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replaced yahoo backend with google for market data #386

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replaced yahoo backend with google for market data #386

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bfdfd33
replaced yahoo backend with google for market data
closedLoop May 19, 2017
49e2f4d
flake8 syntax
closedLoop May 19, 2017
39ec62e
Datareader compatibility
closedLoop Jun 14, 2017
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38 changes: 35 additions & 3 deletions pyfolio/utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -24,7 +24,11 @@
from IPython.display import display
import pandas as pd
from pandas.tseries.offsets import BDay
from pandas_datareader import data as web

try:
from pandas_datareader import data as web
except ImportError as e:
from pandas.io import data as web

from . import pos
from . import txn
Expand Down Expand Up @@ -248,6 +252,34 @@ def get_symbol_from_yahoo(symbol, start=None, end=None):
return rets


def get_symbol_from_google(symbol, start=None, end=None):
"""
Wrapper for web.get_data_google()
Retrieves prices for symbol from google and computes returns
based on adjusted closing prices.

Parameters
----------
symbol : str
Symbol name to load, e.g. 'SPY'
start : pandas.Timestamp compatible, optional
Start date of time period to retrieve
end : pandas.Timestamp compatible, optional
End date of time period to retrieve

Returns
-------
pandas.DataFrame
Returns of symbol in requested period.
"""

px = web.get_data_google(symbol, start=start, end=end)
rets = px[['Close']].pct_change().dropna()
rets.index = rets.index.tz_localize("UTC")
rets.columns = [symbol]
return rets


def default_returns_func(symbol, start=None, end=None):
"""
Gets returns for a symbol.
Expand Down Expand Up @@ -282,14 +314,14 @@ def default_returns_func(symbol, start=None, end=None):
if symbol == 'SPY':
filepath = data_path('spy.csv')
rets = get_returns_cached(filepath,
get_symbol_from_yahoo,
get_symbol_from_google,
end,
symbol='SPY',
start='1/1/1970',
end=datetime.now())
rets = rets[start:end]
else:
rets = get_symbol_from_yahoo(symbol, start=start, end=end)
rets = get_symbol_from_google(symbol, start=start, end=end)

return rets[symbol]

Expand Down