Merge pull request #477 from bashtage/robinhood

ENH: Add support for Robinhood API

docs/source/readers/index.rst

@@ -15,6 +15,7 @@ Data Readers
    nasdaq-trader
    oecd
    quandl
+   robinhood
    stooq
    tsp
    world-bank

docs/source/readers/robinhood.rst

@@ -0,0 +1,12 @@
+Robinhood
+---------
+
+.. py:module:: pandas_datareader.robinhood
+
+.. autoclass:: RobinhoodHistoricalReader
+   :members:
+   :inherited-members:
+
+.. autoclass:: RobinhoodQuoteReader
+   :members:
+   :inherited-members:

docs/source/remote_data.rst

@@ -31,6 +31,7 @@ Currently the following sources are supported:
     - :ref:`Google Finance<remote_data.google>`
     - :ref:`Morningstar<remote_data.morningstar>`
     - :ref:`IEX<remote_data.iex>`
+    - :ref:`Robinhood<remote_data.robinhood>`
     - :ref:`Enigma<remote_data.enigma>`
     - :ref:`Quandl<remote_data.quandl>`
     - :ref:`St.Louis FED (FRED)<remote_data.fred>`
@@ -110,6 +111,22 @@ A third interface to the deep API is exposed through
     f = web.DataReader('gs', 'iex-tops')
     f[:10]
 
+
+.. _remote_data.robinhood:
+
+Robinhood
+=========
+`Robinhood <https://www.robinhood.com>`__ is a stock trading platform with an
+API that provides a limited set of data. Historical daily data is limited to 1
+year relative to today.
+
+.. ipython:: python
+
+    import pandas_datareader.data as web
+    from datetime import datetime
+    f = web.DataReader('F', 'robinhood')
+    f.head()
+
 .. _remote_data.enigma:
 
 Enigma

docs/source/whatsnew/v0.6.0.txt

@@ -1,6 +1,6 @@
 .. _whatsnew_060:
 
-v0.6.0 (January 23, 2018)
+v0.6.0 (January 24, 2018)
 ---------------------------
 
 This is a major release from 0.5.0. We recommend that all users upgrade.
@@ -24,7 +24,11 @@ Highlights include:
   have been removed.  PDR would like to restore these features, and pull
   requests are welcome.
 
-- A new connector for Morningstart Open, High, Low, Close and Volume was
+- A new connector for Robinhood was introduced.  This provides
+  up to 1 year of historical end-of-day data. It also provides near
+  real-time quotes.  (:issue:`477`).
+
+- A new connector for Morningstar Open, High, Low, Close and Volume was
   introduced (:issue:`467`)
 
