Thanks for the code. I added matplotlib's yahoo historical quote code to my labeled array package, la. While doing so I noticed a couple of possible bugs:
- The doc string for parse_yahoo_historical says that the volume is adjusted. But I don't see a line of code that does the adjustment. - quotes_historical_yahoo builds an error message from a variable named "url" which doesn't exist in the scope of the function - "import time" and "from matplotlib.cbook import is_string_like" are not used I stripped down the code keeping only what I needed: http://github.com/kwgoodman/la/blob/master/la/external/matplotlib.py Here's a demo of how I use it: >>> from la.data.yahoo import quotes >>> lar = quotes(['aapl', 'msft'], (2010,10,1), (2010,10,5)) >>> lar label_0 aapl msft label_1 open close high low volume label_2 2010-10-01 2010-10-04 2010-10-05 x array([[[ 2.86150000e+02, 2.81600000e+02, 2.82000000e+02], [ 2.82520000e+02, 2.78640000e+02, 2.88940000e+02], [ 2.86580000e+02, 2.82900000e+02, 2.89450000e+02], [ 2.81350000e+02, 2.77770000e+02, 2.81820000e+02], [ 1.60051000e+07, 1.55256000e+07, 1.78743000e+07]], [[ 2.47700000e+01, 2.39600000e+01, 2.40600000e+01], [ 2.43800000e+01, 2.39100000e+01, 2.43500000e+01], [ 2.48200000e+01, 2.39900000e+01, 2.44500000e+01], [ 2.43000000e+01, 2.37800000e+01, 2.39100000e+01], [ 6.26236000e+07, 9.80868000e+07, 7.80329000e+07]]]) >>> close = lar.lix[:,['close']] >>> close label_0 aapl msft label_1 2010-10-01 2010-10-04 2010-10-05 x array([[ 282.52, 278.64, 288.94], [ 24.38, 23.91, 24.35]]) Calculate the log return from the close prices: >>> ret = close / close.lag(1, axis=-1) >>> ret = ret.log() >>> ret label_0 aapl msft label_1 2010-10-04 2010-10-05 x array([[-0.01382872, 0.03629843], [-0.01946634, 0.01823507]]) ------------------------------------------------------------------------------ Beautiful is writing same markup. Internet Explorer 9 supports standards for HTML5, CSS3, SVG 1.1, ECMAScript5, and DOM L2 & L3. Spend less time writing and rewriting code and more time creating great experiences on the web. Be a part of the beta today. http://p.sf.net/sfu/beautyoftheweb _______________________________________________ Matplotlib-devel mailing list Matplotlib-devel@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/matplotlib-devel
