quandl_data.py

import quandl

# authentication ----
quandl_key = 'key' # paste your own API key here :)
quandl.ApiConfig.api_key = quandl_key
df = quandl.get('WIKI/MSFT', start_date="2000-01-01", end_date="2017-12-31")
df = df.loc[:, ['Adj. Close']]
df.columns = ['adj_close']

# create simple and log returns, multiplied by 100 for convenience
df['simple_rtn'] = 100 * df.adj_close.pct_change()
df['log_rtn'] = 100 * (np.log(df.adj_close) - np.log(df.adj_close.shift(1)))

# dropping NA's in the first row
df.dropna(how = 'any', inplace = True)

df.head()