cryptodatapy 0.2.7__py3-none-any.whl → 0.2.9__py3-none-any.whl

cryptodatapy/transform/convertparams.py

@@ -688,108 +688,78 @@ class ConvertParams:
         # convert tickers
         with resources.path("cryptodatapy.conf", "tickers.csv") as f:
             tickers_path = f
-        tickers_df, tickers = pd.read_csv(tickers_path, index_col=0, encoding="latin1"), []
+        tickers_df = pd.read_csv(tickers_path, index_col=0, encoding="latin1")
 
-        if self.data_req.source_tickers is not None:
-            tickers = self.data_req.source_tickers
-            self.data_req.tickers = self.data_req.source_tickers
-        else:
+        if self.data_req.source_tickers is None:
+            self.data_req.source_tickers = []
             for ticker in self.data_req.tickers:
                 try:
-                    tickers.append(tickers_df.loc[ticker, "fred_id"])
+                    self.data_req.source_tickers.append(tickers_df.loc[ticker, "fred_id"])
                 except KeyError:
                     logging.warning(
-                        f"{ticker} not found for Fred data source. Check tickers in"
+                        f"{ticker} not found for Fred source. Check tickers in"
                         f" data catalog and try again."
                     )
-                    self.data_req.tickers.remove(ticker)
-        # convert freq
-        if self.data_req.source_freq is not None:
-            freq = self.data_req.source_freq
-            self.data_req.freq = self.data_req.source_freq
-        else:
-            freq = self.data_req.freq
-        # convert quote ccy
-        quote_ccy = self.data_req.quote_ccy
+
+        # freq
+        if self.data_req.source_freq is None:
+            self.data_req.source_freq = self.data_req.freq
+
         # start date
-        if self.data_req.start_date is None:
-            start_date = datetime(1920, 1, 1)
+        if self.data_req.source_start_date is None:
+            self.data_req.source_start_date = pd.Timestamp('1920-01-01')
         else:
-            start_date = self.data_req.start_date
+            self.data_req.source_start_date = self.data_req.start_date
+
         # end date
         if self.data_req.end_date is None:
-            end_date = pd.Timestamp.utcnow()
+            self.data_req.source_end_date = pd.Timestamp.utcnow().tz_localize(None)
         else:
-            end_date = self.data_req.end_date
+            self.data_req.source_end_date = self.data_req.end_date
+
         # fields
-        if self.data_req.source_fields is not None:
-            fields = self.data_req.source_fields
-            self.data_req.fields = self.data_req.source_fields
-        else:
-            fields = self.convert_fields(data_source='fred')
+        if self.data_req.source_fields is None:
+            self.data_req.source_fields = self.convert_fields(data_source='fred')
+
         # tz
         if self.data_req.tz is None:
-            tz = "America/New_York"
-        else:
-            tz = self.data_req.tz
+            self.data_req.tz = "America/New_York"
 
-        return {
-            "tickers": tickers,
-            "freq": freq,
-            "quote_ccy": quote_ccy,
-            "exch": self.data_req.exch,
-            "ctys": None,
-            "mkt_type": self.data_req.mkt_type,
-            "mkts": None,
-            "start_date": start_date,
-            "end_date": end_date,
-            "fields": fields,
-            "tz": tz,
-            "inst": None,
-            "cat": self.data_req.cat,
-            "trials": self.data_req.trials,
-            "pause": self.data_req.pause,
-            "source_tickers": self.data_req.source_tickers,
-            "source_freq": self.data_req.source_freq,
-            "source_fields": self.data_req.source_fields,
-        }
+        return self.data_req
 
     def to_wb(self) -> Dict[str, Union[list, str, int, float, datetime, None]]:
         """
         Convert tickers from CryptoDataPy to Yahoo Finance format.
         """
-        # convert tickers
+        # tickers
         with resources.path("cryptodatapy.conf", "tickers.csv") as f:
             tickers_path = f
-        tickers_df, tickers = pd.read_csv(tickers_path, index_col=0, encoding="latin1"), []
+        tickers_df = pd.read_csv(tickers_path, index_col=0, encoding="latin1")
 
