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EDGARConnect.py
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EDGARConnect.py
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import os
import time
from datetime import datetime as dt
import requests
from requests.adapters import HTTPAdapter
from requests.packages.urllib3.util.retry import Retry
import pandas as pd
import numpy as np
from zipfile import ZipFile
from io import BytesIO
import re
import pytz
from collections import Counter
from EDGARConnectExceptions import SECServerClosedError
from fake_useragent import UserAgent
from ProgressBar import ProgressBar
class EDGARConnect:
def __init__(self, edgar_path, user_agent=None, edgar_url='https://www.sec.gov/Archives', retry_kwargs=None,
header=None, update_user_agent_interval=360):
"""
A class for downloading SEC filings from the EDGAR database.
PARAMS
----------------------------
edgar_path: str or path-like, (required)
A path where EDGARConnect will write all its output
User_Agent: str, default: None
The SEC requests that all bots provide a User_Agent of the form:
Sample Company Name AdminContact@<sample company domain>.com
edgar_url: str, default: https://www.sec.gov/Archives
The base URL of the SEC EDGAR database. There probably shouldn't be a need to ever change this, but it's
here for future-proofing?
retry_kwargs: dict, default: None, see below
A dictionary of keyword arguments to pass to requests.packages.urllib3.util.retry.Retry. These are
important, because the SEC will throw 403 forbidden errors if we send too many requests too quickly. If
this argument is None, the following settings will be loaded by default:
total = 8 ## Maximum retries
backoff_factor = 1 ## The program will retry after
{backoff factor} * (2 ** ({number of total retries} - 1))
seconds. Not recommended to set this to 0, but you could try something lower than 1. Make it
larger than 1 or increase the maximum retries if you're getting blocked.
status_forcelist = [403, 429, 500, 502, 503, 504] ## response codes to retry on. Importantly, EDGAR uses
code 403 when rate-limiting scripts, so that should always be in this list.
allowed_methods = ["HEAD", "GET", "OPTIONS"] ## http methods to retry on. We're basically only doing
GETs, to be honest I don't know why I put the others here (I copied a tutorial a long time ago?)
header: dict, default: None
A dictionary of header values to pass to the Requests session. By default, it takes the values suggested
by the SEC at https://www.sec.gov/os/accessing-edgar-data:
User-Agent: User_Agent, or None
Accept-Encoding: gzip, deflate
Host: www.sec.gov
If User_Agent is None, a fake User-Agent string is generated using the fake_useragent package.
RETURNS
----------------------------------
EDGARConnect will create and fill the following directory structure within edgar_path:
edgar_path
|
+---master_indexes
| |
| +---{year}{quarter}.txt
| |
| ...
+---{form_name}
| |
| +---{Company_CIK}_{form_name}_{filing_date}_{file_name}.txt
master_indexes is a collection of pipe-delimited ("|") tables with the following 5 columns:
CIK, Company_Name, Form_type, Date_filed , Filename.
Importantly, Filename is a URL pointing to the report on the EDGAR database.
The master_indexes folder must be constructed using the download_master_indexes() method before EDGARConnect
can batch-download filings. Downloading master_indexes requires between 1 and 2 GB of disk space.
Once master_indexes is downloaded, individual forms over user-specified dates can be downloaded using the
download_requested_filings() method. Note that download settings must first be set using the
configure_downloader() method.
"""
if retry_kwargs is None:
retry_kwargs = dict(total=8, backoff_factor=1,
status_forcelist=[403, 429, 500, 502, 503, 504],
allowed_methods=["HEAD", "GET", "OPTIONS"])
self.edgar_url = edgar_url
self.user_agent = UserAgent()
if header is None:
header = {'User-Agent': self.user_agent.random,
'Accept-Encoding': 'gzip, deflate, br',
'Accept-Language': 'en-us',
'Accept': 'text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,*/*;q=0.8',
'Host': "www.sec.gov"}
self.header = header
self.last_user_agent_change = time.time()
self.update_user_agent_interval = update_user_agent_interval
retry_strategy = Retry(**retry_kwargs)
self.adapter = HTTPAdapter(max_retries=retry_strategy)
self.http = requests.Session()
self.http.mount("https://", self.adapter)
self.edgar_path = edgar_path
self._check_for_required_directories()
self.forms = dict(
f_10k=['10-K', '10-K405', '10KSB', '10-KSB', '10KSB40'],
f_10ka=['10-K/A', '10-K405/A', '10KSB/A', '10-KSB/A', '10KSB40/A'],
f_10kt=['10-KT', '10KT405', '10-KT/A', '10KT405/A'],
f_10q=['10-Q', '10QSB', '10-QSB'],
f_10qa=['10-Q/A', '10QSB/A', '10-QSB/A'],
f_10qt=['10-QT', '10-QT/A'],
f_10x=[])
for key in self.forms.keys():
if key != 'f_10x':
self.forms['f_10x'].extend(self.forms[key])
self.start_date = None
self.end_date = None
self.target_forms = None
self._configured = False
self.time_message_displayed = False
def download_master_indexes(self, update_range=2, update_all=False):
"""
Hit up the SEC EDGAR database and grab their master list of filing URLS. Run this after you run
configure_downloader() so it knows which master indexes to grab.
