mirror of
https://github.com/wassname/catalyst.git
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Richard Frank
62 lines
2.0 KiB
Python
62 lines
2.0 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 pandas as pd
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from six.moves.urllib_parse import urlencode
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def format_yahoo_index_url(symbol, start_date, end_date):
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"""
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Format a URL for querying Yahoo Finance for Index data.
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"""
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return (
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'https://ichart.finance.yahoo.com/table.csv?' + urlencode({
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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
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'e': end_date.day,
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# end_date year
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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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)
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def get_benchmark_returns(symbol, start_date, end_date):
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"""
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Get a Series of benchmark returns from Yahoo.
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Returns a Series with returns from (start_date, end_date].
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start_date is **not** included because we need the close from day N - 1 to
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compute the returns for day N.
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"""
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return pd.read_csv(
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format_yahoo_index_url(symbol, start_date, end_date),
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parse_dates=['Date'],
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index_col='Date',
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usecols=["Adj Close", "Date"],
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squeeze=True, # squeeze tells pandas to make this a Series
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# instead of a 1-column DataFrame
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).sort_index().tz_localize('UTC').pct_change(1).iloc[1:]
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