From d70c99ccfabfe536cee42f4fd1e23f11831ddea0 Mon Sep 17 00:00:00 2001 From: Steven Bischoff <61480100+stevenbischoff@users.noreply.github.com> Date: Fri, 19 Jul 2024 15:04:26 -0500 Subject: [PATCH 01/16] Fix error on empty options chain Signed-off-by: Steven Bischoff <61480100+stevenbischoff@users.noreply.github.com> --- yfinance/ticker.py | 5 +++++ 1 file changed, 5 insertions(+) diff --git a/yfinance/ticker.py b/yfinance/ticker.py index 837739700..d5824bf8c 100644 --- a/yfinance/ticker.py +++ b/yfinance/ticker.py @@ -92,6 +92,11 @@ def option_chain(self, date=None, tz=None): date = self._expirations[date] options = self._download_options(date) + if not options: + return _namedtuple('Options', ['calls', 'puts', 'underlying'])(**{ + "calls": None, "puts": None, "underlying": None + }) + return _namedtuple('Options', ['calls', 'puts', 'underlying'])(**{ "calls": self._options2df(options['calls'], tz=tz), "puts": self._options2df(options['puts'], tz=tz), From ce6bf9378ce1321461196ddf042ccd6e825d6425 Mon Sep 17 00:00:00 2001 From: Aaron Jencks <32805004+aaron-jencks@users.noreply.github.com> Date: Mon, 22 Jul 2024 11:29:31 -0500 Subject: [PATCH 02/16] Remove erroneous print statement --- yfinance/scrapers/history.py | 1 - 1 file changed, 1 deletion(-) diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index e4afce5f2..95ff4bde8 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -225,7 +225,6 @@ def history(self, period="1mo", interval="1d", quotes = quotes.iloc[0:quotes.shape[0] - 1] except Exception: shared._DFS[self.ticker] = utils.empty_df() - print(err_msg) shared._ERRORS[self.ticker] = err_msg.split(': ', 1)[1] if raise_errors: raise _exception From 614906cc50e2bb88f9b4512714a009f61c6565f4 Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Sat, 3 Aug 2024 15:14:13 +0100 Subject: [PATCH 03/16] Implement fetch sec-filings --- README.md | 2 ++ yfinance/base.py | 4 ++++ yfinance/scrapers/quote.py | 40 ++++++++++++++++++++++++++++++++++++++ yfinance/ticker.py | 4 ++++ 4 files changed, 50 insertions(+) diff --git a/README.md b/README.md index edc668d13..305cbc067 100644 --- a/README.md +++ b/README.md @@ -100,6 +100,8 @@ msft.capital_gains # only for mutual funds & etfs msft.get_shares_full(start="2022-01-01", end=None) # show financials: +msft.calendar +msft.sec_filings # - income statement msft.income_stmt msft.quarterly_income_stmt diff --git a/yfinance/base.py b/yfinance/base.py index bf258a3f8..14f58f513 100644 --- a/yfinance/base.py +++ b/yfinance/base.py @@ -171,6 +171,10 @@ def get_calendar(self, proxy=None) -> dict: self._quote.proxy = proxy or self.proxy return self._quote.calendar + def get_sec_filings(self, proxy=None) -> dict: + self._quote.proxy = proxy or self.proxy + return self._quote.sec_filings + def get_major_holders(self, proxy=None, as_dict=False): self._holders.proxy = proxy or self.proxy data = self._holders.major diff --git a/yfinance/scrapers/quote.py b/yfinance/scrapers/quote.py index d25c77696..a155c6209 100644 --- a/yfinance/scrapers/quote.py +++ b/yfinance/scrapers/quote.py @@ -496,6 +496,7 @@ def __init__(self, data: YfData, symbol: str, proxy=None): self._recommendations = None self._upgrades_downgrades = None self._calendar = None + self._sec_filings = None self._already_scraped = False self._already_fetched = False @@ -563,6 +564,13 @@ def calendar(self) -> dict: self._fetch_calendar() return self._calendar + @property + def sec_filings(self) -> dict: + if self._sec_filings is None: + f = self._fetch_sec_filings() + self._sec_filings = {} if f is None else f + return self._sec_filings + @staticmethod def valid_modules(): return quote_summary_valid_modules @@ -710,3 +718,35 @@ def _fetch_calendar(self): self._calendar['Revenue Average'] = earnings.get('revenueAverage', None) except (KeyError, IndexError): raise YFDataException(f"Failed to parse json response from Yahoo Finance: {result}") + + + def _fetch_sec_filings(self): + result = self._fetch(self.proxy, modules=['secFilings']) + if result is None: + return None + + filings = result["quoteSummary"]["result"][0]["secFilings"]["filings"] + + # Improve structure + for f in filings: + if 'exhibits' in f: + f['exhibits'] = {e['type']:e['url'] for e in f['exhibits']} + f['date'] = datetime.datetime.strptime(f['date'], '%Y-%m-%d').date() + + # Experimental: convert to pandas + # for i in range(len(filings)): + # f = filings[i] + # if 'exhibits' in f: + # for e in f['exhibits']: + # f[e['type']] = e['url'] + # del f['exhibits'] + # filings[i] = f + # filings = pd.DataFrame(filings) + # for c in filings.columns: + # if c.startswith('EX-'): + # filings[c] = filings[c].astype(str) + # filings.loc[filings[c]=='nan', c] = '' + # filings = filings.drop('epochDate', axis=1) + # filings = filings.set_index('date') + + return filings diff --git a/yfinance/ticker.py b/yfinance/ticker.py index d5824bf8c..73f14dece 100644 --- a/yfinance/ticker.py +++ b/yfinance/ticker.py @@ -168,6 +168,10 @@ def calendar(self) -> dict: """ return self.get_calendar() + @property + def sec_filings(self) -> dict: + return self.get_sec_filings() + @property def recommendations(self): return self.get_recommendations() From d490fa3163e58cc682efd6130bbc307efd53f64f Mon Sep 17 00:00:00 2001 From: ThetisLake <68162082+ericpien@users.noreply.github.com> Date: Mon, 5 Aug 2024 17:37:31 -0700 Subject: [PATCH 04/16] use dict.get() to safely access key using .get() is safer than [key] and allows effective way to return non-None variable --- yfinance/scrapers/holders.py | 24 ++++++++++++------------ 1 file changed, 12 insertions(+), 12 deletions(-) diff --git a/yfinance/scrapers/holders.py b/yfinance/scrapers/holders.py index d72553796..f5d7457c2 100644 --- a/yfinance/scrapers/holders.py +++ b/yfinance/scrapers/holders.py @@ -96,13 +96,13 @@ def _fetch_and_parse(self): try: data = result["quoteSummary"]["result"][0] # parse "institutionOwnership", "fundOwnership", "majorDirectHolders", "majorHoldersBreakdown", "insiderTransactions", "insiderHolders", "netSharePurchaseActivity" - self._parse_institution_ownership(data["institutionOwnership"]) - self._parse_fund_ownership(data["fundOwnership"]) - # self._parse_major_direct_holders(data["majorDirectHolders"]) # need more data to investigate - self._parse_major_holders_breakdown(data["majorHoldersBreakdown"]) - self._parse_insider_transactions(data["insiderTransactions"]) - self._parse_insider_holders(data["insiderHolders"]) - self._parse_net_share_purchase_activity(data["netSharePurchaseActivity"]) + self._parse_institution_ownership(data.get("institutionOwnership", {})) + self._parse_fund_ownership(data.get("fundOwnership", {})) + # self._parse_major_direct_holders(data.get("majorDirectHolders", {})) # need more data to investigate + self._parse_major_holders_breakdown(data.get("majorHoldersBreakdown", {})) + self._parse_insider_transactions(data.get("insiderTransactions", {})) + self._parse_insider_holders(data.get("insiderHolders", {})) + self._parse_net_share_purchase_activity(data.get("netSharePurchaseActivity", {})) except (KeyError, IndexError): raise YFDataException("Failed to parse holders json data.") @@ -113,7 +113,7 @@ def _parse_raw_values(data): return data def _parse_institution_ownership(self, data): - holders = data["ownershipList"] + holders = data.get("ownershipList", {}) for owner in holders: for k, v in owner.items(): owner[k] = self._parse_raw_values(v) @@ -125,7 +125,7 @@ def _parse_institution_ownership(self, data): self._institutional = df def _parse_fund_ownership(self, data): - holders = data["ownershipList"] + holders = data.get("ownershipList", {}) for owner in holders: for k, v in owner.items(): owner[k] = self._parse_raw_values(v) @@ -137,7 +137,7 @@ def _parse_fund_ownership(self, data): self._mutualfund = df def _parse_major_direct_holders(self, data): - holders = data["holders"] + holders = data.get("holders", {}) for owner in holders: for k, v in owner.items(): owner[k] = self._parse_raw_values(v) @@ -158,7 +158,7 @@ def _parse_major_holders_breakdown(self, data): self._major = df def _parse_insider_transactions(self, data): - holders = data["transactions"] + holders = data.get("transactions", {}) for owner in holders: for k, v in owner.items(): owner[k] = self._parse_raw_values(v) @@ -180,7 +180,7 @@ def _parse_insider_transactions(self, data): self._insider_transactions = df def _parse_insider_holders(self, data): - holders = data["holders"] + holders = data.get("holders", {}) for owner in holders: for k, v in owner.items(): owner[k] = self._parse_raw_values(v) From 76062dda22ba6ca73f361800d0b8d1c758d1d345 Mon Sep 17 00:00:00 2001 From: Eric Pien Date: Sat, 10 Aug 2024 00:29:07 -0700 Subject: [PATCH 05/16] fixing minor typo %% -> % --- yfinance/utils.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/yfinance/utils.py b/yfinance/utils.py index e51952075..170e46c38 100644 --- a/yfinance/utils.py +++ b/yfinance/utils.py @@ -885,7 +885,7 @@ def __update_amount(self, new_amount): num_hashes = int(round((percent_done / 100.0) * all_full)) self.prog_bar = '[' + self.fill_char * num_hashes + ' ' * (all_full - num_hashes) + ']' pct_place = (len(self.prog_bar) // 2) - len(str(percent_done)) - pct_string = f'{percent_done}%%' + pct_string = f'{percent_done}%' self.prog_bar = self.prog_bar[0:pct_place] + (pct_string + self.prog_bar[pct_place + len(pct_string):]) def __str__(self): From ffe364268cb60be1d994d67bba217323295a7c4b Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Mon, 22 Jul 2024 20:46:41 +0100 Subject: [PATCH 06/16] Prices: improve exceptions & logging Tidy messages sent to logging.INFO Use logging's 'extra' argument to make YF log formatting programmatic. Reclassify some YF price-repair log messages, so that repairs (or repair fails) are level INFO. --- yfinance/exceptions.py | 15 +-- yfinance/scrapers/history.py | 217 ++++++++++++++++++----------------- yfinance/utils.py | 38 +++--- 3 files changed, 141 insertions(+), 129 deletions(-) diff --git a/yfinance/exceptions.py b/yfinance/exceptions.py index a44dc2d0e..46ef4fd4d 100644 --- a/yfinance/exceptions.py +++ b/yfinance/exceptions.py @@ -7,12 +7,6 @@ class YFDataException(YFException): pass -class YFChartError(YFException): - def __init__(self, ticker, description): - self.ticker = ticker - super().__init__(f"{self.ticker}: {description}") - - class YFNotImplementedError(NotImplementedError): def __init__(self, method_name): super().__init__(f"Have not implemented fetching '{method_name}' from Yahoo API") @@ -27,19 +21,22 @@ def __init__(self, ticker, rationale): class YFTzMissingError(YFTickerMissingError): def __init__(self, ticker): - super().__init__(ticker, "No timezone found") + super().__init__(ticker, "no timezone found") class YFPricesMissingError(YFTickerMissingError): def __init__(self, ticker, debug_info): self.debug_info = debug_info - super().__init__(ticker, f"No price data found {debug_info}") + if debug_info != '': + super().__init__(ticker, f"no price data found {debug_info}") + else: + super().__init__(ticker, "no price data found") class YFEarningsDateMissing(YFTickerMissingError): # note that this does not get raised. Added in case of raising it in the future def __init__(self, ticker): - super().__init__(ticker, "No earnings dates found") + super().