Adding Tiingo IEX historical data reader. Tiingo serves cached IEX historical data in excess of IEx's default time frame.

Author: boingaon

pandas_datareader/__init__.py

@@ -8,7 +8,7 @@
                    get_nasdaq_symbols,
                    get_quote_google, get_quote_yahoo, get_recent_iex,
                    get_records_iex, get_summary_iex, get_tops_iex,
-                   get_data_tiingo, get_data_alphavantage)
+                   get_data_tiingo, get_iex_data_tiingo, get_data_alphavantage)
 
 __version__ = get_versions()['version']
 del get_versions
@@ -22,4 +22,4 @@
            'get_nasdaq_symbols', 'get_data_quandl', 'get_data_moex',
            'get_data_fred', 'get_dailysummary_iex', 'get_data_morningstar',
            'get_data_stooq', 'DataReader', 'Options',
-           'get_data_tiingo', 'get_data_alphavantage']
+           'get_data_tiingo', 'get_iex_data_tiingo', 'get_data_alphavantage']

pandas_datareader/data.py

@@ -30,7 +30,7 @@
 from pandas_datareader.robinhood import RobinhoodHistoricalReader, \
     RobinhoodQuoteReader
 from pandas_datareader.stooq import StooqDailyReader
-from pandas_datareader.tiingo import TiingoDailyReader, TiingoQuoteReader
+from pandas_datareader.tiingo import TiingoDailyReader, TiingoQuoteReader, TiingoIEXHistoricalReader
 from pandas_datareader.yahoo.actions import (YahooActionReader, YahooDivReader)
 from pandas_datareader.yahoo.components import _get_data as \
     get_components_yahoo
@@ -127,6 +127,10 @@ def get_data_tiingo(*args, **kwargs):
     return TiingoDailyReader(*args, **kwargs).read()
 
 
+def get_iex_data_tiingo(*args, **kwargs):
+    return TiingoIEXHistoricalReader(*args, **kwargs).read()
+
+
 def get_quotes_tiingo(*args, **kwargs):
     return TiingoQuoteReader(*args, **kwargs).read()
 

pandas_datareader/tests/test_tiingo.py

@@ -5,7 +5,7 @@
 
 from pandas_datareader.compat import PY3
 from pandas_datareader.tiingo import TiingoDailyReader, TiingoMetaDataReader, \
-    TiingoQuoteReader, get_tiingo_symbols
+    TiingoQuoteReader, TiingoIEXHistoricalReader, get_tiingo_symbols
 
 TEST_API_KEY = os.getenv('TIINGO_API_KEY')
 # Ensure blank TEST_API_KEY not used in pull request
@@ -38,6 +38,16 @@ def test_tiingo_historical(symbols):
     assert df.index.levels[0].shape[0] == len(symbols)
 
 
+@pytest.mark.skipif(TEST_API_KEY is None, reason="TIINGO_API_KEY not set")
+def test_tiingo_iex_historical(symbols):
+    df = TiingoIEXHistoricalReader(symbols=symbols).read()
+    df.head()
+    assert isinstance(df, pd.DataFrame)
+    if isinstance(symbols, str):
+        symbols = [symbols]
+    assert df.index.levels[0].shape[0] == len(symbols)
+
+
 @pytest.mark.skipif(TEST_API_KEY is None, reason="TIINGO_API_KEY not set")
 def test_tiingo_metadata(symbols):
     df = TiingoMetaDataReader(symbols=symbols).read()

pandas_datareader/tiingo.py

@@ -23,6 +23,94 @@ def get_tiingo_symbols():
     return pd.read_csv(url)
 
 
+class TiingoIEXHistoricalReader(_BaseReader):
+    """
+        Historical data from Tiingo on equities, ETFs and mutual funds, with re-sampling capability.
+        This query is limited to the last 1,000 bars based in the endDate. So the startDate is moved
+        if it goes past the limit.
+
+        Parameters
+        ----------
+        symbols : {str, List[str]}
+            String symbol of like of symbols
+        start : str, (defaults to '1/1/2010')
+            Starting date, timestamp. Parses many different kind of date
+            representations (e.g., 'JAN-01-2010', '1/1/10', 'Jan, 1, 1980')
+        end : str, (defaults to today)
+            Ending date, timestamp. Same format as starting date.
+        retry_count : int, default 3
+            Number of times to retry query request.
+        pause : float, default 0.1
+            Time, in seconds, of the pause between retries.
+        session : Session, default None
+            requests.sessions.Session instance to be used
+        freq : {str, None}
+        Re-sample frequency. Format is # + (min/hour); e.g. "15min" or "4hour". If no value is provided,
+            defaults to 5min. The minimum value is "1min". Units in minutes (min) and hours (hour) are accepted.
+        api_key : str, optional
+            Tiingo API key . If not provided the environmental variable
+            TIINGO_API_KEY is read. The API key is *required*.
+    """
+
+    def __init__(self, symbols, start=None, end=None, retry_count=3, pause=0.1, timeout=30, session=None, freq=None,
+                 api_key=None):
+        super().__init__(symbols, start, end, retry_count, pause, timeout, session, freq)
+
+        if isinstance(self.symbols, str):
+            self.symbols = [self.symbols]
+        self._symbol = ''
+        if api_key is None:
+            api_key = os.getenv('TIINGO_API_KEY')
+        if not api_key or not isinstance(api_key, str):
+            raise ValueError('The tiingo API key must be provided either '
+                             'through the api_key variable or through the '
+                             'environmental variable TIINGO_API_KEY.')
+        self.api_key = api_key
+        self._concat_axis = 0
+
+    @property
+    def url(self):
+        """API URL"""
+        _url = 'https://api.tiingo.com/iex/{ticker}/prices'
+        return _url.format(ticker=self._symbol)
+
+    @property
+    def params(self):
+        """Parameters to use in API calls"""
+        return {'startDate': self.start.strftime('%Y-%m-%d'),
+                'endDate': self.end.strftime('%Y-%m-%d'),
+                'resampleFreq': self.freq,
+                'format': 'json'}
+
+    def _get_crumb(self, *args):
+        pass
+
+    def _read_one_data(self, url, params):
+        """ read one data from specified URL """
+        headers = {'Content-Type': 'application/json',
+                   'Authorization': 'Token ' + self.api_key}
+        out = self._get_response(url, params=params, headers=headers).json()
+        return self._read_lines(out)
+
+    def _read_lines(self, out):
+        df = pd.DataFrame(out)
+        df['symbol'] = self._symbol
+        df['date'] = pd.to_datetime(df['date'])
+        df = df.set_index(['symbol', 'date'])
+        return df
+
+    def read(self):
+        """Read data from connector"""
+        dfs = []
+        for symbol in self.symbols:
+            self._symbol = symbol
+            try:
+                dfs.append(self._read_one_data(self.url, self.params))
+            finally:
+                self.close()
+        return pd.concat(dfs, self._concat_axis)
+
+
 class TiingoDailyReader(_BaseReader):
     """
     Historical daily data from Tiingo on equities, ETFs and mutual funds