Arguments
------------------------
update_range: int, default = 2
Overwrite the update_range most recent local files with those from the SEC sever.
Note that it starts with 0, so update_range = 2 will update the current quarter and the last
quarter.
update_all: bool, default = False
If true, the program will overwrite everything stored locally with what is on the SEC sever.
This is equivalent to setting update_rate to some large number.
"""
self._check_config()
start_date = self.start_date
end_date = self.end_date
n_quarters = (end_date - start_date).n + 1
update_quarters = [end_date - i for i in range(update_range)]
progress_bar = ProgressBar(total=n_quarters, verb='Downloading')
for i in range(n_quarters):
progress_bar.start()
next_date = start_date + i
force_redownload = update_all or (next_date in update_quarters)
self._update_master_index(next_date, force_redownload)
progress_bar.stop()
def configure_downloader(self, target_forms, start_date='01-01-1994', end_date=None):
"""
Provide parameters for scraping EDGAR. This method must be run before batch downloading via the
download_requested_filings() method can be executed.
***NOTE THAT WITH DEFAULT SETTINGS, EDGARCONNECT WILL DOWNLOAD ALL AVAILABLE DATA 10-X FAMILY FILINGS (INCLUDING
10-K, 10-Q, AND ALL ASSOCIATED AMENDMENTS)FROM THE SEC EDGAR DATABASE. IN TOTAL, THIS REQUIRES OVER
100GB OF DATA. ***
Arguments
-------------------------------------
target_forms: str or iterable, default: None
Name of the forms to be downloaded (10-K, 10-Q, etc), or a list of such form names.
EDGARConnect has a built-in dictionary of forms that can be passed into this argument.
To see valid keys and the associated forms, use the show_available_forms() method.
start_date: str or datetime object, default: '01-01-1994'
Date to begin scraping from. Earliest available data is 01-01-1994.
end_date: str or datetime object, default: None
Date on which to end scraping. If None, it defaults to today's date.
"""
# Check if the requested forms are keys in the forms list and grab that list if os
if isinstance(target_forms, str):
if target_forms.lower() in self.forms.keys():
target_forms = self.forms[target_forms.lower()]
elif target_forms.lower() in ['10k', 'all', 'everything']:
target_forms = self.forms['f_10x']
else:
target_forms = [target_forms]
self.target_forms = target_forms
self.start_date = pd.to_datetime(start_date).to_period('Q')
if end_date is None:
end_date = dt.today()
self.end_date = pd.to_datetime(end_date).to_period('Q')
self._configured = True
def download_requested_filings(self, ignore_time_guidelines=False, remove_attachments=False):
"""
Method for downloading all forums meeting the requirements set in the configure_downloader() method. That method
must be run before running this one.
Arguments
-------------------------
ignore_time_guidelines: bool, default=False
By default, SECConnect will periodically check your system clock time to make sure you are accessing EDGAR
records during the times requested by the SEC (between 9PM and 6AM EST). By passing ignore_time_guidelines,
you can try to do downloads outside of that time window. Recommended only if downloading a small number of
filings.
remove_attachments: bool, default=false
Despite being .txt files, many SEC filings have files embedded, including PDFs, Excel spreadsheets, and
images. This can greatly increase the size of the filings. When True, a function is invoked to find and
delete sections of downloaded filings that correspond to the embedded attachments. Use this option to save
disk space when downloading a huge number of filings.
RETURNS
--------------------------
None, see the EDGARConnect.__init__() docstring for an explanation of the directory structure created during
downloading.