__init__(ticker, "no earnings dates found") class YFInvalidPeriodError(YFException): diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index 95ff4bde8..9de625699 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -7,7 +7,7 @@ from yfinance import shared, utils from yfinance.const import _BASE_URL_, _PRICE_COLNAMES_ -from yfinance.exceptions import YFChartError, YFInvalidPeriodError, YFPricesMissingError, YFTzMissingError +from yfinance.exceptions import YFInvalidPeriodError, YFPricesMissingError, YFTzMissingError class PriceHistory: def __init__(self, data, ticker, tz, session=None, proxy=None): @@ -164,7 +164,6 @@ def history(self, period="1mo", interval="1d", intraday = params["interval"][-1] in ("m", 'h') _price_data_debug = '' - _exception = YFPricesMissingError(self.ticker, '') if start or period is None or period.lower() == "max": _price_data_debug += f' ({params["interval"]} ' if start_user is not None: @@ -185,14 +184,18 @@ def history(self, period="1mo", interval="1d", fail = False if data is None or not isinstance(data, dict): + _exception = YFPricesMissingError(self.ticker, _price_data_debug) fail = True elif isinstance(data, dict) and 'status_code' in data: _price_data_debug += f"(Yahoo status_code = {data['status_code']})" + _exception = YFPricesMissingError(self.ticker, _price_data_debug) fail = True elif "chart" in data and data["chart"]["error"]: - _exception = YFChartError(self.ticker, data["chart"]["error"]["description"]) + _price_data_debug += ' (Yahoo error = "' + data["chart"]["error"]["description"] + '")' + _exception = YFPricesMissingError(self.ticker, _price_data_debug) fail = True - elif "chart" not in data or data["chart"]["result"] is None or not data["chart"]["result"]: + elif "chart" not in data or data["chart"]["result"] is None or not data["chart"]["result"] or not data["chart"]["result"][0]["indicators"]["quote"][0]: + _exception = YFPricesMissingError(self.ticker, _price_data_debug) fail = True elif period is not None and period not in self._history_metadata["validRanges"]: # even if timestamp is in the data, the data doesn't encompass the period requested @@ -200,11 +203,8 @@ def history(self, period="1mo", interval="1d", _exception = YFInvalidPeriodError(self.ticker, period, self._history_metadata['validRanges']) fail = True - if isinstance(_exception, YFPricesMissingError): - _exception = YFPricesMissingError(self.ticker, _price_data_debug) - - err_msg = str(_exception) if fail: + err_msg = str(_exception) shared._DFS[self.ticker] = utils.empty_df() shared._ERRORS[self.ticker] = err_msg.split(': ', 1)[1] if raise_errors: @@ -216,23 +216,12 @@ def history(self, period="1mo", interval="1d", return utils.empty_df() # parse quotes - try: - quotes = utils.parse_quotes(data["chart"]["result"][0]) - # Yahoo bug fix - it often appends latest price even if after end date - if end and not quotes.empty: - endDt = pd.to_datetime(end, unit='s') - if quotes.index[quotes.shape[0] - 1] >= endDt: - quotes = quotes.iloc[0:quotes.shape[0] - 1] - except Exception: - shared._DFS[self.ticker] = utils.empty_df() - shared._ERRORS[self.ticker] = err_msg.split(': ', 1)[1] - if raise_errors: - raise _exception - else: - logger.error(err_msg) - if self._reconstruct_start_interval is not None and self._reconstruct_start_interval == interval: - self._reconstruct_start_interval = None - return shared._DFS[self.ticker] + quotes = utils.parse_quotes(data["chart"]["result"][0]) + # Yahoo bug fix - it often appends latest price even if after end date + if end and not quotes.empty: + endDt = pd.to_datetime(end, unit='s') + if quotes.index[quotes.shape[0] - 1] >= endDt: + quotes = quotes.iloc[0:quotes.shape[0] - 1] logger.debug(f'{self.ticker}: yfinance received OHLC data: {quotes.index[0]} -> {quotes.index[-1]}') # 2) fix weired bug with Yahoo! - returning 60m for 30m bars @@ -441,6 +430,7 @@ def get_actions(self, proxy=None) -> pd.Series: def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): # Reconstruct values in df using finer-grained price data. Delimiter marks what to reconstruct logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'price-reconstruct', 'yf_interval': interval, 'yf_symbol': self.ticker} if not isinstance(df, pd.DataFrame): raise Exception("'df' must be a Pandas DataFrame not", type(df)) @@ -471,7 +461,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): sub_interval = nexts[interval] td_range = itds[interval] else: - logger.warning(f"Have not implemented price repair for '{interval}' interval. Contact developers") + logger.warning(f"Have not implemented price reconstruct for '{interval}' interval. Contact developers") if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -480,7 +470,8 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): if self._reconstruct_start_interval is None: self._reconstruct_start_interval = interval if interval != self._reconstruct_start_interval and interval != nexts[self._reconstruct_start_interval]: - logger.debug(f"{self.ticker}: Price repair has hit max depth of 2 ('%s'->'%s'->'%s')", self._reconstruct_start_interval, nexts[self._reconstruct_start_interval], interval) + msg = "Hit max depth of 2 ('%s'->'%s'->'%s')", self._reconstruct_start_interval, nexts[self._reconstruct_start_interval], interval + logger.info(msg, extra=log_extras) return df df = df.sort_index() @@ -496,12 +487,13 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): m -= _datetime.timedelta(days=1) # allow space for 1-day padding min_dt = pd.Timestamp.utcnow() - m min_dt = min_dt.tz_convert(df.index.tz).ceil("D") - logger.debug(f"min_dt={min_dt} interval={interval} sub_interval={sub_interval}") + logger.debug(f"min_dt={min_dt} interval={interval} sub_interval={sub_interval}", extra=log_extras) if min_dt is not None: f_recent = df.index >= min_dt f_repair_rows = f_repair_rows & f_recent if not f_repair_rows.any(): - logger.info("Data too old to repair") + msg = f"Too old ({np.sum(f_repair.any(axis=1))} rows tagged)" + logger.info(msg, extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -509,7 +501,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): dts_to_repair = df.index[f_repair_rows] if len(dts_to_repair) == 0: - logger.info("Nothing needs repairing (dts_to_repair[] empty)") + logger.debug("Nothing needs repairing (dts_to_repair[] empty)", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -536,7 +528,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): grp_max_size = _datetime.timedelta(days=5) # allow 2 days for buffer below else: grp_max_size = _datetime.timedelta(days=30) - logger.debug(f"grp_max_size = {grp_max_size}") + logger.debug(f"grp_max_size = {grp_max_size}", extra=log_extras) for i in range(1, len(dts_to_repair)): dt = dts_to_repair[i] if dt.date() < dts_groups[-1][0].date() + grp_max_size: @@ -544,7 +536,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): else: dts_groups.append([dt]) - logger.debug("Repair groups:") + logger.debug("Repair groups:", extra=log_extras) for g in dts_groups: logger.debug(f"- {g[0]} -> {g[-1]}") @@ -580,18 +572,11 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): reject = True if reject: # Don't bother requesting more price data, Yahoo will reject - msg = f"Cannot reconstruct {interval} block starting" - if intraday: - msg += f" {start_dt}" - else: - msg += f" {start_d}" - msg += ", too old, Yahoo will reject request for finer-grain data" - logger.info(msg) + msg = f"Cannot reconstruct block starting {start_dt if intraday else start_d}, too old, Yahoo will reject request for finer-grain data" + logger.info(msg, extra=log_extras) continue td_1d = _datetime.timedelta(days=1) - end_dt = g[-1] - end_d = end_dt.date() + td_1d if interval in "1wk": fetch_start = start_d - td_range # need previous week too fetch_end = g[-1].date() + td_range @@ -610,27 +595,25 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): fetch_end = fetch_end.date() + td_1d if min_dt is not None: fetch_start = max(min_dt.date(), fetch_start) - logger.debug(f"Fetching {sub_interval} prepost={prepost} {fetch_start}->{fetch_end}") + logger.debug(f"Fetching {sub_interval} prepost={prepost} {fetch_start}->{fetch_end}", extra=log_extras) + # Temp disable erors printing + logger = utils.get_yf_logger() + if hasattr(logger, 'level'): + # YF's custom indented logger doesn't expose level + log_level = logger.level + logger.setLevel(logging.CRITICAL) df_fine = self.history(start=fetch_start, end=fetch_end, interval=sub_interval, auto_adjust=False, actions=True, prepost=prepost, repair=True, keepna=True) + if hasattr(logger, 'level'): + logger.setLevel(log_level) if df_fine is None or df_fine.empty: - msg = f"Cannot reconstruct {interval} block starting" - if intraday: - msg += f" {start_dt}" - else: - msg += f" {start_d}" - msg += ", too old, Yahoo is rejecting request for finer-grain data" - logger.debug(msg) + msg = f"Cannot reconstruct block starting {start_dt if intraday else start_d}, too old, Yahoo will reject request for finer-grain data" + logger.info(msg, extra=log_extras) continue # Discard the buffer df_fine = df_fine.loc[g[0]: g[-1] + itds[sub_interval] - _datetime.timedelta(milliseconds=1)].copy() if df_fine.empty: - msg = f"Cannot reconstruct {interval} block range" - if intraday: - msg += f" {start_dt}->{end_dt}" - else: - msg += f" {start_d}->{end_d}" - msg += ", Yahoo not returning finer-grain data within range" - logger.debug(msg) + msg = f"Cannot reconstruct {interval} block range {start_dt if intraday else start_d}, Yahoo not returning finer-grain data within range" + logger.info(msg, extra=log_extras) continue df_fine["ctr"] = 0 @@ -670,7 +653,8 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): common_index = np.intersect1d(df_block.index, df_new.index) if len(common_index) == 0: # Can't calibrate so don't attempt repair - logger.info(f"Can't calibrate {interval} block starting {start_d} so aborting repair") + msg = f"Can't calibrate {interval} block starting {start_d} so aborting repair" + logger.info(msg, extra=log_extras) continue # First, attempt to calibrate the 'Adj Close' column. OK if cannot. # Only necessary for 1d interval, because the 1h data is not div-adjusted. @@ -725,7 +709,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): calib_filter = (df_block_calib != tag) if not calib_filter.any(): # Can't calibrate so don't attempt repair - logger.info(f"Can't calibrate {interval} block starting {start_d} so aborting repair") + logger.info(f"Can't calibrate block starting {start_d} so aborting repair", extra=log_extras) continue # Avoid divide-by-zero warnings: for j in range(len(calib_cols)): @@ -746,7 +730,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): ratio = 1.0 else: ratio = np.average(ratios, weights=weights) - logger.debug(f"Price calibration ratio (raw) = {ratio:6f}") + logger.debug(f"Price calibration ratio (raw) = {ratio:6f}", extra=log_extras) ratio_rcp = round(1.0 / ratio, 1) ratio = round(ratio, 1) if ratio == 1 and ratio_rcp == 1: @@ -774,7 +758,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): # so probably no trading happened. no_fine_data_dts.append(idx) if len(no_fine_data_dts) > 0: - logger.debug("Yahoo didn't return finer-grain data for these intervals: " + str(no_fine_data_dts)) + logger.debug("Yahoo didn't return finer-grain data for these intervals: " + str(no_fine_data_dts), extra=log_extras) for idx in bad_dts: if idx not in df_new.index: # Yahoo didn't return finer-grain data for this interval, @@ -810,6 +794,8 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): df_v2.loc[idx, "Repaired?"] = True n_fixed += 1 + # Not logging these reconstructions - that's job of calling function as it has context. + return df_v2 @utils.log_indent_decorator @@ -834,6 +820,7 @@ def _fix_unit_random_mixups(self, df, interval, tz_exchange, prepost): # Easy to detect and fix, just look for outliers = ~100x local median logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'price-repair-100x', 'yf_interval': interval, 'yf_symbol': self.ticker} if