cryptodatapy 0.2.24__py3-none-any.whl → 0.2.26__py3-none-any.whl

cryptodatapy/extract/getdata.py

@@ -4,8 +4,10 @@ import pandas as pd
 from cryptodatapy.extract.data_vendors.coinmetrics_api import CoinMetrics
 from cryptodatapy.extract.data_vendors.cryptocompare_api import CryptoCompare
 from cryptodatapy.extract.data_vendors.glassnode_api import Glassnode
+from cryptodatapy.extract.data_vendors.polygon_api import Polygon
 from cryptodatapy.extract.data_vendors.tiingo_api import Tiingo
 from cryptodatapy.extract.datarequest import DataRequest
+from cryptodatapy.extract.exchanges.dydx import Dydx
 from cryptodatapy.extract.libraries.ccxt_api import CCXT
 from cryptodatapy.extract.libraries.dbnomics_api import DBnomics
 from cryptodatapy.extract.libraries.pandasdr_api import PandasDataReader
@@ -92,10 +94,11 @@ class GetData:
             "dbnomics": DBnomics,
             "yahoo": PandasDataReader,
             "fred": PandasDataReader,
-            "av-daily": PandasDataReader,
-            "av-forex-daily": PandasDataReader,
+            "alphavantage": PandasDataReader,
+            "polygon": Polygon,
             "famafrench": PandasDataReader,
-            "aqr": AQR
+            "aqr": AQR,
+            "dydx": Dydx
         }
 
         # available attr and methods
@@ -202,10 +205,11 @@ class GetData:
             "dbnomics": DBnomics,
             "yahoo": PandasDataReader,
             "fred": PandasDataReader,
-            "av-daily": PandasDataReader,
-            "av-forex-daily": PandasDataReader,
+            "alphavantage": PandasDataReader,
+            "polygon": Polygon,
             "famafrench": PandasDataReader,
-            "aqr": AQR
+            "aqr": AQR,
+            "dydx": Dydx
         }
 
         # data source
@@ -269,10 +273,11 @@ class GetData:
             "dbnomics": DBnomics,
             "yahoo": PandasDataReader,
             "fred": PandasDataReader,
-            "av-daily": PandasDataReader,
-            "av-forex-daily": PandasDataReader,
+            "alphavantage": PandasDataReader,
+            "polygon": Polygon,
             "famafrench": PandasDataReader,
-            "aqr": AQR
+            "aqr": AQR,
+            "dydx": Dydx
         }
 
         # data source

cryptodatapy/extract/libraries/pandasdr_api.py

@@ -29,9 +29,12 @@ class PandasDataReader(Library):
             markets: Optional[Dict[str, List[str]]] = None,
             market_types: List[str] = ["spot", "future"],
             fields: Optional[Dict[str, List[str]]] = None,
-            frequencies: Optional[Dict[str, List[str]]] = ["d", "w", "m", "q", "y"],
+            frequencies: Optional[Dict[str, List[str]]] = ["d", "w", "m", "q", "y",
+                                                           "av-intraday", "av-daily", "av-weekly", "av-monthly",
+                                                           "av-daily-adjusted", "av-weekly-adjusted",
+                                                           "av-monthly-adjusted", "av-forex-daily"],
             base_url: Optional[str] = None,
-            api_key: Optional[str] = None,
+            api_key: str = data_cred.alpha_vantage_api_key,
             max_obs_per_call: Optional[int] = None,
             rate_limit: Optional[Any] = None,
     ):
@@ -228,7 +231,7 @@ class PandasDataReader(Library):
         # mkt type
         if self.data_req.mkt_type not in self.market_types:
             raise ValueError(
-                f"{self.data_req.mkt_type} is not available for {self.data_req.exch}."
+                f"{self.data_req.mkt_type} is not available."
             )
 
         # check fields
@@ -268,6 +271,20 @@ class PandasDataReader(Library):
                                         self.data_req.source_start_date,
                                         self.data_req.source_end_date)
 
+            # alpha vantage
+            elif self.data_req.source == "alphavantage":
+                for ticker, market in zip(self.data_req.source_tickers, self.data_req.source_markets):
+                    df1 = web.DataReader(market,
+                                         self.data_req.source_freq,
+                                         self.data_req.source_start_date,
+                                         self.data_req.source_end_date,
+                                         api_key=self.api_key)
+                    df1.index.name = 'date'
+                    df1['ticker'] = ticker
+                    df1.set_index(['ticker'], append=True, inplace=True)
+                    # concat df and df1
+                    self.data = pd.concat([self.data, df1])
+
             # fama-french
             elif data_req.source == "famafrench":
                 for ticker in self.data_req.source_tickers:

cryptodatapy/transform/clean.py

@@ -6,47 +6,6 @@ from cryptodatapy.transform.impute import Impute
 from cryptodatapy.transform.filter import Filter
 