 - A new connector for IEX daily price data was introduced (:issue:`465`).
@@ -47,7 +51,6 @@ Highlights include:
 Enhancements
 ~~~~~~~~~~~~
 
-
 - A new data connector for data provided by the
   `Bank of Canada <https://www.bankofcanada.ca/rates/>`__ was introduced.
   (:issue:`440`)
@@ -66,6 +69,9 @@ Enhancements
 - A new data connector for stock pricing data provided by
   `Morningstar <http://www.morningstar.com>`__ was introduced. (:issue:`467`)
 
+- A new data connector for stock pricing data provided by
+  `Robinhood <https://www.robinhood.com>`__ was introduced. (:issue:`477`)
+
 .. _whatsnew_060.api_breaking:
 
 Backwards incompatible API changes

pandas_datareader/data.py

@@ -24,6 +24,8 @@
 from pandas_datareader.nasdaq_trader import get_nasdaq_symbols
 from pandas_datareader.oecd import OECDReader
 from pandas_datareader.quandl import QuandlReader
+from pandas_datareader.robinhood import RobinhoodHistoricalReader, \
+    RobinhoodQuoteReader
 from pandas_datareader.stooq import StooqDailyReader
 from pandas_datareader.yahoo.actions import (YahooActionReader, YahooDivReader)
 from pandas_datareader.yahoo.components import _get_data as \
@@ -40,7 +42,8 @@
            'get_recent_iex', 'get_markets_iex', 'get_last_iex',
            'get_iex_symbols', 'get_iex_book', 'get_dailysummary_iex',
            'get_data_morningstar', 'get_data_stooq',
-           'get_data_stooq', 'DataReader']
+           'get_data_stooq', 'get_data_robinhood', 'get_quotes_robinhood',
+           'DataReader']
 
 
 def get_data_fred(*args, **kwargs):
@@ -103,6 +106,14 @@ def get_data_morningstar(*args, **kwargs):
     return MorningstarDailyReader(*args, **kwargs).read()
 
 
+def get_data_robinhood(*args, **kwargs):
+    return RobinhoodHistoricalReader(*args, **kwargs).read()
+
+
+def get_quotes_robinhood(*args, **kwargs):
+    return RobinhoodQuoteReader(*args, **kwargs).read()
+
+
 def get_markets_iex(*args, **kwargs):
     """
     Returns near-real time volume data across markets segregated by tape
@@ -369,7 +380,10 @@ def DataReader(name, data_source=None, start=None, end=None,
         return MorningstarDailyReader(symbols=name, start=start, end=end,
                                       retry_count=retry_count, pause=pause,
                                       session=session, interval="d").read()
-
+    elif data_source == 'robinhood':
+        return RobinhoodHistoricalReader(symbols=name, start=start, end=end,
+                                         retry_count=retry_count, pause=pause,
+                                         session=session).read()
     else:
         msg = "data_source=%r is not implemented" % data_source
         raise NotImplementedError(msg)

pandas_datareader/robinhood.py

@@ -0,0 +1,155 @@
+import pandas as pd
+
+from pandas_datareader.base import _BaseReader
+
+
+class RobinhoodQuoteReader(_BaseReader):
+    """
+    Read quotes from Robinhood
+
+    Parameters
+    ----------
+    symbols : {str, List[str]}
+        String symbol of like of symbols
+    start : None
+        Quotes are near real-time and so this value is ignored
+    end : None
+        Quotes are near real-time and so this value is ignored
+    retry_count : int, default 3
+        Number of times to retry query request.
+    pause : float, default 0.1
+        Time, in seconds, of the pause between retries.
+    session : Session, default None
+        requests.sessions.Session instance to be used
+    freq : None
+        Quotes are near real-time and so this value is ignored
+    """
+    _format = 'json'
+
+    def __init__(self, symbols, start=None, end=None, retry_count=3, pause=.1,
+                 timeout=30, session=None, freq=None):
+        super(RobinhoodQuoteReader, self).__init__(symbols, start, end,
+                                                   retry_count, pause,
+                                                   timeout, session, freq)
+        if isinstance(self.symbols, str):
+            self.symbols = [self.symbols]
+        self._max_symbols = 1630
+        self._validate_symbols()
+        self._json_results = []
+
+    def _validate_symbols(self):
+        if len(self.symbols) > self._max_symbols:
+            raise ValueError('A maximum of {0} symbols are supported '
+                             'in a single call.'.format(self._max_symbols))
+
+    def _get_crumb(self, *args):
+        pass
+
+    @property
+    def url(self):
+        """API URL"""
+        return 'https://api.robinhood.com/quotes/'
+
+    @property
+    def params(self):
+        """Parameters to use in API calls"""
+        symbols = ','.join(self.symbols)
+        return {'symbols': symbols}
+
+    def _process_json(self):
+        res = pd.DataFrame(self._json_results)
+        return res.set_index('symbol').T
+
+    def _read_lines(self, out):
+        if 'next' in out:
