Script to capture daily electronic futures and options on futures volume
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Project Budget$750 - $1500 USD
Write script to scrape futures exchange website and convert End-of-day trade volume files (excel and PDF) to an output file .csv
Write a python/shell script, that runs on Linux and Mac OS, to find and scrape (PDF and Excel files) from the 11 futures exchange websites (below) at the end of each trading day or on command (manual running). The information that needs to be downloaded is the daily futures and options on futures electronic volume (ONLY ELECTRONIC VOLUME IS TO BE CAPTURED).
(Please note that there are time of day differences for when each file is ready).
CFE (CBOE Futures Exchange)
M-X (Montreal Futures Exchange)
Euronext Futures Exchange
ASX (Australian Securities Exchange)
JPX (Japan Securities Exchange)
HKFE (Hong Kong Futures Exchange)
SGX (Singapore Futures Exchange)
Have the script then convert there End-of-Day trade volume files (excel &PDF) to an output file in csv format populating the file with the format sample attached.
We would like the data to cover today and back to January 1st 2015.
Once populated, we need to test that the script works each day automatically and populates the report.
An informative error message should be generated if any part of the script fails to find and parse the data appropriately.
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- The New York Times
- Wall Street Journal
- Times Online