class HistData(object):
''' a class for working with yahoo finance data '''
def __init__(self, autoAdjust=True):
self.startDate = (2008,1,1)
self.autoAdjust=autoAdjust
self.wp = Panel()
def load(self,dataFile):
"""load data from HDF"""
if os.path.exists(dataFile):
store = HDFStore(dataFile)
symbols = [str(s).strip('/') for s in list(store.keys()) ]
data = dict(list(zip(symbols,[store[symbol] for symbol in symbols])))
self.wp = Panel(data)
store.close()
else:
raise IOError('Data file does not exist')
def save(self,dataFile):
""" save data to HDF"""
print(('Saving data to', dataFile))
store = HDFStore(dataFile)
for symbol in self.wp.items:
store[symbol] = self.wp[symbol]
store.close()
def downloadData(self,symbols='all'):
''' get data from yahoo '''
if symbols == 'all':
symbols = self.symbols
#store = HDFStore(self.dataFile)
p = ProgressBar(len(symbols))
for idx,symbol in enumerate(symbols):
try:
df = getSymbolData(symbol,sDate=self.startDate,verbose=False)
if self.autoAdjust:
df = _adjust(df,removeOrig=True)
if len(self.symbols)==0:
self.wp = Panel({symbol:df})
else:
self.wp[symbol] = df
except Exception as e:
print(e)
p.animate(idx+1)
def getDataFrame(self,field='close'):
''' return a slice on wide panel for a given field '''
return self.wp.minor_xs(field)
@property
def symbols(self):
return self.wp.items.tolist()
def __repr__(self):
return str(self.wp)
class Market(object):
'''
System object holds several data frames containing market information for each stock
it comprises.
'''
def __init__(self, tickers, start_date, end_date):
'''
Constructor
'''
self.start = start_date
self.end = end_date
self.downloader = Data.Handler(
"/home/mark/Data/MarketData/Stocks/Python/")
self.instruments = Panel(
{ticker: DataFrame(None)
for ticker in sorted(tickers)})
@property
def tickers(self):
return list(self.instruments.items)
def __setitem__(self, key, val):
instruments = dict(self.instruments)
instruments[key] = val
self.instruments = Panel.from_dict(instruments)
def __getitem__(self, key):
return self.instruments[key]
@property
def open(self):
return self.get_series("Open")
@property
def high(self):
return self.get_series("High")
@property
def low(self):
return self.get_series("Low")
@property
def close(self):
return self.get_series("Close")
@property
def volume(self):
return self.get_series("Volume")
def get_series(self, name):
return self.instruments.minor_xs(name)
@property
def status(self):
download_status = {}
for ticker in self.tickers:
download_status[ticker] = False if len(self[ticker]) is 0 else True
return download_status
def download_data(self):
for ticker in self.tickers:
self[ticker] = self.downloader.get(ticker + ".AX", self.start,
self.end)
def returns(self, indexer):
returns = indexer.market_returns(self)
return AverageReturns(returns)
class Market(object):
'''
System object holds several data frames containing market information for each stock
it comprises.
'''
def __init__(self, tickers, start_date, end_date):
'''
Constructor
'''
self.start = start_date
self.end = end_date
self.downloader = Data.Handler("/home/mark/Data/MarketData/Stocks/Python/")
self.instruments = Panel({ticker:DataFrame(None) for ticker in sorted(tickers)})
@property
def tickers(self):
return list(self.instruments.items)
def __setitem__(self, key, val):
instruments = dict(self.instruments)
instruments[key] = val
self.instruments = Panel.from_dict(instruments)
def __getitem__(self, key):
return self.instruments[key]
@property
def open(self):
return self.get_series("Open")
@property
def high(self):
return self.get_series("High")
@property
def low(self):
return self.get_series("Low")
@property
def close(self):
return self.get_series("Close")
@property
def volume(self):
return self.get_series("Volume")
def get_series(self, name):
return self.instruments.minor_xs(name)
@property
def status(self):
download_status = {}
for ticker in self.tickers:
download_status[ticker] = False if len(self[ticker]) is 0 else True
return download_status
def download_data(self):
for ticker in self.tickers:
self[ticker] = self.downloader.get(ticker + ".AX", self.start, self.end)
def returns(self, indexer):
returns = indexer.market_returns(self)
return AverageReturns(returns)
class HistData(object):
''' a class for working with yahoo finance data '''
def __init__(self, autoAdjust=True):
self.startDate = (2008,1,1)
self.autoAdjust=autoAdjust
self.wp = Panel()
def load(self,dataFile):
"""load data from HDF"""
if os.path.exists(dataFile):
store = HDFStore(dataFile)
symbols = [str(s).strip('/') for s in list(store.keys()) ]
data = dict(list(zip(symbols,[store[symbol] for symbol in symbols])))
self.wp = Panel(data)
store.close()
else:
raise IOError('Data file does not exist')
def save(self,dataFile):
""" save data to HDF"""
print(('Saving data to', dataFile))
store = HDFStore(dataFile)
for symbol in self.wp.items:
store[symbol] = self.wp[symbol]
store.close()
def downloadData(self,symbols='all'):
''' get data from yahoo '''
if symbols == 'all':
symbols = self.symbols
#store = HDFStore(self.dataFile)
p = ProgressBar(len(symbols))
for idx,symbol in enumerate(symbols):
try:
df = getSymbolData(symbol,sDate=self.startDate,verbose=False)
if self.autoAdjust:
df = _adjust(df,removeOrig=True)
if len(self.symbols)==0:
self.wp = Panel({symbol:df})
else:
self.wp[symbol] = df
except Exception as e:
print(e)
p.animate(idx+1)
def getDataFrame(self,field='close'):
''' return a slice on wide panel for a given field '''
return self.wp.minor_xs(field)
@property
def symbols(self):
return self.wp.items.tolist()
def __repr__(self):
return str(self.wp)