df.shape[0] == 0: if "Repaired?" not in df.columns: @@ -841,7 +828,7 @@ def _fix_unit_random_mixups(self, df, interval, tz_exchange, prepost): return df if df.shape[0] == 1: # Need multiple rows to confidently identify outliers - logger.info("price-repair-100x: Cannot check single-row table for 100x price errors") + logger.debug("Cannot check single-row table for 100x price errors", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -868,7 +855,7 @@ def _fix_unit_random_mixups(self, df, interval, tz_exchange, prepost): df2_zeroes = None df_orig = df if df2.shape[0] <= 1: - logger.info("price-repair-100x: Insufficient good data for detecting 100x price errors") + logger.info("Insufficient good data for detecting 100x price errors", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -882,7 +869,7 @@ def _fix_unit_random_mixups(self, df, interval, tz_exchange, prepost): f_rcp = (ratio_rounded == 100) | (ratio_rcp_rounded == 100) f_either = f | f_rcp if not f_either.any(): - logger.info("price-repair-100x: No sporadic 100x errors") + logger.debug("No sporadic 100x errors", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -954,11 +941,10 @@ def _fix_unit_random_mixups(self, df, interval, tz_exchange, prepost): n_fixed = n_before - n_after_crude n_fixed_crudely = n_after - n_after_crude if n_fixed > 0: - report_msg = f"{self.ticker}: fixed {n_fixed}/{n_before} currency unit mixups " + report_msg = f"fixed {n_fixed}/{n_before} currency unit mixups " if n_fixed_crudely > 0: - report_msg += f"({n_fixed_crudely} crudely) " - report_msg += f"in {interval} price data" - logger.info('price-repair-100x: ' + report_msg) + report_msg += f"({n_fixed_crudely} crudely)" + logger.info(report_msg, extra=log_extras) # Restore original values where repair failed f_either = df2[data_cols].to_numpy() == tag @@ -1002,6 +988,7 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): return df logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'price-repair-zeroes', 'yf_interval': interval, 'yf_symbol': self.ticker} if df.shape[0] == 0: if "Repaired?" not in df.columns: @@ -1070,13 +1057,13 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): if f_vol_bad is not None: f_bad_rows = f_bad_rows | f_vol_bad if not f_bad_rows.any(): - logger.info("price-repair-missing: No price=0 errors to repair") + logger.debug("No price=0 errors to repair", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df if f_prices_bad.sum() == len(price_cols) * len(df2): # Need some good data to calibrate - logger.info("price-repair-missing: No good data for calibration so cannot fix price=0 bad data") + logger.debug("No good data for calibration so cannot fix price=0 bad data", extra=log_extras) if "Repaired?" not in df.columns: df["Repaired?"] = False return df @@ -1109,7 +1096,7 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): if n_fixed < 4: dts_repaired = sorted(list(set(dts_tagged).difference(dts_not_repaired))) msg += f": {dts_repaired}" - logger.info('price-repair-missing: ' + msg) + logger.debug(msg, extra=log_extras) if df2_reserve is not None: if "Repaired?" not in df2_reserve.columns: @@ -1136,6 +1123,7 @@ def _fix_missing_div_adjust(self, df, interval, tz_exchange): return df logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'div-adjust-repair', 'yf_interval': interval, 'yf_symbol': self.ticker} if df is None or df.empty: return df @@ -1147,7 +1135,7 @@ def _fix_missing_div_adjust(self, df, interval, tz_exchange): f_div = (df["Dividends"] != 0.0).to_numpy() if not f_div.any(): - logger.debug('div-adjust-repair: No dividends to check') + logger.debug('No dividends to check', extra=log_extras) return df df2 = df.copy() @@ -1161,7 +1149,7 @@ def _fix_missing_div_adjust(self, df, interval, tz_exchange): if last_div_idx == 0: # Not enough data to recalculate the div-adjustment, # because need close day before - logger.debug('div-adjust-repair: Insufficient data to recalculate div-adjustment') + logger.debug('Insufficient data to recalculate div-adjustment', extra=log_extras) return df # To determine if Yahoo messed up, analyse price data between today's dividend and @@ -1184,8 +1172,9 @@ def _fix_missing_div_adjust(self, df, interval, tz_exchange): close_day_before = df2['Close'].iloc[last_div_idx - 1] adj = 1.0 - df2['Dividends'].iloc[last_div_idx] / close_day_before div = last_div_row['Dividends'] - msg = f'Correcting missing div-adjustment preceding div = {div} @ {last_div_dt.date()} (prev_dt={prev_dt})' - logger.debug('div-adjust-repair: ' + msg) + msg = f'Correcting missing div-adjustment preceding div = {div} @ {last_div_dt.date()}' + logger.info(msg, extra=log_extras) + logger.debug(f'prev_dt={prev_dt}', extra=log_extras) if interval == '1d': # exclusive @@ -1214,6 +1203,7 @@ def _fix_bad_stock_splits(self, df, interval, tz_exchange): return df logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'split-repair', 'yf_interval': interval, 'yf_symbol': self.ticker} interday = interval in ['1d', '1wk', '1mo', '3mo'] if not interday: @@ -1225,7 +1215,7 @@ def _fix_bad_stock_splits(self, df, interval, tz_exchange): logger.debug('price-repair-split: No splits in data') return df - logger.debug(f'price-repair-split: Splits: {str(df["Stock Splits"][split_f].to_dict())}') + logger.debug(f'Splits: {str(df["Stock Splits"][split_f].to_dict())}', extra=log_extras) if 'Repaired?' not in df.columns: df['Repaired?'] = False @@ -1242,8 +1232,8 @@ def _fix_bad_stock_splits(self, df, interval, tz_exchange): split_idx += 5 cutoff_idx = min(df.shape[0], split_idx) # add one row after to detect big change df_pre_split = df.iloc[0:cutoff_idx+1] - logger.debug(f'price-repair-split: split_idx={split_idx} split_dt={split_dt}') - logger.debug(f'price-repair-split: df dt range: {df_pre_split.index[0].date()} -> {df_pre_split.index[-1].date()}') + logger.debug(f'split_idx={split_idx} split_dt={split_dt}', extra=log_extras) + logger.debug(f'df dt range: {df_pre_split.index[0].date()} -> {df_pre_split.index[-1].date()}', extra=log_extras) df_pre_split_repaired = self._fix_prices_sudden_change(df_pre_split, interval, tz_exchange, split, correct_volume=True) # Merge back in: @@ -1263,6 +1253,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v return df logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'price-change-repair', 'yf_interval': interval, 'yf_symbol': self.ticker} split = change split_rcp = 1.0 / split @@ -1270,20 +1261,22 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v if change in [100.0, 0.01]: fix_type = '100x error' + log_extras['yf_cat'] = 'price-repair-100x' start_min = None else: fix_type = 'bad split' + log_extras['yf_cat'] = 'price-repair-split' # start_min = 1 year before oldest split f = df['Stock Splits'].to_numpy() != 0.0 start_min = (df.index[f].min() - _dateutil.relativedelta.relativedelta(years=1)).date() - logger.debug(f'price-repair-split: start_min={start_min} change={change}') + logger.debug(f'start_min={start_min} change={change}', extra=log_extras) OHLC = ['Open', 'High', 'Low', 'Close'] # Do not attempt repair of the split is small, # could be mistaken for normal price variance if 0.8 < split < 1.25: - logger.info("price-repair-split: Split ratio too close to 1. Won't repair") + logger.debug("Split ratio too close to 1. Won't repair", extra=log_extras) return df df2 = df.copy().sort_index(ascending=False) @@ -1305,10 +1298,10 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v idx_latest_active = None else: idx_latest_active = int(idx_latest_active[0]) - log_msg = f'price-repair-split: appears_suspended={appears_suspended}, idx_latest_active={idx_latest_active}' + log_msg = f'appears_suspended={appears_suspended}, idx_latest_active={idx_latest_active}' if idx_latest_active is not None: log_msg += f' ({df2.index[idx_latest_active].date()})' - logger.debug(log_msg) + logger.debug(log_msg, extra=log_extras) if logger.isEnabledFor(logging.DEBUG): df_debug = df2.copy() @@ -1369,7 +1362,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v # If all 1D changes are closer to 1.0 than split, exit split_max = max(split, split_rcp) if np.max(_1d_change_minx) < (split_max - 1) * 0.5 + 1 and np.min(_1d_change_minx) > 1.0 / ((split_max - 1) * 0.5 + 1): - logger.info(f"price-repair-split: No {fix_type}s detected") + logger.debug(f'No {fix_type}s detected', extra=log_extras) return df # Calculate the true price variance, i.e. remove effect of bad split-adjustments. @@ -1383,7 +1376,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v sd = np.std(_1d_change_minx[f]) # Now can calculate SD as % of mean sd_pct = sd / avg - logger.debug(f"price-repair-split: Estimation of true 1D change stats: mean = {avg:.2f}, StdDev = {sd:.4f} ({sd_pct*100.0:.1f}% of mean)") + logger.debug(f"Estimation of true 1D change stats: mean = {avg:.2f}, StdDev = {sd:.4f} ({sd_pct*100.0:.1f}% of mean)", extra=log_extras) # Only proceed if split adjustment far exceeds normal 1D changes largest_change_pct = 5 * sd_pct @@ -1392,19 +1385,17 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v if interval in ['1mo', '3mo']: largest_change_pct *= 2 if max(split, split_rcp) < 1.0 + largest_change_pct: - logger.info("price-repair-split: Split ratio too close to normal price volatility. Won't repair") - logger.debug(f"sd_pct = {sd_pct:.4f} largest_change_pct = {largest_change_pct:.4f}") - if logger.isEnabledFor(logging.DEBUG): - logger.debug(f"sd_pct = {sd_pct:.4f} largest_change_pct = {largest_change_pct:.4f}") + logger.debug("Split ratio too close to normal price volatility. Won't repair", extra=log_extras) + logger.debug(f"sd_pct = {sd_pct:.4f} largest_change_pct = {largest_change_pct:.4f}", extra=log_extras) return df # Now can detect bad split adjustments # Set threshold to halfway between split ratio and largest expected normal price change r = _1d_change_minx / split_rcp split_max = max(split, split_rcp) - logger.debug(f"price-repair-split: split_max={split_max:.3f} largest_change_pct={largest_change_pct:.4f}") + logger.debug(f"split_max={split_max:.3f} largest_change_pct={largest_change_pct:.4f}", extra=log_extras) threshold = (split_max + 1.0 + largest_change_pct) * 0.5 - logger.debug(f"price-repair-split: threshold={threshold:.3f}") + logger.debug(f"threshold={threshold:.3f}", extra=log_extras) if 'Repaired?' not in df2.columns: df2['Repaired?'] = False @@ -1445,7 +1436,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v if not f.any(): - logger.info(f'price-repair-split: No {fix_type}s detected') + logger.debug(f'No {fix_type}s detected', extra=log_extras) return df # Update: if any 100x changes are soon after a stock split, so could be confused with split error, then abort @@ -1468,7 +1459,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v else: threshold = _datetime.timedelta(days=threshold_days) if gap_td < threshold: - logger.info('price-repair-split: 100x changes are too soon after stock split events, aborting') + logger.info('100x changes are too soon after stock split events, aborting', extra=log_extras) return df # if logger.isEnabledFor(logging.DEBUG): @@ -1517,7 +1508,7 @@ def map_signals_to_ranges(f, f_up, f_down): if idx_latest_active is not None: idx_rev_latest_active = df.shape[0] - 1 - idx_latest_active - logger.debug(f'price-repair-split: idx_latest_active={idx_latest_active}, idx_rev_latest_active={idx_rev_latest_active}') + logger.debug(f'idx_latest_active={idx_latest_active}, idx_rev_latest_active={idx_rev_latest_active}', extra=log_extras) if correct_columns_individually: f_corrected = np.full(n, False) if correct_volume: @@ -1566,13 +1557,13 @@ def map_signals_to_ranges(f, f_up, f_down): ranges.extend(ranges_after) else: ranges = map_signals_to_ranges(f[:, j], f_up[:, j], f_down[:, j]) - logger.debug(f"column '{c}' ranges: {ranges}") + logger.debug(f"column '{c}' ranges: {ranges}", extra=log_extras) if start_min is not None: # Prune ranges that are older than start_min for i in range(len(ranges)-1, -1, -1): r = ranges[i] if df2.index[r[0]].date() < start_min: - logger.debug(f'price-repair-split: Pruning {c} range {df2.index[r[0]]}->{df2.index[r[1]-1]} because too old.') + logger.debug(f'Pruning {c} range {df2.index[r[0]]}->{df2.index[r[1]-1]} because too old.', extra=log_extras) del ranges[i] if len(ranges) > 0: @@ -1586,9 +1577,10 @@ def map_signals_to_ranges(f, f_up, f_down): idxs = [i if OHLC_correct_ranges[i] else -1 for i in range(len(OHLC))] idx = np.where(np.array(idxs) != -1)[0][0] col = OHLC[idx] - logger.debug(f'price-repair-split: Potential {fix_type} detected only in column {col}, so treating as false positive (ignore)') + logger.debug(f'Potential {fix_type} detected only in column {col}, so treating as false positive (ignore)', extra=log_extras) else: # Only correct if at least 2 columns require correction. + n_corrected = [0,0,0,0] for j in range(len(OHLC)): c = OHLC[j] ranges = OHLC_correct_ranges[j] @@ -1602,9 +1594,12 @@ def map_signals_to_ranges(f, f_up, f_down): m = split_rcp m_rcp = split if interday: - logger.info(f"price-repair-split: Corrected {fix_type} on col={c} range=[{df2.index[r[1]-1].date()}:{df2.index[r[0]].date()}] m={m:.4f}") + msg = f"Corrected {fix_type} on col={c} range=[{df2.index[r[1]-1].date()}:{df2.index[r[0]].date()}] m={m:.4f}" else: - logger.info(f"price-repair-split: Corrected {fix_type} on col={c} range=[{df2.index[r[1]-1]}:{df2.index[r[0]]}] m={m:.4f}") + msg = f"Corrected {fix_type} on col={c} range=[{df2.index[r[1]-1]}:{df2.index[r[0]]}] m={m:.4f}" + logger.debug(msg, extra=log_extras) + # Instead of logging here, just count + n_corrected[j] += r[1]-r[0] df2.iloc[r[0]:r[1], df2.columns.get_loc(c)] *= m if c == 'Close': df2.iloc[r[0]:r[1], df2.columns.get_loc('Adj Close')] *= m @@ -1614,6 +1609,15 @@ def map_signals_to_ranges(f, f_up, f_down): elif c == 'Close': f_close_fixed[r[0]:r[1]] = True f_corrected[r[0]:r[1]] = True + if sum(n_corrected) > 0: + counts_pretty = '' + for j in range(len(OHLC)): + if n_corrected[j] != 0: + if counts_pretty != '': + counts_pretty += ', ' + counts_pretty += f'{OHLC[j]}={n_corrected[j]}x' + msg = f"Corrected: {counts_pretty}" + logger.info(msg, extra=log_extras) if correct_volume: f_open_and_closed_fixed = f_open_fixed & f_close_fixed @@ -1626,6 +1630,7 @@ def map_signals_to_ranges(f, f_up, f_down): df2.loc[f_corrected, 'Repaired?'] = True else: + n_corrected = 0 idx_first_f = np.where(f)[0][0] if appears_suspended and (idx_latest_active is not None and idx_latest_active >= idx_first_f): # Suspended midway during data date range. @@ -1661,7 +1666,7 @@ def map_signals_to_ranges(f, f_up, f_down): for i in range(len(ranges)-1, -1, -1): r = ranges[i] if df2.index[r[0]].date() < start_min: - logger.debug(f'price-repair-split: Pruning range {df2.index[r[0]]}->{df2.index[r[1]-1]} because too old.') + logger.debug(f'Pruning range {df2.index[r[0]]}->{df2.index[r[1]-1]} because too old.', extra=log_extras) del ranges[i] for r in ranges: if r[2] == 'split': @@ -1670,7 +1675,7 @@ def map_signals_to_ranges(f, f_up, f_down): else: m = split_rcp m_rcp = split - logger.debug(f"price-repair-split: range={r} m={m}") + logger.debug(f"range={r} m={m}", extra=log_extras) for c in ['Open', 'High', 'Low', 'Close', 'Adj Close']: df2.iloc[r[0]:r[1], df2.columns.get_loc(c)] *= m if correct_volume: @@ -1679,18 +1684,22 @@ def map_signals_to_ranges(f, f_up, f_down): df2.iloc[r[0]:r[1], df2.columns.get_loc('Repaired?')] = True if r[0] == r[1] - 1: if interday: - msg = f"price-repair-split: Corrected {fix_type} on interval {df2.index[r[0]].date()}" + msg = f"Corrected {fix_type} on interval {df2.index[r[0]].date()}" else: - msg = f"price-repair-split: Corrected {fix_type} on interval {df2.index[r[0]]}" + msg = f"Corrected {fix_type} on interval {df2.index[r[0]]}" else: # Note: df2 sorted with index descending start = df2.index[r[1] - 1] end = df2.index[r[0]] if interday: - msg = f"price-repair-split: Corrected {fix_type} across intervals {start.date()} -> {end.date()} (inclusive)" + msg = f"Corrected {fix_type} across intervals {start.date()} -> {end.date()} (inclusive)" else: - msg = f"price-repair-split: Corrected {fix_type} across intervals {start} -> {end} (inclusive)" - logger.info(msg) + msg = f"Corrected {fix_type} across intervals {start} -> {end} (inclusive)" + logger.debug(msg, extra=log_extras) + n_corrected += r[1] - r[0] + + msg = f"Corrected: {n_corrected}x" + logger.info(msg, extra=log_extras) if correct_volume: f_na = df2['Volume'].isna() diff --git a/yfinance/utils.py b/yfinance/utils.py index e51952075..7e8462ff4 100644 --- a/yfinance/utils.py +++ b/yfinance/utils.py @@ -141,39 +141,45 @@ def format(self, record): yf_log_indented = False +class YFLogFormatter(logging.Filter): + # Help be consistent with structuring YF log messages + def filter(self, record): + msg = record.msg + if hasattr(record, 'yf_cat'): + msg = f"{record.yf_cat}: {msg}" + if hasattr(record, 'yf_interval'): + msg = f"{record.yf_interval}: {msg}" + if hasattr(record, 'yf_symbol'): + msg = f"{record.yf_symbol}: {msg}" + record.msg = msg + return True + + def get_yf_logger(): global yf_logger - if yf_logger is None: - yf_logger = logging.getLogger('yfinance') global yf_log_indented if yf_log_indented: yf_logger = get_indented_logger('yfinance') + elif yf_logger is None: + yf_logger = logging.getLogger('yfinance') + yf_logger.addFilter(YFLogFormatter()) return yf_logger -def setup_debug_formatting(): +def enable_debug_mode(): global yf_logger - yf_logger = get_yf_logger() - - if not yf_logger.isEnabledFor(logging.DEBUG): - yf_logger.warning("logging mode not set to 'DEBUG', so not setting up debug formatting") - return - global yf_log_indented if not yf_log_indented: + yf_logger = logging.getLogger('yfinance') + yf_logger.setLevel(logging.DEBUG) if yf_logger.handlers is None or len(yf_logger.handlers) == 0: h = logging.StreamHandler() # Ensure different level strings don't interfere with indentation formatter = MultiLineFormatter(fmt='%(levelname)-8s %(message)s') h.setFormatter(formatter) yf_logger.addHandler(h) - - yf_log_indented = True - - -def enable_debug_mode(): - get_yf_logger().setLevel(logging.DEBUG) - setup_debug_formatting() + yf_logger = get_indented_logger() + yf_log_indented = True def is_isin(string): From 447ec68eff27cf32a0ce46728e158e6687ff2eec Mon Sep 17 00:00:00 2001 From: Eric Pien Date: Sat, 10 Aug 2024 01:29:55 -0700 Subject: [PATCH 07/16] add try except for when requests.response.json() fails - return empty set rather than raising an exception --- yfinance/base.py | 9 +++++++-- 1 file changed, 7 insertions(+), 2 deletions(-) diff --git a/yfinance/base.py b/yfinance/base.py index 14f58f513..fa40912de 100644 --- a/yfinance/base.py +++ b/yfinance/base.py @@ -512,11 +512,16 @@ def get_news(self, proxy=None) -> list: # Getting data from json url = f"{_BASE_URL_}/v1/finance/search?q={self.ticker}" data = self._data.cache_get(url=url, proxy=proxy) - if "Will be right back" in data.text: + if data is None or "Will be right back" in data.text: raise RuntimeError("*** YAHOO! FINANCE IS CURRENTLY DOWN! ***\n" "Our engineers are working quickly to resolve " "the issue. Thank you for your patience.") - data = data.json() + try: + data = data.json() + except (_json.JSONDecodeError): + logger = utils.get_yf_logger() + logger.error(f"{self.ticker}: Failed to retrieve the news and received faulty response instead.") + data = {} # parse news self._news = data.get("news", []) From 1037ec5b059c9ebab8a68fd25aca4fab7f4579b1 Mon Sep 17 00:00:00 2001 From: Aleks Fasting Date: Thu, 15 Aug 2024 17:11:57 +0200 Subject: [PATCH 08/16] solves #2026 Solution that checks the offset of the opening time of the stock exchange (mod 30 minutes) and adds it to the quotes --- yfinance/scrapers/history.py | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index 9de625699..12cf88e77 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -227,7 +227,9 @@ def history(self, period="1mo", interval="1d", # 2) fix weired bug with Yahoo! - returning 60m for 30m bars if interval.lower() == "30m": logger.debug(f'{self.ticker}: resampling 30m OHLC from 15m') - quotes2 = quotes.resample('30min') + exchangeStartTime = pd.Timestamp(self._history_metadata["tradingPeriods"][0][0]["start"], unit='s') + offset = str(exchangeStartTime.minute % 30)+"min" + quotes2 = quotes.resample('30min', offset=offset) quotes = pd.DataFrame(index=quotes2.last().index, data={ 'Open': quotes2['Open'].first(), 'High': quotes2['High'].max(), From 408d0659e534c8ccdf296cf14dd35d225ea49c3f Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Filip=20Kr=C3=A1sa?= <102549834+Fidasek009@users.noreply.github.com> Date: Sun, 11 Aug 2024 10:53:09 +0200 Subject: [PATCH 09/16] Implement Analysis --- yfinance/base.py | 75 +++++++--- yfinance/scrapers/analysis.py | 265 ++++++++++++++++++++++++++++++---- yfinance/ticker.py | 40 +++-- 3 files changed, 315 insertions(+), 65 deletions(-) diff --git a/yfinance/base.py b/yfinance/base.py index bf258a3f8..b614b56ac 100644 --- a/yfinance/base.py +++ b/yfinance/base.py @@ -240,40 +240,67 @@ def get_sustainability(self, proxy=None, as_dict=False): return data.to_dict() return data - def get_analyst_price_target(self, proxy=None, as_dict=False): + def get_analyst_price_targets(self, proxy=None) -> dict: + """ + Keys: current low high mean median + """ self._analysis.proxy = proxy or self.proxy - data = self._analysis.analyst_price_target - if as_dict: - return data.to_dict() + data = self._analysis.analyst_price_targets return data - def get_rev_forecast(self, proxy=None, as_dict=False): + def get_earnings_estimate(self, proxy=None, as_dict=False): + """ + Index: 0q +1q 0y +1y + Columns: numberOfAnalysts avg low high yearAgoEps growth + """ self._analysis.proxy = proxy or self.proxy - data = self._analysis.rev_est - if as_dict: - return data.to_dict() - return data + data = self._analysis.earnings_estimate + return data.to_dict() if as_dict else data - def get_earnings_forecast(self, proxy=None, as_dict=False): + def get_revenue_estimate(self, proxy=None, as_dict=False): + """ + Index: 0q +1q 0y +1y + Columns: numberOfAnalysts avg low high yearAgoRevenue growth + """ self._analysis.proxy = proxy or self.proxy - data = self._analysis.eps_est - if as_dict: - return data.to_dict() - return data + data = self._analysis.revenue_estimate + return data.to_dict() if as_dict else data + + def get_earnings_history(self, proxy=None, as_dict=False): + """ + Index: pd.DatetimeIndex + Columns: epsEstimate epsActual epsDifference surprisePercent + """ + self._analysis.proxy = proxy or self.proxy + data = self._analysis.earnings_history + return data.to_dict() if as_dict else data - def get_trend_details(self, proxy=None, as_dict=False): + def get_eps_trend(self, proxy=None, as_dict=False): + """ + Index: 0q +1q 0y +1y + Columns: current 7daysAgo 30daysAgo 60daysAgo 90daysAgo + """ self._analysis.proxy = proxy or self.proxy - data = self._analysis.analyst_trend_details - if as_dict: - return data.to_dict() - return data + data = self._analysis.eps_trend + return data.to_dict() if as_dict else data + + def get_eps_revisions(self, proxy=None, as_dict=False): + """ + Index: 0q +1q 0y +1y + Columns: upLast7days upLast30days downLast7days downLast30days + """ + self._analysis.proxy = proxy or self.proxy + data = self._analysis.eps_revisions + return data.to_dict() if as_dict else data - def get_earnings_trend(self, proxy=None, as_dict=False): + def get_growth_estimates(self, proxy=None, as_dict=False): + """ + Index: 0q +1q 0y +1y +5y -5y + Columns: stock industry sector index + """ self._analysis.proxy = proxy or self.proxy - data = self._analysis.earnings_trend - if as_dict: - return data.to_dict() - return data + data = self._analysis.growth_estimates + return data.to_dict() if as_dict else data def get_earnings(self, proxy=None, as_dict=False, freq="yearly"): """ diff --git a/yfinance/scrapers/analysis.py b/yfinance/scrapers/analysis.py index 0f6cd5f15..ab74db4de 100644 --- a/yfinance/scrapers/analysis.py +++ b/yfinance/scrapers/analysis.py @@ -1,7 +1,11 @@ import pandas as pd +import requests +from yfinance import utils from yfinance.data import YfData -from yfinance.exceptions import YFNotImplementedError +from yfinance.const import quote_summary_valid_modules +from yfinance.scrapers.quote import _QUOTE_SUMMARY_URL_ +from yfinance.exceptions import YFException class Analysis: @@ -11,39 +15,250 @@ def __init__(self, data: YfData, symbol: str, proxy=None): self._symbol = symbol self.proxy = proxy + # In quoteSummary the 'earningsTrend' module contains most of the data below. + # The format of data is not optimal so each function will process it's part of the data. + # This variable works as a cache. self._earnings_trend = None - self._analyst_trend_details = None - self._analyst_price_target = None - self._rev_est = None - self._eps_est = None - self._already_scraped = False + + self._analyst_price_targets = None + self._earnings_estimate = None + self._revenue_estimate = None + self._earnings_history = None + self._eps_trend = None + self._eps_revisions = None + self._growth_estimates = None + + @property + def analyst_price_targets(self) -> dict: + if self._analyst_price_targets is not None: + return self._analyst_price_targets + + try: + data = self._fetch(['financialData']) + data = data['quoteSummary']['result'][0]['financialData'] + except: + self._analyst_price_targets = {} + return self._analyst_price_targets + + keys = [ + ('currentPrice', 'current'), + ('targetLowPrice', 'low'), + ('targetHighPrice', 'high'), + ('targetMeanPrice', 'mean'), + ('targetMedianPrice', 'median'), + ] + + self._analyst_price_targets = {newKey: data.get(oldKey, None) for oldKey, newKey in keys} + return self._analyst_price_targets + + @property + def earnings_estimate(self) -> pd.DataFrame: + if self._earnings_estimate is not None: + return self._earnings_estimate + + if self._earnings_trend is None: + self._fetch_earnings_trend() + + data_dict = { + 'numberOfAnalysts': [], + 'avg': [], + 'low': [], + 'high': [], + 'yearAgoEps': [], + 'growth': [] + } + periods = [] + + for item in self._earnings_trend[:4]: + periods.append(item['period']) + earnings_estimate = item.get('earningsEstimate', {}) + + for key in data_dict.keys(): + data_dict[key].append(earnings_estimate.get(key, {}).get('raw', None)) + + self._earnings_estimate = pd.DataFrame(data_dict, index=periods) + return self._earnings_estimate @property - def earnings_trend(self) -> pd.DataFrame: + def revenue_estimate(self) -> pd.DataFrame: + if self._revenue_estimate is not None: + return self._revenue_estimate + if self._earnings_trend is None: - raise YFNotImplementedError('earnings_trend') - return self._earnings_trend + self._fetch_earnings_trend() + + data_dict = { + 'numberOfAnalysts': [], + 'avg': [], + 'low': [], + 'high': [], + 'yearAgoRevenue': [], + 'growth': [] + } + periods = [] + + for item in self._earnings_trend[:4]: + periods.append(item['period']) + revenue_estimate = item.get('revenueEstimate', {}) + + for key in data_dict.keys(): + data_dict[key].append(revenue_estimate.get(key, {}).get('raw', None)) + + self._revenue_estimate = pd.DataFrame(data_dict, index=periods) + return self._revenue_estimate @property - def analyst_trend_details(self) -> pd.DataFrame: - if self._analyst_trend_details is None: - raise YFNotImplementedError('analyst_trend_details') - return self._analyst_trend_details + def earnings_history(self) -> pd.DataFrame: + if self._earnings_history is not None: + return self._earnings_history + + try: + data = self._fetch(['earningsHistory']) + data = data['quoteSummary']['result'][0]['earningsHistory']['history'] + except: + self._earnings_history = pd.DataFrame() + return self._earnings_history + + data_dict = { + 'epsEstimate': [], + 'epsActual': [], + 'epsDifference': [], + 'surprisePercent': [] + } + quarters = [] + + for item in data: + quarters.append(item.get('quarter', {}).get('fmt', None)) + + for key in data_dict.keys(): + data_dict[key].append(item.get(key, {}).get('raw', None)) + + datetime_index = pd.to_datetime(quarters, format='%Y-%m-%d') + self._earnings_history = pd.DataFrame(data_dict, index=datetime_index) + return self._earnings_history @property - def analyst_price_target(self) -> pd.DataFrame: - if self._analyst_price_target is None: - raise YFNotImplementedError('analyst_price_target') - return self._analyst_price_target + def eps_trend(self) -> pd.DataFrame: + if self._eps_trend is not None: + return self._eps_trend + + if self._earnings_trend is None: + self._fetch_earnings_trend() + + data_dict = { + 'current': [], + '7daysAgo': [], + '30daysAgo': [], + '60daysAgo': [], + '90daysAgo': [] + } + periods = [] + + for item in self._earnings_trend[:4]: + periods.append(item['period']) + eps_trend = item.get('epsTrend', {}) + + for key in data_dict.keys(): + data_dict[key].append(eps_trend.get(key, {}).get('raw', None)) + + self._eps_trend = pd.DataFrame(data_dict, index=periods) + return self._eps_trend @property - def rev_est(self) -> pd.DataFrame: - if self._rev_est is None: - raise YFNotImplementedError('rev_est') - return self._rev_est + def eps_revisions(self) -> pd.DataFrame: + if self._eps_revisions is not None: + return self._eps_revisions + + if self._earnings_trend is None: + self._fetch_earnings_trend() + + data_dict = { + 'upLast7days': [], + 'upLast30days': [], + 'downLast7days': [], + 'downLast30days': [] + } + periods = [] + + for item in self._earnings_trend[:4]: + periods.append(item['period']) + eps_revisions = item.get('epsRevisions', {}) + + for key in data_dict.keys(): + data_dict[key].append(eps_revisions.get(key, {}).get('raw', None)) + + self._eps_revisions = pd.DataFrame(data_dict, index=periods) + return self._eps_revisions @property - def eps_est(self) -> pd.DataFrame: - if self._eps_est is None: - raise YFNotImplementedError('eps_est') - return self._eps_est + def growth_estimates(self) -> pd.DataFrame: + if self._growth_estimates is not None: + return self._growth_estimates + + if self._earnings_trend is None: + self._fetch_earnings_trend() + + try: + trends = self._fetch(['industryTrend', 'sectorTrend', 'indexTrend']) + trends = trends['quoteSummary']['result'][0] + except: + self._growth_estimates = pd.DataFrame() + return self._growth_estimates + + data_dict = { + '0q': [], + '+1q': [], + '0y': [], + '+1y': [], + '+5y': [], + '-5y': [] + } + + # make sure no column is empty + dummy_trend = [{'period': key, 'growth': None} for key in data_dict.keys()] + industry_trend = trends['industryTrend']['estimates'] or dummy_trend + sector_trend = trends['sectorTrend']['estimates'] or dummy_trend + index_trend = trends['indexTrend']['estimates'] or dummy_trend + + for item in self._earnings_trend: + period = item['period'] + data_dict[period].append(item.get('growth', {}).get('raw', None)) + + for item in industry_trend: + period = item['period'] + data_dict[period].append(item.get('growth', None)) + + for item in sector_trend: + period = item['period'] + data_dict[period].append(item.get('growth', None)) + + for item in index_trend: + period = item['period'] + data_dict[period].append(item.get('growth', None)) + + cols = ['stock', 'industry', 'sector', 'index'] + self._growth_estimates = pd.DataFrame(data_dict, index=cols).T + return self._growth_estimates + + # modified version from quote.py + def _fetch(self, modules: list): + if not isinstance(modules, list): + raise YFException("Should provide a list of modules, see available modules using `valid_modules`") + + modules = ','.join([m for m in modules if m in quote_summary_valid_modules]) + if len(modules) == 0: + raise YFException("No valid modules provided, see available modules using `valid_modules`") + params_dict = {"modules": modules, "corsDomain": "finance.yahoo.com", "formatted": "false", "symbol": self._symbol} + try: + result = self._data.get_raw_json(_QUOTE_SUMMARY_URL_ + f"/{self._symbol}", user_agent_headers=self._data.user_agent_headers, params=params_dict, proxy=self.proxy) + except requests.exceptions.HTTPError as e: + utils.get_yf_logger().error(str(e)) + return None + return result + + def _fetch_earnings_trend(self) -> None: + try: + data = self._fetch(['earningsTrend']) + self._earnings_trend = data['quoteSummary']['result'][0]['earningsTrend']['trend'] + except: + self._earnings_trend = [] diff --git a/yfinance/ticker.py b/yfinance/ticker.py index 837739700..2cbdac499 100644 --- a/yfinance/ticker.py +++ b/yfinance/ticker.py @@ -240,12 +240,32 @@ def quarterly_cashflow(self) -> _pd.DataFrame: return self.quarterly_cash_flow @property - def analyst_price_target(self) -> _pd.DataFrame: - return self.get_analyst_price_target() + def analyst_price_targets(self) -> dict: + return self.get_analyst_price_targets() @property - def revenue_forecasts(self) -> _pd.DataFrame: - return self.get_rev_forecast() + def earnings_estimate(self) -> _pd.DataFrame: + return self.get_earnings_estimate() + + @property + def revenue_estimate(self) -> _pd.DataFrame: + return self.get_revenue_estimate() + + @property + def earnings_history(self) -> _pd.DataFrame: + return self.get_earnings_history() + + @property + def eps_trend(self) -> _pd.DataFrame: + return self.get_eps_trend() + + @property + def eps_revisions(self) -> _pd.DataFrame: + return self.get_eps_revisions() + + @property + def growth_estimates(self) -> _pd.DataFrame: + return self.get_growth_estimates() @property def sustainability(self) -> _pd.DataFrame: @@ -261,22 +281,10 @@ def options(self) -> tuple: def news(self) -> list: return self.get_news() - @property - def trend_details(self) -> _pd.DataFrame: - return self.get_trend_details() - - @property - def earnings_trend(self) -> _pd.DataFrame: - return self.get_earnings_trend() - @property def earnings_dates(self) -> _pd.DataFrame: return self.get_earnings_dates() - @property - def earnings_forecasts(self) -> _pd.DataFrame: - return self.get_earnings_forecast() - @property def history_metadata(self) -> dict: return self.get_history_metadata() From bc719627d1dd516d9dd54ebcc390cd4e08fb85b8 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Filip=20Kr=C3=A1sa?