 
-def stitch_dataframes(dfs):
-    """
-    Stitches together dataframes with different start dates.
-
-    Parameters
-    ----------
-    dfs: list
-        List of dataframes to be stitched together.
-
-    Returns
-    -------
-    combined_df: pd.DataFrame
-        Combined dataframe with extended start date.
-    """
-    # check if dfs is a list
-    if not isinstance(dfs, list):
-        raise TypeError("Dataframes must be a list.")
-
-    # check index types
-    if all([isinstance(df.index, pd.MultiIndex) for df in dfs]):
-        dfs.sort(key=lambda df: df.index.levels[0][0], reverse=True)
-    elif all([isinstance(df.index, pd.DatetimeIndex) for df in dfs]):
-        dfs.sort(key=lambda df: df.index[0], reverse=True)
-    else:
-        raise TypeError("Dataframes must be pd.MultiIndex or have DatetimeIndex.")
-
-    # most recent start date
-    combined_df = dfs[0]
-
-    # combine dfs
-    for df in dfs[1:]:
-        combined_df = combined_df.combine_first(df)
-
-    # reorder cols
-    max_columns = max(len(df.columns) for df in dfs)
-    cols = next(df.columns.tolist() for df in dfs if len(df.columns) == max_columns)
-    combined_df = combined_df[cols]
-
-    return combined_df
-
-
 class CleanData:
     """
     Cleans data to improve data quality.

cryptodatapy/transform/convertparams.py

@@ -2,6 +2,7 @@ import logging
 from datetime import datetime, timedelta
 from importlib import resources
 from typing import Dict, List, Union
+import re
 
 import pandas as pd
 
@@ -309,7 +310,7 @@ class ConvertParams:
                 except KeyError:
                     logging.warning(
                         f"{ticker} not found for Tiingo source. Check tickers in"
-                        f" data catalog and try again."
+                        f" data catalog or try using source_tickers parameter."
                     )
 
         # freq
@@ -667,7 +668,7 @@ class ConvertParams:
 
     def to_wb(self) -> Dict[str, Union[list, str, int, float, datetime, None]]:
         """
-        Convert tickers from CryptoDataPy to Yahoo Finance format.
+        Convert tickers from CryptoDataPy to World Bank format.
         """
         # tickers
         with resources.path("cryptodatapy.conf", "tickers.csv") as f:
@@ -780,6 +781,72 @@ class ConvertParams:
 
         return self.data_req
 
+    def to_alphavantage(self) -> DataRequest:
+        """
+        Convert tickers from CryptoDataPy to Alpha Vantage format.
+        """
+        # tickers
+        if self.data_req.source_tickers is None:
+            self.data_req.source_tickers = [ticker.upper() for ticker in self.data_req.tickers]
+
+        # convert quote ccy
+        if self.data_req.quote_ccy is None:
+            self.data_req.quote_ccy = "USD"
+        else:
+            self.data_req.quote_ccy = self.data_req.quote_ccy.upper()
+
+        # start date
+        self.data_req.source_start_date = self.data_req.start_date
+
+        # end date
+        self.data_req.source_end_date = self.data_req.end_date
+
+        # fields
+        if self.data_req.source_fields is None:
+            self.data_req.source_fields = self.data_req.fields
+
+        # tz
+        if self.data_req.tz is None:
+            self.data_req.tz = "America/New_York"
+
+        # freq
+        if self.data_req.cat == 'eqty':
+
+            # freq
+            if self.data_req.source_freq is None:
+                self.data_req.source_freq = 'av-daily'
+            elif self.data_req.freq in ['1min', '5min', '15min', '30min', '1h', '2h', '4h', '6h', '8h']:
+                self.data_req.source_freq = 'av-intraday'
+            elif self.data_req.freq == 'd':
+                self.data_req.source_freq = 'av-daily'
+            elif self.data_req.freq == 'w':
+                self.data_req.source_freq = 'av-weekly'
+            elif self.data_req.freq == 'm':
+                self.data_req.source_freq = 'av-monthly'
+            else:
+                self.data_req.source_freq = 'av-daily'
+
+            # adjusted prices
+            if any(col.endswith('_adj') for col in self.data_req.fields) and self.data_req.freq in ['d', 'w', 'm']:
+                self.data_req.source_freq = self.data_req.source_freq + '-adjusted'
+
+            # markets
+            if self.data_req.source_markets is None:
+                self.data_req.source_markets = self.data_req.source_tickers
+
+        elif self.data_req.cat == 'fx':
+
+            # freq
+            if self.data_req.source_freq is None:
+                self.data_req.source_freq = 'av-forex-daily'
+
+            # markets
+            if self.data_req.source_markets is None:
+                self.data_req.source_markets = [ticker + '/' + self.data_req.quote_ccy
+                                                for ticker in self.data_req.tickers]
+
+        return self.data_req
+
     def to_famafrench(self) -> DataRequest:
         """
         Convert tickers from CryptoDataPy to Fama-French format.
@@ -818,6 +885,84 @@ class ConvertParams:
 
