ENH: Oanda currency historical rates (#224)

Closes #222

Author: femtotrader

docs/source/remote_data.rst

@@ -31,6 +31,7 @@ Currently the following sources are supported:
     - :ref:`OECD<remote_data.oecd>`
     - :ref:`Eurostat<remote_data.eurostat>`
     - :ref:`Thrift Savings Plan<remote_data.tsp>`
+    - :ref:`Oanda currency historical rate<remote_data.oanda_curr_hist>`
 
 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.
 
@@ -476,6 +477,7 @@ reconnect after waiting a few minutes.
 .. _remote_data.tsp:
 
 TSP Fund Data
+=============
 
 Download mutual fund index prices for the TSP.
 
@@ -485,3 +487,39 @@ Download mutual fund index prices for the TSP.
     tspreader = tsp.TSPReader(start='2015-10-1', end='2015-12-31')
     tspreader.read()
 
+
+.. _remote_data.oanda_curr_hist
+
+Oanda currency historical rate
+==============================
+
+Download currency historical rate from `Oanda <https://www.oanda.com/>`__.
+
+.. code-block:: python
+
+    In [1]: from pandas_datareader.oanda import get_oanda_currency_historical_rates
+    In [2]: start, end = "2016-01-01", "2016-06-01"
+    In [3]: quote_currency = "USD"
+    In [4]: base_currency = ["EUR", "GBP", "JPY"]
+    In [5]: df_rates = get_oanda_currency_historical_rates(
+                start, end,
+                quote_currency=quote_currency,
+                base_currency=base_currency
+            )
+    In [6]: print(df_rates)
+
+                   EUR/USD   GBP/USD   JPY/USD
+      Date
+      2016-01-01  1.087090  1.473989  0.008320
+      2016-01-02  1.087090  1.473989  0.008320
+      2016-01-03  1.087090  1.473989  0.008320
+      2016-01-04  1.086730  1.473481  0.008370
+      2016-01-05  1.078760  1.469430  0.008388
+      ...              ...       ...       ...
+      2016-05-28  1.111669  1.462630  0.009072
+      2016-05-29  1.111669  1.462630  0.009072
+      2016-05-30  1.112479  1.461999  0.009006
+      2016-05-31  1.114269  1.461021  0.009010
+      2016-06-01  1.115170  1.445410  0.009095
+
+      [153 rows x 3 columns]

pandas_datareader/_utils.py

@@ -1,7 +1,15 @@
-import pandas as pd
-from pandas.core.common import PandasError
+import datetime as dt
 from distutils.version import LooseVersion
 
+import pandas as pd
+from pandas.core.common import PandasError, is_number
+from pandas import to_datetime
+
+import requests
+from requests_file import FileAdapter
+import requests_ftp
+requests_ftp.monkeypatch_session()
+
 
 if pd.compat.PY3:
     from urllib.error import HTTPError     # noqa
@@ -16,6 +24,36 @@ class SymbolWarning(UserWarning):
 class RemoteDataError(PandasError, IOError):
     pass
 
+
+def _sanitize_dates(start, end):
+    """
+    Return (datetime_start, datetime_end) tuple
+    if start is None - default is 2010/01/01
+    if end is None - default is today
+    """
+    if is_number(start):
+        # regard int as year
+        start = dt.datetime(start, 1, 1)
+    start = to_datetime(start)
+
+    if is_number(end):
+        end = dt.datetime(end, 1, 1)
+    end = to_datetime(end)
+
+    if start is None:
+        start = dt.datetime(2010, 1, 1)
+    if end is None:
+        end = dt.datetime.today()
+    return start, end
+
+
+def _init_session(session, retry_count=3):
+    if session is None:
+        session = requests.Session()
+        session.mount('file://', FileAdapter())
+        # do not set requests max_retries here to support arbitrary pause
+    return session
+
 PANDAS_VERSION = LooseVersion(pd.__version__)
 
 if PANDAS_VERSION >= LooseVersion('0.17.0'):