= <102549834+Fidasek009@users.noreply.github.com> Date: Fri, 16 Aug 2024 17:40:40 +0200 Subject: [PATCH 10/16] Implement tests for Analysis --- tests/test_ticker.py | 118 ++++++++++++++++++++++++++++++++++++------- 1 file changed, 101 insertions(+), 17 deletions(-) diff --git a/tests/test_ticker.py b/tests/test_ticker.py index 84ed9f731..6a04661fa 100644 --- a/tests/test_ticker.py +++ b/tests/test_ticker.py @@ -41,14 +41,17 @@ ("balance_sheet", pd.DataFrame), ("quarterly_income_stmt", pd.DataFrame), ("income_stmt", pd.DataFrame), - ("analyst_price_target", pd.DataFrame), - ("revenue_forecasts", pd.DataFrame), + ("analyst_price_targets", dict), + ("earnings_estimate", pd.DataFrame), + ("revenue_estimate", pd.DataFrame), + ("earnings_history", pd.DataFrame), + ("eps_trend", pd.DataFrame), + ("eps_revisions", pd.DataFrame), + ("growth_estimates", pd.DataFrame), ("sustainability", pd.DataFrame), ("options", tuple), ("news", Any), - ("earnings_trend", pd.DataFrame), ("earnings_dates", pd.DataFrame), - ("earnings_forecasts", pd.DataFrame), ) def assert_attribute_type(testClass: unittest.TestCase, instance, attribute_name, expected_type): @@ -715,9 +718,11 @@ def tearDownClass(cls): def setUp(self): self.ticker = yf.Ticker("GOOGL", session=self.session) + self.ticker_no_analysts = yf.Ticker("^GSPC", session=self.session) def tearDown(self): self.ticker = None + self.ticker_no_analysts = None def test_recommendations(self): data = self.ticker.recommendations @@ -748,23 +753,102 @@ def test_upgrades_downgrades(self): data_cached = self.ticker.upgrades_downgrades self.assertIs(data, data_cached, "data not cached") - # Below will fail because not ported to Yahoo API + def test_analyst_price_targets(self): + data = self.ticker.analyst_price_targets + self.assertIsInstance(data, dict, "data has wrong type") - # def test_analyst_price_target(self): - # data = self.ticker.analyst_price_target - # self.assertIsInstance(data, pd.DataFrame, "data has wrong type") - # self.assertFalse(data.empty, "data is empty") + keys = {'current', 'low', 'high', 'mean', 'median'} + self.assertEqual(data.keys(), keys, "data has wrong keys") - # data_cached = self.ticker.analyst_price_target - # self.assertIs(data, data_cached, "data not cached") + data_cached = self.ticker.analyst_price_targets + self.assertIs(data, data_cached, "data not cached") - # def test_revenue_forecasts(self): - # data = self.ticker.revenue_forecasts - # self.assertIsInstance(data, pd.DataFrame, "data has wrong type") - # self.assertFalse(data.empty, "data is empty") + def test_earnings_estimate(self): + data = self.ticker.earnings_estimate + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") - # data_cached = self.ticker.revenue_forecasts - # self.assertIs(data, data_cached, "data not cached") + columns = ['numberOfAnalysts', 'avg', 'low', 'high', 'yearAgoEps', 'growth'] + self.assertEqual(data.columns.values.tolist(), columns, "data has wrong column names") + + index = ['0q', '+1q', '0y', '+1y'] + self.assertEqual(data.index.values.tolist(), index, "data has wrong row names") + + data_cached = self.ticker.earnings_estimate + self.assertIs(data, data_cached, "data not cached") + + def test_revenue_estimate(self): + data = self.ticker.revenue_estimate + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + columns = ['numberOfAnalysts', 'avg', 'low', 'high', 'yearAgoRevenue', 'growth'] + self.assertEqual(data.columns.values.tolist(), columns, "data has wrong column names") + + index = ['0q', '+1q', '0y', '+1y'] + self.assertEqual(data.index.values.tolist(), index, "data has wrong row names") + + data_cached = self.ticker.revenue_estimate + self.assertIs(data, data_cached, "data not cached") + + def test_earnings_history(self): + data = self.ticker.earnings_history + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + columns = ['epsEstimate', 'epsActual', 'epsDifference', 'surprisePercent'] + self.assertEqual(data.columns.values.tolist(), columns, "data has wrong column names") + self.assertIsInstance(data.index, pd.DatetimeIndex, "data has wrong index type") + + data_cached = self.ticker.earnings_history + self.assertIs(data, data_cached, "data not cached") + + def test_eps_trend(self): + data = self.ticker.eps_trend + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + columns = ['current', '7daysAgo', '30daysAgo', '60daysAgo', '90daysAgo'] + self.assertEqual(data.columns.values.tolist(), columns, "data has wrong column names") + + index = ['0q', '+1q', '0y', '+1y'] + self.assertEqual(data.index.values.tolist(), index, "data has wrong row names") + + data_cached = self.ticker.eps_trend + self.assertIs(data, data_cached, "data not cached") + + def test_growth_estimates(self): + data = self.ticker.growth_estimates + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + columns = ['stock', 'industry', 'sector', 'index'] + self.assertEqual(data.columns.values.tolist(), columns, "data has wrong column names") + + index = ['0q', '+1q', '0y', '+1y', '+5y', '-5y'] + self.assertEqual(data.index.values.tolist(), index, "data has wrong row names") + + data_cached = self.ticker.growth_estimates + self.assertIs(data, data_cached, "data not cached") + + def test_no_analysts(self): + attributes = [ + 'recommendations', + 'upgrades_downgrades', + 'earnings_estimate', + 'revenue_estimate', + 'earnings_history', + 'eps_trend', + 'growth_estimates', + ] + + for attribute in attributes: + try: + data = getattr(self.ticker_no_analysts, attribute) + self.assertIsInstance(data, pd.DataFrame, "data has wrong type") + self.assertTrue(data.empty, "data is not empty") + except Exception as e: + self.fail(f"Excpetion raised for attribute '{attribute}': {e}") From 0c447d56d147037181bc284e911bb5706c962625 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Filip=20Kr=C3=A1sa?= <102549834+Fidasek009@users.noreply.github.com> Date: Fri, 16 Aug 2024 18:37:31 +0200 Subject: [PATCH 11/16] Update `README.md` with analysis attributes --- README.md | 9 +++++++++ 1 file changed, 9 insertions(+) diff --git a/README.md b/README.md index edc668d13..d72a79fdf 100644 --- a/README.md +++ b/README.md @@ -126,6 +126,15 @@ msft.recommendations msft.recommendations_summary msft.upgrades_downgrades +# show analysts data +msft.analyst_price_targets +msft.earnings_estimate +msft.revenue_estimate +msft.earnings_history +msft.eps_trend +msft.eps_revisions +msft.growth_estimates + # Show future and historic earnings dates, returns at most next 4 quarters and last 8 quarters by default. # Note: If more are needed use msft.get_earnings_dates(limit=XX) with increased limit argument. msft.earnings_dates From 9cf62894e801b58d342568669eb42effe93224ff Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Filip=20Kr=C3=A1sa?= <102549834+Fidasek009@users.noreply.github.com> Date: Fri, 16 Aug 2024 20:07:23 +0200 Subject: [PATCH 12/16] Fix ruff complaining --- yfinance/scrapers/analysis.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/yfinance/scrapers/analysis.py b/yfinance/scrapers/analysis.py index ab74db4de..f2778f283 100644 --- a/yfinance/scrapers/analysis.py +++ b/yfinance/scrapers/analysis.py @@ -36,7 +36,7 @@ def analyst_price_targets(self) -> dict: try: data = self._fetch(['financialData']) data = data['quoteSummary']['result'][0]['financialData'] - except: + except (TypeError, KeyError): self._analyst_price_targets = {} return self._analyst_price_targets @@ -115,7 +115,7 @@ def earnings_history(self) -> pd.DataFrame: try: data = self._fetch(['earningsHistory']) data = data['quoteSummary']['result'][0]['earningsHistory']['history'] - except: + except (TypeError, KeyError): self._earnings_history = pd.DataFrame() return self._earnings_history @@ -201,7 +201,7 @@ def growth_estimates(self) -> pd.DataFrame: try: trends = self._fetch(['industryTrend', 'sectorTrend', 'indexTrend']) trends = trends['quoteSummary']['result'][0] - except: + except (TypeError, KeyError): self._growth_estimates = pd.DataFrame() return self._growth_estimates @@ -260,5 +260,5 @@ def _fetch_earnings_trend(self) -> None: try: data = self._fetch(['earningsTrend']) self._earnings_trend = data['quoteSummary']['result'][0]['earningsTrend']['trend'] - except: + except (TypeError, KeyError): self._earnings_trend = [] From 1baecc9d5bbb9bfb53335bdfc5a142f604676fed Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Wed, 21 Aug 2024 21:11:52 +0100 Subject: [PATCH 13/16] Revert PR #2027, breaks with prepost=True --- yfinance/scrapers/history.py | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index 12cf88e77..9de625699 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -227,9 +227,7 @@ def history(self, period="1mo", interval="1d", # 2) fix weired bug with Yahoo! - returning 60m for 30m bars if interval.lower() == "30m": logger.debug(f'{self.ticker}: resampling 30m OHLC from 15m') - exchangeStartTime = pd.Timestamp(self._history_metadata["tradingPeriods"][0][0]["start"], unit='s') - offset = str(exchangeStartTime.minute % 30)+"min" - quotes2 = quotes.resample('30min', offset=offset) + quotes2 = quotes.resample('30min') quotes = pd.DataFrame(index=quotes2.last().index, data={ 'Open': quotes2['Open'].first(), 'High': quotes2['High'].max(), From 2f5203d677d28dad172d320c3731a964a4af5828 Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Wed, 21 Aug 2024 21:27:58 +0100 Subject: [PATCH 14/16] New: repair bad dividends and div-adjusts. Plus other repair fixes. MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit The new dividend repair logic looks for too big/small dividends/adjusts. Because it analyses prices, it needs prices to be consistent - this means for some exchanges, prices are converted to major currency e.g. pence -> £. These exchanges are: .L, .TA, .JO Also, multiday intervals are created by resampling adjusted 1d intervals. Related change: - _fix_prices_sudden_change() now fixes dividends with prices Other repair fixes: - add basic repair function to fix_Yahoo_returning_live_separate() to handle simple 100x price errors within same week/month - fix _fix_prices_sudden_change() false positive on real massive price drop (clue = massive volume spike) - price reconstruct fixes: - calibration: stop NaNs breaking, and detect currency unit mixup - fix a Pandas warning --- yfinance/scrapers/history.py | 907 +++++++++++++++++++++++++++++++---- yfinance/utils.py | 37 +- 2 files changed, 858 insertions(+), 86 deletions(-) diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index 12cf88e77..f804dc51f 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -4,6 +4,7 @@ import numpy as np import pandas as pd import time as _time +import bisect from yfinance import shared, utils from yfinance.const import _BASE_URL_, _PRICE_COLNAMES_ @@ -74,6 +75,36 @@ def history(self, period="1mo", interval="1d", logger = utils.get_yf_logger() proxy = proxy or self.proxy + interval_user = interval + period_user = period + if repair and interval in ['5d', '1wk', '1mo', '3mo']: + # Yahoo's way of adjusting mutiday intervals is fundamentally broken. + # Have to fetch 1d, adjust, then resample. + if interval == '5d': + raise Exception("Yahoo's interval '5d' is nonsense, not supported with repair") + if start is None and end is None and period is not None: + tz = self.tz + if tz is None: + # Every valid ticker has a timezone. A missing timezone is a problem. + _exception = YFTzMissingError(self.ticker) + err_msg = str(_exception) + shared._DFS[self.ticker] = utils.empty_df() + shared._ERRORS[self.ticker] = err_msg.split(': ', 1)[1] + if raise_errors: + raise _exception + else: + logger.error(err_msg) + return utils.empty_df() + if period == 'ytd': + start = _datetime.date(pd.Timestamp.utcnow().tz_convert(tz).year, 1, 1) + else: + start = pd.Timestamp.utcnow().tz_convert(tz).date() + start -= utils._interval_to_timedelta(period) + start -= _datetime.timedelta(days=4) + period_user = period + period = None + interval = '1d' + start_user = start end_user = end if start or period is None or period.lower() == "max": @@ -248,11 +279,11 @@ def history(self, period="1mo", interval="1d", quote_type = self._history_metadata["instrumentType"] expect_capital_gains = quote_type in ('MUTUALFUND', 'ETF') tz_exchange = self._history_metadata["exchangeTimezoneName"] + currency = self._history_metadata["currency"] # Note: ordering is important. If you change order, run the tests! quotes = utils.set_df_tz(quotes, params["interval"], tz_exchange) quotes = utils.fix_Yahoo_dst_issue(quotes, params["interval"]) - quotes = utils.fix_Yahoo_returning_live_separate(quotes, params["interval"], tz_exchange) intraday = params["interval"][-1] in ("m", 'h') if not prepost and intraday and "tradingPeriods" in self._history_metadata: tps = self._history_metadata["tradingPeriods"] @@ -326,16 +357,74 @@ def history(self, period="1mo", interval="1d", df["Capital Gains"] = 0.0 logger.debug(f'{self.ticker}: OHLC after combining events: {quotes.index[0]} -> {quotes.index[-1]}') + df = utils.fix_Yahoo_returning_live_separate(df, params["interval"], tz_exchange, repair=repair, currency=currency) + df = df[~df.index.duplicated(keep='first')] # must do before repair if repair: # Do this before auto/back adjust logger.debug(f'{self.ticker}: checking OHLC for repairs ...') + + df = df.sort_index() + + # Must fix bad 'Adj Close' & dividends before 100x/split errors. + # First make currency consistent. On some exchanges, dividends often in different currency + # to prices, e.g. £ vs pence. + if currency in ["GBp", "ZAc", "ILA"]: + if currency == 'GBp': + # UK £/pence + currency = 'GBP' + m = 0.01 + elif currency == 'ZAc': + # South Africa Rand/cents + currency = 'ZAR' + m = 0.01 + elif currency == 'ILA': + # Israel Shekels/Agora + currency = 'ILS' + m = 0.01 + + prices_in_subunits = True # usually is true + if df.index[-1] > (pd.Timestamp.utcnow() - _datetime.timedelta(days=30)): + try: + ratio = self._history_metadata['regularMarketPrice'] / self._history_metadata['chartPreviousClose'] + if abs((ratio*m)-1) < 0.1: + # within 10% of 100x + prices_in_subunits = True + except Exception: + pass + if prices_in_subunits: + for c in _PRICE_COLNAMES_: + df[c] *= m + self._history_metadata["currency"] = currency + + f_div = df['Dividends']!