from commodity_data.downloaders import OmipDownloader
omip = OmipDownloader()
omip.download("2022-01-01")     # omip.download() will download full history (very slow)