pandas_datareader/data.py

@@ -19,6 +19,7 @@
 from pandas_datareader.famafrench import FamaFrenchReader
 from pandas_datareader.oecd import OECDReader
 from pandas_datareader.edgar import EdgarIndexReader
+from pandas_datareader.oanda import get_oanda_currency_historical_rates
 
 
 def get_data_fred(*args, **kwargs):
@@ -146,6 +147,12 @@ def DataReader(name, data_source=None, start=None, end=None,
         return EdgarIndexReader(symbols=name, start=start, end=end,
                                 retry_count=retry_count, pause=pause,
                                 session=session).read()
+    elif data_source == "oanda":
+        return get_oanda_currency_historical_rates(
+            start, end,
+            quote_currency="USD", base_currency=name,
+            reversed=True, session=session
+        )
     else:
         msg = "data_source=%r is not implemented" % data_source
         raise NotImplementedError(msg)

pandas_datareader/oanda.py

@@ -0,0 +1,54 @@
+import pandas as pd
+from pandas.compat import StringIO, string_types
+from ._utils import _init_session, _sanitize_dates
+
+
+def reverse_pair(s, sep="/"):
+    lst = s.split(sep)
+    return sep.join([lst[1], lst[0]])
+
+
+def get_oanda_currency_historical_rates(start, end, quote_currency="USD", base_currency=None, reversed=True, session=None):
+    session = _init_session(session)
+    start, end = _sanitize_dates(start, end)
+
+    url = "http://www.oanda.com/currency/historical-rates/download"
+    bam = "bid"  # "ask", "mid"
+
+    if base_currency is None:
+        base_currency = ["EUR", "GBP", "AUD", "NZD", "CAD", "CHF"]
+    elif isinstance(base_currency, string_types):
+        base_currency = [base_currency]
+
+    params = {
+        "quote_currency": quote_currency,
+        "start_date": start.strftime("%Y-%m-%d"),
+        "end_date": end.strftime("%Y-%m-%d"),
+        "period": "daily",
+        "display": "absolute",
+        "rate": 0,
+        "data_range": "c",
+        "price": bam,
+        "view": "table",
+        "download": "csv"
+    }
+    for i, _base_currency in enumerate(base_currency):
+        params["base_currency_%d" % i] = _base_currency
+
+    response = session.get(url, params=params)
+    skiprows = 4
+    skipfooter = 4
+    usecols = range(len(base_currency) + 1)
+    df = pd.read_csv(StringIO(response.text), parse_dates=[0], skiprows=skiprows, skipfooter=skipfooter, usecols=usecols, engine='python')
+    df = df.rename(columns={
+        "End Date": "Date",
+    })
+    df = df.set_index("Date")
+    df = df[::-1]
+    if reversed:
+        df.columns = pd.Index(df.columns.map(reverse_pair))
+        df = 1 / df
+    if len(base_currency) == 1:
+        return df.iloc[:, 0]
+    else:
+        return df

pandas_datareader/tests/test_oanda.py

@@ -0,0 +1,28 @@
+import pandas as pd
+import pandas.util.testing as tm
+import pandas_datareader.data as web
+
+from pandas_datareader.oanda import get_oanda_currency_historical_rates
+
+
+class TestOandaCurrencyHistoricalRate(tm.TestCase):
+    def test_oanda_currency_historical_rate(self):
+        start = "2016-01-01"
+        end = "2016-06-01"
+        quote_currency = "USD"
+        base_currency = None
+        reversed = True
+        df_rates = get_oanda_currency_historical_rates(
+            start, end,
+            quote_currency=quote_currency,
+            base_currency=base_currency, reversed=reversed
+        )
+        self.assertEqual(df_rates.index[0], pd.to_datetime("2016-01-01"))
+        self.assertEqual(df_rates.index[-1], pd.to_datetime("2016-06-01"))
+
+    def test_oanda_currency_historical_rate_datareader(self):
+        start = "2016-01-01"
+        end = "2016-06-01"
+        df_rates = web.DataReader(["EUR", "GBP", "JPY"], "oanda", start, end)
+        self.assertEqual(df_rates.index[0], pd.to_datetime("2016-01-01"))
+        self.assertEqual(df_rates.index[-1], pd.to_datetime("2016-06-01"))