=0.0 + if f_div.any(): + # But sometimes the dividend was in pence. + # Heuristic is: if dividend yield is ridiculous high vs converted prices, then + # assume dividend was also in pence and convert to GBP. + # Threshold for "ridiculous" based on largest yield I've seen anywhere - 63.4% + # If this simple heuritsic generates a false positive, then _fix_bad_div_adjust() + # will detect and repair. + divs = df[['Close','Dividends']].copy() + divs['Close'] = divs['Close'].ffill().shift(1, fill_value=divs['Close'].iloc[0]) + divs = divs[f_div] + div_pcts = (divs['Dividends'] / divs['Close']).to_numpy() + if len(div_pcts) > 0 and np.average(div_pcts) > 1: + df['Dividends'] *= m + + df = self._fix_bad_div_adjust(df, interval, currency) + + # Need the latest/last row to be repaired before 100x/split repair: + df_last = self._fix_zeroes(df.iloc[-1:], interval, tz_exchange, prepost) + if 'Repaired?' not in df.columns: + df['Repaired?'] = False + df = pd.concat([df.drop(df.index[-1]), df_last]) + df = self._fix_unit_mixups(df, interval, tz_exchange, prepost) df = self._fix_bad_stock_splits(df, interval, tz_exchange) # Must repair 100x and split errors before price reconstruction df = self._fix_zeroes(df, interval, tz_exchange, prepost) - df = self._fix_missing_div_adjust(df, interval, tz_exchange) df = df.sort_index() # Auto/back adjust @@ -376,6 +465,9 @@ def history(self, period="1mo", interval="1d", mask_nan_or_zero = (df[data_colnames].isna() | (df[data_colnames] == 0)).all(axis=1) df = df.drop(mask_nan_or_zero.index[mask_nan_or_zero]) + if interval != interval_user: + df = self._resample(df, interval, interval_user, period_user) + logger.debug(f'{self.ticker}: yfinance returning OHLC: {df.index[0]} -> {df.index[-1]}') if self._reconstruct_start_interval is not None and self._reconstruct_start_interval == interval: @@ -428,6 +520,41 @@ def get_actions(self, proxy=None) -> pd.Series: return actions[actions != 0].dropna(how='all').fillna(0) return pd.Series() + def _resample(self, df, df_interval, target_interval, period=None) -> pd.DataFrame: + # resample + if df_interval == target_interval: + return df + offset = None + if target_interval == '1wk': + resample_period = 'W-MON' + elif target_interval == '5d': + resample_period = '5D' + elif target_interval == '1mo': + resample_period = 'MS' + elif target_interval == '3mo': + resample_period = 'QS' + if period == 'ytd': + align_month = 'JAN' + else: + align_month = _datetime.datetime.now().strftime('%b').upper() + resample_period = f"QS-{align_month}" + else: + raise Exception(f"Not implemented resampling to interval '{target_interval}'") + resample_map = { + 'Open': 'first', 'Low': 'min', 'High': 'max', 'Close': 'last', + 'Volume': 'sum', 'Dividends': 'sum', 'Stock Splits': 'prod' + } + if 'Repaired?' in df.columns: + resample_map['Repaired?'] = 'any' + if 'Adj Close' in df.columns: + resample_map['Adj Close'] = resample_map['Close'] + if 'Capital Gains' in df.columns: + resample_map['Capital Gains'] = 'sum' + df.loc[df['Stock Splits']==0.0, 'Stock Splits'] = 1.0 + df2 = df.resample(resample_period, label='left', closed='left', offset=offset).agg(resample_map) + df2.loc[df2['Stock Splits']==1.0, 'Stock Splits'] = 0.0 + return df2 + @utils.log_indent_decorator def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): # Reconstruct values in df using finer-grained price data. Delimiter marks what to reconstruct @@ -472,7 +599,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): if self._reconstruct_start_interval is None: self._reconstruct_start_interval = interval if interval != self._reconstruct_start_interval and interval != nexts[self._reconstruct_start_interval]: - msg = "Hit max depth of 2 ('%s'->'%s'->'%s')", self._reconstruct_start_interval, nexts[self._reconstruct_start_interval], interval + msg = "Hit max depth of 2 ('{}'->'{}'->'{}')".format(self._reconstruct_start_interval, nexts[self._reconstruct_start_interval], interval) logger.info(msg, extra=log_extras) return df @@ -709,6 +836,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): df_new_calib = df_new[df_new.index.isin(common_index)][calib_cols].to_numpy() df_block_calib = df_block[df_block.index.isin(common_index)][calib_cols].to_numpy() calib_filter = (df_block_calib != tag) + calib_filter = calib_filter & (~np.isnan(df_new_calib)) if not calib_filter.any(): # Can't calibrate so don't attempt repair logger.info(f"Can't calibrate block starting {start_d} so aborting repair", extra=log_extras) @@ -732,6 +860,13 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): ratio = 1.0 else: ratio = np.average(ratios, weights=weights) + if abs(ratio/0.0001 -1) < 0.01: + # ratio almost-equal 0.0001, so looks like Yahoo messed up currency unit. + # E.g. £ with pence. Can correct it. + df_block = df_block.copy() + for c in _PRICE_COLNAMES_: + df_v2.loc[df_v2[c]!=tag, c] *= 100 + ratio *= 100 logger.debug(f"Price calibration ratio (raw) = {ratio:6f}", extra=log_extras) ratio_rcp = round(1.0 / ratio, 1) ratio = round(ratio, 1) @@ -792,7 +927,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1): elif "Adj Close" in bad_fields: df_v2.loc[idx, "Adj Close"] = df_new_row["Adj Close"] if "Volume" in bad_fields: - df_v2.loc[idx, "Volume"] = df_new_row["Volume"] + df_v2.loc[idx, "Volume"] = df_new_row["Volume"].round().astype('int') df_v2.loc[idx, "Repaired?"] = True n_fixed += 1 @@ -978,7 +1113,7 @@ def _fix_unit_switch(self, df, interval, tz_exchange): n = 1000 else: n = 100 - return self._fix_prices_sudden_change(df, interval, tz_exchange, n) + return self._fix_prices_sudden_change(df, interval, tz_exchange, n, correct_dividend=True) @utils.log_indent_decorator def _fix_zeroes(self, df, interval, tz_exchange, prepost): @@ -992,11 +1127,6 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): logger = utils.get_yf_logger() log_extras = {'yf_cat': 'price-repair-zeroes', 'yf_interval': interval, 'yf_symbol': self.ticker} - if df.shape[0] == 0: - if "Repaired?" not in df.columns: - df["Repaired?"] = False - return df - intraday = interval[-1] in ("m", 'h') df = df.sort_index() # important! @@ -1020,6 +1150,8 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): df2 = df2[~f_zero_or_nan_ignore] if df2.empty: # No good data + if 'Repaired?' not in df.columns: + df['Repaired?'] = False return df df2 = df2.copy() f_prices_bad = (df2[price_cols] == 0.0) | df2[price_cols].isna() @@ -1041,7 +1173,6 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): close_diff.iloc[0] = 0 close_chg_pct_abs = np.abs(close_diff / df2['Close']) f_bad_price_chg = (close_chg_pct_abs > 0.05).to_numpy() & f_vol_zero - f_bad_price_chg = f_bad_price_chg & (~f_vol_bad) # exclude where already know volume is bad f_vol_bad = f_vol_bad | f_bad_price_chg # If stock split occurred, then trading must have happened. @@ -1116,74 +1247,654 @@ def _fix_zeroes(self, df, interval, tz_exchange, prepost): return df2 @utils.log_indent_decorator - def _fix_missing_div_adjust(self, df, interval, tz_exchange): - # Sometimes, if a dividend occurred today, then Yahoo has not adjusted historic data. - # Easy to detect and correct BUT ONLY IF the data 'df' includes today's dividend. - # E.g. if fetching historic prices before todays dividend, then cannot fix. - - if df.empty: - return df + def _fix_bad_div_adjust(self, df, interval, currency): + # Look for dividend issues: + # - dividend ~100x the Close change (a currency unit mixup) + # - dividend missing from Adj Close + # - dividend is in Adj Close but adjustment is too much, or too small - logger = utils.get_yf_logger() - log_extras = {'yf_cat': 'div-adjust-repair', 'yf_interval': interval, 'yf_symbol': self.ticker} + # Experimental: also detect dividend in wrong currency e.g. $ not Israel Shekels. + # But only for big FX rates, otherwise false positives from price volatility. if df is None or df.empty: return df - interday = interval in ['1d', '1wk', '1mo', '3mo'] - if not interday: + if interval != '1d': return df - df = df.sort_index() + logger = utils.get_yf_logger() + log_extras = {'yf_cat': 'div-adjust-repair-bad', 'yf_interval': interval, 'yf_symbol': self.ticker} f_div = (df["Dividends"] != 0.0).to_numpy() if not f_div.any(): logger.debug('No dividends to check', extra=log_extras) return df - df2 = df.copy() - if df2.index.tz is None: - df2.index = df2.index.tz_localize(tz_exchange) - elif df2.index.tz != tz_exchange: - df2.index = df2.index.tz_convert(tz_exchange) + if self._history_metadata['currency'] == 'KWF': + # Kuwaiti Dinar divided into 1000 not 100 + currency_divide = 1000 + else: + currency_divide = 100 + div_status_df = None + too_big_check_threshold = 0.035 - div_indices = np.where(f_div)[0] - last_div_idx = div_indices[-1] - if last_div_idx == 0: - # Not enough data to recalculate the div-adjustment, - # because need close day before - logger.debug('Insufficient data to recalculate div-adjustment', extra=log_extras) + df = df.sort_index() + df2 = df.copy() + if 'Repaired?' not in df2.columns: + df2['Repaired?'] = False + df_modified = False + + # Split df2 into: nan data, and non-nan data + f_nan = df2['Close'].isna().to_numpy() + f_no_change_inter = df2['Close'].iloc[1:].to_numpy() == df2['Close'].iloc[:-1].to_numpy() + f_no_change_inter = np.append([False], f_no_change_inter) + f_no_change_intra = (df2['High'] == df2['Low']).to_numpy() + f_no_change = f_no_change_intra & f_no_change_inter + f_nan = f_nan | f_no_change + # Sometimes a dividend occurs on day with zero volume, and sometimes they are bad dividends that need correction! + # So don't discard volume=0 + f_nan = f_nan & (df2['Dividends']==0.0).to_numpy() + df2_nan = df2[f_nan].copy() + df2 = df2[~f_nan].copy() + + f_div = (df2["Dividends"] != 0.0).to_numpy() + if not f_div.any(): + logger.debug('No dividends to check', extra=log_extras) return df + div_indices = np.where(f_div)[0] - # To determine if Yahoo messed up, analyse