add lookback to get_financial_data

RMI-PACTA · Dec 19, 2023 · 5280301 · 5280301
1 parent 917a3b5
commit 5280301
Showing 1 changed file with 98 additions and 80 deletions.
diff --git a/R/get_financial_data.R b/R/get_financial_data.R
@@ -10,83 +10,101 @@
 #'
 #' @export
 
-get_financial_data <-
-  function(conn, data_timestamp, ...) {
-    # build connection to database ---------------------------------------------
-
-    logger::log_debug("Extracting financial info from database.")
-    logger::log_info("using data timestamp: ", data_timestamp)
-
-
-    # factset_entity_id -----------------------------------------------
-
-    logger::log_trace("Accessing entity id.")
-    factset_entity_id <-
-      dplyr::tbl(conn, "own_v5_own_sec_entity") %>%
-      dplyr::select("fsym_id", "factset_entity_id")
-
-
-    # isin ---------------------------------------------------------------------
-
-    logger::log_trace("Accessing ISINs.")
-    isin <- dplyr::tbl(conn, "sym_v1_sym_isin")
-
-
-    # adj_price ----------------------------------------------------------------
-
-    logger::log_trace(
-      "Accessing share prices. ",
-      "Filtering to date: {data_timestamp}"
-    )
-    adj_price <-
-      dplyr::tbl(conn, "own_v5_own_sec_prices") %>%
-      dplyr::filter(.data$price_date == .env$data_timestamp) %>%
-      dplyr::select("fsym_id", "adj_price")
-
-
-    # adj_shares_outstanding ---------------------------------------------------
-
-    logger::log_trace(
-      "Accessing shares outstanding. ",
-      "Filtering to date: {data_timestamp}"
-    )
-    adj_shares_outstanding <-
-      dplyr::tbl(conn, "own_v5_own_sec_prices") %>%
-      dplyr::filter(.data$price_date == .env$data_timestamp) %>%
-      dplyr::select("fsym_id", "adj_shares_outstanding")
-
-
-    # issue_type ---------------------------------------------------------------
-
-    logger::log_trace("Accessing issue type.")
-    issue_type <-
-      dplyr::tbl(conn, "own_v5_own_sec_coverage") %>%
-      dplyr::select("fsym_id", "issue_type")
-
-
-    # one_adr_eq ---------------------------------------------------------------
-
-    logger::log_trace("Accessing ADR equivilents.")
-    one_adr_eq <-
-      dplyr::tbl(conn, "own_v5_own_sec_adr_ord_ratio") %>%
-      dplyr::select("fsym_id" = "adr_fsym_id", "one_adr_eq")
-
-
-    # merge and collect --------------------------------------------------------
-
-    logger::log_trace("Merging financial info.")
-    fin_data <-
-      isin %>%
-      dplyr::left_join(factset_entity_id, by = "fsym_id") %>%
-      dplyr::left_join(adj_price, by = "fsym_id") %>%
-      dplyr::left_join(adj_shares_outstanding, by = "fsym_id") %>%
-      dplyr::left_join(issue_type, by = "fsym_id") %>%
-      dplyr::left_join(one_adr_eq, by = "fsym_id")
-
-    logger::log_trace("Downloading merged financial info from database.")
-    fin_data <- dplyr::collect(fin_data)
-    logger::log_trace("Download complete.")
-
-    # return prepared data -----------------------------------------------------
-    return(fin_data)
-  }
+get_financial_data <- function(
+  conn,
+  data_timestamp,
+  data_timestamp_lookback = data_timestamp - lubridate::dmonths(1)
+) {
+  # build connection to database ---------------------------------------------
+
+  logger::log_debug("Extracting financial info from database.")
+  logger::log_info("using data timestamp: ", data_timestamp)
+  logger::log_info("Looking back in data to: ", data_timestamp_lookback)
+
+  # factset_entity_id -----------------------------------------------
+
+  logger::log_trace("Accessing entity id.")
+  factset_entity_id <-
+    dplyr::tbl(conn, "own_v5_own_sec_entity") %>%
+    dplyr::select("fsym_id", "factset_entity_id")
+
+
+  # isin ---------------------------------------------------------------------
+
+  logger::log_trace("Accessing ISINs.")
+  isin <- dplyr::tbl(conn, "sym_v1_sym_isin")
+
+
+  # adj_price ----------------------------------------------------------------
+
+  logger::log_trace(
+    "Accessing share prices. ",
+    "Filtering to date: {data_timestamp}"
+  )
+  # TODO: Optimize this query
+  adj_price <-
+    dplyr::tbl(conn, "own_v5_own_sec_prices") %>%
+    dplyr::filter(.data$price_date <= .env$data_timestamp) %>%
+    dplyr::group_by(.data$fsym_id, .data$adj_price) %>%
+    dplyr::filter(.data$price_date == max(.data$price_date)) %>%
+    # TODO: CRITICAL: decision: do we want most recent price, or only for
+    # those that have posted in past month?
+    dplyr::filter(
+      .data$price_date >= .env$data_timestamp_lookback
+    ) %>%
+    dplyr::select("fsym_id", "adj_price")
+
+
+  # adj_shares_outstanding ---------------------------------------------------
+
+  logger::log_trace(
+    "Accessing shares outstanding. ",
+    "Filtering to date: {data_timestamp}"
+  )
+  adj_shares_outstanding <-
+    dplyr::tbl(conn, "own_v5_own_sec_prices") %>%
+    dplyr::filter(.data$price_date <= .env$data_timestamp) %>%
+    dplyr::group_by(.data$fsym_id, .data$adj_price) %>%
+    dplyr::filter(.data$price_date == max(.data$price_date)) %>%
+    # TODO: CRITICAL: decision: do we want most recent price, or only for
+    # those that have posted in past month?
+    dplyr::filter(
+      .data$price_date >= .env$data_timestamp_lookback
+    ) %>%
+    dplyr::select("fsym_id", "adj_shares_outstanding")
+
+
+  # issue_type ---------------------------------------------------------------
+
+  logger::log_trace("Accessing issue type.")
+  issue_type <-
+    dplyr::tbl(conn, "own_v5_own_sec_coverage") %>%
+    dplyr::select("fsym_id", "issue_type")
+
+
+  # one_adr_eq ---------------------------------------------------------------
+
+  logger::log_trace("Accessing ADR equivilents.")
+  one_adr_eq <-
+    dplyr::tbl(conn, "own_v5_own_sec_adr_ord_ratio") %>%
+    dplyr::select("fsym_id" = "adr_fsym_id", "one_adr_eq")
+
+
+  # merge and collect --------------------------------------------------------
+
+  logger::log_trace("Merging financial info.")
+  fin_data <-
+    isin %>%
+    dplyr::left_join(factset_entity_id, by = "fsym_id") %>%
+    dplyr::left_join(adj_price, by = "fsym_id") %>%
+    dplyr::left_join(adj_shares_outstanding, by = "fsym_id") %>%
+    dplyr::left_join(issue_type, by = "fsym_id") %>%
+    dplyr::left_join(one_adr_eq, by = "fsym_id")
+
+  logger::log_trace("Downloading merged financial info from database.")
+  fin_data <- dplyr::collect(fin_data)
+  logger::log_trace("Download complete.")
+
+  # return prepared data -----------------------------------------------------
+  return(fin_data)
+}