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Download stock data from Google Finance

Downloads Open, High, Low, Close, and Volume data for a stock from Google Finance. Needs Deedle.

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open System
open System.Net
open System.IO
open Deedle

let fetch (url : Uri) = 
    let req = WebRequest.Create (url) :?> HttpWebRequest
    use stream = req.GetResponse().GetResponseStream()
    use reader = new StreamReader(stream)
    reader.ReadToEnd()

let downloadFromGoogle (ticker: string)  : Frame<DateTime,string>=
    let url = @"https://www.google.com/finance/historical?output=csv&q=" + ticker
    let uri = new Uri(url)
    let data = fetch uri
    let rows = data.Split '\n'
    let headers = rows |> Array.head
    let arr = rows |> Array.tail
    let arrStrings = arr |> Array.map (fun (x: string) -> x.Split ',')
    let dates1 =
        arrStrings
        |> Array.map (fun x -> Array.head x)
    let arr1 =
        arrStrings
        |> Array.map (fun x -> Array.tail x)
        |> Array.map (fun arrstr -> arrstr |> Array.map float)
    let len = arr1.Length
    // Throw away last array element if necessary.
    let arr2, dates2 =
        if Array.length arr1.[len-1] = 0 then arr1.[0..(len-2)], dates1.[0..(len-2)]
        else arr1, dates1
    let dates3 =
        dates2
        |> Array.map (fun dt -> DateTime.Parse(dt))
        |> Series.ofValues
    array2D arr2
    |> Frame.ofArray2D
    |> Frame.indexColsWith ["Open"; "High"; "Low"; "Close"; "Volume"]
    |> Frame.addCol "Date" dates3
    |> Frame.indexRows "Date"
namespace System
namespace System.Net
namespace System.IO
namespace Deedle
val fetch : url:Uri -> string

Full name: Script.fetch
val url : Uri
Multiple items
type Uri =
  new : uriString:string -> Uri + 5 overloads
  member AbsolutePath : string
  member AbsoluteUri : string
  member Authority : string
  member DnsSafeHost : string
  member Equals : comparand:obj -> bool
  member Fragment : string
  member GetComponents : components:UriComponents * format:UriFormat -> string
  member GetHashCode : unit -> int
  member GetLeftPart : part:UriPartial -> string
  ...

Full name: System.Uri

--------------------
Uri(uriString: string) : unit
Uri(uriString: string, uriKind: UriKind) : unit
Uri(baseUri: Uri, relativeUri: string) : unit
Uri(baseUri: Uri, relativeUri: Uri) : unit
val req : HttpWebRequest
type WebRequest =
  inherit MarshalByRefObject
  member Abort : unit -> unit
  member AuthenticationLevel : AuthenticationLevel with get, set
  member BeginGetRequestStream : callback:AsyncCallback * state:obj -> IAsyncResult
  member BeginGetResponse : callback:AsyncCallback * state:obj -> IAsyncResult
  member CachePolicy : RequestCachePolicy with get, set
  member ConnectionGroupName : string with get, set
  member ContentLength : int64 with get, set
  member ContentType : string with get, set
  member Credentials : ICredentials with get, set
  member EndGetRequestStream : asyncResult:IAsyncResult -> Stream
  ...

Full name: System.Net.WebRequest
WebRequest.Create(requestUri: Uri) : WebRequest
WebRequest.Create(requestUriString: string) : WebRequest
type HttpWebRequest =
  inherit WebRequest
  member Abort : unit -> unit
  member Accept : string with get, set
  member AddRange : range:int -> unit + 7 overloads
  member Address : Uri
  member AllowAutoRedirect : bool with get, set
  member AllowWriteStreamBuffering : bool with get, set
  member AutomaticDecompression : DecompressionMethods with get, set
  member BeginGetRequestStream : callback:AsyncCallback * state:obj -> IAsyncResult
  member BeginGetResponse : callback:AsyncCallback * state:obj -> IAsyncResult
  member ClientCertificates : X509CertificateCollection with get, set
  ...

Full name: System.Net.HttpWebRequest
val stream : Stream
HttpWebRequest.GetResponse() : WebResponse
val reader : StreamReader
Multiple items
type StreamReader =
  inherit TextReader
  new : stream:Stream -> StreamReader + 9 overloads
  member BaseStream : Stream
  member Close : unit -> unit
  member CurrentEncoding : Encoding
  member DiscardBufferedData : unit -> unit
  member EndOfStream : bool
  member Peek : unit -> int
  member Read : unit -> int + 1 overload
  member ReadLine : unit -> string
  member ReadToEnd : unit -> string
  ...