         return self.data_req
 
+    def to_polygon(self) -> DataRequest:
+        """
+        Convert tickers from CryptoDataPy to Polygon format.
+        """
+        # tickers
+        with resources.path("cryptodatapy.conf", "tickers.csv") as f:
+            tickers_path = f
+        tickers_df = pd.read_csv(tickers_path, index_col=0, encoding="latin1")
+
+        if self.data_req.source_tickers is None and self.data_req.cat == 'eqty':
+            self.data_req.source_tickers = []
+            for ticker in self.data_req.tickers:
+                try:
+                    self.data_req.source_tickers.append(tickers_df.loc[ticker, "polygon_id"])
+                except KeyError:
+                    logging.warning(
+                        f"{ticker} not found for Polygon source. Check tickers in"
+                        f" data catalog or try using source_tickers parameter."
+                    )
+
+        # freq
+        if self.data_req.source_freq is None:
+            if self.data_req.freq is None:
+                self.data_req.source_freq = "day"
+            elif self.data_req.freq[-1] == "s":
+                self.data_req.source_freq = "second"
+            elif self.data_req.freq[-3:] == "min":
+                self.data_req.source_freq = "minute"
+            elif self.data_req.freq[-1] == "h":
+                self.data_req.source_freq = "hour"
+            elif self.data_req.freq == "w":
+                self.data_req.source_freq = "week"
+            elif self.data_req.freq == "m":
+                self.data_req.source_freq = "month"
+            elif self.data_req.freq == "q":
+                self.data_req.source_freq = "quarter"
+            elif self.data_req.freq == "y":
+                self.data_req.source_freq = "year"
+            else:
+                self.data_req.source_freq = "day"
+
+        # quote ccy
+        if self.data_req.quote_ccy is None:
+            self.data_req.quote_ccy = "usd"
+        else:
+            self.data_req.quote_ccy = self.data_req.quote_ccy.lower()
+
+        # markets
+        if self.data_req.source_markets is None:
+            if self.data_req.cat == 'fx':
+                self.data_req.source_markets = [ticker.upper() + self.data_req.quote_ccy.upper()
+                           for ticker in self.data_req.tickers]
+
+        # start date
+        if self.data_req.start_date is None:
+            two_years_ago = pd.Timestamp.today() - pd.DateOffset(years=2)
+            self.data_req.source_start_date = two_years_ago.strftime("%Y-%m-%d")
+        else:
+            self.data_req.source_start_date = self.data_req.start_date
+
+        # end date
+        if self.data_req.end_date is None:
+            self.data_req.source_end_date = str(pd.Timestamp.utcnow().date())
+        else:
+            self.data_req.source_end_date = self.data_req.end_date
+
+        # fields
+        if self.data_req.source_fields is None:
+            self.data_req.source_fields = self.convert_fields(data_source='polygon')
+
+        # tz
+        if self.data_req.cat == 'eqty' or self.data_req.cat == 'fx':
+            self.data_req.tz = "America/New_York"
+        else:
+            self.data_req.tz = "UTC"
+
+        return self.data_req
+
     def to_aqr(self) -> Dict[str, Union[list, str, int, dict, float, datetime, None]]:
         """
         Convert tickers from CryptoDataPy to AQR format.
@@ -911,79 +1056,6 @@ class ConvertParams:
             "source_fields": self.data_req.source_fields,
         }
 
