mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-13 02:17:15 +08:00
Scott Sanderson
63 lines
2.0 KiB
Python
63 lines
2.0 KiB
Python
#
|
|
# Copyright 2013 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
import pandas as pd
|
|
|
|
from six.moves.urllib_parse import urlencode
|
|
|
|
|
|
def format_yahoo_index_url(symbol, start_date, end_date):
|
|
"""
|
|
Format a URL for querying Yahoo Finance for Index data.
|
|
"""
|
|
return (
|
|
'http://ichart.finance.yahoo.com/table.csv?' + urlencode({
|
|
's': symbol,
|
|
# start_date month, zero indexed
|
|
'a': start_date.month - 1,
|
|
# start_date day
|
|
'b': start_date.day,
|
|
# start_date year
|
|
'c': start_date.year,
|
|
# end_date month, zero indexed
|
|
'd': end_date.month - 1,
|
|
# end_date day
|
|
'e': end_date.day,
|
|
# end_date year
|
|
'f': end_date.year,
|
|
# daily frequency
|
|
'g': 'd',
|
|
})
|
|
)
|
|
|
|
|
|
def get_benchmark_returns(symbol, start_date, end_date):
|
|
"""
|
|
Get a Series of benchmark returns from Yahoo.
|
|
"""
|
|
data = pd.read_csv(
|
|
format_yahoo_index_url(symbol, start_date, end_date),
|
|
parse_dates=['Date'],
|
|
index_col='Date',
|
|
usecols=["Open", "Close", "Date"],
|
|
).sort_index().tz_localize('UTC')
|
|
|
|
returns = data["Close"].pct_change()
|
|
# Calculate the returns for the first day using the open of that day since
|
|
# we don't have the close of the previous day.
|
|
first_open, first_close = data.ix[0, ["Open", "Close"]]
|
|
returns.iloc[0] = (first_close - first_open) / first_open
|
|
|
|
return returns
|