Full name: System.IO.StreamReader

--------------------
StreamReader(stream: Stream) : unit
StreamReader(path: string) : unit
StreamReader(stream: Stream, detectEncodingFromByteOrderMarks: bool) : unit
StreamReader(stream: Stream, encoding: Text.Encoding) : unit
StreamReader(path: string, detectEncodingFromByteOrderMarks: bool) : unit
StreamReader(path: string, encoding: Text.Encoding) : unit
StreamReader(stream: Stream, encoding: Text.Encoding, detectEncodingFromByteOrderMarks: bool) : unit
StreamReader(path: string, encoding: Text.Encoding, detectEncodingFromByteOrderMarks: bool) : unit
StreamReader(stream: Stream, encoding: Text.Encoding, detectEncodingFromByteOrderMarks: bool, bufferSize: int) : unit
StreamReader(path: string, encoding: Text.Encoding, detectEncodingFromByteOrderMarks: bool, bufferSize: int) : unit
StreamReader.ReadToEnd() : string
val downloadFromGoogle : ticker:string -> Frame<DateTime,string>

Full name: Script.downloadFromGoogle
val ticker : string
Multiple items
val string : value:'T -> string

Full name: Microsoft.FSharp.Core.Operators.string

--------------------
type string = String

Full name: Microsoft.FSharp.Core.string
Multiple items
module Frame

from Deedle

--------------------
type Frame =
  static member ReadReader : reader:IDataReader -> Frame<int,string>
  static member CustomExpanders : Dictionary<Type,Func<obj,seq<string * Type * obj>>>
  static member NonExpandableInterfaces : List<Type>
  static member NonExpandableTypes : HashSet<Type>

Full name: Deedle.Frame

--------------------
type Frame<'TRowKey,'TColumnKey (requires equality and equality)> =
  interface IDynamicMetaObjectProvider
  interface INotifyCollectionChanged
  interface IFsiFormattable
  interface IFrame
  new : names:seq<'TColumnKey> * columns:seq<ISeries<'TRowKey>> -> Frame<'TRowKey,'TColumnKey>
  new : rowIndex:IIndex<'TRowKey> * columnIndex:IIndex<'TColumnKey> * data:IVector<IVector> * indexBuilder:IIndexBuilder * vectorBuilder:IVectorBuilder -> Frame<'TRowKey,'TColumnKey>
  member AddColumn : column:'TColumnKey * series:ISeries<'TRowKey> -> unit
  member AddColumn : column:'TColumnKey * series:seq<'V> -> unit
  member AddColumn : column:'TColumnKey * series:ISeries<'TRowKey> * lookup:Lookup -> unit
  member AddColumn : column:'TColumnKey * series:seq<'V> * lookup:Lookup -> unit
  ...

Full name: Deedle.Frame<_,_>

--------------------
new : names:seq<'TColumnKey> * columns:seq<ISeries<'TRowKey>> -> Frame<'TRowKey,'TColumnKey>
new : rowIndex:Indices.IIndex<'TRowKey> * columnIndex:Indices.IIndex<'TColumnKey> * data:IVector<IVector> * indexBuilder:Indices.IIndexBuilder * vectorBuilder:Vectors.IVectorBuilder -> Frame<'TRowKey,'TColumnKey>
Multiple items
type DateTime =
  struct
    new : ticks:int64 -> DateTime + 10 overloads
    member Add : value:TimeSpan -> DateTime
    member AddDays : value:float -> DateTime
    member AddHours : value:float -> DateTime
    member AddMilliseconds : value:float -> DateTime
    member AddMinutes : value:float -> DateTime
    member AddMonths : months:int -> DateTime
    member AddSeconds : value:float -> DateTime
    member AddTicks : value:int64 -> DateTime
    member AddYears : value:int -> DateTime
    ...
  end

Full name: System.DateTime

--------------------
DateTime()
   (+0 other overloads)
DateTime(ticks: int64) : unit
   (+0 other overloads)
DateTime(ticks: int64, kind: DateTimeKind) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, calendar: Globalization.Calendar) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, hour: int, minute: int, second: int) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, hour: int, minute: int, second: int, kind: DateTimeKind) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, hour: int, minute: int, second: int, calendar: Globalization.Calendar) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, hour: int, minute: int, second: int, millisecond: int) : unit
   (+0 other overloads)
DateTime(year: int, month: int, day: int, hour: int, minute: int, second: int, millisecond: int, kind: DateTimeKind) : unit
   (+0 other overloads)
val url : string
val uri : Uri
val data : string
val rows : string []
String.Split([<ParamArray>] separator: char []) : string []
String.Split(separator: string [], options: StringSplitOptions) : string []
String.Split(separator: char [], options: StringSplitOptions) : string []
String.Split(separator: char [], count: int) : string []
String.Split(separator: string [], count: int, options: StringSplitOptions) : string []
String.Split(separator: char [], count: int, options: StringSplitOptions) : string []
val headers : string
type Array =
  member Clone : unit -> obj
  member CopyTo : array:Array * index:int -> unit + 1 overload
  member GetEnumerator : unit -> IEnumerator
  member GetLength : dimension:int -> int
  member GetLongLength : dimension:int -> int64
  member GetLowerBound : dimension:int -> int
  member GetUpperBound : dimension:int -> int
  member GetValue : [<ParamArray>] indices:int[] -> obj + 7 overloads
  member Initialize : unit -> unit
  member IsFixedSize : bool
  ...

