DataProvider

class qf_lib.data_providers.data_provider.DataProvider(timer: Optional[Timer] = None)[source]

Bases: object

An interface for data providers (for example AbstractPriceDataProvider).

Methods:

get_history(tickers, fields, start_date[, ...])

Gets historical attributes (fields) of different securities (tickers).

supported_ticker_types()

Returns classes of tickers which are supported by this DataProvider.
abstract get_history(tickers: Union[Ticker, Sequence[Ticker]], fields: Union[str, Sequence[str]], start_date: datetime, end_date: datetime = None, frequency: Frequency = None, look_ahead_bias: bool = False, **kwargs) → Union[QFSeries, QFDataFrame, QFDataArray][source]

Gets historical attributes (fields) of different securities (tickers).

Parameters:

  • tickers (Ticker, Sequence[Ticker]) – tickers for securities which should be retrieved

  • fields (None, str, Sequence[str]) – fields of securities which should be retrieved.

  • start_date (datetime) – date representing the beginning of historical period from which data should be retrieved

  • end_date (datetime) – date representing the end of historical period from which data should be retrieved; if no end_date was provided, by default the current date will be used

  • frequency (Frequency) – frequency of the data

  • look_ahead_bias (bool) – if set to False, the look-ahead bias will be taken care of to make sure no future data is returned

  • kwargs – kwargs should not be used on the level of AbstractDataProvider. They are here to provide a common interface for all data providers since some of the specific data providers accept additional arguments

Returns:

If possible the result will be squeezed, so that instead of returning a QFDataArray, data of lower dimensionality will be returned. The results will be either a QFDataArray (with 3 dimensions: date, ticker, field), a QFDataFrame (with 2 dimensions: date, ticker or field; it is also possible to get 2 dimensions ticker and field if single date was provided), a QFSeries (with 1 dimensions: date) or a float / str (in case if a single ticker, field and date were provided). If no data is available in the database or a non existing ticker was provided an empty structure (nan, QFSeries, QFDataFrame or QFDataArray) will be returned.

Return type:

QFSeries, QFDataFrame, QFDataArray, float, str

abstract supported_ticker_types() → Set[Type[Ticker]][source]

Returns classes of tickers which are supported by this DataProvider.