def DataReader(name, data_source=None, start=None, end=None,
retry_count=3, pause=0.001):
"""
Imports data from a number of online sources.
Currently supports Yahoo! Finance, Google Finance, St. Louis FED (FRED)
and Kenneth French's data library.
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
the data source ("yahoo", "yahoo-actions", "google", "fred", or "ff")
start : {datetime, None}
left boundary for range (defaults to 1/1/2010)
end : {datetime, None}
right boundary for range (defaults to today)
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")
"""
start, end = _sanitize_dates(start, end)
if data_source == "yahoo":
return get_data_yahoo(symbols=name, start=start, end=end,
adjust_price=False, chunksize=25,
retry_count=retry_count, pause=pause)
elif data_source == "yahoo-actions":
return get_data_yahoo_actions(symbol=name, start=start, end=end,
retry_count=retry_count, pause=pause)
elif data_source == "google":
return get_data_google(symbols=name, start=start, end=end,
chunksize=25, retry_count=retry_count, pause=pause)
elif data_source == "fred":
return get_data_fred(name, start, end)
elif data_source == "famafrench":
return get_data_famafrench(name)
else:
raise NotImplementedError(
"data_source=%r is not implemented" % data_source)
def _get_data_one(sym, start, end, interval, retry_count, pause):
"""
Get historical data for the given name from google.
Date format is datetime
Returns a DataFrame.
"""
start, end = _sanitize_dates(start, end)
# www.google.com/finance/historical?q=GOOG&startdate=Jun+9%2C+2011&enddate=Jun+8%2C+2013&output=csv
url = "%s%s" % (_URL,
urlencode({"q": sym,
"startdate": start.strftime('%b %d, ' '%Y'),
"enddate": end.strftime('%b %d, %Y'),
"output": "csv"}))
return _retry_read_url(url, retry_count, pause, 'Google')
def _get_data_one(sym, start, end, interval, retry_count, pause):
"""
Get historical data for the given name from yahoo.
Date format is datetime
Returns a DataFrame.
"""
start, end = _sanitize_dates(start, end)
url = (_URL + 's=%s' % sym +
'&a=%s' % (start.month - 1) +
'&b=%s' % start.day +
'&c=%s' % start.year +
'&d=%s' % (end.month - 1) +
'&e=%s' % end.day +
'&f=%s' % end.year +
'&g=%s' % interval +
'&ignore=.csv')
return _retry_read_url(url, retry_count, pause, 'Yahoo!')
def _get_data_one(sym, start, end, interval, retry_count, pause):
"""
Get historical data for the given name from yahoo.
Date format is datetime
Returns a DataFrame.
"""
start, end = _sanitize_dates(start, end)
params = {
's': sym,
'a': start.month - 1,
'b': start.day,
'c': start.year,
'd': end.month - 1,
'e': end.day,
'f': end.year,
'g': interval,
'ignore': '.csv'
}
url = _encode_url(_URL, params)
return _retry_read_url(url, retry_count, pause, 'Yahoo!')
def _get_data(name, start=dt.datetime(2010, 1, 1),
end=dt.datetime.today()):
"""
Get data for the given name from the St. Louis FED (FRED).
Date format is datetime
Returns a DataFrame.
If multiple names are passed for "series" then the index of the
DataFrame is the outer join of the indicies of each series.
"""
start, end = _sanitize_dates(start, end)
if not is_list_like(name):
names = [name]
else:
names = name
urls = [_URL + '%s' % n + '/downloaddata/%s' % n + '.csv' for
n in names]
def fetch_data(url, name):
with urlopen(url) as resp:
data = read_csv(resp, index_col=0, parse_dates=True,
header=None, skiprows=1, names=["DATE", name],
na_values='.')
try:
return data.truncate(start, end)
except KeyError:
if data.ix[3].name[7:12] == 'Error':
raise IOError("Failed to get the data. Check that {0!r} is "
"a valid FRED series.".format(name))
raise
df = concat([fetch_data(url, n) for url, n in zip(urls, names)],
axis=1, join='outer')
return df
def _get_data(symbol, start=None, end=None, retry_count=3, pause=0.001):
"""
Returns DataFrame of historical corporate actions (dividends and stock
splits) from symbols, over date range, start to end. All dates in the
resulting DataFrame correspond with dividend and stock split ex-dates.
Parameters
----------
sym : string with a single Single stock symbol (ticker).
start : string, (defaults to '1/1/2010')
Starting date, timestamp. Parses many different kind of date
representations (e.g., 'JAN-01-2010', '1/1/10', 'Jan, 1, 1980')
end : string, (defaults to today)
Ending date, timestamp. Same format as starting date.
retry_count : int, default 3
Number of times to retry query request.
pause : int, default 0
Time, in seconds, of the pause between retries.
"""
start, end = _sanitize_dates(start, end)
url = (_URL + 's=%s' % symbol + \
'&a=%s' % (start.month - 1) + \
'&b=%s' % start.day + \
'&c=%s' % start.year + \
'&d=%s' % (end.month - 1) + \
'&e=%s' % end.day + \
'&f=%s' % end.year + \
'&g=v')
for _ in range(retry_count):
time.sleep(pause)
try:
with urlopen(url) as resp:
lines = resp.read()
except _network_error_classes:
pass
else:
actions_index = []
actions_entries = []
for line in csv.reader(StringIO(bytes_to_str(lines))):
# Ignore lines that aren't dividends or splits (Yahoo
# add a bunch of irrelevant fields.)
if len(line) != 3 or line[0] not in ('DIVIDEND', 'SPLIT'):
continue
action, date, value = line
if action == 'DIVIDEND':
actions_index.append(to_datetime(date))
actions_entries.append({
'action': action,
'value': float(value)
})
elif action == 'SPLIT' and ':' in value:
# Convert the split ratio to a fraction. For example a
# 4:1 split expressed as a fraction is 1/4 = 0.25.
denominator, numerator = value.split(':', 1)
split_fraction = float(numerator) / float(denominator)
actions_index.append(to_datetime(date))
actions_entries.append({
'action': action,
'value': split_fraction
})
return DataFrame(actions_entries, index=actions_index)
raise IOError("after %d tries, Yahoo! did not " \
"return a 200 for url %r" % (retry_count, url))