-    def convert_fx_tickers(self, quote_ccy: str) -> List[str]:
-        """
-        Converts base and quote currency tickers to fx pairs following fx quoting convention.
-
-        Parameters
-        ---------
-        quote_ccy: str
-            Quote currency
-
-        Returns
-        -------
-        quote_ccy: str
-            Quote currency.
-        """
-        mkts = []  # fx pairs list
-        # fx groups
-        base_ccys = ["EUR", "GBP", "AUD", "NZD"]
-        # g10_fx = ['USD', 'EUR', 'GBP', 'JPY', 'CHF', 'CAD', 'AUD', 'NZD', 'NOK', 'SEK']
-        # dm_fx = ['USD', 'EUR', 'GBP', 'JPY', 'CHF', 'CAD', 'AUD', 'NZD', 'NOK', 'SEK', 'SGD', 'ILS', 'HKD', ]
-        # em_fx = ['ARS', 'BRL', 'CHN', 'CLP', 'CNY', 'COP', 'IDR', 'INR', 'KRW', 'MYR', 'MXN', 'PEN', 'PHP', 'RUB',
-        #          'TRY', 'TWD', 'ZAR']
-
-        for ticker in self.data_req.tickers:
-            if ticker.upper() in base_ccys and quote_ccy.upper() == "USD":
-                mkts.append(ticker.upper() + "/" + quote_ccy.upper())
-            elif quote_ccy.upper() == "USD":
-                mkts.append(quote_ccy.upper() + "/" + ticker.upper())
-            else:
-                mkts.append(ticker.upper() + "/" + quote_ccy.upper())
-
-        return mkts
-
-    def convert_fields(self, data_source: str) -> List[str]:
-        """
-        Converts fields from CryptoDataPy to data source format.
-
-        Parameters
-        ---------
-        data_source: str
-            Name of data source for fields conversions.
-
-        Returns
-        -------
-        fields_list: list
-            List of fields in data source format.
-
-        """
-        # fields
-        with resources.path("cryptodatapy.conf", "fields.csv") as f:
-            fields_dict_path = f
-        fields_df, fields_list = (
-            pd.read_csv(fields_dict_path, index_col=0, encoding="latin1"),
-            [],
-        )
-
-        # when source fields already provided in data req
-        if self.data_req.source_fields is not None:
-            fields_list = self.data_req.source_fields
-
-        # convert to source format
-        else:
-            for field in self.data_req.fields:
-                try:
-                    fields_list.append(fields_df.loc[field, data_source + "_id"])
-                except KeyError as e:
-                    logging.warning(e)
-                    logging.warning(
-                        f"Id for {field} could not be found in the data catalog."
-                        f" Try using source field ids."
-                    )
-
-        return fields_list
-
     def to_dydx_dict(self) -> Dict[str, Union[list, str, int, float, None]]:
         """
         Convert parameters from CryptoDataPy to dYdX format.
@@ -1101,3 +1173,78 @@ class ConvertParams:
                 'oi': 'openInterest'
             }
         return self.data_req
+
+    def convert_fx_tickers(self, quote_ccy: str) -> List[str]:
+        """
+        Converts base and quote currency tickers to fx pairs following fx quoting convention.
+
+        Parameters
+        ---------
+        quote_ccy: str
+            Quote currency
+
+        Returns
+        -------
+        quote_ccy: str
+            Quote currency.
+        """
+        mkts = []  # fx pairs list
+
+        # fx groups
+        base_ccys = ["EUR", "GBP", "AUD", "NZD"]
+        g10_fx = ['USD', 'EUR', 'GBP', 'JPY', 'CHF', 'CAD', 'AUD', 'NZD', 'NOK', 'SEK']
+        dm_fx = ['USD', 'EUR', 'GBP', 'JPY', 'CHF', 'CAD', 'AUD', 'NZD', 'NOK', 'SEK', 'DKK', 'SGD', 'HKD']
+        em_fx = ['ARS', 'BRL', 'CHN', 'CLP', 'CNY', 'COP', 'CZK', 'HUF', 'IDR', 'INR', 'ILS', 'KRW', 'MYR', 'MXN',
+        'PEN', 'PHP', 'PLN', 'RUB', 'THB', 'TRY', 'TWD', 'ZAR']
+        em_ndf_fx = ['ARS', 'BRL', 'CNY', 'CLP', 'COP', 'IDR', 'INR', 'KRW', 'PEN', 'PHP', 'RUB', 'THB', 'TRY', 'TWD']
+
+        for ticker in self.data_req.tickers:
+            if ticker.upper() in base_ccys and quote_ccy.upper() == "USD":
+                mkts.append(ticker.upper() + "/" + quote_ccy.upper())
+            elif quote_ccy.upper() == "USD":
+                mkts.append(quote_ccy.upper() + "/" + ticker.upper())
+            else:
+                mkts.append(ticker.upper() + "/" + quote_ccy.upper())
+
+        return mkts
+
+    def convert_fields(self, data_source: str) -> List[str]:
+        """
+        Converts fields from CryptoDataPy to data source format.
+
+        Parameters
+        ---------
+        data_source: str
+            Name of data source for fields conversions.
+
+        Returns
+        -------
+        fields_list: list
+            List of fields in data source format.
+
+        """
+        # fields
+        with resources.path("cryptodatapy.conf", "fields.csv") as f:
+            fields_dict_path = f
+        fields_df, fields_list = (
+            pd.read_csv(fields_dict_path, index_col=0, encoding="latin1"),
+            [],
+        )
+
+        # when source fields already provided in data req
+        if self.data_req.source_fields is not None:
+            fields_list = self.data_req.source_fields
+
+        # convert to source format
+        else:
+            for field in self.data_req.fields:
+                try:
+                    fields_list.append(fields_df.loc[field, data_source + "_id"])
+                except KeyError as e:
+                    logging.warning(e)
+                    logging.warning(
+                        f"Id for {field} could not be found in the data catalog."
+                        f" Try using source field ids."
+                    )
+
+        return fields_list

