def benchmark(): from time import clock, time da = DataAccess('./data') da.empty_dirs(delete=False) print ('Directory empty: Download and save 5 stocks') t1, t2 = clock(), time() symbols = ["AAPL","GLD","GOOG","SPY","XOM"] start_date = datetime(2008, 1, 1) end_date = datetime(2009, 12, 31) fields = "Close" da.get_data(symbols, start_date, end_date, fields) t1_f, t2_f = clock(), time() print (" ", t1_f - t1, t2_f - t2) print ('Load 5 stocks from .csv') t1, t2 = clock(), time() symbols = ["AAPL","GLD","GOOG","SPY","XOM"] start_date = datetime(2008, 1, 1) end_date = datetime(2009, 12, 31) fields = "Close" da.get_data(symbols, start_date, end_date, fields, useCache=False) t1_f, t2_f = clock(), time() print (" ", t1_f - t1, t2_f - t2) print ('Load 5 stocks from serialized') t1, t2 = clock(), time() symbols = ["AAPL","GLD","GOOG","SPY","XOM"] start_date = datetime(2008, 1, 1) end_date = datetime(2009, 12, 31) fields = "Close" da.get_data(symbols, start_date, end_date, fields, useCache=True) t1_f, t2_f = clock(), time() print (" ", t1_f - t1, t2_f - t2)
def __init__(self): self.data_access = DataAccess() self.list = None self.market = 'SPY' self.lookback_days = 20 self.lookforward_days = 20 self.estimation_period = 200 self.field = 'Adj Close' # Result self.equities_window = None self.equities_estimation = None self.market_window = None self.market_estimation = None self.reg_estimation = None self.dr_equities_window = None self.dr_equities_estimation = None self.dr_market_window = None self.dr_market_estimation = None self.er = None self.ar = None self.car = None
def setUpDataAccess(self, delete=False): self_dir = os.path.dirname( os.path.abspath(inspect.getfile(inspect.currentframe()))) DataAccess.path = os.path.join(self_dir, 'data') self.data_access = DataAccess() self.data_access.empty_cache(delete=delete) self.data_access.empty_dir(delete=delete)
def __init__(self): self.da = DataAccess() self.initial_cash = 0 self.field = 'adjusted_close' self.trades = None self.prices = None self.num_of_shares = None self.cash = None self.equities = None self.portfolio = None
def __init__(self): self.data_access = DataAccess() self.symbols = [] self.start_date = None self.end_date = None self.field = 'Adj Close' self.condition = Condition() self.matrix = None self.num_events = 0 self.oneEventPerEquity = True
def __init__(self): # Utils self.data_access = DataAccess() # Variables self.date = None # Date of the event self.symbol = None self.field = 'adjusted_close' self.lookback_days = 20 self.lookforward_days = 20 self.estimation_period = 255 self.market = "SPY" # Results self.evt_window_data = None self.er = None self.ar = None self.car = None self.t_test = None self.prob = None
import os from datetime import datetime from finance.utils import DataAccess # Option 1: Set the Enviroment Variable FINANCEPATH os.environ["FINANCEPATH"] = './data' da = DataAccess() symbols = ["GOOG", "SPY", "XOM"] start_date = datetime(2015, 1, 1) end_date = datetime(2017, 12, 31) fields = 'close' close = da.get_data(symbols, start_date, end_date, fields) print(close) # Option 2: Manualy set the PATH, overwrites option 1 DataAccess.path = 'data2' da = DataAccess() symbols = ["AAPL", "GLD"] start_date = datetime(2015, 1, 1) end_date = datetime(2017, 12, 31) fields = 'close' close = da.get_data(symbols, start_date, end_date, fields) print(close)
def delete_data(): self_dir = os.path.dirname( os.path.abspath(inspect.getfile(inspect.currentframe()))) DataAccess.path = os.path.join(self_dir, 'data') data_access = DataAccess() data_access.empty_dirs()