loader.py 文件源码

def load_bars_from_yahoo(indexes=None,
                         stocks=None,
                         start=None,
                         end=None,
                         adjusted=True):
    """
    Loads data from Yahoo into a panel with the following
    column names for each indicated security:

        - open
        - high
        - low
        - close
        - volume
        - price

    Note that 'price' is Yahoo's 'Adjusted Close', which removes the
    impact of splits and dividends. If the argument 'adjusted' is True, then
    the open, high, low, and close values are adjusted as well.

    :param indexes: Financial indexes to load.
    :type indexes: dict
    :param stocks: Stock closing prices to load.
    :type stocks: list
    :param start: Retrieve prices from start date on.
    :type start: datetime
    :param end: Retrieve prices until end date.
    :type end: datetime
    :param adjusted: Adjust open/high/low/close for splits and dividends.
        The 'price' field is always adjusted.
    :type adjusted: bool

    """
    data = _load_raw_yahoo_data(indexes, stocks, start, end)
    panel = pd.Panel(data)
    # Rename columns
    panel.minor_axis = ['open', 'high', 'low', 'close', 'volume', 'price']
    panel.major_axis = panel.major_axis.tz_localize(pytz.utc)
    # Adjust data
    if adjusted:
        adj_cols = ['open', 'high', 'low', 'close']
        for ticker in panel.items:
            ratio = (panel[ticker]['price'] / panel[ticker]['close'])
            ratio_filtered = ratio.fillna(0).values
            for col in adj_cols:
                panel[ticker][col] *= ratio_filtered
    return panel