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[MRG] Updated plot_stock_market.py to use Google Finance #9010

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merged 4 commits into from Jun 7, 2017
Merged

[MRG] Updated plot_stock_market.py to use Google Finance #9010

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51a9c69
DOC updated plot_stock_market.py to use Google Finance
Jun 6, 2017
bef50e0
DOC removed plot_stock_market.py from expected failing examples
Jun 6, 2017
2dc9cbd
Addressed review comments
Jun 6, 2017
c1d1541
Addressed another pass of review comments
Jun 6, 2017
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3 changes: 1 addition & 2 deletions doc/conf.py
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Expand Up @@ -241,8 +241,7 @@
'matplotlib': 'http://matplotlib.org',
'numpy': 'http://docs.scipy.org/doc/numpy-1.8.1',
'scipy': 'http://docs.scipy.org/doc/scipy-0.13.3/reference'},
'expected_failing_examples': [
'../examples/applications/plot_stock_market.py']
'expected_failing_examples': []
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I think you can remove the expected_failing_examples but please double-check

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@superbobry superbobry Jun 6, 2017 •
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Done. The key was added in this commit: 9759019.

}


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67 changes: 49 additions & 18 deletions examples/applications/plot_stock_market.py
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Expand Up @@ -64,27 +64,60 @@
# Author: Gael Varoquaux gael.varoquaux@normalesup.org
# License: BSD 3 clause

import datetime
from datetime import datetime

import numpy as np
import matplotlib.pyplot as plt
try:
from matplotlib.finance import quotes_historical_yahoo_ochl
except ImportError:
# quotes_historical_yahoo_ochl was named quotes_historical_yahoo before matplotlib 1.4
from matplotlib.finance import quotes_historical_yahoo as quotes_historical_yahoo_ochl
from matplotlib import pyplot as plt
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any reason for changing this import from how it was?

We have it both ways in the codebase, but overwhelmingly more common in the first way. There should be no difference so it's not a big deal, just curious why you changed it.

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Just a matter of personal preference. I'll revert it back, it is unrelated to the PR.

from matplotlib.collections import LineCollection
from six.moves.urllib.request import urlopen
from six.moves.urllib.parse import urlencode
from sklearn import cluster, covariance, manifold

###############################################################################
# Retrieve the data from Internet

def quotes_historical_google(symbol, date1, date2):
"""Get the historical data from Google finance.

Parameters
----------
symbol : str
Ticker symbol to query for, for example ``"DELL"``.
date1 : datetime.datetime
Start date.
date2 : datetime.datetime
End date.

Returns
-------
X : array
The columns are ``date`` -- datetime, ``open``, ``high``,
``low``, ``close`` and ``volume`` of type float.
"""
params = urlencode({
'q': symbol,
'startdate': date1.strftime('%b %d, %Y'),
'enddate': date2.strftime('%b %d, %Y'),
'output': 'csv'
})
url = 'http://www.google.com/finance/historical?' + params
print(url)
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I would not print the url.

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Yep, this is leftover debugging code. Will remove.

with urlopen(url) as response:
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this doesn't work in python2.7

dtype = {
'names': ['date', 'open', 'high', 'low', 'close', 'volume'],
'formats': ['object', 'f4', 'f4', 'f4', 'f4', 'f4']
}
converters = {0: lambda s: datetime.strptime(s.decode(), '%d-%b-%y')}
return np.genfromtxt(response, delimiter=',', skip_header=1,
dtype=dtype, converters=converters,
missing_values='-', filling_values=-1)


# Choose a time period reasonably calm (not too long ago so that we get
# high-tech firms, and before the 2008 crash)
d1 = datetime.datetime(2003, 1, 1)
d2 = datetime.datetime(2008, 1, 1)
d1 = datetime(2003, 1, 1)
d2 = datetime(2008, 1, 1)

# kraft symbol has now changed from KFT to MDLZ in yahoo
symbol_dict = {
'TOT': 'Total',
'XOM': 'Exxon',
Expand All @@ -102,7 +135,6 @@
'AMZN': 'Amazon',
'TM': 'Toyota',
'CAJ': 'Canon',
'MTU': 'Mitsubishi',
'SNE': 'Sony',
'F': 'Ford',
'HMC': 'Honda',
Expand All @@ -113,7 +145,6 @@
'MMM': '3M',
'MCD': 'Mc Donalds',
'PEP': 'Pepsi',
'MDLZ': 'Kraft Foods',
'K': 'Kellogg',
'UN': 'Unilever',
'MAR': 'Marriott',
Expand All @@ -131,9 +162,7 @@
'CSCO': 'Cisco',
'TXN': 'Texas instruments',
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while we're at it, the i should probably be uppercase, same for the 'e' in American Express, and I think "Mc Donalds" should be "McDonald's".

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Done.

'XRX': 'Xerox',
'LMT': 'Lookheed Martin',
'WMT': 'Wal-Mart',
'WBA': 'Walgreen',
'HD': 'Home Depot',
'GSK': 'GlaxoSmithKline',
'PFE': 'Pfizer',
Expand All @@ -149,15 +178,17 @@

symbols, names = np.array(list(symbol_dict.items())).T

quotes = [quotes_historical_yahoo_ochl(symbol, d1, d2, asobject=True)
for symbol in symbols]
quotes = [
quotes_historical_google(symbol, d1, d2) for symbol in symbols
]

open = np.array([q.open for q in quotes]).astype(np.float)
close = np.array([q.close for q in quotes]).astype(np.float)
close = np.stack([q['close'] for q in quotes])
open = np.stack([q['open'] for q in quotes])

# The daily variations of the quotes are what carry most information
variation = close - open
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Again, not this pr's fault, but open is a reserved keyword in python, could we rename these close_quote / open_quote or whatever the explicit finance terms are?

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close_prices/open_prices seems fine with me.

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Fixed.



###############################################################################
# Learn a graphical structure from the correlations
edge_model = covariance.GraphLassoCV()
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