-        if self.data_req.source_tickers is not None:
-            tickers = self.data_req.source_tickers
-            self.data_req.tickers = self.data_req.source_tickers
-        else:
+        if self.data_req.source_tickers is None:
+            self.data_req.source_tickers = []
             for ticker in self.data_req.tickers:
                 try:
-                    tickers.append(tickers_df.loc[ticker, "wb_id"])
+                    self.data_req.source_tickers.append(tickers_df.loc[ticker, "wb_id"])
                 except KeyError:
                     logging.warning(
-                        f"{ticker} not found for World Bank data source. Check tickers in"
+                        f"{ticker} not found for World Bank source. Check tickers in"
                         f" data catalog and try again."
                     )
-                    self.data_req.tickers.remove(ticker)
         # drop dupes
-        tickers = list(set(tickers))
-        # convert freq
-        if self.data_req.source_freq is not None:
-            freq = self.data_req.source_freq
-            self.data_req.freq = self.data_req.source_freq
-        else:
-            freq = self.data_req.freq
+        self.data_req.source_tickers = list(set(self.data_req.source_tickers))
+
+        # freq
+        if self.data_req.source_freq is None:
+            self.data_req.source_freq = self.data_req.freq
+
         # convert quote ccy
         if self.data_req.quote_ccy is None:
-            quote_ccy = "USD"
+            self.data_req.quote_ccy = "USD"
         else:
-            quote_ccy = self.data_req.quote_ccy.upper()
-        # convert ctys
+            self.data_req.quote_ccy = self.data_req.quote_ccy.upper()
+
+        # ctys
         ctys_list = []
         if self.data_req.cat == "macro":
             for ticker in self.data_req.tickers:
@@ -800,62 +770,44 @@ class ConvertParams:
                         f"{ticker} not found for {self.data_req.source} source. Check tickers in "
                         f"data catalog and try again."
                     )
-        ctys_list = list(set(ctys_list))
+        self.data_req.ctys = list(set(ctys_list))
+
         # start date
         if self.data_req.start_date is None:
-            start_date = 1920
+            self.data_req.source_start_date = 1920
         else:
-            start_date = int(self.data_req.start_date.year)
+            self.data_req.source_start_date = int(self.data_req.start_date.year)
+
         # end date
         if self.data_req.end_date is None:
-            end_date = pd.Timestamp.utcnow().year
+            self.data_req.source_end_date = pd.Timestamp.utcnow().year
         else:
-            end_date = int(self.data_req.end_date.year)
+            self.data_req.source_end_date = int(self.data_req.end_date.year)
+
         # fields
-        if self.data_req.source_fields is not None:
-            fields = self.data_req.source_fields
-            self.data_req.fields = self.data_req.source_fields
-        else:
-            fields = self.convert_fields(data_source='wb')
+        if self.data_req.source_fields is None:
+            self.data_req.source_fields = self.convert_fields(data_source='wb')
 
-        return {
-            "tickers": tickers,
-            "freq": freq,
-            "quote_ccy": quote_ccy,
-            "exch": self.data_req.exch,
-            "ctys": ctys_list,
-            "mkt_type": None,
-            "mkts": None,
-            "start_date": start_date,
-            "end_date": end_date,
-            "fields": fields,
-            "tz": self.data_req.tz,
-            "inst": None,
-            "cat": self.data_req.cat,
-            "trials": self.data_req.trials,
-            "pause": self.data_req.pause,
-            "source_tickers": self.data_req.source_tickers,
-            "source_freq": self.data_req.source_freq,
-            "source_fields": self.data_req.source_fields,
-        }
+        return self.data_req
 
-    def to_yahoo(self) -> Dict[str, Union[list, str, int, float, datetime, None]]:
+    def to_yahoo(self) -> DataRequest:
         """
         Convert tickers from CryptoDataPy to Yahoo Finance format.
         """
         # tickers
         with resources.path("cryptodatapy.conf", "tickers.csv") as f:
             tickers_path = f
-        tickers_df, tickers = pd.read_csv(tickers_path, index_col=0, encoding="latin1"), []
+        tickers_df = pd.read_csv(tickers_path, index_col=0, encoding="latin1")
 
         if self.data_req.source_tickers is None:
             if self.data_req.cat == 'eqty':
                 self.data_req.source_tickers = [ticker.upper() for ticker in self.data_req.tickers]
+                self.data_req.tickers = self.data_req.source_tickers
             else:
                 self.data_req.source_tickers = []
+                if self.data_req.cat == 'fx':
+                    self.data_req.tickers = [ticker.upper() for ticker in self.data_req.tickers]
                 for ticker in self.data_req.tickers:
-                    if self.data_req.cat == 'fx':
-                        ticker = ticker.upper()
                     try:
                         self.data_req.source_tickers.append(tickers_df.loc[ticker, "yahoo_id"])
                     except KeyError:
@@ -888,88 +840,45 @@ class ConvertParams:
         if self.data_req.tz is None:
             self.data_req.tz = "America/New_York"
 
