Initial Quandl implementation

pandas_datareader/data.py

@@ -7,6 +7,8 @@
 from pandas_datareader.google.daily import GoogleDailyReader
 from pandas_datareader.google.quotes import GoogleQuotesReader
 
+from pandas_datareader.quandl.daily import QuandlDailyReader
+
 from pandas_datareader.yahoo.daily import YahooDailyReader
 from pandas_datareader.yahoo.quotes import YahooQuotesReader
 from pandas_datareader.yahoo.actions import (YahooActionReader, YahooDivReader)
@@ -40,6 +42,10 @@ def get_data_yahoo(*args, **kwargs):
     return YahooDailyReader(*args, **kwargs).read()
 
 
+def get_data_quandl(*args, **kwargs):
+    return QuandlDailyReader(*args, **kwargs).read()
+
+
 def get_data_enigma(*args, **kwargs):
     return EnigmaReader(*args, **kwargs).read()
 
@@ -61,7 +67,8 @@ def DataReader(name, data_source=None, start=None, end=None,
     """
     Imports data from a number of online sources.
 
-    Currently supports Yahoo! Finance, Google Finance, St. Louis FED (FRED),
+    Currently supports Yahoo! Finance, Google Finance, Quandl, St.
+    Louis FED (FRED),
     Kenneth French's data library, and the SEC's EDGAR Index.
 
     Parameters
@@ -71,7 +78,7 @@ def DataReader(name, data_source=None, start=None, end=None,
         accept a list of names.
     data_source: {str, None}
         the data source ("yahoo", "yahoo-actions", "yahoo-dividends",
-        "google", "fred", "ff", or "edgar-index")
+        "google", "quandl", "fred", "ff", or "edgar-index")
     start : {datetime, None}
         left boundary for range (defaults to 1/1/2010)
     end : {datetime, None}
@@ -97,6 +104,9 @@ def DataReader(name, data_source=None, start=None, end=None,
     # Data from Google Finance
     aapl = DataReader("AAPL", "google")
 
+    # Data from Quandl
+    aapl = DataReader("AAPL", "quandl")
+
     # Data from FRED
     vix = DataReader("VIXCLS", "fred")
 
@@ -132,6 +142,12 @@ def DataReader(name, data_source=None, start=None, end=None,
                                  retry_count=retry_count, pause=pause,
                                  session=session).read()
 
+    elif data_source == "quandl":
+        return QuandlDailyReader(symbols=name, start=start, end=end,
+                                 chunksize=25,
+                                 retry_count=retry_count, pause=pause,
+                                 session=session).read()
+
     elif data_source == "enigma":
         return EnigmaReader(datapath=name, api_key=access_key).read()
 

pandas_datareader/quandl/daily.py

@@ -0,0 +1,42 @@
+from pandas_datareader.base import _DailyBaseReader
+
+
+class QuandlDailyReader(_DailyBaseReader):
+
+    """
+    Returns DataFrame/Panel of historical stock prices from symbols, over date
+    range, start to end. To avoid being penalized by Google Finance servers,
+    pauses between downloading 'chunks' of symbols can be specified.
+
+    Parameters
+    ----------
+    symbols : string, array-like object (list, tuple, Series), or DataFrame
+        Single stock symbol (ticker), array-like object of symbols or
+        DataFrame with index containing stock symbols.
+    start : string, (defaults to '1/1/2010')
+        Starting date, timestamp. Parses many different kind of date
+        representations (e.g., 'JAN-01-2010', '1/1/10', 'Jan, 1, 1980')
+    end : string, (defaults to today)
+        Ending date, timestamp. Same format as starting date.
+    retry_count : int, default 3
+        Number of times to retry query request.
+    pause : int, default 0
+        Time, in seconds, to pause between consecutive queries of chunks. If
+        single value given for symbol, represents the pause between retries.
+    chunksize : int, default 25
+        Number of symbols to download consecutively before intiating pause.
+    session : Session, default None
+        requests.sessions.Session instance to be used
+    """
+
+    @property
+    def url(self):
+        # https://www.quandl.com/api/v3/datasets/WIKI/AAPL.csv?start_date=1985-05-01&end_date=1997-07-01
+        return 'https://www.quandl.com/api/v3/datasets/WIKI/%s.csv' % (self.symbols)
+
+    def _get_params(self, symbol):
+        params = {
+            'start_date': self.start.strftime('%Y-%m-%d'),
+            'end_date': self.end.strftime('%Y-%m-%d'),
+        }
+        return params

pandas_datareader/tests/quandl/test_quandl.py

@@ -0,0 +1,34 @@
+import pytest
+
+import pandas_datareader.data as web
+
+from datetime import datetime
+
+import pandas.util.testing as tm
+
+class TestQuandl(object):
+
+    @classmethod
+    def setup_class(cls):
+        cls.locales = tm.get_locales(prefix='en_US')
+        if not cls.locales:  # pragma: no cover
+            pytest.skip("US English locale not available for testing")
+
+    @classmethod
+    def teardown_class(cls):
+        del cls.locales
+
+    def test_quandl(self):
+        # asserts that google is minimally working and that it throws
+        # an exception when DataReader can't get a 200 response from
+        # google
+        start = datetime(2010, 1, 1)
+        end = datetime(2013, 1, 27)
+
+        for locale in self.locales:
+            with tm.set_locale(locale):
+                panel = web.DataReader("F", 'quandl', start, end)
+            assert panel.Close[-1] == 13.68
+
+        with pytest.raises(Exception):
+            web.DataReader('NON EXISTENT TICKER', 'quandl', start, end)