@@ -6,42 +6,108 @@ struct APIResponse
66 http_resp:: HTTP.Messages.Response
77end
88
9+ abstract type AbstractQueryOpt <: AbstractDict{Symbol,Any} end
10+
11+ Base. length (:: T ) where {T<: AbstractQueryOpt } = fieldcount (T)
12+ Base. length (:: Type{T} ) where {T<: AbstractQueryOpt } = fieldcount (T)
13+
14+ function Base. iterate (aqo:: T , state = 1 ) where {T<: AbstractQueryOpt }
15+ (state > length (T)) && return nothing
16+ (fieldname (T, state) => getfield (aqo, state), state + 1 )
17+ end
918
1019"""
11- Description
20+ struct YahooOpt <: AbstractQueryOpt
21+ period1 # the start time
22+ period2 # the end time
23+ interval # "1d", "1wk" or "1mo"
24+ events # currently only `:history` supported
25+ end
1226
13- The yahoo() method is a wrapper for downloading historical stock prices from Yahoo .
27+ The Yahoo Finance HTTP API query object .
1428
15- Usage
29+ # Examples
1630
17- AAPL = yahoo("AAPL)
18- SPX = yahoo()
31+ ```jl-repl
32+ julia> t = Dates.now()
33+ 2020-08-09T01:38:04.735
1934
20- Method Signature(s)
35+ julia> YahooOpt(period1 = t - Year(2), period2 = t)
36+ YahooOpt{DateTime} with 4 entries:
37+ :period1 => 1533778685
38+ :period2 => 1596937085
39+ :interval => "1d"
40+ :events => :history
41+ ```
42+ """
43+ struct YahooOpt <: AbstractQueryOpt
44+ period1:: DateTime
45+ period2:: DateTime
46+ interval:: String
47+ events:: Symbol
48+
49+ YahooOpt (; period1:: DateTime = DateTime (1971 , 2 , 8 ),
50+ period2:: DateTime = Dates. now (),
51+ interval:: String = " 1d"
52+ events:: Symbol = :history ) =
53+ new (period1, period2, interval, events)
54+ end
2155
22- yahoo(data::ASCIIString="^GSPC")
56+ function Base. iterate (opt:: YahooOpt , state = 1 )
57+ (state > length (YahooOpt)) && return nothing
58+ k = fieldname (YahooOpt, state)
59+ v = getfield (opt, state)
60+ v′ = (k ∈ (:period1 , :period2 )) ? round (Int, datetime2unix (v)) : v
61+ (k => v′, state + 1 )
62+ end
2363
24- Details
64+ """
65+ yahoo(symbol::AbstractString, opt::YahooOpt = YahooOpt())::TimeArray
66+ yahoo(symbol::Symbol, opt::YahooOpt = YahooOpt())::TimeArray
2567
26- The yahoo method takes a stock name in the form of a string and returns a TimeSeries.TimeArray data structure
27- corresponding to the Yahoo Finance ticker. With no argument, the default historical time series is the S&P 500.
68+ This is a wrapper for downloading historical stock prices from Yahoo Finance.
2869
29- References
70+ The yahoo method takes a stock name in the form of a string and returns a
71+ `TimeSeries.TimeArray` corresponding to the Yahoo Finance ticker.
72+ With no argument, the default historical time series is the S&P 500.
3073
31- http://www.finance.yahoo.com
74+ # Examples
3275
33- See Also
76+ ```julia
77+ AAPL = yahoo(:AAPL)
78+ SPX = yahoo("^GSPC")
79+ NQ = yahoo("^IXIC")
80+ ```
81+
82+ ```jl-repl
83+ julia> start = DateTime(2018, 1, 1)
84+ 2018-01-01T00:00:00
85+
86+ julia> yahoo(:AAPL, YahooOpt(period1 = start))
87+ 655×6 TimeArray{Float64,2,Date,Array{Float64,2}} 2018-01-02 to 2020-08-07
88+ ...
89+ ```
90+
91+ # References
92+
93+ https://finance.yahoo.com
3494
35- fred() which accesses the St. Louis Federal Reserve financial and economic data sets.
95+ # See Also
96+
97+ fred() which accesses the St. Louis Federal Reserve financial and economic data sets.
3698"""
37- function yahoo (data:: String = " ^GSPC"
38- Base. depwarn (" Yahoo Finance API changed, this function may not work anymore" :yahoo )
39- url = " http://ichart.yahoo.com/table.csv?s=$data "
40- http_resp = HTTP. request (" GET"
41- resp = APIResponse (data, http_resp)
42- TimeArray (resp)
99+ function yahoo (sym:: AbstractString = " ^GSPC" :: YahooOpt = YahooOpt ())
100+ host = rand ([" query1" " query2"
101+ url = " https://$host .finance.yahoo.com/v7/finance/download/$sym "
102+ res = HTTP. get (url, query = opt)
103+ @assert res. status == 200
104+ csv = CSV. File (res. body, missingstrings = [" null"
105+ sch = TimeSeries. Tables. schema (csv)
106+ TimeArray (csv, timestamp = first (sch. names))
43107end
44108
109+ yahoo (s:: Symbol , opt:: YahooOpt = YahooOpt ()) = yahoo (string (s), opt)
110+
45111"""
46112Description
47113
@@ -72,45 +138,10 @@ See Also
72138"""
73139function fred (data:: String = " CPIAUCNS"
74140 url = " http://research.stlouisfed.org/fred2/series/$data /downloaddata/$data .csv"
75- http_resp = HTTP. request (" GET"
76- resp = APIResponse (data, http_resp)
77- TimeArray (resp)
78- end
79-
80-
81- function TimeArray (resp:: APIResponse )
82- # This function transform the Response object into a TimeArray
83- # Split the data on every "\n"
84- raw_data = String (resp. http_resp. body)
85- data = split (raw_data, " \n "
86- # Extract the head and body of the data
87- head = strip (data[1 ])
88- body = data[2 : end ]
89- # Parse body
90- body[end ] == " " ? pop! (body) : nothing # remove trailing empty string if it's there
91- body = [split (line, " ," for line in body] # split on comma
92- # ######## Timestamp
93- # take the first row (assuming it's date)
94- # TODO : regex query needed to catch edge cases
95- dates = [line[1 ] for line in body]
96- timestamp = Date[Date (d) for d in dates] # parse dates
97- # ######## Values
98- svals = [line[2 : end ] for line in body] # get rows 2 to the end
99- fvals = zeros (length (svals),length (svals[1 ]))
100- for r in 1 : size (fvals,1 )
101- for c in 1 : size (fvals,2 )
102- # is not empty and is not equal to FRED's iconic "." sentinel for missingness
103- if ~ isempty (svals[r][c]) && ~ isequal (svals[r][c]," .\r "
104- fvals[r,c] = parse (Float64, svals[r][c])
105- else
106- # captures FRED's "." sentinel
107- fvals[r,c] = NaN
108- end
109- end
110- end
111- # ######## Column names
112- names = split (head, " ," 2 : end ] # Won't need the Date name (fist column) for TimeArray
113- names = String[name for name in names]
114- return TimeArray (timestamp, fvals, names, resp. data)
141+ res = HTTP. get (url)
142+ @assert res. status == 200
143+ csv = CSV. File (res. body)
144+ sch = TimeSeries. Tables. schema (csv)
145+ TimeArray (csv, timestamp = first (sch. names))
115146end
116147
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