-        # return {
-        #     "tickers": tickers,
-        #     "freq": freq,
-        #     "quote_ccy": quote_ccy,
-        #     "exch": self.data_req.exch,
-        #     "ctys": None,
-        #     "mkt_type": self.data_req.mkt_type,
-        #     "mkts": None,
-        #     "start_date": start_date,
-        #     "end_date": end_date,
-        #     "fields": fields,
-        #     "tz": tz,
-        #     "inst": None,
-        #     "cat": self.data_req.cat,
-        #     "trials": self.data_req.trials,
-        #     "pause": self.data_req.pause,
-        #     "source_tickers": self.data_req.source_tickers,
-        #     "source_freq": self.data_req.source_freq,
-        #     "source_fields": self.data_req.source_fields,
-        # }
-
-    def to_famafrench(self) -> Dict[str, Union[list, str, int, float, datetime, None]]:
+        return self.data_req
+
+    def to_famafrench(self) -> DataRequest:
         """
         Convert tickers from CryptoDataPy to Fama-French format.
         """
-        # convert tickers
+        # tickers
         with resources.path("cryptodatapy.conf", "tickers.csv") as f:
             tickers_path = f
-        tickers_df, tickers = pd.read_csv(tickers_path, index_col=0, encoding="latin1"), []
+        tickers_df = pd.read_csv(tickers_path, index_col=0, encoding="latin1")
 
-        if self.data_req.source_tickers is not None:
-            tickers = self.data_req.source_tickers
-            self.data_req.tickers = self.data_req.source_tickers
-        else:
+        if self.data_req.source_tickers is None:
+            self.data_req.source_tickers = []
             for ticker in self.data_req.tickers:
                 try:
-                    tickers.append(tickers_df.loc[ticker, "famafrench_id"])
+                    self.data_req.source_tickers.append(tickers_df.loc[ticker, "famafrench_id"])
                 except KeyError:
                     logging.warning(
                         f"{ticker} not found for Fama-French source. Check tickers in"
                         f" data catalog and try again."
                     )
-                    self.data_req.tickers.remove(ticker)
-        # convert freq
-        if self.data_req.source_freq is not None:
-            freq = self.data_req.source_freq
-            self.data_req.freq = self.data_req.source_freq
-        else:
-            freq = self.data_req.freq
-        # convert quote ccy
-        quote_ccy = self.data_req.quote_ccy
+
+        # freq
+        if self.data_req.source_freq is None:
+            self.data_req.source_freq = self.data_req.freq
+
         # start date
         if self.data_req.start_date is None:
-            start_date = datetime(1920, 1, 1)
+            self.data_req.source_start_date = datetime(1920, 1, 1)
         else:
-            start_date = self.data_req.start_date
+            self.data_req.source_start_date = self.data_req.start_date
+
         # end date
         if self.data_req.end_date is None:
-            end_date = pd.Timestamp.utcnow().date()
+            self.data_req.source_end_date = datetime.now()
         else:
-            end_date = self.data_req.end_date
+            self.data_req.source_end_date = self.data_req.end_date
 
-        return {
-            "tickers": tickers,
-            "freq": freq,
-            "quote_ccy": quote_ccy,
-            "exch": self.data_req.exch,
-            "ctys": None,
-            "mkt_type": self.data_req.mkt_type,
-            "mkts": None,
-            "start_date": start_date,
-            "end_date": end_date,
-            "fields": self.data_req.fields,
-            "tz": self.data_req.tz,
-            "inst": None,
-            "cat": self.data_req.cat,
-            "trials": self.data_req.trials,
-            "pause": self.data_req.pause,
-            "source_tickers": self.data_req.source_tickers,
-            "source_freq": self.data_req.source_freq,
-            "source_fields": self.data_req.source_fields,
-        }
+        return self.data_req
 