+            self._json_results.extend(out['results'])
+            return self._read_one_data(out['next'])
+        self._json_results.extend(out['results'])
+        return self._process_json()
+
+
+class RobinhoodHistoricalReader(RobinhoodQuoteReader):
+    """
+    Read historical values from Robinhood
+
+    Parameters
+    ----------
+    symbols : {str, List[str]}
+        String symbol of like of symbols
+    start : None
+        Ignored.  See span and interval.
+    end : None
+        Ignored.  See span and interval.
+    retry_count : int, default 3
+        Number of times to retry query request.
+    pause : float, default 0.1
+        Time, in seconds, of the pause between retries.
+    session : Session, default None
+        requests.sessions.Session instance to be used
+    freq : None
+        Quotes are near real-time and so this value is ignored
+    interval : {'day' ,'week', '5minute', '10minute'}
+        Interval between historical prices
+    span : {'day', 'week', 'year', '5year'}
+        Time span relative to now to retrieve.  The available spans are a
+        function of interval. See notes
+
+    Notes
+    -----
+    Only provides up to 1 year of daily data.
+
+    The available spans are a function of interval.
+
+      * day: year
+      * week: 5year
+      * 5minute: day, week
+      * 10minute: day, week
+    """
+    _format = 'json'
+
+    def __init__(self, symbols, start=None, end=None, retry_count=3, pause=.1,
+                 timeout=30, session=None, freq=None, interval='day',
+                 span='year'):
+        super(RobinhoodHistoricalReader, self).__init__(symbols, start, end,
+                                                        retry_count, pause,
+                                                        timeout, session, freq)
+        interval_span = {'day': ['year'],
+                         'week': ['5year'],
+                         '10minute': ['day', 'week'],
+                         '5minute': ['day', 'week']}
+        if interval not in interval_span:
+            raise ValueError('Interval must be one of '
+                             '{0}'.format(', '.join(interval_span.keys())))
+        valid_spans = interval_span[interval]
+        if span not in valid_spans:
+            raise ValueError('For interval {0}, span must '
+                             'be in: {1}'.format(interval, valid_spans))
+        self.interval = interval
+        self.span = span
+        self._max_symbols = 75
+        self._validate_symbols()
+        self._json_results = []
+
+    @property
+    def url(self):
+        """API URL"""
+        return 'https://api.robinhood.com/quotes/historicals/'
+
+    @property
+    def params(self):
+        """Parameters to use in API calls"""
+        symbols = ','.join(self.symbols)
+        pars = {'symbols': symbols,
+                'interval': self.interval,
+                'span': self.span}
+
+        return pars
+
+    def _process_json(self):
+        df = []
+        for sym in self._json_results:
+            vals = pd.DataFrame(sym['historicals'])
+            vals['begins_at'] = pd.to_datetime(vals['begins_at'])
+            vals['symbol'] = sym['symbol']
+            df.append(vals.set_index(['symbol', 'begins_at']))
+        return pd.concat(df, 0)

pandas_datareader/tests/test_robinhood.py

@@ -0,0 +1,48 @@
+import numpy as np
+import pandas as pd
+import pytest
+
+from pandas_datareader.robinhood import RobinhoodQuoteReader, \
+    RobinhoodHistoricalReader
+
+syms = ['GOOG', ['GOOG', 'AAPL']]
+ids = list(map(str, syms))
+
+
+@pytest.fixture(params=['GOOG', ['GOOG', 'AAPL']], ids=ids)
+def symbols(request):
+    return request.param
+
+
+def test_robinhood_quote(symbols):
+    df = RobinhoodQuoteReader(symbols=symbols).read()
+    assert isinstance(df, pd.DataFrame)
+    if isinstance(symbols, str):
+        symbols = [symbols]
+    assert df.shape[1] == len(symbols)
+
+
+def test_robinhood_quote_too_many():
+    syms = np.random.randint(65, 90, size=(10000, 4)).tolist()
+    syms = list(map(lambda r: ''.join(map(chr, r)), syms))
+    syms = list(set(syms))
+    with pytest.raises(ValueError):
+        RobinhoodQuoteReader(symbols=syms)
+
+
+def test_robinhood_historical_too_many():
+    syms = np.random.randint(65, 90, size=(10000, 4)).tolist()
+    syms = list(map(lambda r: ''.join(map(chr, r)), syms))
+    syms = list(set(syms))
+    with pytest.raises(ValueError):
+        RobinhoodHistoricalReader(symbols=syms)
+    with pytest.raises(ValueError):
+        RobinhoodHistoricalReader(symbols=syms[:76])
+
+
+def test_robinhood_historical(symbols):
+    df = RobinhoodHistoricalReader(symbols=symbols).read()
+    assert isinstance(df, pd.DataFrame)
+    if isinstance(symbols, str):
+        symbols = [symbols]
+    assert df.index.levels[0].shape[0] == len(symbols)