mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-01 02:47:32 +08:00
Eddie Hebert
05a03bcf21
On ranges with missing data from Yahoo, e.g.: On 2013-04-2 the date range of April 2013-03-29 failed because of the first day in the range being Good Friday, and the API not yet updating for the Monday after. Handle the 404 that is found by raising and warning that no benchmark data was found, but continuing on.
124 lines
3.6 KiB
Python
124 lines
3.6 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import collections
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from datetime import datetime
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import csv
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from StringIO import StringIO
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from functools import partial
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import requests
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from loader_utils import (
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date_conversion,
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source_to_records,
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Mapping
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)
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from zipline.protocol import DailyReturn
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class BenchmarkDataNotFoundError(Exception):
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pass
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_BENCHMARK_MAPPING = {
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# Need to add 'symbol'
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'volume': (int, 'Volume'),
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'open': (float, 'Open'),
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'close': (float, 'Close'),
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'high': (float, 'High'),
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'low': (float, 'Low'),
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'adj_close': (float, 'Adj Close'),
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'date': (partial(date_conversion, date_pattern='%Y-%m-%d'), 'Date')
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}
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def benchmark_mappings():
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return {key: Mapping(*value)
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for key, value
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in _BENCHMARK_MAPPING.iteritems()}
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def get_raw_benchmark_data(start_date, end_date, symbol):
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# create benchmark files
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# ^GSPC 19500103
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params = collections.OrderedDict((
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('s', symbol),
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# start_date month, zero indexed
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('a', start_date.month - 1),
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# start_date day
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('b', start_date.day),
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# start_date year
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('c', start_date.year),
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# end_date month, zero indexed
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('d', end_date.month - 1),
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# end_date day str(int(todate[6:8])) #day
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('e', end_date.day),
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# end_date year str(int(todate[0:4]))
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('f', end_date.year),
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# daily frequency
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('g', 'd'),
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))
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res = requests.get('http://ichart.yahoo.com/table.csv',
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params=params)
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if not res.ok:
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raise BenchmarkDataNotFoundError("""
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No benchmark data found for date range.
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start_date={start_date}, end_date={end_date}, url={url}""".strip().
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format(start_date=start_date,
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end_date=end_date,
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url=res.url))
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return csv.DictReader(StringIO(res.content))
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def get_benchmark_data(symbol, start_date=None, end_date=None):
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"""
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Benchmarks from Yahoo.
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"""
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if start_date is None:
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start_date = datetime(year=1950, month=1, day=3)
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if end_date is None:
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end_date = datetime.utcnow()
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raw_benchmark_data = get_raw_benchmark_data(start_date, end_date, symbol)
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# Reverse data so we can load it in reverse chron order.
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benchmarks_source = reversed(list(raw_benchmark_data))
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mappings = benchmark_mappings()
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return source_to_records(mappings, benchmarks_source)
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def get_benchmark_returns(symbol, start_date=None, end_date=None):
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if start_date is None:
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start_date = datetime(year=1950, month=1, day=3)
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if end_date is None:
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end_date = datetime.utcnow()
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benchmark_returns = []
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for data_point in get_benchmark_data(symbol, start_date, end_date):
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returns = (data_point['close'] - data_point['open']) / \
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data_point['open']
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daily_return = DailyReturn(date=data_point['date'], returns=returns)
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benchmark_returns.append(daily_return)
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return benchmark_returns
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