StooqDataReader.py

#!/usr/local/bin python
# -*- coding: UTF-8 -*-
from pandas_datareader.base import _DailyBaseReader
import pandas as pd
from datetime import datetime
import urllib.request


class StooqDataReader(_DailyBaseReader):
    @property
    def url(self):
        return 'http://stooq.com/q/d/l/?s={symbol}&d1={datefrom}&d2={dateto}&i=d'

    def _get_params(self, symbol):
        params = dict(
            symbol=symbol,
            datefrom=datetime.strftime(self.start, '%Y%m%d'),
            dateto=datetime.strftime(self.end, '%Y%m%d')
        )
        return params

    def read(self):
        # Use _DailyBaseReader's definition
        result = self._read_one_data(self.url, params=self._get_params(self.symbols))
        return result

    def _read_one_data(self, url, params):
        url = url.format(**params)
        response = urllib.request.urlopen(url)
        try:
            result = pd.read_csv(response, encoding='Shift_JIS')
            result['Symbol'] = self.symbols
        except pd.parser.CParserError:
            result = pd.DataFrame()

        if not result.empty:
            result.set_index(['Symbol', 'Date'], inplace=True)
        return result