hotfix/yf-futures-historical: yfinance historical futures multi-ticker support and symbol parsing

openbb_platform/extensions/derivatives/integration/test_derivatives_api.py

@@ -60,27 +60,14 @@ def test_derivatives_options_unusual(params, headers):
 @parametrize(
     "params",
     [
-        (
-            {
-                "provider": "yfinance",
-                "symbol": "ES",
-                "start_date": "2023-01-01",
-                "end_date": "2023-06-06",
-                "expiration": "2024-06",
-            }
-        ),
         (
             {
                 "provider": "yfinance",
                 "interval": "1d",
-                "period": "max",
-                "prepost": True,
-                "adjust": True,
-                "back_adjust": True,
-                "symbol": "ES",
+                "symbol": "CL,BZ",
                 "start_date": "2023-01-01",
                 "end_date": "2023-06-06",
-                "expiration": "2024-06",
+                "expiration": "2025-12",
             }
         ),
     ],

openbb_platform/extensions/derivatives/integration/test_derivatives_python.py

@@ -52,26 +52,14 @@ def test_derivatives_options_unusual(params, obb):
 @parametrize(
     "params",
     [
-        (
-            {
-                "symbol": "ES",
-                "start_date": "2023-01-01",
-                "end_date": "2023-06-06",
-                "expiration": "2024-06",
-            }
-        ),
         (
             {
                 "provider": "yfinance",
                 "interval": "1d",
-                "period": "max",
-                "prepost": True,
-                "adjust": True,
-                "back_adjust": True,
-                "symbol": "ES",
-                "start_date": "2023-05-05",
+                "symbol": "CL,BZ",
+                "start_date": "2023-01-01",
                 "end_date": "2023-06-06",
-                "expiration": "2024-06",
+                "expiration": "2025-12",
             }
         ),
     ],

openbb_platform/providers/yfinance/openbb_yfinance/models/equity_historical.py

@@ -1,4 +1,5 @@
 """Yahoo Finance Equity Historical Price Model."""
+# pylint: disable=unused-argument
 # ruff: noqa: SIM105
 
 from datetime import datetime, timedelta
@@ -112,7 +113,9 @@ def extract_data(
             query.interval = "1mo"
         elif query.interval == "3M":
             query.interval = "3mo"
-
+        kwargs = (
+            {"auto_adjust": True, "back_adjust": True} if query.adjusted is True else {}
+        )
         # pylint: disable=protected-access
         data = yf_download(
             symbol=query.symbol,
@@ -129,6 +132,7 @@ def extract_data(
             rounding=query._rounding,
             group_by=query._group_by,
             adjusted=query.adjusted,
+            **kwargs,
         )
 
         if data.empty:

openbb_platform/providers/yfinance/openbb_yfinance/models/futures_historical.py

@@ -1,7 +1,7 @@
 """Yahoo Finance Futures Historical Price Model."""
+# pylint: disable=unused-argument
 # ruff: noqa: SIM105
 
-
 from datetime import datetime, timedelta
 from typing import Any, Dict, List, Optional
 
@@ -13,11 +13,10 @@
 )
 from openbb_core.provider.utils.descriptions import QUERY_DESCRIPTIONS
 from openbb_core.provider.utils.errors import EmptyDataError
-from openbb_yfinance.utils.helpers import get_futures_data
+from openbb_yfinance.utils.helpers import get_futures_data, yf_download
 from openbb_yfinance.utils.references import INTERVALS, MONTHS, PERIODS
 from pandas import Timestamp, to_datetime
 from pydantic import Field, field_validator
-from yfinance import Ticker
 
 
 class YFinanceFuturesHistoricalQueryParams(FuturesHistoricalQueryParams):
@@ -30,13 +29,6 @@ class YFinanceFuturesHistoricalQueryParams(FuturesHistoricalQueryParams):
     period: Optional[PERIODS] = Field(
         default=None, description=QUERY_DESCRIPTIONS.get("period", "")
     )
-    prepost: bool = Field(
-        default=False, description="Include Pre and Post market data."
-    )
-    adjust: bool = Field(default=True, description="Adjust all the data automatically.")
-    back_adjust: bool = Field(
-        default=False, description="Back-adjusted data to mimic true historical prices."
-    )
 
 
 class YFinanceFuturesHistoricalData(FuturesHistoricalData):
@@ -62,94 +54,88 @@ class YFinanceFuturesHistoricalFetcher(
     @staticmethod
     def transform_query(params: Dict[str, Any]) -> YFinanceFuturesHistoricalQueryParams:
         """Transform the query. Setting the start and end dates for a 1 year period."""
-        if params.get("period") is None:
-            transformed_params = params
-
-            now = datetime.now().date()
-            if params.get("start_date") is None:
-                transformed_params["start_date"] = now - relativedelta(years=1)
-
-            if params.get("end_date") is None:
-                transformed_params["end_date"] = now
+        transformed_params = params.copy()
+
+        symbols = params["symbol"].split(",")
+        new_symbols = []
+        futures_data = get_futures_data()
+        for symbol in symbols:
+            if params.get("expiration"):
+                expiry_date = datetime.strptime(
+                    transformed_params["expiration"], "%Y-%m"
+                )
+                if "." not in symbol:
+                    exchange = futures_data[futures_data["Ticker"] == symbol][
+                        "Exchange"
+                    ].values[0]
+                new_symbol = (
+                    f"{symbol}{MONTHS[expiry_date.month]}{str(expiry_date.year)[-2:]}.{exchange}"
+                    if "." not in symbol
+                    else symbol
+                )
+                new_symbols.append(new_symbol)
+            else:
+                new_symbols.append(symbol)
+        formatted_symbols = [
+            f"{s.upper()}=F" if "." not in s.upper() else s.upper() for s in new_symbols
+        ]
+        transformed_params["symbol"] = ",".join(formatted_symbols)
+
+        now = datetime.now()
+
+        if params.get("start_date") is None:
+            transformed_params["start_date"] = (now - relativedelta(years=1)).strftime(
+                "%Y-%m-%d"
+            )
 
