cryptodatapy.extract.web.aqr

Attributes

data_cred

Classes

AQR

Retrieves data from AQR data sets.

Module Contents

cryptodatapy.extract.web.aqr.data_cred

class cryptodatapy.extract.web.aqr.AQR(categories=None, indexes: Dict[str, List[str]] | None = None, assets: Dict[str, List[str]] | None = None, markets: Dict[str, List[str]] | None = None, market_types=None, fields: Dict[str, List[str]] | None = None, frequencies=None, base_url: str = data_cred.aqr_base_url, file_formats: str | List[str] | None = 'xlsx')

Bases: cryptodatapy.extract.web.web.Web

Retrieves data from AQR data sets.

get_indexes_info() → None: Get indexes info.

get_assets_info() → None: Get assets info.

get_markets_info() → None: Get markets info.

static get_fields_info(data_type: str | None = 'market', cat: str | None = None) → Dict[str, List[str]]

Get fields info.

Parameters:

data_type (str, {'market', 'on-chain', 'off-chain'}, default 'market') – Type of data.
cat (str, {'crypto', 'eqty', 'fx', 'rates', 'cmdty', 'macro'}, optional, default None) – Asset class or time series category.

Returns:

fields – Dictionary with info on available fields, by category.

Return type:

dictionary

set_excel_params(data_req: cryptodatapy.extract.datarequest.DataRequest, ticker: str) → Dict[str, str | int]

Sets excel parameters for reading excel files.

Parameters:

data_req (DataRequest) – Parameters of data request in CryptoDataPy format.
ticker (str) – Ticker symbol.

Returns:

dict – Dictionary with params to read excel file.

Return type:

dictionary

get_series(data_req: cryptodatapy.extract.datarequest.DataRequest) → Dict[str, pandas.DataFrame]

Gets series from AQR data file.

Parameters:: data_req (DataRequest) – Parameters of data request in CryptoDataPy format.
Returns:: dfs_dict – Dictionary with ticker-dataframe key-value pairs.
Return type:: dictionary

static wrangle_data_resp(data_req: cryptodatapy.extract.datarequest.DataRequest, data_resp: Dict[str, pandas.DataFrame]) → pandas.DataFrame

Wrangle data response.

Parameters:

data_req (DataRequest) – Parameters of data request in CryptoDataPy format.
data_resp (Dictionary) – Dictionary with ticker-dataframe key-value pairs.

Returns:

df – Wrangled dataframe with DatetimeIndex (level 0), ticker (level 1), and values for market or macro series for selected fields (cols), in tidy format.

Return type:

pd.DataFrame

get_tidy_data(data_req: cryptodatapy.extract.datarequest.DataRequest) → pandas.DataFrame

Gets data from FRED and wrangles the data response into tidy data format.

Parameters:: data_req (DataRequest) – Parameters of data request in CryptoDataPy format.
Returns:: df – Dataframe with DatetimeIndex (level 0), tickers (level 1) and actual values (cols), in tidy data format.
Return type:: pd.DataFrame - MultiIndex

check_params(data_req: cryptodatapy.extract.datarequest.DataRequest) → None: Checks the data request parameters before requesting data to reduce API calls and improve efficiency.

get_data(data_req: cryptodatapy.extract.datarequest.DataRequest) → pandas.DataFrame

Get data.

Parameters data_req: DataRequest

Parameters of data request in CryptoDataPy format.

Returns:: df – DataFrame with DatetimeIndex (level 0), ticker (level 1), and values for selected fields (cols), in tidy format.
Return type:: pd.DataFrame - MultiIndex