def getAssetDataAndSanitize(tickers, quote_currency):
# tickers = ['SPY', 'GLD', 'TLT', 'HVI.TO', 'CTC.TO', 'TD', 'DBA', 'XOM', 'BBD-B.TO', 'BBRY', 'GBP', 'EUR']
# quote_currency = 'USD'
ticker_data = []
for x in range(0, len(tickers)):
try:
df = pdr.data.get_data_yahoo(symbols=tickers[x],
start=datetime.now().date() -
timedelta(days=120),
end=datetime.now().date(),
interval='d')
ticker_data.append(df)
except:
df = oanda.get_oanda_currency_historical_rates(
datetime.now().date() - timedelta(days=120),
datetime.now().date(),
quote_currency=quote_currency,
base_currency=tickers[x])
ticker_data.append(df)
for x in range(0, len(ticker_data)):
for y in range(0, len(ticker_data)):
(ticker_data[x],
ticker_data[y]) = ticker_data[x].align(ticker_data[y],
join='inner',
axis=0)
return ticker_data
def test_oanda_currency_historical_rate(self):
start = "2016-01-01"
end = "2016-06-01"
quote_currency = "USD"
base_currency = None
reversed = True
df_rates = get_oanda_currency_historical_rates(
start, end,
quote_currency=quote_currency,
base_currency=base_currency, reversed=reversed
)
self.assertEqual(df_rates.index[0], pd.to_datetime("2016-01-01"))
self.assertEqual(df_rates.index[-1], pd.to_datetime("2016-06-01"))
def test_oanda_currency_historical_rate(self):
start = "2016-01-01"
end = "2016-06-01"
quote_currency = "USD"
base_currency = None
reversed = True
df_rates = get_oanda_currency_historical_rates(
start,
end,
quote_currency=quote_currency,
base_currency=base_currency,
reversed=reversed)
self.assertEqual(df_rates.index[0], pd.to_datetime("2016-01-01"))
self.assertEqual(df_rates.index[-1], pd.to_datetime("2016-06-01"))
def DataReader(name,
data_source=None,
start=None,
end=None,
retry_count=3,
pause=0.001,
session=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
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")
# 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 YahooDailyReader(symbols=name,
start=start,
end=end,
adjust_price=False,
chunksize=25,
retry_count=retry_count,
pause=pause,
session=session,
interval='v').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 == "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)
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
from pandas_datareader.oanda import get_oanda_currency_historical_rates
start, end = "2016-01-01", "2016-06-01"
quote_currency = "USD"
base_currency = ["EUR", "GBP", "JPY"]
df_rates = get_oanda_currency_historical_rates(start,
end,
quote_currency=quote_currency,
base_currency=base_currency)
print(df_rates)
def DataReader(name, data_source=None, start=None, end=None,
retry_count=3, pause=0.001, session=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
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")
# 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 YahooDailyReader(symbols=name, start=start, end=end,
adjust_price=False, chunksize=25,
retry_count=retry_count, pause=pause,
session=session, interval='v').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 == "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
)
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