     def to_aqr(self) -> Dict[str, Union[list, str, int, dict, float, datetime, None]]:
         """

cryptodatapy/transform/wrangle.py

@@ -717,16 +717,22 @@ class WrangleData:
         """
         # convert fields to lib
         self.convert_fields_to_lib(data_source='dbnomics')
+
         # convert to datetime
         self.data_resp['date'] = pd.to_datetime(self.data_resp['date'])
+
         # 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().ffill()
+
         # filter dates
         self.filter_dates()
+
         # type conversion
         self.data_resp = self.data_resp.apply(pd.to_numeric, errors='coerce').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
@@ -862,24 +868,29 @@ class WrangleData:
         -------
         pd.DataFrame
             Wrangled dataframe into tidy data format.
-
         """
-        # convert tickers to cryptodatapy format
+        # tickers
         self.data_resp.columns = self.data_req.tickers  # convert tickers to cryptodatapy format
+
         # resample to match end of reporting period, not beginning
         self.data_resp = self.data_resp.resample('d').last().ffill().resample(self.data_req.freq).last().stack(). \
             to_frame().reset_index()
+
         # convert cols
         if self.data_req.cat == 'macro':
             self.data_resp.columns = ['DATE', 'symbol', 'actual']
         else:
             self.data_resp.columns = ['DATE', 'symbol', 'close']
-        # convert fields to lib
+
+        # fields
         self.convert_fields_to_lib(data_source='fred')
-        # set index
+
+        # index
         self.data_resp.set_index(['date', 'ticker'], inplace=True)
+
         # type conversion
         self.data_resp = self.data_resp.apply(pd.to_numeric, errors='coerce').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
@@ -896,37 +907,41 @@ class WrangleData:
         pd.DataFrame
             Wrangled dataframe into tidy data format.
         """
-        # convert tickers
-        if len(self.data_req.tickers) == 1:  # add ticker
-            if self.data_req.cat == 'eqty' or self.data_req.cat == 'fx':
-                self.data_resp['Ticker'] = self.data_req.tickers[0].upper()
-            else:
-                self.data_resp['Ticker'] = self.data_req.tickers[0]
-        else:   # convert tickers to cryptodatapy format
-            self.data_resp = self.data_resp.stack()  # stack to multi-index
+        # tickers
+        tickers_dict = {source_ticker: ticker for source_ticker, ticker in zip(self.data_req.source_tickers,
+                        self.data_req.tickers)}
+        if len(self.data_req.tickers) == 1:
+            self.data_resp['Ticker'] = self.data_req.tickers[0]
+        else:
+            self.data_resp = self.data_resp.stack()
             self.data_resp.index.names = ['Date', 'Ticker']
-            if self.data_req.cat == 'eqty' or self.data_req.cat == 'fx':
-                self.data_resp.index = self.data_resp.index.set_levels([ticker.upper() for ticker in
-                                                                        self.data_req.tickers], level=1)
-            else:
-                self.data_resp.index = self.data_resp.index.set_levels([ticker for ticker in self.data_req.tickers],
-                                                                       level=1)
+            self.data_resp.index = self.data_resp.index.set_levels(self.data_resp.index.levels[1].map(tickers_dict),
+                                                                   level=1)
         self.data_resp.reset_index(inplace=True)
-        # convert fields
+
+        #  fields
         self.convert_fields_to_lib(data_source='yahoo')
-        # convert to datetime
+
+        # index
         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.set_index('date').groupby('ticker').resample(self.data_req.freq).last().\
-            droplevel(0).reset_index().set_index(['date', 'ticker'])
+        self.data_resp = self.data_resp.groupby('ticker').\
+            resample(self.data_req.freq, level='date').\
+            last().swaplevel('ticker', 'date').sort_index()
+
         # re-order cols
         self.data_resp = self.data_resp.loc[:, ['open', 'high', 'low', 'close', 'close_adj', 'volume']]
+
         # type conversion
         self.data_resp = self.data_resp.apply(pd.to_numeric, errors='coerce').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()
 
@@ -942,7 +957,7 @@ class WrangleData:
             Wrangled dataframe into tidy data format.
 
