Remote Data Access

Functions from pandas.io.data extract data from various Internet sources into a DataFrame. Currently the following sources are supported:

  • Yahoo! Finance
  • Google Finance
  • St. Louis FED (FRED)
  • Kenneth French’s data library
  • World Bank

It should be noted, that various sources support different kinds of data, so not all sources implement the same methods and the data elements returned might also differ.

Yahoo! Finance

In [1]: import pandas.io.data as web

In [2]: import datetime

In [3]: start = datetime.datetime(2010, 1, 1)

In [4]: end = datetime.datetime(2013, 01, 27)

In [5]: f=web.DataReader("F", 'yahoo', start, end)

In [6]: f.ix['2010-01-04']

Open               10.17
High               10.28
Low                10.05
Close              10.28
Volume       60855800.00
Adj Close           9.89
Name: 2010-01-04 00:00:00, dtype: float64

Google Finance

In [7]: import pandas.io.data as web

In [8]: import datetime

In [9]: start = datetime.datetime(2010, 1, 1)

In [10]: end = datetime.datetime(2013, 01, 27)

In [11]: f=web.DataReader("F", 'google', start, end)

In [12]: f.ix['2010-01-04']

Open         10.17
High         10.28
Low          10.05
Close        10.28
Volume    60855796
Name: 2010-01-04 00:00:00, dtype: object

FRED

In [13]: import pandas.io.data as web

In [14]: import datetime

In [15]: start = datetime.datetime(2010, 1, 1)

In [16]: end = datetime.datetime(2013, 01, 27)

In [17]: gdp=web.DataReader("GDP", "fred", start, end)

In [18]: gdp.ix['2013-01-01']

GDP    16535.3
Name: 2013-01-01 00:00:00, dtype: float64

Fama/French

Dataset names are listed at Fama/French Data Library.

In [19]: import pandas.io.data as web

In [20]: ip=web.DataReader("5_Industry_Portfolios", "famafrench")

In [21]: ip[4].ix[192607]

1 Cnsmr    4.10
2 Manuf    2.73
3 HiTec    1.83
4 Hlth     1.64
5 Other    2.12
Name: 192607, dtype: float64

World Bank

Pandas users can easily access thousands of panel data series from the World Bank’s World Development Indicators by using the wb I/O functions.

For example, if you wanted to compare the Gross Domestic Products per capita in constant dollars in North America, you would use the search function:

In [1]: from pandas.io import wb

In [2]: wb.search('gdp.*capita.*const').iloc[:,:2]
Out[2]:
                     id                                               name
3242            GDPPCKD             GDP per Capita, constant US$, millions
5143     NY.GDP.PCAP.KD                 GDP per capita (constant 2005 US$)
5145     NY.GDP.PCAP.KN                      GDP per capita (constant LCU)
5147  NY.GDP.PCAP.PP.KD  GDP per capita, PPP (constant 2005 internation...

Then you would use the download function to acquire the data from the World Bank’s servers:

In [3]: dat = wb.download(indicator='NY.GDP.PCAP.KD', country=['US', 'CA', 'MX'], start=2005, end=2008)

In [4]: print(dat)
                      NY.GDP.PCAP.KD
country       year
Canada        2008  36005.5004978584
              2007  36182.9138439757
              2006  35785.9698172849
              2005  35087.8925933298
Mexico        2008  8113.10219480083
              2007  8119.21298908649
              2006  7961.96818458178
              2005  7666.69796097264
United States 2008  43069.5819857208
              2007  43635.5852068142
              2006   43228.111147107
              2005  42516.3934699993

The resulting dataset is a properly formatted DataFrame with a hierarchical index, so it is easy to apply .groupby transformations to it:

In [6]: dat['NY.GDP.PCAP.KD'].groupby(level=0).mean()
Out[6]:
country
Canada           35765.569188
Mexico            7965.245332
United States    43112.417952
dtype: float64

Now imagine you want to compare GDP to the share of people with cellphone contracts around the world.

In [7]: wb.search('cell.*%').iloc[:,:2]
Out[7]:
                     id                                               name
3990  IT.CEL.SETS.FE.ZS  Mobile cellular telephone users, female (% of ...
3991  IT.CEL.SETS.MA.ZS  Mobile cellular telephone users, male (% of po...
4027      IT.MOB.COV.ZS  Population coverage of mobile cellular telepho...

Notice that this second search was much faster than the first one because Pandas now has a cached list of available data series.

In [13]: ind = ['NY.GDP.PCAP.KD', 'IT.MOB.COV.ZS']
In [14]: dat = wb.download(indicator=ind, country='all', start=2011, end=2011).dropna()
In [15]: dat.columns = ['gdp', 'cellphone']
In [16]: print(dat.tail())
                        gdp  cellphone
country   year
Swaziland 2011  2413.952853       94.9
Tunisia   2011  3687.340170      100.0
Uganda    2011   405.332501      100.0
Zambia    2011   767.911290       62.0
Zimbabwe  2011   419.236086       72.4

Finally, we use the statsmodels package to assess the relationship between our two variables using ordinary least squares regression. Unsurprisingly, populations in rich countries tend to use cellphones at a higher rate:

In [17]: import numpy as np
In [18]: import statsmodels.formula.api as smf
In [19]: mod = smf.ols("cellphone ~ np.log(gdp)", dat).fit()
In [20]: print(mod.summary())
                            OLS Regression Results
==============================================================================
Dep. Variable:              cellphone   R-squared:                       0.297
Model:                            OLS   Adj. R-squared:                  0.274
Method:                 Least Squares   F-statistic:                     13.08
Date:                Thu, 25 Jul 2013   Prob (F-statistic):            0.00105
Time:                        15:24:42   Log-Likelihood:                -139.16
No. Observations:                  33   AIC:                             282.3
Df Residuals:                      31   BIC:                             285.3
Df Model:                           1
===============================================================================
                  coef    std err          t      P>|t|      [95.0% Conf. Int.]
-------------------------------------------------------------------------------
Intercept      16.5110     19.071      0.866      0.393       -22.384    55.406
np.log(gdp)     9.9333      2.747      3.616      0.001         4.331    15.535
==============================================================================
Omnibus:                       36.054   Durbin-Watson:                   2.071
Prob(Omnibus):                  0.000   Jarque-Bera (JB):              119.133
Skew:                          -2.314   Prob(JB):                     1.35e-26
Kurtosis:                      11.077   Cond. No.                         45.8
==============================================================================