QuandlDataProvider

class qf_lib.data_providers.quandl.quandl_data_provider.QuandlDataProvider(settings: Settings)[source]

Bases: AbstractPriceDataProvider

Class providing the Quandl data. The table database: WIKI/PRICES offers stock prices, dividends and splits for 3000 US publicly-traded companies. This database is updated at 9:15 PM EST every weekday.

Methods:

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

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

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

Gets adjusted historical Prices (Open, High, Low, Close) and Volume

price_field_to_str_map(database_name, ...)

Method has to be implemented in each data provider in order to be able to use get_price.

supported_ticker_types()

Returns classes of tickers which are supported by this DataProvider.
get_history(tickers: Union[QuandlTicker, Sequence[QuandlTicker]], fields: Union[None, str, Sequence[str]] = None, start_date: datetime = None, end_date: datetime = None, **kwargs)[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

get_price(tickers: Union[QuandlTicker, Sequence[QuandlTicker]], fields: Union[PriceField, Sequence[PriceField]], start_date: datetime, end_date: datetime = None, frequency: Frequency = Frequency.DAILY, **kwargs)[source]

Gets adjusted historical Prices (Open, High, Low, Close) and Volume

Parameters:

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

  • fields (PriceField, Sequence[PriceField]) – 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 (False) – if set to False, no future data will be ever returned

Returns:

If possible the result will be squeezed so that instead of returning QFDataArray (3-D structure), data of lower dimensionality will be returned. The results will be either an QFDataArray (with 3 dimensions: dates, tickers, fields), PricesDataFrame (with 2 dimensions: dates, tickers or fields. It is also possible to get 2 dimensions ticker and field if single date was provided), or PricesSeries with 1 dimension: dates. All the containers will be indexed with PriceField whenever possible (for example: instead of ‘Close’ column in the PricesDataFrame there will be PriceField.Close)

Return type:

None, PricesSeries, PricesDataFrame, QFDataArray

price_field_to_str_map(database_name: str, database_type: QuandlDBType) → Dict[PriceField, str][source]

Method has to be implemented in each data provider in order to be able to use get_price. Returns dictionary containing mapping between PriceField and corresponding string that has to be used by get_history method to get appropriate type of price series.

Returns:

mapping between PriceFields and corresponding strings

Return type:

Dict[PriceField, str]

supported_ticker_types()[source]

Returns classes of tickers which are supported by this DataProvider.