import pandas as pd import yfinance as yf import logging from typing import List, Tuple logger = logging.getLogger(__name__) class DataLoader: """ Fetches and preprocesses price (and volume) data for a given universe. Supports daily and intraday via yfinance. """ def __init__(self, tickers: List[str], start_date: str, end_date: str, interval: str = "1d"): """ :param tickers: List of ticker strings. :param start_date: "YYYY-MM-DD" :param end_date: "YYYY-MM-DD" :param interval: "1d", "5m", etc. """ self.tickers = tickers self.start_date = start_date self.end_date = end_date self.interval = interval def fetch_data(self) -> Tuple[pd.DataFrame, pd.DataFrame]: """ Downloads Adj Close and Volume for all tickers between start_date and end_date. :return: Tuple (prices_df, volume_df). Both are DataFrames with datetime index. """ logger.info(f"Fetching data for {len(self.tickers)} tickers from {self.start_date} to {self.end_date} at interval {self.interval}.") raw = yf.download( tickers=self.tickers, start=self.start_date, end=self.end_date, interval=self.interval, auto_adjust=True, progress=False ) if raw.empty: logger.error("No data fetched. Please check your tickers and date range.") raise ValueError("Empty pricing data.") # yfinance returns a MultiIndex with (Attribute, Ticker) # We extract 'Close' (adjusted) and 'Volume'. if "Close" in raw and "Volume" in raw: prices = raw["Close"].copy() volume = raw["Volume"].copy() else: # For some intervals, yfinance may label adjusted close as 'Adj Close' if "Adj Close" in raw and "Volume" in raw: prices = raw["Adj Close"].copy() volume = raw["Volume"].copy() else: logger.error("Unexpected data format from yfinance.") raise ValueError("Unexpected data format.") # Drop rows where any ticker is missing (to align) combined = pd.concat([prices, volume], axis=1, keys=["price", "volume"]) combined = combined.dropna() prices = combined["price"] volume = combined["volume"] # Ensure columns are sorted alphabetically for consistency prices = prices.sort_index(axis=1) volume = volume[prices.columns] logger.info(f"Downloaded price data with shape {prices.shape}, volume data with shape {volume.shape}.") return prices, volume