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utils.py
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utils.py
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#!/usr/bin/env python
# -*- coding: utf-8 -*-
#
# yfinance - market data downloader
# https://github.com/ranaroussi/yfinance
#
# Copyright 2017-2019 Ran Aroussi
#
# 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.
#
from __future__ import print_function
import datetime as _datetime
from typing import Dict, Union
import pytz as _tz
import requests as _requests
import re as _re
import pandas as _pd
import numpy as _np
import sys as _sys
import os as _os
import appdirs as _ad
import sqlite3 as _sqlite3
import atexit as _atexit
from threading import Lock
from pytz import UnknownTimeZoneError
try:
import ujson as _json
except ImportError:
import json as _json
user_agent_headers = {
'User-Agent': 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_10_1) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/39.0.2171.95 Safari/537.36'}
def is_isin(string):
return bool(_re.match("^([A-Z]{2})([A-Z0-9]{9})([0-9]{1})$", string))
def get_all_by_isin(isin, proxy=None, session=None):
if not(is_isin(isin)):
raise ValueError("Invalid ISIN number")
from .base import _BASE_URL_
session = session or _requests
url = "{}/v1/finance/search?q={}".format(_BASE_URL_, isin)
data = session.get(url=url, proxies=proxy, headers=user_agent_headers)
try:
data = data.json()
ticker = data.get('quotes', [{}])[0]
return {
'ticker': {
'symbol': ticker['symbol'],
'shortname': ticker['shortname'],
'longname': ticker['longname'],
'type': ticker['quoteType'],
'exchange': ticker['exchDisp'],
},
'news': data.get('news', [])
}
except Exception:
return {}
def get_ticker_by_isin(isin, proxy=None, session=None):
data = get_all_by_isin(isin, proxy, session)
return data.get('ticker', {}).get('symbol', '')
def get_info_by_isin(isin, proxy=None, session=None):
data = get_all_by_isin(isin, proxy, session)
return data.get('ticker', {})
def get_news_by_isin(isin, proxy=None, session=None):
data = get_all_by_isin(isin, proxy, session)
return data.get('news', {})
def empty_df(index=None):
if index is None:
index = []
empty = _pd.DataFrame(index=index, data={
'Open': _np.nan, 'High': _np.nan, 'Low': _np.nan,
'Close': _np.nan, 'Adj Close': _np.nan, 'Volume': _np.nan})
empty.index.name = 'Date'
return empty
def empty_earnings_dates_df():
empty = _pd.DataFrame(
columns=["Symbol", "Company", "Earnings Date",
"EPS Estimate", "Reported EPS", "Surprise(%)"])
return empty
def get_html(url, proxy=None, session=None):
session = session or _requests
html = session.get(url=url, proxies=proxy, headers=user_agent_headers).text
return html
def get_json(url, proxy=None, session=None):
session = session or _requests
html = session.get(url=url, proxies=proxy, headers=user_agent_headers).text
if "QuoteSummaryStore" not in html:
html = session.get(url=url, proxies=proxy).text
if "QuoteSummaryStore" not in html:
return {}
json_str = html.split('root.App.main =')[1].split(
'(this)')[0].split(';\n}')[0].strip()
data = _json.loads(json_str)[
'context']['dispatcher']['stores']['QuoteSummaryStore']
# add data about Shares Outstanding for companies' tickers if they are available
try:
data['annualBasicAverageShares'] = _json.loads(
json_str)['context']['dispatcher']['stores'][
