O'Reilly logo

Python for Finance by Yuxing Yan

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Python for high-frequency data

High-frequency data is referred to second-by-second or millisecond-by-millisecond transaction and quotation data. The New York Stock Exchange's TAQ (Trade and Quotation) database is a typical example (http://www.nyxdata.com/data-products/daily-taq). The following program can be used to retrieve high-frequency data from Google Finance:

>>>import re, string
>>>import pandas as pd
>>>ticker='AAPL'         # input a ticker
>>>f1="c:/temp/ttt.txt"  # ttt will be replace with aboove sticker
>>>f2=f1.replace("ttt",ticker)
>>>outfile=open(f2,"w")
>>>path="http://www.google.com/finance/getprices?q=ttt&i=300&p=10d&f=d,o,h,l,c,v"
>>>path2=path.replace("ttt",ticker)
>>>df=pd.read_csv(path2,skiprows=8,header=None)
>>>df.to_csv(outfile,header=False,index=False) ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required