| """ |
| 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) |
| |
| 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 |
|
|
|
|
| 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") |
|
|
