Bank of Canada data source

Author: dwrpayne

pandas_datareader/bankofcanada.py

@@ -0,0 +1,30 @@
+from __future__ import unicode_literals
+
+import pandas.compat as compat
+from pandas_datareader.base import _BaseReader
+
+class BankOfCanadaReader(_BaseReader):
+
+    """Get data for the given name from Bank of Canada."""
+
+    _URL = 'http://www.bankofcanada.ca/valet/observations'
+
+    @property
+    def url(self):
+        if not isinstance(self.symbols, compat.string_types):
+            raise ValueError('data name must be string')
+
+        return '{0}/{1}/csv'.format(self._URL, self.symbols)
+
+    @property
+    def params(self):
+        return {'start_date': self.start.strftime('%Y-%m-%d'),
+                'end_date': self.end.strftime('%Y-%m-%d')}
+
+    @staticmethod
+    def _sanitize_response(response):
+        """
+        Clean up the response string
+        """
+        data = response.text.split('OBSERVATIONS')[1]
+        return data.split('ERRORS')[0].strip()

pandas_datareader/base.py

@@ -17,7 +17,6 @@
 class _BaseReader(object):
 
     """
-
     Parameters
     ----------
         sym : string with a single Single stock symbol (ticker).

pandas_datareader/data.py

@@ -14,6 +14,7 @@
 from pandas_datareader.yahoo.components import _get_data as get_components_yahoo  # noqa
 from pandas_datareader.yahoo.options import Options as YahooOptions
 
+from pandas_datareader.bankofcanada import BankOfCanadaReader
 from pandas_datareader.eurostat import EurostatReader
 from pandas_datareader.fred import FredReader
 from pandas_datareader.famafrench import FamaFrenchReader
@@ -69,10 +70,8 @@ def DataReader(name, data_source=None, start=None, end=None,
                retry_count=3, pause=0.001, session=None, access_key=None):
     """
     Imports data from a number of online sources.
-
     Currently supports Yahoo! Finance, Google Finance, St. Louis FED (FRED),
     Kenneth French's data library, and the SEC's EDGAR Index.
-
     Parameters
     ----------
     name : str or list of strs
@@ -92,29 +91,22 @@ def DataReader(name, data_source=None, start=None, end=None,
         single value given for symbol, represents the pause between retries.
     session : Session, default None
             requests.sessions.Session instance to be used
-
     Examples
     ----------
-
     # Data from Yahoo! Finance
     gs = DataReader("GS", "yahoo")
-
     # Corporate Actions (Dividend and Split Data)
     # with ex-dates from Yahoo! Finance
     gs = DataReader("GS", "yahoo-actions")
-
     # Data from Google Finance
     aapl = DataReader("AAPL", "google")
-
     # Data from FRED
     vix = DataReader("VIXCLS", "fred")
-
     # Data from Fama/French
     ff = DataReader("F-F_Research_Data_Factors", "famafrench")
     ff = DataReader("F-F_Research_Data_Factors_weekly", "famafrench")
     ff = DataReader("6_Portfolios_2x3", "famafrench")
     ff = DataReader("F-F_ST_Reversal_Factor", "famafrench")
-
     # Data from EDGAR index
     ed = DataReader("full", "edgar-index")
     ed2 = DataReader("daily", "edgar-index")
@@ -140,6 +132,11 @@ def DataReader(name, data_source=None, start=None, end=None,
                                  chunksize=25,
                                  retry_count=retry_count, pause=pause,
                                  session=session).read()
+    
+    elif data_source == "bankofcanada":
+        return BankOfCanadaReader(symbols=name, start=start, end=end,
+                              retry_count=retry_count, pause=pause,
+                              session=session).read()
 
     elif data_source == "enigma":
         return EnigmaReader(dataset_id=name, api_key=access_key).read()

pandas_datareader/tests/test_bankofcanada.py

@@ -0,0 +1,60 @@
+from datetime import date, timedelta
+import pytest
+
+from pandas_datareader._utils import RemoteDataError
+import pandas_datareader.data as web
+
+
+class TestBankOfCanada(object):
+    
+    @staticmethod
+    def get_symbol(currency_code, inverted=False):
+        if inverted:
+            return 'FXCAD{}'.format(currency_code)
+        else:
+            return 'FX{}CAD'.format(currency_code)
+
+    def check_bankofcanada_count(self, code):
+        df = web.DataReader(self.get_symbol(code), 'bankofcanada', date.today() - timedelta(days=30), date.today())
+        assert df.size > 15
+
+    def check_bankofcanada_valid(self, code):
+        symbol = self.get_symbol(code)
+        df = web.DataReader(symbol, 'bankofcanada', date.today() - timedelta(days=30), date.today())
+        assert symbol in df.columns
+
+    def check_bankofcanada_inverted(self, code):
+        symbol = self.get_symbol(code)
+        symbol_inverted = self.get_symbol(code, inverted=True)
+
+        df = web.DataReader(symbol, 'bankofcanada', date.today() - timedelta(days=30), date.today())
+        df_inv = web.DataReader(symbol_inverted, 'bankofcanada', date.today() - timedelta(days=30), date.today())
+
+        pairs = zip((1/df)[symbol].tolist(), df_inv[symbol_inverted].tolist())
+        assert all(a-b < 0.01 for a, b in pairs)
+
+    def test_bankofcanada_usd_count(self):
+        self.check_bankofcanada_count('USD')
+
+    def test_bankofcanada_eur_count(self):
+        self.check_bankofcanada_count('EUR')
+
+    def test_bankofcanada_usd_valid(self):
+        self.check_bankofcanada_valid('USD')
+
+    def test_bankofcanada_eur_valid(self):
+        self.check_bankofcanada_valid('EUR')
+
+    def test_bankofcanada_usd_inverted(self):
+        self.check_bankofcanada_inverted('USD')
+
+    def test_bankofcanada_eur_inverted(self):
+        self.check_bankofcanada_inverted('EUR')
+
+    def test_bankofcanada_bad_range(self):
+        with pytest.raises(RemoteDataError):
+            web.DataReader('FXCADUSD', 'bankofcanada', date.today(), date.today() - timedelta(days=30))
+
+    def test_bankofcanada_bad_url(self):
+        with pytest.raises(RemoteDataError):
+            web.DataReader('abcdefgh', 'bankofcanada', date.today(), date.today() - timedelta(days=30))