def DataReader(name,
data_source=None,
start=None,
end=None,
retry_count=3,
pause=0.1,
session=None,
access_key=None):
"""
Imports data from a number of online sources.
Currently supports Google Finance, St. Louis FED (FRED),
and Kenneth French's data library, among others.
Parameters
----------
name : str or list of strs
the name of the dataset. Some data sources (google, fred) will
accept a list of names.
data_source: {str, None}
the data source ("google", "fred", "ff")
start : {datetime, None}
left boundary for range (defaults to 1/1/2010)
end : {datetime, None}
right boundary for range (defaults to today)
retry_count : {int, 3}
Number of times to retry query request.
pause : {numeric, 0.001}
Time, in seconds, to pause between consecutive queries of chunks. If
single value given for symbol, represents the pause between retries.
session : Session, default None
requests.sessions.Session instance to be used
access_key : (str, None)
Optional parameter to specify an API key for certain data sources.
Examples
----------
# Data from Google Finance
aapl = DataReader("AAPL", "google")
# Price and volume data from IEX
tops = DataReader(["GS", "AAPL"], "iex-tops")
# Top of book executions from IEX
gs = DataReader("GS", "iex-last")
# Real-time depth of book data from IEX
gs = DataReader("GS", "iex-book")
# Data from FRED
vix = DataReader("VIXCLS", "fred")
# Data from Fama/French
ff = DataReader("F-F_Research_Data_Factors", "famafrench")
ff = DataReader("F-F_Research_Data_Factors_weekly", "famafrench")
ff = DataReader("6_Portfolios_2x3", "famafrench")
ff = DataReader("F-F_ST_Reversal_Factor", "famafrench")
"""
expected_source = [
"yahoo", "google", "iex", "iex-tops", "iex-last", "iex-last",
"bankofcanada", "stooq", "iex-book", "enigma", "fred", "famafrench",
"oecd", "eurostat", "nasdaq", "quandl", "moex", "morningstar",
'robinhood', "tiingo", "yahoo-actions", "yahoo-dividends", "av-forex",
"av-daily", "av-daily-adjusted", "av-weekly", "av-weekly-adjusted",
"av-monthly", "av-monthly-adjusted"
]
if data_source not in expected_source:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
if data_source == "yahoo":
return YahooDailyReader(symbols=name,
start=start,
end=end,
adjust_price=False,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "google":
return GoogleDailyReader(symbols=name,
start=start,
end=end,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex":
return IEXDailyReader(symbols=name,
start=start,
end=end,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-tops":
return IEXTops(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-last":
return IEXLasts(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "bankofcanada":
return BankOfCanadaReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "stooq":
return StooqDailyReader(symbols=name,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-book":
return IEXDeep(symbols=name,
service="book",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "enigma":
return EnigmaReader(dataset_id=name, api_key=access_key).read()
elif data_source == "fred":
return FredReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "famafrench":
return FamaFrenchReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "oecd":
return OECDReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "eurostat":
return EurostatReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == 'nasdaq':
if name != 'symbols':
raise ValueError("Only the string 'symbols' is supported for "
"Nasdaq, not %r" % (name, ))
return get_nasdaq_symbols(retry_count=retry_count, pause=pause)
elif data_source == "quandl":
return QuandlReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "moex":
return MoexReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "morningstar":
return MorningstarDailyReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
interval="d").read()
elif data_source == 'robinhood':
return RobinhoodHistoricalReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == 'tiingo':
return TiingoDailyReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "yahoo-actions":
return YahooActionReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "yahoo-dividends":
return YahooDivReader(symbols=name,
start=start,
end=end,
adjust_price=False,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session,
interval='d').read()
elif data_source == "av-forex":
return AVForexReader(symbols=name,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-daily":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_DAILY",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-daily-adjusted":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_DAILY_ADJUSTED",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-weekly":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_WEEKLY",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-weekly-adjusted":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_WEEKLY_ADJUSTED",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-monthly":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_MONTHLY",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
elif data_source == "av-monthly-adjusted":
return AVTimeSeriesReader(symbols=name,
function="TIME_SERIES_MONTHLY_ADJUSTED",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=access_key).read()
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
def get_last_iex(*args, **kwargs):
return IEXLasts(*args, **kwargs).read()
def DataReader(name,
data_source=None,
start=None,
end=None,
retry_count=3,
pause=0.001,
session=None,
access_key=None):
"""
Imports data from a number of online sources.
Currently supports Yahoo! Finance, Google Finance, St. Louis FED (FRED),
Kenneth French's data library, and the SEC's EDGAR Index.
Parameters
----------
name : str or list of strs
the name of the dataset. Some data sources (yahoo, google, fred) will
accept a list of names.
data_source: {str, None}
the data source ("yahoo", "yahoo-actions", "yahoo-dividends",
"google", "fred", "ff", or "edgar-index")
start : {datetime, None}
left boundary for range (defaults to 1/1/2010)
end : {datetime, None}
right boundary for range (defaults to today)
retry_count : {int, 3}
Number of times to retry query request.
pause : {numeric, 0.001}
Time, in seconds, to pause between consecutive queries of chunks. If
single value given for symbol, represents the pause between retries.
session : Session, default None
requests.sessions.Session instance to be used
access_key : (str, None)
Optional parameter to specify an API key for certain data sources.
Examples
----------
# Data from Yahoo! Finance
gs = DataReader("GS", "yahoo")
# Corporate Actions (Dividend and Split Data)
# with ex-dates from Yahoo! Finance
gs = DataReader("GS", "yahoo-actions")
# Data from Google Finance
aapl = DataReader("AAPL", "google")
# Price and volume data from IEX
tops = DataReader(["GS", "AAPL"], "iex-tops")
# Top of book executions from IEX
gs = DataReader("GS", "iex-last")
# Real-time depth of book data from IEX
gs = DataReader("GS", "iex-book")
# Data from FRED
vix = DataReader("VIXCLS", "fred")
# Data from Fama/French
ff = DataReader("F-F_Research_Data_Factors", "famafrench")
ff = DataReader("F-F_Research_Data_Factors_weekly", "famafrench")
ff = DataReader("6_Portfolios_2x3", "famafrench")
ff = DataReader("F-F_ST_Reversal_Factor", "famafrench")
# Data from EDGAR index
ed = DataReader("full", "edgar-index")
ed2 = DataReader("daily", "edgar-index")
"""
if data_source == "yahoo":
return YahooDailyReader(symbols=name,
start=start,
end=end,
adjust_price=False,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "yahoo-actions":
return YahooActionReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "yahoo-dividends":
return YahooDivReader(symbols=name,
start=start,
end=end,
adjust_price=False,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session,
interval='d').read()
elif data_source == "google":
return GoogleDailyReader(symbols=name,
start=start,
end=end,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-tops":
return IEXTops(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-last":
return IEXLasts(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "iex-book":
return IEXDeep(symbols=name,
service="book",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "enigma":
return EnigmaReader(datapath=name, api_key=access_key).read()
elif data_source == "fred":
return FredReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "famafrench":
return FamaFrenchReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "oecd":
return OECDReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "eurostat":
return EurostatReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "edgar-index":
return EdgarIndexReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "oanda":
return get_oanda_currency_historical_rates(start,
end,
quote_currency="USD",
base_currency=name,
reversed=True,
session=session)
elif data_source == 'nasdaq':
if name != 'symbols':
raise ValueError("Only the string 'symbols' is supported for "
"Nasdaq, not %r" % (name, ))
return get_nasdaq_symbols(retry_count=retry_count, pause=pause)
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)