         """
-        # convert tickers to cryptodatapy format
+        # ticker
         ff_tickers_dict = {'RF': 'US_Rates_1M_RF',
                            'Mkt-RF': 'US_Eqty_CSRP_ER',
                            'HML': 'US_Eqty_Val',
@@ -951,6 +966,7 @@ class WrangleData:
                            'CMA': 'US_Eqty_Inv',
                            'Mom': 'US_Eqty_Mom',
                            'ST_Rev': 'US_Eqty_STRev'}
+
         # remove white space from cols str
         self.data_resp.columns = [col.strip() for col in self.data_resp.columns]
         # keep cols in data req tickers
@@ -959,14 +975,18 @@ class WrangleData:
         drop_cols = [col for col in self.data_resp.columns if col not in self.data_req.tickers]
         self.data_resp.drop(columns=drop_cols, inplace=True)
         self.data_resp = self.data_resp.loc[:, ~self.data_resp.columns.duplicated()]  # drop dup cols
+
         # resample freq
         self.data_resp = self.data_resp.resample(self.data_req.freq).sum()
+
         # format index
         self.data_resp.index.name = 'date'  # rename
         self.data_resp = self.data_resp.stack().to_frame('er')
         self.data_resp.index.names = ['date', 'ticker']
+
         # type and conversion to decimals
         self.data_resp = self.data_resp.apply(pd.to_numeric, errors='coerce').convert_dtypes() / 100
+
         # 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

{cryptodatapy-0.2.7.dist-info → cryptodatapy-0.2.9.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: cryptodatapy
-Version: 0.2.7
+Version: 0.2.9
 Summary: Cryptoasset data library
 License: Apache-2.0
 Author: Systamental

{cryptodatapy-0.2.7.dist-info → cryptodatapy-0.2.9.dist-info}/RECORD

@@ -1,7 +1,6 @@
 cryptodatapy/__init__.py,sha256=ee1UaINHZn1A_SZ96XM3hCguQEJgiPTvKlnYsk3mmS4,185
 cryptodatapy/conf/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 cryptodatapy/conf/fields.csv,sha256=Xjs_sWIY4DuhdHlWOPo0pgDC8sHYA6xzf6kb0PuUp9w,25735
-cryptodatapy/conf/fx_tickers.csv,sha256=vqbY93_6Zi4vXg8iu0veXZ-NDm_NV2rrmb5lNYRqNUA,288
 cryptodatapy/conf/tickers.csv,sha256=Bs9KfDKawoUPKIQZMN8CtoLYJuzOkwLh2il30c8CsqE,357066
 cryptodatapy/datasets/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 cryptodatapy/datasets/br_econ_calendar.csv,sha256=mSM0IOIByI-0gIIL1CbDQPqHYI5lK6vavrY1ODj3Jlk,1185318
@@ -27,47 +26,37 @@ cryptodatapy/extract/data_vendors/.ipynb_checkpoints/DBNomics-checkpoint.ipynb,s
 cryptodatapy/extract/data_vendors/.ipynb_checkpoints/InvestPy-checkpoint.ipynb,sha256=ybcHKXzmmlTYEoxC-qkWmd0Pjn1WjJ5CMPvMVotqJ7o,50215
 cryptodatapy/extract/data_vendors/.ipynb_checkpoints/NasdaqDataLink-checkpoint.ipynb,sha256=hY2QkCcTiLgPnl8SQPsO8spio5-RBMGeBLYzAwgSWb4,147170
 cryptodatapy/extract/data_vendors/.ipynb_checkpoints/PandasDataReader-checkpoint.ipynb,sha256=n7vzOV6AxC_Ti5CLWW2ABMEEcbbBpiBBs4qTUBQinIg,24171
-cryptodatapy/extract/data_vendors/CoinMetrics.ipynb,sha256=OtepxnBvt2DMCJpPFcY0kGhMRcKhw8ArSL85Cd3oO10,24923
 cryptodatapy/extract/data_vendors/__init__.py,sha256=Nk6gcT43d0XOLfrlVA9r--5mvHCgHfq295IKL3Puu74,354
 cryptodatapy/extract/data_vendors/coinmetrics_api.py,sha256=2fnsgKkBWjzMa1jzfVa7UbJKTpMWzcFVjo0bKDEud8U,34991
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cryptodatapy/conf/fx_tickers.csv

@@ -1,31 +0,0 @@
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