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Merge pull request #581 from atarax/feature/fundamentals

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Feature/fundamentals
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Cameron Yick
2021-02-11 19:00:11 -05:00
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1
AUTHORS.rst
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@@ -17,3 +17,4 @@ Contributors
* Nima Yazdanmehr
* Michael MacCormack
* David Minnen
* Tobias Kaesser <t.kaesser@gmail.com>

1
HISTORY.rst
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@@ -5,6 +5,7 @@ History
0.14.0 (2020-12-XX - Unreleased)
--------------------------------
* Feature (Name #Number)
* Feature: Added 3 new methods for fundamentals-endpoint: definitions, daily and statements
* Development: Run tests in Github Actions instead of Travis.org
* [/news] Fix bug in get_news() when sources list is empty (#566)

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README.rst
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@@ -106,6 +106,25 @@ Now you can use ``TiingoClient`` to make your API calls. (Other parameters are a
startDate='2017-01-01',
endDate='2017-08-31')
# Get definitions for fields available in the fundamentals-api, ticker is
# optional
definitions = get_fundamentals_definitions('GOOGL')
# Get fundamentals which require daily-updated (like marketCap). A start-
# and end-date can be passed. If omited, will get all available data.
fundamentals_daily = CLIENT.get_fundamentals_daily('GOOGL',
startDate='2020-01-01',
endDate='2020-12-31')
# Get fundamentals based on quarterly statements. Accepts time-range like
# daily-fundamentals. asReported can be set to get the data exactly like
# it was reported to SEC. Set to False if you want to get data containing
# corrections
fundamentals_stmnts = CLIENT.get_fundamentals_statements('GOOGL',
startDate='2020-01-01',
endDate='2020-12-31',
asReported=True)
To receive results in ``pandas`` format, use the ``get_dataframe()`` method:

