Add av-forex-daily endpoint for historical currency exchange rates from AlphaVantange.

Author: 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",
@@ -567,6 +568,18 @@ 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,