Full name: System.Array
val head : array:'T [] -> 'T

Full name: Microsoft.FSharp.Collections.Array.head
val arr : string []
val tail : array:'T [] -> 'T []

Full name: Microsoft.FSharp.Collections.Array.tail
val arrStrings : string [] []
val map : mapping:('T -> 'U) -> array:'T [] -> 'U []

Full name: Microsoft.FSharp.Collections.Array.map
val x : string
val dates1 : string []
val x : string []
val arr1 : float [] []
val arrstr : string []
Multiple items
val float : value:'T -> float (requires member op_Explicit)

Full name: Microsoft.FSharp.Core.Operators.float

--------------------
type float = Double

Full name: Microsoft.FSharp.Core.float

--------------------
type float<'Measure> = float

Full name: Microsoft.FSharp.Core.float<_>
val len : int
property Array.Length: int
val arr2 : float [] []
val dates2 : string []
val length : array:'T [] -> int

Full name: Microsoft.FSharp.Collections.Array.length
val dates3 : Series<int,DateTime>
val dt : string
DateTime.Parse(s: string) : DateTime
DateTime.Parse(s: string, provider: IFormatProvider) : DateTime
DateTime.Parse(s: string, provider: IFormatProvider, styles: Globalization.DateTimeStyles) : DateTime
Multiple items
module Series

from Deedle

--------------------
type Series =
  static member ofNullables : values:seq<Nullable<'a0>> -> Series<int,'a0> (requires default constructor and value type and 'a0 :> ValueType)
  static member ofObservations : observations:seq<'c * 'd> -> Series<'c,'d> (requires equality)
  static member ofOptionalObservations : observations:seq<'K * 'a1 option> -> Series<'K,'a1> (requires equality)
  static member ofValues : values:seq<'a> -> Series<int,'a>

Full name: Deedle.F# Series extensions.Series

--------------------
type Series<'K,'V (requires equality)> =
  interface IFsiFormattable
  interface ISeries<'K>
  new : pairs:seq<KeyValuePair<'K,'V>> -> Series<'K,'V>
  new : keys:'K [] * values:'V [] -> Series<'K,'V>
  new : keys:seq<'K> * values:seq<'V> -> Series<'K,'V>
  new : index:IIndex<'K> * vector:IVector<'V> * vectorBuilder:IVectorBuilder * indexBuilder:IIndexBuilder -> Series<'K,'V>
  member After : lowerExclusive:'K -> Series<'K,'V>
  member Aggregate : aggregation:Aggregation<'K> * observationSelector:Func<DataSegment<Series<'K,'V>>,KeyValuePair<'TNewKey,OptionalValue<'R>>> -> Series<'TNewKey,'R> (requires equality)
  member Aggregate : aggregation:Aggregation<'K> * keySelector:Func<DataSegment<Series<'K,'V>>,'TNewKey> * valueSelector:Func<DataSegment<Series<'K,'V>>,OptionalValue<'R>> -> Series<'TNewKey,'R> (requires equality)
  member AsyncMaterialize : unit -> Async<Series<'K,'V>>
  ...

Full name: Deedle.Series<_,_>

--------------------
new : pairs:seq<Collections.Generic.KeyValuePair<'K,'V>> -> Series<'K,'V>
new : keys:seq<'K> * values:seq<'V> -> Series<'K,'V>
new : keys:'K [] * values:'V [] -> Series<'K,'V>
new : index:Indices.IIndex<'K> * vector:IVector<'V> * vectorBuilder:Vectors.IVectorBuilder * indexBuilder:Indices.IIndexBuilder -> Series<'K,'V>
static member Series.ofValues : values:seq<'a> -> Series<int,'a>
val array2D : rows:seq<#seq<'T>> -> 'T [,]

Full name: Microsoft.FSharp.Core.ExtraTopLevelOperators.array2D
static member Frame.ofArray2D : array:'T [,] -> Frame<int,int>
val indexColsWith : keys:seq<'C2> -> frame:Frame<'R,'C1> -> Frame<'R,'C2> (requires equality and equality and equality)

Full name: Deedle.Frame.indexColsWith
val addCol : column:'C -> series:Series<'R,'V> -> frame:Frame<'R,'C> -> Frame<'R,'C> (requires equality and equality)

Full name: Deedle.Frame.addCol
val indexRows : column:'C -> frame:Frame<'R1,'C> -> Frame<'R2,'C> (requires equality and equality and equality)

Full name: Deedle.Frame.indexRows
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More information

Link:http://fssnip.net/7Tc
Posted:12 days ago
Author:Fernando Saldanha
Tags: #finance