"""
self._check_config()
self._time_check(ignore_time_guidelines)
start_date = self.start_date
end_date = self.end_date
n_quarters = (end_date - start_date).n + 1
print(f'Gathering URLS for the requested forms...')
required_files = [f'{(start_date + i).year}Q{(start_date + i).quarter}.txt' for i in range(n_quarters)]
for i, file_path in enumerate(required_files):
date_str = required_files[i].split('.')[0]
print(f'Beginning scraping from {date_str}')
self._time_check(ignore_time_guidelines)
path = os.path.join(self.master_path, file_path)
df = pd.read_csv(path, delimiter='|')
df = df.drop_duplicates()
for form in self.target_forms:
out_dir = self._create_output_directory(form)
form_mask = df.Form_type.str.lower() == form.lower()
new_filenames = df[form_mask].apply(self._create_new_filename, axis=1)
all_in_master = set(new_filenames.values)
all_local = set(os.listdir(out_dir))
n_forms = len(all_in_master)
download_targets = np.array(list(all_in_master - all_local))
n_targets = len(download_targets)
if n_targets == 0:
if n_forms == 0:
print(f'{date_str} {form:<10} No filings found on EDGAR, continuing...')
else:
print(f'{date_str} {form:<10} All filings downloaded, continuing...')
else:
target_mask = new_filenames.isin(download_targets)
rows_to_query = df.reindex(new_filenames.index)[target_mask]
n_to_download = rows_to_query.shape[0]
n_already_downloaded = n_forms - n_to_download
print(f'{date_str} {form:<10} Found {n_already_downloaded} / {n_forms} locally, requesting '
f'the remaining {n_to_download}...')
progress_bar = ProgressBar(total=n_forms,
verb=f'{date_str} {form:<10}',
start_at=n_already_downloaded,
bar_length=40,
begin_on_newline=False)
for iterrow_tuple in rows_to_query.iterrows():
idx, row = iterrow_tuple
new_filename = new_filenames[idx]
out_path = os.path.join(out_dir, new_filename)
progress_bar.start()
target_url = self.edgar_url + '/' + row['Filename']
referer = target_url.replace('.txt', '-index.html')
self.header['Referer'] = referer
filing = self.http.get(target_url, headers=self.header)
with open(out_path, 'w') as file:
file.write(filing.content.decode('utf-8', 'ignore'))
if remove_attachments:
self.strip_attachments_from_filing(out_path)
progress_bar.stop()
self._update_user_agent()
def show_available_forms(self):
print('Available forms:')
for key, value in self.forms.items():
print(f'{key} -> {value}')
def show_download_plan(self):
self._check_config()
self._check_all_required_indexes_are_downloaded()
forms = np.atleast_1d(self.target_forms)
start_date = self.start_date
end_date = self.end_date
n_quarters = (end_date - start_date).n + 1
form_counter = Counter()
required_files = [f'{(start_date + i).year}Q{(start_date + i).quarter}.txt' for i in range(n_quarters)]
for file in required_files:
file_path = os.path.join(self.master_path, file)
df = pd.read_csv(file_path, delimiter="|")
form_counter.update(df.Form_type)
form_sum = 0
print(f'EDGARConnect is prepared to download {len(forms)} types of filings between {start_date} and {end_date}')
for form in forms:
print(f'\tNumber of {form}s: {form_counter[form]}')
form_sum += form_counter[form]
print('=' * 30)
print(f'\tTotal files: {form_sum}')
m, s = np.divmod(form_sum, 60)
h, m = np.divmod(m, 60)
d, h = np.divmod(h, 24)
print(f'Estimated download time, assuming 1s per file: {d} Days, {h} hours, {m} minutes, {s} seconds')
print(f'Estimated drive space, assuming 150KB per filing: {form_sum * 150 * 1e-6:0.2f}GB')
def _update_user_agent(self, force_update=False):
time_to_update = (time.time() - self.last_user_agent_change) < self.update_user_agent_interval
if time_to_update or force_update:
self.header['User-Agent'] = self.user_agent.random
self.last_user_agent_change = time.time()
def _check_config(self):
if not self._configured:
raise ValueError("First define scrape parameters using the configure_downloader() method")
def _check_for_required_directories(self):
self.master_path = os.path.join(self.edgar_path, 'master_indexes')
self._master_paths_configured = os.path.isdir(self.master_path)
if not self._master_paths_configured:
os.mkdir(self.master_path)
def _check_all_required_indexes_are_downloaded(self):
start_date = self.start_date
end_date = self.end_date
n_quarters = (end_date - start_date).n + 1
index_files = os.listdir(self.master_path)
required_files = [f'{(start_date + i).year}Q{(start_date + i).quarter}.txt' for i in range(n_quarters)]
file_checks = [file in index_files for file in required_files]
if not all(file_checks):
error = 'Not all requested dates have an downloaded index file, including:\n'
for i, check in enumerate(file_checks):
if not check:
error += f'\t {required_files[i]}\n'
error += 'Have you run the method download_master_indexes() to sync local records with the SEC database?'