'QuoteTimeSeriesStore']['timeSeries']['annualBasicAverageShares']
except Exception:
pass
# return data
new_data = _json.dumps(data).replace('{}', 'null')
new_data = _re.sub(
r'\{[\'|\"]raw[\'|\"]:(.*?),(.*?)\}', r'\1', new_data)
return _json.loads(new_data)
def camel2title(o):
return [_re.sub("([a-z])([A-Z])", r"\g<1> \g<2>", i).title() for i in o]
def _parse_user_dt(dt, exchange_tz):
if isinstance(dt, int):
## Should already be epoch, test with conversion:
_datetime.datetime.fromtimestamp(dt)
else:
# Convert str/date -> datetime, set tzinfo=exchange, get timestamp:
if isinstance(dt, str):
dt = _datetime.datetime.strptime(str(dt), '%Y-%m-%d')
if isinstance(dt, _datetime.date) and not isinstance(dt, _datetime.datetime):
dt = _datetime.datetime.combine(dt, _datetime.time(0))
if isinstance(dt, _datetime.datetime) and dt.tzinfo is None:
# Assume user is referring to exchange's timezone
dt = _tz.timezone(exchange_tz).localize(dt)
dt = int(dt.timestamp())
return dt
def auto_adjust(data):
df = data.copy()
ratio = df["Close"] / df["Adj Close"]
df["Adj Open"] = df["Open"] / ratio
df["Adj High"] = df["High"] / ratio
df["Adj Low"] = df["Low"] / ratio
df.drop(
["Open", "High", "Low", "Close"],
axis=1, inplace=True)
df.rename(columns={
"Adj Open": "Open", "Adj High": "High",
"Adj Low": "Low", "Adj Close": "Close"
}, inplace=True)
df = df[["Open", "High", "Low", "Close", "Volume"]]
return df[["Open", "High", "Low", "Close", "Volume"]]
def back_adjust(data):
""" back-adjusted data to mimic true historical prices """
df = data.copy()
ratio = df["Adj Close"] / df["Close"]
df["Adj Open"] = df["Open"] * ratio
df["Adj High"] = df["High"] * ratio
df["Adj Low"] = df["Low"] * ratio
df.drop(
["Open", "High", "Low", "Adj Close"],
axis=1, inplace=True)
df.rename(columns={
"Adj Open": "Open", "Adj High": "High",
"Adj Low": "Low"
}, inplace=True)
return df[["Open", "High", "Low", "Close", "Volume"]]
def parse_quotes(data):
timestamps = data["timestamp"]
ohlc = data["indicators"]["quote"][0]
volumes = ohlc["volume"]
opens = ohlc["open"]
closes = ohlc["close"]
lows = ohlc["low"]
highs = ohlc["high"]
adjclose = closes
if "adjclose" in data["indicators"]:
adjclose = data["indicators"]["adjclose"][0]["adjclose"]
quotes = _pd.DataFrame({"Open": opens,
"High": highs,
"Low": lows,
"Close": closes,
"Adj Close": adjclose,
"Volume": volumes})
quotes.index = _pd.to_datetime(timestamps, unit="s")
quotes.sort_index(inplace=True)
return quotes
def parse_actions(data):
dividends = _pd.DataFrame(
columns=["Dividends"], index=_pd.DatetimeIndex([]))
splits = _pd.DataFrame(
columns=["Stock Splits"], index=_pd.DatetimeIndex([]))
if "events" in data:
if "dividends" in data["events"]:
dividends = _pd.DataFrame(
data=list(data["events"]["dividends"].values()))
dividends.set_index("date", inplace=True)
dividends.index = _pd.to_datetime(dividends.index, unit="s")
dividends.sort_index(inplace=True)
dividends.columns = ["Dividends"]
if "splits" in data["events"]:
splits = _pd.DataFrame(
data=list(data["events"]["splits"].values()))
splits.set_index("date", inplace=True)
splits.index = _pd.to_datetime(splits.index, unit="s")
splits.sort_index(inplace=True)
splits["Stock Splits"] = splits["numerator"] / \
splits["denominator"]
splits = splits[["Stock Splits"]]
return dividends, splits
def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange):