cryptodatapy/transform/wrangle.py

@@ -673,6 +673,44 @@ class WrangleData:
 
         return self.data_resp
 
+    def polygon(self) -> pd.DataFrame:
+        """
+        Wrangles Polygon data response to dataframe with tidy data format.
+
+        Returns
+        -------
+        pd.DataFrame
+            Wrangled dataframe into tidy data format.
+
+        """
+        # create df
+        self.data_resp = pd.DataFrame(self.data_resp)
+
+        # convert cols/fields to lib
+        self.convert_fields_to_lib(data_source='polygon')
+
+        # convert to datetime
+        self.data_resp['date'] = pd.to_datetime(self.data_resp['date'], unit='ms')
+
+        # set index
+        self.data_resp = self.data_resp.set_index('date').sort_index()
+
+        # resample
+        self.data_resp = self.data_resp.resample(self.data_req.freq).last()
+
+        # type conversion
+        self.data_resp = self.data_resp.convert_dtypes()
+
+        # remove bad data
+        self.data_resp = self.data_resp[~self.data_resp.index.duplicated()]  # duplicate rows
+        self.data_resp = self.data_resp.dropna(how='all').dropna(how='all', axis=1)  # entire row or col NaNs
+        self.data_resp = self.data_resp[self.data_resp != 0]
+
+        # keep only requested fields and sort index
+        self.data_resp = self.data_resp[self.data_req.fields].sort_index()
+
+        return self.data_resp
+
     def investpy(self) -> pd.DataFrame:
         """
         Wrangles InvestPy data response to dataframe with tidy data format.
@@ -957,6 +995,38 @@ class WrangleData:
 
         return self.data_resp
 
+    def alphavantage(self) -> pd.DataFrame:
+        """
+        Wrangles Alpha Vantage data response to dataframe with tidy data format.
+
+        Returns
+        -------
+        pd.DataFrame
+            Wrangled dataframe into tidy data format.
+        """
+        # index
+        self.data_resp.reset_index(inplace=True)
+        self.data_resp['date'] = pd.to_datetime(self.data_resp['date'])
+        self.data_resp.set_index(['date', 'ticker'], inplace=True)
+
+        # resample
+        self.data_resp = self.data_resp.groupby('ticker').\
+            resample(self.data_req.freq, level='date').\
+            last().swaplevel('ticker', 'date').sort_index()
+
+        # type conversion
+        self.data_resp = self.data_resp.convert_dtypes()
+
+        # remove bad data
+        self.data_resp = self.data_resp[self.data_resp != 0]  # 0 values
+        self.data_resp = self.data_resp[~self.data_resp.index.duplicated()]  # duplicate rows
+        self.data_resp = self.data_resp.dropna(how='all').dropna(how='all', axis=1)  # entire row or col NaNs
+
+        # keep only requested fields and sort index
+        self.data_resp = self.data_resp[self.data_req.fields].sort_index()
+
+        return self.data_resp
+
     def famafrench(self) -> pd.DataFrame:
         """
         Wrangles Fama-French data response to dataframe with tidy data format.
@@ -1175,4 +1245,4 @@ class WrangleData:
         if self.data_req.end_date is not None:
             self.data_resp = self.data_resp[(self.data_resp.index <= self.data_req.end_date)]
 
