I'm trying to pull data for the following tickers:
FACTOR_LIST = ['<.NSEI>', '<.NISM250>', '<.NV20>', '<.NIFMOM>', '<OIL>']
But I only get results for the first 2.
This is my code:
def get_lseg_data(self, factor_or_model_or_bench: str):
"""
Pulls all portfolio market data from server.
Use 'ticker' or 'factor' or 'benchmark' as keywords for what you want to pull.
"""
data_list = []
if factor_or_model_or_bench == 'ticker':
tix = self.tickers
field= 'P'
elif factor_or_model_or_bench == 'factor':
tix = self.factors
field = 'PI'
elif factor_or_model_or_bench == 'benchmark':
tix = self.benchmark
field = 'PI'
for i in tqdm(range(0, len(tix), self.chunk_size)):
try:
chunk = ','.join(tix[i:i+self.chunk_size])
chunk_data = self.ds.get_data(chunk, fields=[field], start='2015-01-01')
data_list.append(chunk_data)
except Exception as e:
print(e)
port_data = pd.concat(data_list, axis=1)
if factor_or_model_or_bench == 'ticker':
# Create a dictionary mapping ISIN to Ticker
isin_to_ticker = dict(zip(self.portfolio_info['ISIN'], self.portfolio_info['Ticker']))
# Rename columns by mapping ISINs to Tickers at the 'Instrument' level
port_data.rename(columns=isin_to_ticker, level='Instrument', inplace=True)
port_data.columns = [col[0] for col in port_data.columns]
rets_data = self._convert_to_rets(port_data)
rets_data = rets_data.replace(np.nan, 0)
return rets_data