# Yahoo bug fix. If market is open today then Yahoo normally returns
# todays data as a separate row from rest-of week/month interval in above row.
# Seems to depend on what exchange e.g. crypto OK.
# Fix = merge them together
n = quotes.shape[0]
if n > 1:
dt1 = quotes.index[n-1].tz_localize("UTC").tz_convert(tz_exchange)
dt2 = quotes.index[n-2].tz_localize("UTC").tz_convert(tz_exchange)
if interval in ["1wk", "1mo", "3mo"]:
if interval == "1wk":
last_rows_same_interval = dt1.year==dt2.year and dt1.week==dt2.week
elif interval == "1mo":
last_rows_same_interval = dt1.month==dt2.month
elif interval == "3mo":
last_rows_same_interval = dt1.year==dt2.year and dt1.quarter==dt2.quarter
if last_rows_same_interval:
# Last two rows are within same interval
idx1 = quotes.index[n-1]
idx2 = quotes.index[n-2]
if _np.isnan(quotes.loc[idx2,"Open"]):
quotes.loc[idx2,"Open"] = quotes["Open"][n-1]
# Note: nanmax() & nanmin() ignores NaNs
quotes.loc[idx2,"High"] = _np.nanmax([quotes["High"][n-1], quotes["High"][n-2]])
quotes.loc[idx2,"Low"] = _np.nanmin([quotes["Low"][n-1], quotes["Low"][n-2]])
quotes.loc[idx2,"Close"] = quotes["Close"][n-1]
if "Adj High" in quotes.columns:
quotes.loc[idx2,"Adj High"] = _np.nanmax([quotes["Adj High"][n-1], quotes["Adj High"][n-2]])
if "Adj Low" in quotes.columns:
quotes.loc[idx2,"Adj Low"] = _np.nanmin([quotes["Adj Low"][n-1], quotes["Adj Low"][n-2]])
if "Adj Close" in quotes.columns:
quotes.loc[idx2,"Adj Close"] = quotes["Adj Close"][n-1]
quotes.loc[idx2,"Volume"] += quotes["Volume"][n-1]
quotes = quotes.drop(quotes.index[n-1])
# Similar bug in daily data except most data is simply duplicated
# - exception is volume, *slightly* greater on final row (and matches website)
elif interval=="1d":
if dt1.date() == dt2.date():
# Last two rows are on same day. Drop second-to-last row
quotes = quotes.drop(quotes.index[n-2])
return quotes
def safe_merge_dfs(df_main, df_sub, interval):
# Carefully merge 'df_sub' onto 'df_main'
# If naive merge fails, try again with reindexing df_sub:
# 1) if interval is weekly or monthly, then try with index set to start of week/month
# 2) if still failing then manually search through df_main.index to reindex df_sub
if df_sub.shape[0] == 0:
raise Exception("No data to merge")
df_sub_backup = df_sub.copy()
data_cols = [c for c in df_sub.columns if not c in df_main]
if len(data_cols) > 1:
raise Exception("Expected 1 data col")
data_col = data_cols[0]
def _reindex_events(df, new_index, data_col_name):
if len(new_index) == len(set(new_index)):
# No duplicates, easy
df.index = new_index
return df
df["_NewIndex"] = new_index
# Duplicates present within periods but can aggregate
if data_col_name == "Dividends":
# Add
df = df.groupby("_NewIndex").sum()
df.index.name = None
elif data_col_name == "Stock Splits":
# Product
df = df.groupby("_NewIndex").prod()
df.index.name = None
else:
raise Exception("New index contains duplicates but unsure how to aggregate for '{}'".format(data_col_name))
if "_NewIndex" in df.columns:
df = df.drop("_NewIndex",axis=1)
return df
df = df_main.join(df_sub)
f_na = df[data_col].isna()
data_lost = sum(~f_na) < df_sub.shape[0]
if not data_lost:
return df
# Lost data during join()
if interval in ["1wk","1mo","3mo"]:
# Backdate all df_sub.index dates to start of week/month
if interval == "1wk":
