Data Readers

Flat Files

julia> using Temporal

julia> X = TS(randn(252, 4))
252x4 TS{Float64,Dates.Date}: 2019-05-16 to 2020-01-22

Index       A        B        C        D
2019-05-16  0.8477   0.4909   1.5368   -0.7808
2019-05-17  1.6966   -0.5768  0.2333   -0.2137
2019-05-18  -0.1344  -0.2869  0.3912   -0.0989
2019-05-19  0.2325   -0.3131  -1.1032  -0.8848
2019-05-20  1.4085   -0.8799  0.4804   0.663
2019-05-21  1.812    -1.0222  0.6279   0.5142
2019-05-22  0.452    -1.6058  0.3696   -1.5646
⋮
2020-01-15  -2.5917  -2.3734  -1.2149  1.5621
2020-01-16  -1.1145  -0.0027  0.5805   0.519
2020-01-17  0.1463   0.2751   -1.566   1.2669
2020-01-18  -0.2379  -0.2544  0.2784   0.0714
2020-01-19  -0.9609  -1.3575  0.4112   -1.8813
2020-01-20  0.5522   -0.0274  0.1985   -1.2519
2020-01-21  0.7807   1.2445   0.4267   1.3371
2020-01-22  0.1678   -0.0535  -0.1659  0.7219

julia> filepath = "tmp.csv"
"tmp.csv"

julia> tswrite(X, filepath)

julia> Y = tsread(filepath)
252x4 TS{Float64,Dates.Date}: 2019-05-16 to 2020-01-22

Index       A        B        C        D
2019-05-16  0.8477   0.4909   1.5368   -0.7808
2019-05-17  1.6966   -0.5768  0.2333   -0.2137
2019-05-18  -0.1344  -0.2869  0.3912   -0.0989
2019-05-19  0.2325   -0.3131  -1.1032  -0.8848
2019-05-20  1.4085   -0.8799  0.4804   0.663
2019-05-21  1.812    -1.0222  0.6279   0.5142
2019-05-22  0.452    -1.6058  0.3696   -1.5646
⋮
2020-01-15  -2.5917  -2.3734  -1.2149  1.5621
2020-01-16  -1.1145  -0.0027  0.5805   0.519
2020-01-17  0.1463   0.2751   -1.566   1.2669
2020-01-18  -0.2379  -0.2544  0.2784   0.0714
2020-01-19  -0.9609  -1.3575  0.4112   -1.8813
2020-01-20  0.5522   -0.0274  0.1985   -1.2519
2020-01-21  0.7807   1.2445   0.4267   1.3371
2020-01-22  0.1678   -0.0535  -0.1659  0.7219

julia> X == Y
true

Yahoo

julia> using Temporal

julia> X = yahoo("FB")
1930x6 TS{Float64,Dates.Date}: 2012-05-18 to 2020-01-21

Index       Open    High    Low     Close   AdjClose  Volume
2012-05-18  42.05   45.0    38.0    38.23   38.23     5.735764e8
2012-05-21  36.53   36.66   33.0    34.03   34.03     1.681927e8
2012-05-22  32.61   33.59   30.94   31.0    31.0      1.017866e8
2012-05-23  31.37   32.5    31.36   32.0    32.0      7.36e7
2012-05-24  32.95   33.21   31.77   33.03   33.03     5.02372e7
2012-05-25  32.9    32.95   31.11   31.91   31.91     3.71498e7
2012-05-29  31.48   31.69   28.65   28.84   28.84     7.80634e7
⋮
2020-01-09  217.54  218.38  216.28  218.3   218.3     1.26428e7
2020-01-10  219.2   219.88  217.42  218.06  218.06    1.21194e7
2020-01-13  219.6   221.97  219.21  221.91  221.91    1.44634e7
2020-01-14  221.61  222.38  218.63  219.06  219.06    1.32889e7
2020-01-15  220.61  221.68  220.14  221.15  221.15    1.00365e7
2020-01-16  222.57  222.63  220.39  221.77  221.77    1.00153e7
2020-01-17  222.03  222.29  220.53  222.14  222.14    1.59059e7
2020-01-21  222.16  222.37  219.12  221.44  221.44    1.42594e7

Quandl

julia> using Temporal

julia> X = quandl("CHRIS/CME_CL1", from="2010-01-01")
2532x8 TS{Float64,Dates.Date}: 2010-01-04 to 2020-01-21

Index       Open    High    Low     Last    Change  Settle  Volume      Previous Day Open Interest
2010-01-04  79.63   81.79   79.63   81.51   NaN     81.51   263542.0    290352.0
2010-01-05  81.77   81.77   81.77   81.77   NaN     81.77   258887.0    280580.0
2010-01-06  81.43   83.52   80.85   83.18   NaN     83.18   370059.0    275043.0
2010-01-07  83.2    83.36   82.26   82.66   NaN     82.66   246632.0    262309.0
2010-01-08  82.65   83.47   81.8    82.75   NaN     82.75   310377.0    250371.0
2010-01-11  82.88   83.95   81.96   82.52   NaN     82.52   296304.0    226210.0
2010-01-12  82.07   82.34   79.91   80.79   NaN     80.79   333866.0    189671.0
⋮
2020-01-09  59.99   60.31   58.66   59.59   0.05    59.56   738556.0    321112.0
2020-01-10  59.61   59.78   58.85   59.12   0.52    59.04   579590.0    281957.0
2020-01-13  59.04   59.27   57.91   58.09   0.96    58.08   572099.0    235115.0
2020-01-14  58.03   58.72   57.72   58.14   0.15    58.23   494837.0    185715.0
2020-01-15  58.2    58.36   57.36   58.1    0.42    57.81   426110.0    136771.0
2020-01-16  58.1    58.87   57.56   58.59   0.71    58.52   178898.0    96523.0
2020-01-17  58.59   58.98   58.27   58.81   0.02    58.54   118984.0    73735.0
2020-01-21  59.17   59.73   57.68   58.25   0.2     58.34   36251.0     31495.0