-        return self
+        return self

cryptodatapy/util/datacredentials.py

@@ -37,6 +37,16 @@ class DataCredentials:
         tiingo_api_key: str = os.environ['TIINGO_API_KEY']
     except KeyError:
         tiingo_api_key: str = None
+    # alpha vantage api key
+    try:
+        alpha_vantage_api_key: str = os.environ['ALPHAVANTAGE_API_KEY']
+    except KeyError:
+        alpha_vantage_api_key: str = None
+    # polygon api key
+    try:
+        polygon_api_key: str = os.environ['POLYGON_API_KEY']
+    except KeyError:
+        polygon_api_key: str = None
     # coinmetrics api key
     try:
         coinmetrics_api_key: str = os.environ['COINMETRICS_API_KEY']
@@ -52,6 +62,7 @@ class DataCredentials:
         coinmetrics_base_url: str = 'https://api.coinmetrics.io/v4'
     else:
         coinmetrics_base_url: str = 'https://community-api.coinmetrics.io/v4'
+    polygon_base_url: str = 'https://api.polygon.io/v3/reference/'
 
     # API endpoints
     cryptomcompare_endpoints: dict = field(default_factory=lambda: {

cryptodatapy/util/utils.py

@@ -0,0 +1,82 @@
+import pandas as pd
+
+
+def stitch_dataframes(df1: pd.DataFrame, df2: pd.DataFrame) -> pd.DataFrame:
+    """
+    Stitches together dataframes with different start dates.
+
+    Parameters
+    ----------
+    df1: pd.DataFrame
+        First dataframe to be stitched.
+    df2: pd.DataFrame
+        Second dataframe to be stitched.
+
+    Returns
+    -------
+    combined_df: pd.DataFrame
+        Combined or stitched dataframes with extended data.
+    """
+    # forward fill missing values
+    updated_df = df1.reindex(index=df2.index, columns=df2.columns).fillna(df2)
+    combined_df = df1.combine_first(updated_df)
+
+    return combined_df
+
+
+def rebase_fx_to_foreign_vs_usd(df) -> pd.DataFrame:
+    """
+    Rebase FX rates to foreign currency vs. USD format, so that an increase
+    means the foreign currency is appreciating. Works for both MultiIndex
+    (date, ticker) and single-index (date index, tickers as columns).
+
+    Parameters
+    ----------
+    df : pd.DataFrame
+        FX DataFrame with either:
+        - MultiIndex (date, ticker)
+        - Datetime index and tickers as columns
+
+    Returns
+    -------
+    pd.DataFrame
+        Rebased FX rates with tickers as foreign currency (e.g., 'EUR', 'JPY').
+    """
+    df = df.copy()
+
+    def get_foreign_currency(ticker: str) -> str:
+        if ticker.startswith("USD"):
+            return ticker[3:]  # USDJPY → JPY
+        elif ticker.endswith("USD"):
+            return ticker[:3]  # EURUSD → EUR
+        else:
+            raise ValueError(f"Unexpected ticker format: {ticker}")
+
+    if isinstance(df.index, pd.MultiIndex):
+        # MultiIndex: (date, ticker)
+        tickers = df.index.get_level_values(1)
+        inverted = tickers.str.startswith("USD")
+
+        # Invert rates for USDXXX
+        df[inverted] = 1 / df[inverted]
+
+        # Rename all tickers to just the foreign currency symbol
+        new_tickers = tickers.map(get_foreign_currency)
+        df.index = pd.MultiIndex.from_arrays(
+            [df.index.get_level_values(0), new_tickers],
+            names=df.index.names
+        )
+
+    else:
+        # Single index (datetime), columns = tickers
+        rebased = {}
+        for col in df.columns:
+            fx = get_foreign_currency(col)
+            if col.startswith("USD"):
+                rebased[fx] = 1 / df[col]
+            else:
+                rebased[fx] = df[col]
+
+        df = pd.DataFrame(rebased, index=df.index)
+
+    return df.sort_index()