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tests/fixtures/fundamentals_daily.yaml vendored Normal file
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tests/fixtures/fundamentals_daily_csv.yaml vendored Normal file
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rps,Revenue Per Share,Revenue per share,overview,$
roa,Return on Assets ROA,Net Income/Total Assets,overview,%
assetTurnover,Asset Turnover,Revenue over assets,overview,
bookVal,Book Value,"Book value of the share, assets - liabilities",overview,$
bvps,Book Value Per Share,Book Value per each share,overview,$
revenue,Revenue,Revenue,incomeStatement,$
epsDil,Earnings Per Share Diluted,EPS for diluted shares,incomeStatement,$
netinc,Net Income,Net income,incomeStatement,$
profitMargin,Profit Margin,This field is marked for DEPRECATION. Please use
grossMargin instead. Profit Margin is calculated by the (Revenue - COGS)/Revenue,overview,%
revenueQoQ,Revenue QoQ Growth,Revenue Quarter-over-Quarter Growth rate,overview,%
debtEquity,Debt to Equity Ratio,Debt/Equity ratio,overview,
grossMargin,Gross Margin,"The margin of good sold, basically how much of the
money the company keeps after selling their goods and services. (Rev.-Cost
of Rev.)/Rev.",overview,%
roe,Return on Equity ROE,Return on Shareholder''s equity; ROE=Net Income/Shareholder''s
Equity,overview,%
currentRatio,Current Ratio,"Ability for a company to pay off its short-term
liabilities, Current Assets/Current Liabilities",overview,
fxRate,FX Rate,The exchange rate used for the conversion of foreign currency
to USD for non-US companies that do not report in USD.,overview,
sharesBasic,Shares Outstanding,Outstanding shares,balanceSheet,
piotroskiFScore,Piotroski F-Score,0-9 point scale to determine strength of
company''s financial position,overview,
longTermDebtEquity,Long-term Debt to Equity,Long term debt to equity,overview,
opMargin,Operating Margin,"Operating margin, or how much money a company makes
on each dollar of revenue. In other words Operating Income/Revenue",overview,%
epsQoQ,Earnings Per Share QoQ Growth,Earnings Per Share Quarter-over-Quarter
Growth rate,overview,%
shareswaDil,Weighted Average Shares Diluted,Used to calculated diluted EPS.
Considers all outstanding common stock plus all instruments that can be converted
into shares (like stock options) ,incomeStatement,
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ppeq,"Property, Plant & Equipment","A component of assets representing the
total amount of marketable and non-marketable securties, loans receivable
and other invested assets.",balanceSheet,$
ebitda,EBITDA,"EBITDA is a non-GAAP accounting metric that is widely used
when assessing the performance of companies, calculated by adding Depreciation/Amortization
back to Earnings before interest and taxes",incomeStatement,$
freeCashFlow,Free Cash Flow,"Operating Cash Flow - Capex, How much cash is
left over after reinvesting it in the business. Used as a measure to evaluate
financial performance of a company",cashFlow,$
issrepayDebt,Issuance or Repayment of Debt Securities,Representing the net
cash inflow (outflow) from issuance (repayment) of debt securities.,cashFlow,$
capex,Capital Expenditure,Money uses to upgrade or acquire property or materials
to maintain and increase size,cashFlow,$
rnd,Research & Development,The aggregate costs incurred in a planned search
or critical investigation aimed at discovery of new knowledge with the hope
that such knowledge will be useful in developing a new product or service.,incomeStatement,$
sga,"Selling, General & Administrative","The aggregate total costs related
to selling a firm''s product and services, as well as all other general and
administrative expenses. Direct selling expenses (for example, credit, warranty,
and advertising) are expenses that can be directly linked to the sale of specific
products. Indirect selling expenses are expenses that cannot be directly linked
to the sale of specific products, for example telephone expenses, Internet,
and postal charges. General and administrative expenses include salaries",incomeStatement,$
investmentsCurrent,Current Investments,"The current portion of Investments,
reported if the company operates a classified balance sheet that segments
current and non-current assets.",balanceSheet,$
payDiv,Payment of Dividends & Other Cash Distributions,Representing dividends
and dividend equivalents paid on common stock and restricted stock units.,cashFlow,$
peRatio,Price to Earnings Ratio,P/E Ratio,overview,
investmentsAcqDisposals,Investment Acquisitions & Disposals,"A component of
cash flow from financing, representing the net cash inflow (outflow) associated
with the acquisition & disposal of investments, including marketable securities
and loan originations.",cashFlow,$
taxLiabilities,Tax Liabilities,A component of liabilities representing outstanding
tax liabilities.,balanceSheet,$
ncff,Net Cash Flow from Financing,Net Cash flow from financing activities
like issuing stock or debt minus dividends or acquiring debt,cashFlow,$
opinc,Operating Income,"Operating income is a measure of financial performance
before the deduction of interest expense, tax expenses and other Non-Operating
items. It is calculated as gross profit minus operating expenses",incomeStatement,$
nonControllingInterests,Net Income to Non-Controlling Interests,"The portion
of income which is attributable to non-controlling interest shareholders,
subtracted from consolidated income in order to obtain net income",incomeStatement,$
assetsNonCurrent,Other Assets,Assets that cannot be easily converted into
cash and where the value of the item will be realized in a year,balanceSheet,$
taxAssets,Tax Assets,A component of assets representing tax assets and receivables.,balanceSheet,$
issrepayEquity,Issuance or Repayment of Equity,Representing the net cash inflow
(outflow) from issuance (repayment) of equity.,cashFlow,$
ncfx,Effect of Exchange Rate Changes on Cash,Cash flow from exchange rate
