Merge pull request #764 from matthewhall79/feature/av-forex-daily

Feature/av forex daily

Author: bashtage

docs/source/remote_data.rst

@@ -139,7 +139,7 @@ Historical Time Series Data
 
 Through the
 `Alpha Vantage <https://www.alphavantage.co/documentation>`__ Time Series
-endpoints, it is possible to obtain historical equities data for individual
+endpoints, it is possible to obtain historical equities and currency rate data for individual
 symbols. For daily, weekly, and monthly frequencies, 20+ years of historical data is available. The past 3-5 days of intraday data is also available.
 
 The following endpoints are available:
@@ -151,6 +151,7 @@ The following endpoints are available:
 * ``av-weekly-adjusted`` - Weekly Time Series (Adjusted)
 * ``av-monthly`` - Monthly Time Series
 * ``av-monthly-adjusted`` - Monthly Time Series (Adjusted)
+* ``av-forex-daily`` - Daily Time Series
 
 .. code-block:: ipython
 
@@ -173,6 +174,8 @@ The following endpoints are available:
     volume    2.834990e+07
     Name: 2017-02-09, dtype: float64
 
+To request the historical exchange rate of physical or digital currencies, use
+``av-forex-daily`` and format the symbol as "FROM/TO", for example "USD/JPY".
 
 The top-level function ``get_data_alphavantage`` is also provided. This
 function will

docs/source/whatsnew/v0.9.0.txt

@@ -16,6 +16,7 @@ Highlights include:
 Enhancements
 ~~~~~~~~~~~~
 
+- Added AlphaVantage endpoint to get historical currency exchange rates.
 
 .. _whatsnew_090.api_breaking:
 
@@ -34,3 +35,4 @@ Bug Fixes
 Contributors
 ~~~~~~~~~~~~
 - David Stephens
+- Matthew Hall

pandas_datareader/av/time_series.py

@@ -39,6 +39,7 @@ class AVTimeSeriesReader(AlphaVantage):
         "TIME_SERIES_MONTHLY": "Monthly Time Series",
         "TIME_SERIES_MONTHLY_ADJUSTED": "Monthly Adjusted Time Series",
         "TIME_SERIES_INTRADAY": "Time Series (1min)",
+        "FX_DAILY": "Time Series FX (Daily)",
     }
 
     def __init__(
@@ -77,6 +78,10 @@ def function(self):
     def intraday(self):
         return True if self.function == "TIME_SERIES_INTRADAY" else False
 
+    @property
+    def forex(self):
+        return True if self.function == "FX_DAILY" else False
+
     @property
     def output_size(self):
         """ Used to limit the size of the Alpha Vantage query when
@@ -92,13 +97,17 @@ def data_key(self):
     @property
     def params(self):
         p = {
-            "symbol": self.symbols,
             "function": self.function,
             "apikey": self.api_key,
             "outputsize": self.output_size,
         }
         if self.intraday:
             p.update({"interval": "1min"})
+        if self.forex:
+            p.update({"from_symbol": self.symbols.split("/")[0]})
+            p.update({"to_symbol": self.symbols.split("/")[1]})
+        else:
+            p.update({"symbol": self.symbols})
         return p
 
     def _read_lines(self, out):

pandas_datareader/data.py

@@ -361,6 +361,7 @@ def DataReader(
         "yahoo-actions",
         "yahoo-dividends",
         "av-forex",
+        "av-forex-daily",
         "av-daily",
         "av-daily-adjusted",
         "av-weekly",
@@ -570,6 +571,18 @@ def DataReader(
             api_key=api_key,
         ).read()
 
+    elif data_source == "av-forex-daily":
+        return AVTimeSeriesReader(
+            symbols=name,
+            function="FX_DAILY",
+            start=start,
+            end=end,
+            retry_count=retry_count,
+            pause=pause,
+            session=session,
+            api_key=api_key,
+        ).read()
+
     elif data_source == "av-daily":
         return AVTimeSeriesReader(
             symbols=name,

pandas_datareader/tests/av/test_av_time_series.py

@@ -194,3 +194,17 @@ def test_av_intraday(self):
         assert len(df) > 1000
         assert "open" in df.columns
         assert "close" in df.columns
+
+    def test_av_forex_daily(self):
+        df = web.DataReader(
+            "USD/JPY",
+            "av-forex-daily",
+            start=self.start,
+            end=self.end,
+            retry_count=6,
+            pause=20.5,
+        )
+        assert df.columns.equals(self.col_index[:4])  # No volume col for forex
+        assert len(df) == 718
+        assert df.loc["2015-02-09"]["close"] == 118.6390
+        assert df.loc["2017-05-24"]["high"] == 112.1290