-        else:
-            transformed_params = params
+        if params.get("end_date") is None:
+            transformed_params["end_date"] = now.strftime("%Y-%m-%d")
 
         return YFinanceFuturesHistoricalQueryParams(**transformed_params)
 
     @staticmethod
     def extract_data(
-        query: YFinanceFuturesHistoricalQueryParams,  # pylint: disable=unused-argument
+        query: YFinanceFuturesHistoricalQueryParams,
         credentials: Optional[Dict[str, str]],
         **kwargs: Any,
-    ) -> dict:
+    ) -> List[Dict]:
         """Return the raw data from the Yahoo Finance endpoint."""
-        symbol = ""
-
-        if query.expiration:
-            expiry_date = datetime.strptime(query.expiration, "%Y-%m")
-            futures_data = get_futures_data()
-            exchange = futures_data[futures_data["Ticker"] == query.symbol][
-                "Exchange"
-            ].values[0]
-            symbol = f"{query.symbol}{MONTHS[expiry_date.month]}{str(expiry_date.year)[-2:]}.{exchange}"
-
-        query_symbol = symbol if symbol else f"{query.symbol}=F"
-
-        if query.period:
-            data = Ticker(query_symbol).history(
-                interval=query.interval,
-                period=query.period,
-                prepost=query.prepost,
-                auto_adjust=query.adjust,
-                back_adjust=query.back_adjust,
-                actions=False,
-                raise_errors=True,
-            )
-        else:
-            data = Ticker(query_symbol).history(
-                interval=query.interval,
-                start=query.start_date,
-                end=query.end_date,
-                prepost=query.prepost,
-                auto_adjust=query.adjust,
-                back_adjust=query.back_adjust,
-                actions=False,
-                raise_errors=True,
-            )
+        data = yf_download(
+            query.symbol,
+            start=query.start_date,
+            end=query.end_date,
+            interval=query.interval,  # type: ignore
+            prepost=True,
+            auto_adjust=False,
+            actions=False,
+        )
 
         if data.empty:
             raise EmptyDataError()
 
-        query.end_date = (
-            datetime.now().date() if query.end_date is None else query.end_date
-        )
         days = (
             1
             if query.interval in ["1m", "2m", "5m", "15m", "30m", "60m", "1h", "90m"]
             else 0
         )
+        if "date" in data.columns:
+            data.set_index("date", inplace=True)
+            data.index = to_datetime(data.index)
         if query.start_date:
-            data.index = to_datetime(data.index).tz_convert(None)
-
-            start_date_dt = datetime.combine(query.start_date, datetime.min.time())
-            end_date_dt = datetime.combine(query.end_date, datetime.min.time())
-
             data = data[
-                (data.index >= start_date_dt + timedelta(days=days))
-                & (data.index <= end_date_dt)
+                (data.index >= to_datetime(query.start_date))
+                & (data.index <= to_datetime(query.end_date + timedelta(days=days)))
             ]
 
-        data = data.reset_index().rename(
-            columns={"index": "Date", "Datetime": "Date"}, errors="ignore"
-        )
-        data.columns = data.columns.str.lower()
+        data.reset_index(inplace=True)
+        data.rename(columns={"index": "date"}, inplace=True)
+
         return data.to_dict("records")
 
     @staticmethod
     def transform_data(
-        query: YFinanceFuturesHistoricalQueryParams,  # pylint: disable=unused-argument
-        data: dict,
+        query: YFinanceFuturesHistoricalQueryParams,
+        data: List[Dict],
         **kwargs: Any,
     ) -> List[YFinanceFuturesHistoricalData]:
         """Transform the data to the standard format."""

openbb_platform/providers/yfinance/openbb_yfinance/utils/futures.csv

@@ -183,6 +183,7 @@ SF,Sugar No. 16 Futures,NYB,agriculture
 SB,Sugar No. 11 Futures,NYB,agriculture
 OJ,Orange Juice Futures,NYB,agriculture
 NG,Natural Gas Futures,NYM,hydrocarbon
+HO,Heating Oil Futures,NYM,hydrocarbon
 RB,RBOB Gasoline Futures,NYM,hydrocarbon
 CL,WTI Crude Oil Futures,NYM,hydrocarbon
 TRM,ICE TRY/USD Futures,NYB,currency

openbb_platform/providers/yfinance/openbb_yfinance/utils/helpers.py

@@ -1,5 +1,5 @@
 """Yahoo Finance helpers module."""
-
+# pylint: disable=unused-argument
 from datetime import (
     date as dateType,
     datetime,
@@ -134,8 +134,8 @@ def yf_download(
             threads=False,
             **kwargs,
         )
-    except ValueError:
-        raise EmptyDataError()
+    except ValueError as exc:
+        raise EmptyDataError() from exc
 
     tickers = symbol.split(",")
     if len(tickers) > 1:
@@ -148,7 +148,8 @@ def yf_download(
                 columns={"Date": "date", "Datetime": "date"}
             )
             _data = pd.concat([_data, temp])
-        _data = _data.set_index(["date", "symbol"]).sort_index()
+        index_keys = ["date", "symbol"] if "symbol" in _data.columns else ["date"]
+        _data = _data.set_index(index_keys).sort_index()
         data = _data
     if not data.empty:
         data = data.reset_index()