changes,cashFlow,$
ncfo,Net Cash Flow from Operations,Cash flow generating from a company''s
operations,cashFlow,$
grossProfit,Gross Profit,Aggregate revenue [REVENUE] less cost of revenue
[COR] directly attributable to the revenue generation activity.,incomeStatement,$
debtCurrent,Current Debt,Current debt - debt due within a year,balanceSheet,$
retainedEarnings,Accumulated Retained Earnings or Deficit,"A component of
Shareholder''s Equity representing the cumulative amount of the entities undistributed
earnings or deficit. May only be reported annually by certain companies, rather
than quarterly.",balanceSheet,$
liabilitiesNonCurrent,Other Liabilities,Long-term liabilities (like debt)
that are not due within a year,balanceSheet,$
sbcomp,Shared-based Compensation,"A component of cash flow from operating
activities, representing the total amount of noncash, equity-based employee
remuneration. This may include the value of stock or unit options, amortization
of restricted stock or units, and adjustment for officers'' compensation.
As noncash, this element is an add back when calculating net cash generated
by operating activities using the indirect method.",cashFlow,$
businessAcqDisposals,Business Acquisitions & Disposals,"A component of cash
flow from investing, representing the net cash inflow (outflow) associated
with the acquisition & disposal of businesses, joint-ventures, affiliates,
and other named investments.",cashFlow,$
liabilitiesCurrent,Current Liabilities,Debt or liabilities that are due within
a year,balanceSheet,$
acctRec,Accounts Receivable,Amount company will receive based on work already
completed and delivered,balanceSheet,$
cashAndEq,Cash and Equivalents,Cash or assets that can be converted to cash
immediately,balanceSheet,$
accoci,Accumulated Other Comprehensive Income,Unrealized gains and losses
- such as items that have changed in value but haven''t been bought or sold
yet,balanceSheet,$
depamor,"Depreciation, Amortization & Accretion","Depreciation, Amortization,
and Accretion",cashFlow,$
assetsCurrent,Current Assets,Assets that can easily be converted to cash and
can be used to fund day-to-day operations,balanceSheet,$
shareswa,Weighted Average Shares,Weighted average shares (undiluted),incomeStatement,
investments,Investments,"A component of assets representing the total amount
of marketable and non-marketable securties, loans receivable and other invested
assets.",balanceSheet,$
prefDVDs,Preferred Dividends Income Statement Impact,Impact of dividend on
company''s preferred shares,incomeStatement,$
intangibles,Intangible Assets,Goodwill and Intangible Assets,balanceSheet,$
opex,Operating Expenses,"Operating expenses represents the total expenditure
on SG&A, R&D and other operating expense items, it excludes cost of revenue.",incomeStatement,$
inventory,Inventory,"A component of Total Assets representing the amount after
valuation and reserves of inventory expected to be sold, or consumed within
one year or operating cycle, if longer.",balanceSheet,$
deposits,Deposits,"Deposit liabilities, both domestic and international including
deposits such as savings deposts",balanceSheet,$
ebt,Earnings before tax,Revenue - Expenses and excluding tax,incomeStatement,$
netMargin,Net Margin,"Net Profit Margin, or the Net Income as a proportion
of Revenue. In other words, Net Income/Revenue",overview,%
investmentsNonCurrent,Non-Current Investments,"The non-current portion of
investments, reported if the company operates a classified balance sheet that
segments current and non-current assets.",balanceSheet,$
totalAssets,Total Assets,Total assets,balanceSheet,$
deferredRev,Deferred Revenue,"Revenue that was received, but not yet paid
out including sales, license fees, and royalties, but excluding interest
income.",balanceSheet,$
taxExp,Tax Expense,Tax expenses,incomeStatement,$
debt,Total Debt,Debt,balanceSheet,$
costRev,Cost of Revenue,The aggregate cost of goods produced and sold and
services rendered during the reporting period.,incomeStatement,$
acctPay,Accounts Payable,Short-term debt the company must pay off within a
year,balanceSheet,$
ncf,Net Cash Flow to Change in Cash & Cash Equivalents,Net Cash flow - Total
cash minux liabilities,cashFlow,$
netIncDiscOps,Net Income from Discontinued Operations,Net income from discontinued
operations,incomeStatement,$
totalLiabilities,Total Liabilities,Total Liabilities,balanceSheet,$
ncfi,Net Cash Flow from Investing,Cash flow from investments made by the company,cashFlow,$
debtNonCurrent,Non-Current Debt,"Longer-term debt, typically greater than
a year",balanceSheet,$
ebit,Earning Before Interest & Taxes EBIT,Earning Before Interest & Taxes
(EBIT),incomeStatement,$
netIncComStock,Net Income Common Stock,Net Income applied to common share
holders. Used in calculating EPS (earnings per share).,incomeStatement,$
intexp,Interest Expense,Interest expense,incomeStatement,$
consolidatedIncome,Consolidated Income,"The portion of profit or loss for
the period, net of income taxes, which is attributable to the consolidated
entity.",incomeStatement,$
equity,Shareholders Equity,Shareholders Equity,balanceSheet,$
marketCap,Market Capitalization,Size of the company (shares outstanding *
share price),overview,$
enterpriseVal,Enterprise Value,An alternative to marketcap that''s the theoretical
takeover price of a company (marketcap + debt - cash and cash equivalents),overview,$
pbRatio,Price to Book Ratio,Price/Book value per share ratio,overview,
trailingPEG1Y,PEG Ratio,PEG ratio using the trailing 1 year EPS growth rate
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{"value": 0.0, "dataCode": "intexp"}, {"value": 34343000000.0, "dataCode":
"consolidatedIncome"}]}, "quarter": 0, "year": 2019}]'
headers:
allow:
- GET, HEAD, OPTIONS
content-length:
- '6360'
content-type:
- application/json
date:
- Sat, 06 Feb 2021 16:34:49 GMT
server:
- nginx/1.14.0 (Ubuntu)
vary:
- Accept, Cookie, Origin
x-frame-options:
- SAMEORIGIN
status:
code: 200
message: OK
version: 1

