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Data fetching utilities for historical market data.
Supports yfinance (equities) and ccxt (crypto).
"""
import os
import argparse
import pandas as pd
DATA_DIR = os.path.join(os.path.dirname(os.path.abspath(__file__)))
def fetch_yfinance(ticker: str, start: str, end: str) -> pd.DataFrame:
"""Fetch OHLCV data from Yahoo Finance."""
import yfinance as yf
raw_df = yf.download(ticker, start=start, end=end, progress=False)
if raw_df is None:
return pd.DataFrame()
df = pd.DataFrame(raw_df)
# Flatten multi-level columns if present
if isinstance(df.columns, pd.MultiIndex):
df.columns = df.columns.get_level_values(0)
df = df[["Open", "High", "Low", "Close", "Volume"]].copy()
df.columns = ["open", "high", "low", "close", "volume"]
df.index.name = "date"
df.dropna(inplace=True)
return df # type: ignore
def fetch_ccxt(exchange_id: str, symbol: str, timeframe: str = "1d",
limit: int = 500) -> pd.DataFrame:
"""Fetch OHLCV data from a crypto exchange via ccxt."""
import ccxt
exchange_class = getattr(ccxt, exchange_id)
exchange = exchange_class({"enableRateLimit": True})
ohlcv = exchange.fetch_ohlcv(symbol, timeframe=timeframe, limit=limit)
df = pd.DataFrame(ohlcv, columns=["timestamp", "open", "high", "low", "close", "volume"])
df["date"] = pd.to_datetime(df["timestamp"], unit="ms")
df.set_index("date", inplace=True)
df.drop(columns=["timestamp"], inplace=True)
return df
def save_data(df: pd.DataFrame, filename: str) -> str:
"""Save dataframe to CSV in the data directory."""
filepath = os.path.join(DATA_DIR, filename)
df.to_csv(filepath)
print(f"Saved {len(df)} rows to {filepath}")
return filepath
def load_data(filename: str) -> pd.DataFrame:
"""Load a previously saved CSV data file."""
filepath = os.path.join(DATA_DIR, filename)
df = pd.read_csv(filepath, index_col="date", parse_dates=True)
return df
if __name__ == "__main__":
parser = argparse.ArgumentParser(description="Fetch market data")
parser.add_argument("--source", choices=["yfinance", "ccxt"], default="yfinance")
parser.add_argument("--ticker", default="AAPL")
parser.add_argument("--start", default="2023-01-01")
parser.add_argument("--end", default="2024-12-31")
parser.add_argument("--exchange", default="binance", help="ccxt exchange id")
parser.add_argument("--symbol", default="BTC/USDT", help="ccxt symbol")
args = parser.parse_args()
if args.source == "yfinance":
data = fetch_yfinance(args.ticker, args.start, args.end)
save_data(data, f"{args.ticker}_{args.start}_{args.end}.csv")
else:
data = fetch_ccxt(args.exchange, args.symbol)
safe_name = args.symbol.replace("/", "_")
save_data(data, f"{safe_name}_{args.exchange}.csv")
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