raise ValueError(error)
def __repr__(self):
out = 'SEC Edgar Scraper for Python, v0.0\n'
if not self._configured:
out += 'Files to be scraped have NOT been defined.\n'
out += 'Choose scraping targets using the configure_downloader() method'
else:
out += 'EDGARConnect is configured for scraping.\n'
out += f'\t Target Forms: {self.target_forms}\n'
out += f'\t Date Range: {self.start_date} to {self.end_date}\n'
return out
def _update_master_index(self, date, force_redownload):
target_year = date.year
target_quarter = date.quarter
target_url = f'{self.edgar_url}/edgar/full-index/{target_year}/QTR{target_quarter}/master.zip'
out_path = os.path.join(self.master_path, f'{target_year}Q{target_quarter}.txt')
file_downloaded = True
if not os.path.isfile(out_path) or force_redownload:
file_downloaded = False
with open(out_path, 'w') as file:
file.write('CIK|Company_Name|Form_type|Date_filed|Filename\n')
if not file_downloaded:
master_zip = self.http.get(target_url, headers=self.header)
master_list = ZipFile(BytesIO(master_zip.content))
master_list = master_list.open('master.idx') \
.read() \
.decode('utf-8', 'ignore') \
.splitlines()[11:]
with open(out_path, 'a') as file:
for line in master_list:
file.write(line)
file.write('\n')
@staticmethod
def _get_date_from_row(row):
date = pd.to_datetime(row['Date_filed']).to_period('Q')
date_str = str(date)
return date_str
@staticmethod
def _get_cik_from_row(row):
cik = row['CIK']
zeros = '0' * (10 - len(str(cik)))
cik_str = zeros + str(cik)
return cik_str
def _create_new_filename(self, row):
cik_str = self._get_cik_from_row(row)
date_str = self._get_date_from_row(row)
filename = row['Filename'].split('/')[-1]
new_filename = f'{cik_str}_{date_str}_{filename}'
return new_filename
def _create_output_directory(self, form_type):
dirsafe_form = form_type.replace('/', '')
out_dir = os.path.join(self.edgar_path, dirsafe_form)
if not os.path.isdir(out_dir):
os.mkdir(out_dir)
return out_dir
@staticmethod
def get_next_document_chunk(text, last_end_idx=0):
doc_start_idx = text.find('<DOCUMENT>', last_end_idx, )
doc_end_idx = text.find(r'</DOCUMENT>', doc_start_idx) + len('</DOCUMENT>')
return slice(doc_start_idx, doc_end_idx)
def strip_attachments_from_filing(self, filing_path):
start_idx = 0
doc_counter = 0
results = {}
try:
with open(filing_path, 'r', encoding='utf-8') as file:
text = file.read()
except UnicodeDecodeError:
try:
with open(filing_path, 'r') as file:
text = file.read()
except:
return
while True:
doc_slice = self.get_next_document_chunk(text, start_idx)
doc = text[doc_slice]
is_img = re.search('<FILENAME>.+\.(gif|jpg|jpeg|bmp|png|pdf|xls|xlsx|zip)', doc[:1000]) is not None
results[doc_counter] = {'slice': doc_slice, 'is_img': is_img}
start_idx = doc_slice.stop
doc_counter += 1
if doc_slice.start == -1:
break
with open(filing_path, 'w', encoding='utf-8') as file:
for i in range(len(results)):
result = results[i]
if not result['is_img']:
doc_slice = result['slice']
doc = text[doc_slice]
file.write(doc)
@staticmethod
def _check_file_dir_and_paths_exist(out_dir, out_path):
if not os.path.isdir(out_dir):
os.makedirs(out_dir)
return os.path.isfile(out_path)
@staticmethod
def _check_time_is_SEC_recommended():
sec_server_open = 21
sec_server_close = 6
local_time = dt.now().astimezone()
est_timezone = pytz.timezone('US/Eastern')
est_dt = local_time.astimezone(est_timezone)
return est_dt.hour >= sec_server_open or est_dt.hour < sec_server_close
def _time_check(self, ignore_time_guidelines=False):
SEC_servers_open = self._check_time_is_SEC_recommended()
if not SEC_servers_open and not ignore_time_guidelines:
print('''SEC guidelines request batch downloads be done between 9PM and 6AM EST. If you plan to download
a lot of stuff, it is strongly recommended that you wait until then to begin. If your query size
is relatively small, or if it's big but you feel like ignoring this guidance from the good people
at the SEC, re-run this function with the argument:
ignore_time_guidelines = True''')
raise SECServerClosedError()