Stock Prices Storage
Stock Prices Storage is a simple storage (Clickhouse is used as a database) for stock prices with adjusted prices calculation (see Center for Research in Security Prices (CRSP) standards and this article for more details).
Storage is managed with
make.sh (wrapper around
make.sh to see a list of all supported actions.
Also, most common actions can be performed with
make command (see
Makefile for more details).
Basic versions of Clickhouse server and client can be started with Docker.
Clickhouse server can be started with (it will be started in detached mode):
Clickhouse client can be started with:
Virtual Python environment
Virtual Python environment with all required packages can be created with:
Working with storage
Recreating DB schema:
Importing example Quandl WIKI Prices for Apple (AAPL) and Microsoft (MSFT)
Merging imported data into internal tables, duplicates control:
Recalculating all adjusted prices:
Getting calculated adjusted prices and comparing them with original Quandl WIKI Prices:
Output of final
make example-quandl-get is shown below.
As you can see, calculated adjusted prices are very similar to the adjusted prices from Quandl.
QUANDL DATA: ticker,date,open,high,low,close,volume,ex-dividend,split_ratio,adj_open,adj_high,adj_low,adj_close,adj_volume AAPL,1980-12-12,28.75,28.87,28.75,28.75,2093900.0,0.0,1.0,0.42270591588018,0.42447025361603,0.42270591588018,0.42270591588018,117258400.0 MSFT,1986-03-13,25.5,29.25,25.5,28.0,3582600.0,0.0,1.0,0.058941410012893,0.067609264426554,0.058941410012893,0.064719979622,1031788800.0 FOUND: - symbol: AAPL - date: 1980-12-12 - open: 28.75 - high: 28.87 - low: 28.75 - close: 28.75 - adjusted_open: 0.4228 - adjusted_high: 0.4245 - adjusted_low: 0.4228 - adjusted_close: 0.4228 FOUND: - symbol: MSFT - date: 1986-03-13 - open: 25.5 - high: 29.25 - low: 25.5 - close: 28 - adjusted_open: 0.0588 - adjusted_high: 0.0674 - adjusted_low: 0.0588 - adjusted_close: 0.0645