55
tests/test_tiingo.py
View File

@@ -226,3 +226,58 @@ class TestNews(TestCase):
"""Fails because this API key lacks institutional license"""
with self.assertRaises(RestClientError):
assert self._client.get_bulk_news(file_id="1", fmt="object")
# FUNDAMENTALS ENDPOINTS
class TestFundamentals(TestCase):
def setUp(self):
self._client = TiingoClient()
@vcr.use_cassette('tests/fixtures/fundamentals_definitions.yaml')
def test_definitions(self):
definitions = self._client.get_fundamentals_definitions("GOOGL")
assert len(definitions) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_definitions_csv.yaml')
def test_definitions_csv(self):
definitions = self._client.get_fundamentals_definitions("GOOGL",
fmt='csv')
assert len(definitions) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_daily.yaml')
def test_daily(self):
daily = self._client.get_fundamentals_daily("GOOGL",
startDate='2020-1-1',
endDate='2020-4-1')
assert len(daily) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_daily_csv.yaml')
def test_daily_with_csv(self):
daily = self._client.get_fundamentals_daily("GOOGL",
startDate='2020-1-1',
endDate='2020-4-1',
fmt='csv')
assert len(daily) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_statements.yaml')
def test_statements(self):
statements = self._client.get_fundamentals_statements("GOOGL",
startDate='2020-1-1',
endDate='2020-4-1')
assert len(statements) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_statements_with_as_reported.yaml')
def test_statements(self):
statements = self._client.get_fundamentals_statements("GOOGL",
startDate='2020-1-1',
endDate='2020-4-1',
asReported=True)
assert len(statements) > 1
@vcr.use_cassette('tests/fixtures/fundamentals_statements_csv.yaml')
def test_statements_with_csv(self):
statements = self._client.get_fundamentals_statements("GOOGL",
startDate='2020-1-1',
endDate='2020-4-1',
fmt='csv')
assert len(statements) > 1

82
tiingo/api.py
View File

@@ -428,3 +428,85 @@ class TiingoClient(RestClient):
return response.content.decode("utf-8")
else:
return response.json()
# FUNDAMENTAL DEFINITIONS
# tiingo/fundamentals/definitions
def get_fundamentals_definitions(self, tickers=[], fmt='json'):
"""Return definitions for fundamentals for specified tickers
https://api.tiingo.com/documentation/fundamentals
Args:
tickers [string] : optional, either list or string
fmt (string): 'csv' or 'json'
"""
url = "tiingo/fundamentals/definitions"
params = {
'tickers': tickers,
'format': fmt
}
response = self._request('GET', url, params=params)
if fmt == 'json':
return response.json()
elif fmt == 'csv':
return response.content.decode("utf-8")
# FUNDAMENTAL DAILY
# tiingo/fundamentals/<ticker>/daily
def get_fundamentals_daily(self, ticker, fmt='json',
startDate=None, endDate=None):
"""Returns metrics which rely on daily price-updates
https://api.tiingo.com/documentation/fundamentals
# Dates are in YYYY-MM-DD Format.
Args:
tickers [string] : List of unique Stock Tickers to search
startDate, endDate [date]: Boundaries of search window
fmt (string): 'csv' or 'json'
"""
url = 'tiingo/fundamentals/{}/daily'.format(ticker)
params = {
'startDate': startDate,
'endDate': endDate,
'format': fmt
}
response = self._request('GET', url, params=params)
if fmt == 'json':
return response.json()
elif fmt == 'csv':
return response.content.decode("utf-8")
# FUNDAMENTAL STATEMENTS
# tiingo/fundamentals/<ticker>/statements
def get_fundamentals_statements(self, ticker, asReported=False, fmt='json',
startDate=None, endDate=None):
"""Returns data that is extracted from quarterly and annual statements.
https://api.tiingo.com/documentation/fundamentals
# Dates are in YYYY-MM-DD Format.
Args:
tickers [string] : List of unique Stock Tickers to search
startDate, endDate [date]: Boundaries of search window
asReported [bool]: get most-recent data (False) or data \
as it was reported on the release-date
(True)
fmt (string): 'csv' or 'json'
"""
if asReported:
asReported = 'true'
else:
asReported = 'false'
url = 'tiingo/fundamentals/{}/statements'.format(ticker)
params = {
'startDate': startDate,
'endDate': endDate,
'asReported': asReported,
'format': fmt
}
response = self._request('GET', url, params=params)
if fmt == 'json':
return response.json()
elif fmt == 'csv':
return response.content.decode("utf-8")