new_index = _pd.PeriodIndex(df_sub.index, freq='W').to_timestamp()
elif interval == "1mo":
new_index = _pd.PeriodIndex(df_sub.index, freq='M').to_timestamp()
elif interval == "3mo":
new_index = _pd.PeriodIndex(df_sub.index, freq='Q').to_timestamp()
new_index = new_index.tz_localize(df.index.tz)
df_sub = _reindex_events(df_sub, new_index, data_col)
df = df_main.join(df_sub)
f_na = df[data_col].isna()
data_lost = sum(~f_na) < df_sub.shape[0]
if not data_lost:
return df
# Lost data during join(). Manually check each df_sub.index date against df_main.index to
# find matching interval
df_sub = df_sub_backup.copy()
new_index = [-1]*df_sub.shape[0]
for i in range(df_sub.shape[0]):
dt_sub_i = df_sub.index[i]
if dt_sub_i in df_main.index:
new_index[i] = dt_sub_i ; continue
# Found a bad index date, need to search for near-match in df_main (same week/month)
fixed = False
for j in range(df_main.shape[0]-1):
dt_main_j0 = df_main.index[j]
dt_main_j1 = df_main.index[j+1]
if (dt_main_j0 <= dt_sub_i) and (dt_sub_i < dt_main_j1):
fixed = True
if interval.endswith('h') or interval.endswith('m'):
# Must also be same day
fixed = (dt_main_j0.date() == dt_sub_i.date()) and (dt_sub_i.date() == dt_main_j1.date())
if fixed:
dt_sub_i = dt_main_j0 ; break
if not fixed:
last_main_dt = df_main.index[df_main.shape[0]-1]
diff = dt_sub_i - last_main_dt
if interval == "1mo" and last_main_dt.month == dt_sub_i.month:
dt_sub_i = last_main_dt ; fixed = True
elif interval == "3mo" and last_main_dt.year == dt_sub_i.year and last_main_dt.quarter == dt_sub_i.quarter:
dt_sub_i = last_main_dt ; fixed = True
elif interval == "1wk":
if last_main_dt.week == dt_sub_i.week:
dt_sub_i = last_main_dt ; fixed = True
elif (dt_sub_i>=last_main_dt) and (dt_sub_i-last_main_dt < _datetime.timedelta(weeks=1)):
# With some specific start dates (e.g. around early Jan), Yahoo
# messes up start-of-week, is Saturday not Monday. So check
# if same week another way
dt_sub_i = last_main_dt ; fixed = True
elif interval == "1d" and last_main_dt.day == dt_sub_i.day:
dt_sub_i = last_main_dt ; fixed = True
elif interval == "1h" and last_main_dt.hour == dt_sub_i.hour:
dt_sub_i = last_main_dt ; fixed = True
elif interval.endswith('m') or interval.endswith('h'):
td = _pd.to_timedelta(interval)
if (dt_sub_i>=last_main_dt) and (dt_sub_i-last_main_dt < td):
dt_sub_i = last_main_dt ; fixed = True
new_index[i] = dt_sub_i
df_sub = _reindex_events(df_sub, new_index, data_col)
df = df_main.join(df_sub)
f_na = df[data_col].isna()
data_lost = sum(~f_na) < df_sub.shape[0]
if data_lost:
## Not always possible to match events with trading, e.g. when released pre-market.
## So have to append to bottom with nan prices.
## But should only be impossible with intra-day price data.
if interval.endswith('m') or interval.endswith('h'):
f_missing = ~df_sub.index.isin(df.index)
df_sub_missing = df_sub[f_missing]
keys = set(["Adj Open", "Open", "Adj High", "High", "Adj Low", "Low", "Adj Close", "Close"]).intersection(df.columns)
df_sub_missing[list(keys)] = _np.nan
df = _pd.concat([df, df_sub_missing], sort=True)
else:
raise Exception("Lost data during merge despite all attempts to align data (see above)")
return df
def fix_Yahoo_dst_issue(df, interval):
if interval in ["1d","1w","1wk"]:
# These intervals should start at time 00:00. But for some combinations of date and timezone,
# Yahoo has time off by few hours (e.g. Brazil 23:00 around Jan-2022). Suspect DST problem.
# The clue is (a) minutes=0 and (b) hour near 0.
# Obviously Yahoo meant 00:00, so ensure this doesn't affect date conversion:
f_pre_midnight = (df.index.minute == 0) & (df.index.hour.isin([22,23]))
dst_error_hours = _np.array([0]*df.shape[0])
dst_error_hours[f_pre_midnight] = 24-df.index[f_pre_midnight].hour
df.index += _pd.TimedeltaIndex(dst_error_hours, 'h')
return df
def is_valid_timezone(tz: str) -> bool:
try:
_tz.timezone(tz)
except UnknownTimeZoneError:
return False
return True
class ProgressBar:
def __init__(self, iterations, text='completed'):
self.text = text
self.iterations = iterations
self.prog_bar = '[]'
self.fill_char = '*'
self.width = 50
self.__update_amount(0)
self.elapsed = 1
def completed(self):
if self.elapsed > self.iterations:
self.elapsed = self.iterations
self.update_iteration(1)
print('\r' + str(self), end='')
_sys.stdout.flush()
print()
def animate(self, iteration=None):
if iteration is None:
self.elapsed += 1
iteration = self.elapsed
else:
self.elapsed += iteration
print('\r' + str(self), end='')
_sys.stdout.flush()
self.update_iteration()
def update_iteration(self, val=None):
val = val if val is not None else self.elapsed / float(self.iterations)
self.__update_amount(val * 100.0)
self.prog_bar += ' %s of %s %s' % (
self.elapsed, self.iterations, self.text)
def __update_amount(self, new_amount):
percent_done = int(round((new_amount / 100.0) * 100.0))
all_full = self.width - 2
num_hashes = int(round((percent_done / 100.0) * all_full))
self.prog_bar = '[' + self.fill_char * \
num_hashes + ' ' * (all_full - num_hashes) + ']'
pct_place = (len(self.prog_bar) // 2) - len(str(percent_done))
pct_string = '%d%%' % percent_done
self.prog_bar = self.prog_bar[0:pct_place] + \
(pct_string + self.prog_bar[pct_place + len(pct_string):])
def __str__(self):
return str(self.prog_bar)
class _KVStore:
"""Simpel Sqlite backed key/value store, key and value are strings. Should be thread safe."""
def __init__(self, filename):
self._cache_mutex = Lock()
with self._cache_mutex:
self.conn = _sqlite3.connect(filename, timeout=10, check_same_thread=False)
self.conn.execute('pragma journal_mode=wal')
self.conn.execute('create table if not exists "kv" (key TEXT primary key, value TEXT) without rowid')
self.conn.commit()
_atexit.register(self.close)
def close(self):
if self.conn is not None:
with self._cache_mutex:
self.conn.close()
self.conn = None
def get(self, key: str) -> Union[str, None]:
"""Get value for key if it exists else returns None"""
item = self.conn.execute('select value from "kv" where key=?', (key,))
if item:
return next(item, (None,))[0]
def set(self, key: str, value: str) -> str:
with self._cache_mutex:
self.conn.execute('replace into "kv" (key, value) values (?,?)', (key, value))
self.conn.commit()
def bulk_set(self, kvdata: Dict[str, str]):
records = tuple(i for i in kvdata.items())
with self._cache_mutex:
self.conn.executemany('replace into "kv" (key, value) values (?,?)', records)
self.conn.commit()
def delete(self, key: str):
with self._cache_mutex:
self.conn.execute('delete from "kv" where key=?', (key,))
self.conn.commit()
class _TzCache:
"""Simple sqllite file cache of ticker->timezone"""
def __init__(self):
self._tz_db = None
def lookup(self, tkr):
return self.tz_db.get(tkr)
def store(self, tkr, tz):
if tz is None:
self.tz_db.delete(tkr)
elif self.tz_db.get(tkr) is not None:
raise Exception("Tkr {} tz already in cache".format(tkr))
else:
self.tz_db.set(tkr, tz)
@property
def cache_dirpath(self):
return _os.path.join(_ad.user_cache_dir(), "py-yfinance")
@property
def tz_db(self):
# lazy init
if self._tz_db is None:
if not _os.path.isdir(self.cache_dirpath):
_os.makedirs(self.cache_dirpath)
self._tz_db = _KVStore(_os.path.join(self.cache_dirpath, "tkr-tz.db"))
self._migrate_cache_tkr_tz()
return self._tz_db
def _migrate_cache_tkr_tz(self):
"""Migrate contents from old ticker CSV-cache to SQLite db"""
fp = _os.path.join(self.cache_dirpath, "tkr-tz.csv")
if not _os.path.isfile(fp):
return None
df = _pd.read_csv(fp, index_col="Ticker")
print(df.to_dict()['Tz'])
self.tz_db.bulk_set(df.to_dict()['Tz'])
_os.remove(fp)
tz_cache = _TzCache()