def DataReader(
name,
data_source=None,
start=None,
end=None,
retry_count=3,
pause=0.1,
session=None,
api_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 (IEX, fred) will
accept a list of names.
data_source: {str, None}
the data source ("iex", "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
api_key : (str, None)
Optional parameter to specify an API key for certain data sources.
Examples
----------
# Data from Google Finance
aapl = DataReader("AAPL", "iex")
# 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",
"iex",
"iex-tops",
"iex-last",
"iex-last",
"bankofcanada",
"stooq",
"iex-book",
"enigma",
"fred",
"famafrench",
"oecd",
"eurostat",
"nasdaq",
"quandl",
"moex",
"robinhood",
"tiingo",
"yahoo-actions",
"yahoo-dividends",
"av-forex",
"av-daily",
"av-daily-adjusted",
"av-weekly",
"av-weekly-adjusted",
"av-monthly",
"av-monthly-adjusted",
"av-intraday",
"econdb",
]
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 == "iex":
return IEXDailyReader(
symbols=name,
start=start,
end=end,
chunksize=25,
api_key=api_key,
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=api_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=api_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 == "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=api_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=api_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=api_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=api_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=api_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=api_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=api_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=api_key,
).read()
elif data_source == "av-intraday":
return AVTimeSeriesReader(
symbols=name,
function="TIME_SERIES_INTRADAY",
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
api_key=api_key,
).read()
elif data_source == "econdb":
return EcondbReader(
symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session,
).read()
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
def get_data_tiingo(*args, **kwargs):
return TiingoDailyReader(*args, **kwargs).read()
def test_tiingo_historical(symbols):
df = TiingoDailyReader(symbols=symbols).read()
assert isinstance(df, pd.DataFrame)
if isinstance(symbols, str):
symbols = [symbols]
assert df.index.levels[0].shape[0] == len(symbols)
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 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")
"""
if data_source == "yahoo":
raise ImmediateDeprecationError(DEP_ERROR_MSG.format('Yahoo Daily'))
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":
raise ImmediateDeprecationError(DEP_ERROR_MSG.format('Yahoo Actions'))
return YahooActionReader(symbols=name,
start=start,
end=end,
retry_count=retry_count,
pause=pause,
session=session).read()
elif data_source == "yahoo-dividends":
comp = 'Yahoo Dividends'
raise ImmediateDeprecationError(DEP_ERROR_MSG.format(comp))
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":
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 == "edgar-index":
raise ImmediateDeprecationError(DEP_ERROR_MSG.format('EDGAR'))
return EdgarIndexReader(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).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()
else:
msg = "data_source=%r is not implemented" % data_source
raise NotImplementedError(msg)
#plt.savefig()は結果を画像ファイルとして保存する。表示させたい場合はplt.show()を使う。
# 期間の初日で規格化する例は以下の通り。
# df_sne_aapl['SNE'] /= df_sne_aapl['SNE'][0]
# df_sne_aapl['AAPL'] /= df_sne_aapl['AAPL'][0]
# df_sne_aapl.plot(title='SNE vs. AAPL', grid=True)
# plt.savefig('data/dst/pandas_datareader_stock_normalize.png')
# plt.close()
#107debba47b6c498a3b70ba25c03e928d9596ab2
print("TiingoDailyReaderーーーーーーーーーーーーーーーーーーーーーー")
from pandas_datareader.tiingo import TiingoDailyReader
print("from pandas_datareader.tiingo ーーーーーーーーーーーーーーーーーーーーーー")
x = TiingoDailyReader(
["AAPL", "SPY"
], #<pandas_datareader.tiingo.TiingoDailyReader object at 0x7fd7c06619a0>
"2020-11-1",
"2020-12-11",
api_key="107debba47b6c498a3b70ba25c03e928d9596ab2")
print("x.read()?")
datas = x.read()
print("x.read()?")
print(datas)
# close high ... divCash splitFactor
# symbol date ...
# AAPL 2020-01-02 00:00:00+00:00 300.35 300.60 ... 0.0 1.0
# 2020-01-03 00:00:00+00:00 297.43 300.58 ... 0.0 1.0
# SPY 2020-01-02 00:00:00+00:00 324.87 324.89 ... 0.0 1.0
# 2020-01-03 00:00:00+00:00 322.41 323.64 ... 0.0 1.0
print("x.read()!")