"""ETF/futures ticker universe for the macro book. Maps each traded/monitored instrument to: - the canonical liquid ETF proxy (use this in journal/weekly/event notes) - the underlying futures ticker (for context only โ€” journal uses ETF) - bucket (rates, FX, commodity, equity-beta) - yfinance ticker for the proxy (may differ from display ticker) - inverse: True for inverse/bear ETFs (UNF for short EAFE etc.) โ€” none used here - currency: display currency for the price When filling in a journal, weekly note, or event review, use the `display` ticker as the symbol. Data fetcher uses the `yf` ticker. """ from __future__ import annotations # Bucket codes used in [[risk-framework]] ยง3 RATES_US = "rates-us" RATES_DE = "rates-de" RATES_UK = "rates-uk" RATES_JP = "rates-jp" FX = "fx" COMMODITY = "commodity" EQUITY = "equity-beta" UNIVERSE: list[dict] = [ # --- Traded: US rates --- {"id": "2y-ust", "display": "SHY", "yf": "SHY", "name": "2y UST", "bucket": RATES_US, "currency": "USD", "kind": "rates"}, {"id": "5y-ust", "display": "IEI", "yf": "IEI", "name": "5y UST", "bucket": RATES_US, "currency": "USD", "kind": "rates"}, {"id": "10y-ust", "display": "IEF", "yf": "IEF", "name": "10y UST", "bucket": RATES_US, "currency": "USD", "kind": "rates"}, {"id": "30y-ust", "display": "TLT", "yf": "TLT", "name": "30y UST", "bucket": RATES_US, "currency": "USD", "kind": "rates"}, {"id": "sofr", "display": "SHY", "yf": "SHY", "name": "SOFR 3M (front)", "bucket": RATES_US, "currency": "USD", "kind": "rates", "note": "SOFR futures tracked via SHY + curve via IEF/TLT"}, # --- Traded: EU rates --- {"id": "schatz", "display": "IEGA", "yf": "IEGA.L", "name": "Schatz (DE 2y)", "bucket": RATES_DE, "currency": "EUR", "kind": "rates"}, {"id": "bund", "display": "IEGA", "yf": "IEGA.L", "name": "Bund (DE 10y)", "bucket": RATES_DE, "currency": "EUR", "kind": "rates", "note": "IEGA is the broad EUR govt bond ETF; Bund vs Schatz split not captured at ETF level"}, {"id": "oat", "display": "IEGA", "yf": "IEGA.L", "name": "OAT (FR 10y)", "bucket": RATES_DE, "currency": "EUR", "kind": "rates", "note": "IEGA is the broad EUR govt bond ETF proxy for OAT"}, # --- Traded: UK rates --- {"id": "gilt", "display": "IBGL", "yf": "IBGL.L", "name": "Gilt (UK 10y)", "bucket": RATES_UK, "currency": "GBP", "kind": "rates"}, # --- Traded: Japan rates --- {"id": "jgb", "display": "FXY", "yf": "FXY", "name": "JGB (JP 10y)", "bucket": RATES_JP, "currency": "JPY", "kind": "rates", "note": "No clean JGB ETF; tracked via FXY (JPY move โ‰ˆ inverse to JGB yield move)"}, # --- Traded: FX --- {"id": "eurusd", "display": "FXE", "yf": "FXE", "name": "EUR/USD", "bucket": FX, "currency": "USD", "kind": "fx"}, {"id": "usdjpy", "display": "FXY", "yf": "FXY", "name": "USD/JPY", "bucket": FX, "currency": "USD", "kind": "fx"}, {"id": "gbpusd", "display": "FXB", "yf": "FXB", "name": "GBP/USD", "bucket": FX, "currency": "USD", "kind": "fx"}, {"id": "audusd", "display": "FXA", "yf": "FXA", "name": "AUD/USD", "bucket": FX, "currency": "USD", "kind": "fx"}, {"id": "usdcad", "display": "FXC", "yf": "FXC", "name": "USD/CAD", "bucket": FX, "currency": "USD", "kind": "fx"}, {"id": "usdchf", "display": "FXF", "yf": "FXF", "name": "USD/CHF", "bucket": FX, "currency": "USD", "kind": "fx"}, # --- Traded: commodities --- {"id": "gc", "display": "GLD", "yf": "GLD", "name": "Gold", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "si", "display": "SLV", "yf": "SLV", "name": "Silver", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "hg", "display": "CPER", "yf": "CPER", "name": "Copper", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "cl", "display": "USO", "yf": "USO", "name": "WTI Crude", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "bz", "display": "BNO", "yf": "BNO", "name": "Brent Crude", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "ng", "display": "UNG", "yf": "UNG", "name": "Natural Gas", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "zc", "display": "CORN", "yf": "CORN", "name": "Corn", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "zw", "display": "WEAT", "yf": "WEAT", "name": "Wheat", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, {"id": "zs", "display": "SOYB", "yf": "SOYB", "name": "Soy", "bucket": COMMODITY, "currency": "USD", "kind": "commodity"}, # --- Traded: equity index --- {"id": "es", "display": "SPY", "yf": "SPY", "name": "S&P 500 (Micro E-mini)", "bucket": EQUITY, "currency": "USD", "kind": "equity"}, {"id": "nq", "display": "QQQ", "yf": "QQQ", "name": "Nasdaq 100 (Micro E-mini)", "bucket": EQUITY, "currency": "USD", "kind": "equity"}, {"id": "rty", "display": "IWM", "yf": "IWM", "name": "Russell 2000 (Micro E-mini)", "bucket": EQUITY, "currency": "USD", "kind": "equity"}, # --- Monitored --- {"id": "dxy", "display": "UUP", "yf": "UUP", "name": "US Dollar Index (DXY)", "bucket": FX, "currency": "USD", "kind": "monitored"}, {"id": "vix", "display": "^VIX", "yf": "^VIX", "name": "VIX", "bucket": EQUITY, "currency": "USD", "kind": "monitored"}, {"id": "tip", "display": "TIP", "yf": "TIP", "name": "10y TIPS (real yields)", "bucket": RATES_US, "currency": "USD", "kind": "monitored"}, {"id": "hyg", "display": "HYG", "yf": "HYG", "name": "HY OAS (HYG as proxy)", "bucket": EQUITY, "currency": "USD", "kind": "monitored", "note": "HYG price is inverse of OAS; HYG up = OAS tight"}, {"id": "btc", "display": "BTC", "yf": "BTC-USD", "name": "Bitcoin", "bucket": FX, "currency": "USD", "kind": "monitored", "note": "Use BTC-USD direct from yfinance"}, ] # Groupings used in summary tables BUCKET_LABELS = { RATES_US: "US rates", RATES_DE: "EU rates", RATES_UK: "UK rates", RATES_JP: "JP rates", FX: "FX", COMMODITY: "Commodity", EQUITY: "Equity-beta", } # A compact headline set for the daily journal "overnight moves" table. # One ticker per bucket keeps the journal readable. HEADLINE_TICKERS = ["SPY", "QQQ", "IWM", "IEF", "TLT", "GLD", "USO", "FXE", "FXY", "FXB", "^VIX", "BTC-USD"] def by_id(instrument_id: str) -> dict | None: for u in UNIVERSE: if u["id"] == instrument_id: return u return None def by_yf(ticker: str) -> dict | None: for u in UNIVERSE: if u["yf"] == ticker or u["display"] == ticker: return u return None def yf_tickers() -> list[str]: return [u["yf"] for u in UNIVERSE] def headline_yf_tickers() -> list[str]: return list(HEADLINE_TICKERS)