price data between today's dividend and - # the previous dividend - if len(div_indices) == 1: - # No other divs in data - prev_idx = 0 - prev_dt = None - else: - prev_idx = div_indices[-2] - prev_dt = df2.index[prev_idx] - f_no_adj = (df2['Close'] == df2['Adj Close']).to_numpy()[prev_idx:last_div_idx] - threshold_pct = 0.5 - Yahoo_failed = (np.sum(f_no_adj) / len(f_no_adj)) > threshold_pct - - # Fix Yahoo - if Yahoo_failed: - last_div_dt = df2.index[last_div_idx] - last_div_row = df2.loc[last_div_dt] - close_day_before = df2['Close'].iloc[last_div_idx - 1] - adj = 1.0 - df2['Dividends'].iloc[last_div_idx] / close_day_before - div = last_div_row['Dividends'] - msg = f'Correcting missing div-adjustment preceding div = {div} @ {last_div_dt.date()}' + # Very rarely, the Close (not Adj Close) is already adjusted! + # Clue is it's often lower than Low. + # E.g. ticker MPCC.OL - Oslo exchange data contradicts Yahoo. + # But sometimes the original data is bad, e.g. LSE sometimes close < low + # Can attempt to fix: + fixed_dates = [] + for i in range(len(div_indices)-1, -1, -1): + div_idx = div_indices[i] + if div_idx == 0: + continue + prices_before = df2.iloc[div_idx-1] + if prices_before['Close'] < prices_before['Low']: + div = df2['Dividends'].iloc[div_idx] + dt_before = df2.index[div_idx-1] + new_close = prices_before['Close'] + div + if new_close >= prices_before['Low'] and new_close <= prices_before['High']: + df2.loc[dt_before, 'Close'] = new_close + adj_after = df2['Adj Close'].iloc[div_idx] / df2['Close'].iloc[div_idx] + adj = adj_after * (1.0 - div/df2['Close'].iloc[div_idx-1]) + df2.loc[dt_before, 'Adj Close'] = df2['Close'].iloc[div_idx-1] * adj + df2.loc[dt_before, 'Repaired?'] = True + df_modified = True + fixed_dates.append(df2.index[div_idx].date()) + if len(fixed_dates) > 0: + msg = f"Repaired double-adjustment on div days {[str(d) for d in fixed_dates]}" logger.info(msg, extra=log_extras) - logger.debug(f'prev_dt={prev_dt}', extra=log_extras) - if interval == '1d': - # exclusive - df2.loc[:last_div_dt - _datetime.timedelta(seconds=1), 'Adj Close'] *= adj + # Check dividends if too big/small for the price action + for i in range(len(div_indices)-1, -1, -1): + div_idx = div_indices[i] + dt = df2.index[div_idx] + div = df2['Dividends'].iloc[div_idx] + + if div_idx == 0: + continue + + div_pct = div / df2['Close'].iloc[div_idx-1] + + # Check if dividend is 100x market movement. + div_too_big = False + div_too_small = False + div_too_small_improvement_threshold = 1 + # div_too_big_improvement_threshold = 1 + div_too_big_improvement_threshold = 2 + + drop_c2l = df2['Close'].iloc[div_idx-1] - df2['Low'].iloc[div_idx] + # drop_c2c = df2['Close'].iloc[div_idx-1] - df2['Close'].iloc[div_idx] + # drop = drop_c2c + drop = drop_c2l + if div_idx < len(df2)-1: + # # In low-volume scenarios, the price drop is day after not today. + # if df2['Close'].iloc[div_idx-1] == df2['Close'].iloc[div_idx] or \ + # df2['Low'].iloc[div_idx] == df2['High'].iloc[div_idx]: + # drop = np.max(df2['Close'].iloc[div_idx-1:div_idx+1].to_numpy() - df2['Low'].iloc[div_idx:div_idx+2].to_numpy()) + # elif df2['Volume'].iloc[div_idx]==0: + # if drop == 0.0: + # drop = np.max(df2['Close'].iloc[div_idx-1:div_idx+1].to_numpy() - df2['Low'].iloc[div_idx:div_idx+2].to_numpy()) + # Hmm, can I always look ahead 1 day? Catch: increases FP rate of div-too-small for tiny divs. + drops = df2['Close'].iloc[div_idx-1:div_idx+1].to_numpy() - df2['Low'].iloc[div_idx:div_idx+2].to_numpy() + drop_2Dmax = np.max(drops) else: - # inclusive - df2.loc[:last_div_dt, 'Adj Close'] *= adj + drop_2Dmax = drop + + if (len(df2)-div_idx) < 4: + end = min(len(df2), div_idx+4) + start = max(0, end-8) + else: + start = max(0, div_idx-4) + end = min(len(df2), start+8) + if end-start < 4: + # Not enough data to estimate volatility + typical_volatility = np.nan + else: + diffs = df2['Close'].iloc[start:end-1].to_numpy() - df2['Low'].iloc[start+1:end].to_numpy() + typical_volatility = np.median(np.abs(diffs)) + + if drop == 0.0 and df2['Volume'].iloc[div_idx]==0: + # Can't analyse price action so use crude heuristics + # if div_pct*100 < 0.1: + if div_pct*100 < 0.08: # lowered for $AG and their tiny divs + div_too_small = True # Could be a 0.01x error + elif div_pct > 1.0: + div_too_big = True # Could be a 100x error + if not (div_too_small or div_too_big): + # Check for div-too-big + if div_pct > too_big_check_threshold: + if drop_2Dmax <= 0.0: + div_too_big = True + else: + diff = abs(div-drop_2Dmax) + diff2 = abs((div/currency_divide)-drop_2Dmax) + if (diff2 * div_too_big_improvement_threshold) <= diff: + # div exceeds market move AND 0.01x div fits drop better + div_too_big = True + + # Check for div-too-small - can be tricked by normal price volatility + if not div_too_big and not np.isnan(typical_volatility): + drop_wo_vol = drop_2Dmax - typical_volatility + if drop_wo_vol > 0: + diff = abs(div-drop_wo_vol) + diff2 = abs((div*currency_divide)-drop_wo_vol) + if (diff2 * div_too_small_improvement_threshold) <= diff: + # market move exceeds div AND 100x div fits drop better + div_too_small = True + + div_status = {'date': dt, 'idx':div_idx, 'div': div, '%': div_pct} + div_status['drop'] = drop + div_status['drop_2Dmax'] = drop_2Dmax + div_status['volume'] = df2['Volume'].iloc[div_idx] + div_status['vol'] = typical_volatility + div_status['div_too_big'] = div_too_big + div_status['div_too_small'] = div_too_small + row = pd.DataFrame([div_status]).set_index('date') + if div_status_df is None: + div_status_df = row + else: + div_status_df = pd.concat([div_status_df, row]) + + if div_status_df is None and not df_modified: + return df + div_status_df = div_status_df.sort_index() + + def cluster_dividends(df, column='div', threshold=10): + n = len(df) + sorted_df = df.sort_values(column) + clusters = [] + current_dts = [sorted_df.index[0]] + currents_vals = [sorted_df[column].iloc[0]] + for i in range(1, n): + dt = sorted_df.index[i] + div = sorted_df[column].iloc[i] + if (div / np.mean(currents_vals)) < threshold: + # Add + current_dts.append(dt) + currents_vals.append(div) + else: + # New cluster + clusters.append(current_dts) + current_dts = [dt] + currents_vals = [div] + clusters.append(current_dts) + + cluster_labels = np.array([-1]*n) + ctr = 0 + for i, cluster in enumerate(clusters): + nc = len(cluster) + cluster_labels[ctr:ctr+nc] = i + ctr += nc + return cluster_labels + + # Check if the present div-adjustment is too big/small, or missing + for i in range(len(div_status_df)): + div_idx = div_status_df['idx'].iloc[i] + dt = div_status_df.index[i] + div = div_status_df['div'].iloc[i] + + if div_idx == 0: + continue + + div_pct = div / df2['Close'].iloc[div_idx-1] + + # First, check if Yahoo failed to apply dividend to Adj Close + pre_adj = df2['Adj Close'].iloc[div_idx-1] / df2['Close'].iloc[div_idx-1] + post_adj = df2['Adj Close'].iloc[div_idx] / df2['Close'].iloc[div_idx] + div_missing_from_adjclose = post_adj == pre_adj + + # Adj Close should drop by LESS than Close on ex-div, at least for big dividends. + # Update: Yahoo might be reporting dividend slightly early, meaning + # Mr Market's price drop happens tomorrow e.g. UNTC in december 2023 + lookahead_date = dt+_datetime.timedelta(days=20) + lookahead_idx = bisect.bisect_left(df2.index, lookahead_date) + lookahead_idx = min(lookahead_idx, len(df2)-1) + # In rare cases, the price dropped 1 day before dividend (DVD.OL @ 2024-05-15) + lookback_idx = div_idx-2 if div_idx > 1 else div_idx-1 + div_adj_exceeds_prices = False + if lookahead_idx > lookback_idx: + close_deltas = np.diff(df2['Close'].iloc[lookback_idx:lookahead_idx+1].to_numpy()) + adjClose_deltas = np.diff(df2['Adj Close'].iloc[lookback_idx:lookahead_idx+1].to_numpy()) + close_chgs_pct = close_deltas / df2['Close'].iloc[lookback_idx:lookahead_idx].to_numpy() + adjClose_chgs_pct = adjClose_deltas / df2['Adj Close'].iloc[lookback_idx:lookahead_idx].to_numpy() + # Check if adjustment is too much. Need a big dividend % to be sure. + if div_pct > 0.2: + adjClose_chg_pct = np.min(adjClose_chgs_pct) + close_chg_pct = np.min(close_chgs_pct) + if adjClose_chg_pct < 0.0 and adjClose_chg_pct < 1.0001*close_chg_pct: + # Bigger drop + div_adj_exceeds_prices = True + + # Check if adjustment too small + present_adj = pre_adj / post_adj + implied_div_yield = 1.0 - present_adj + div_adj_is_too_small = implied_div_yield < (0.1*div_pct) + + # ... and use same method for adjustment too big: + div_adj_exceeds_div = implied_div_yield > (10*div_pct) + + # Have done 4 different checks that can interact, so handle very carefully. + # Can prune the space: + if div_missing_from_adjclose: + div_adj_is_too_small = False # redundant information + + div_status = {'present adj': present_adj} + div_status['adj_missing'] = div_missing_from_adjclose + div_status['adj_exceeds_prices'] = div_adj_exceeds_prices + div_status['adj_exceeds_div'] = div_adj_exceeds_div + div_status['adj_too_small'] = div_adj_is_too_small + + for k,v in div_status.items(): + if k not in div_status_df: + if isinstance(v, (bool, np.bool)): + div_status_df[k] = False + elif isinstance(v, int): + div_status_df[k] = 0 + elif isinstance(v, float): + div_status_df[k] = 0.0 + else: + raise Exception(k,v,type(v)) + div_status_df.loc[dt, k] = v + + checks = ['adj_missing', 'adj_too_small', 'adj_exceeds_div', 'adj_exceeds_prices', 'div_too_big', 'div_too_small', 'fx_mixup'] + checks = [c for c in checks if c in div_status_df.columns] + + div_status_df['phantom'] = False + phantom_proximity_threshold = _datetime.timedelta(days=7) + f = div_status_df['div_too_big'] | div_status_df['adj_too_small'] + if f.any(): + # One/some of these may be phantom dividends. Clue is if another correct dividend is very close + indices = np.where(f)[0] + dts_to_check = div_status_df.index[f] + for i in indices: + div = div_status_df.iloc[i] + div_dt = div.name + phantom_dt = None + if i > 0: + prev_div = div_status_df.iloc[i-1] + ratio1 = (div['div']/currency_divide) / prev_div['div'] + ratio2 = div['div'] / prev_div['div'] + divergence = min(abs(ratio1-1.0), abs(ratio2-1.0)) + if abs(div_dt-prev_div.name) <= phantom_proximity_threshold and not prev_div['phantom'] and divergence < 0.01: + if prev_div.name in dts_to_check: + # Both this and previous are anomolous, so mark smallest drop as phantom + drop = div['drop'] + drop_prev = prev_div['drop'] + if drop > 1.5*drop_prev: + phantom_dt = prev_div.name + else: + phantom_dt = div_dt + else: + phantom_dt = div_dt + elif i < len(div_status_df)-1: + next_div = div_status_df.iloc[i+1] + ratio1 = (div['div']/currency_divide) / next_div['div'] + ratio2 = div['div'] / next_div['div'] + divergence = min(abs(ratio1-1.0), abs(ratio2-1.0)) + if abs(div_dt-next_div.name) <= phantom_proximity_threshold and divergence < 0.01: + if next_div.name in dts_to_check: + # Both this and previous are anomolous, so mark smallest drop as phantom + drop = div['drop'] + drop_next = next_div['drop'] + if drop > 1.5*drop_next: + phantom_dt = next_div.name + else: + phantom_dt = div_dt + else: + phantom_dt = div_dt + if phantom_dt: + div_status_df.loc[phantom_dt, 'phantom'] = True + for c in checks: + if c in div_status_df.columns: + div_status_df.loc[phantom_dt, c] = False + + # There might be other phantom dividends - in close proximity and almost-equal to another div. + # But harder to decide which is the phantom and which is real. + # Assume phantom has much smaller price drop, otherwise assume is newer. + # ratio_threshold = 0.01 + ratio_threshold = 0.08 # increased for KAP.IL 2022-July + div_status_df = div_status_df.sort_index() + for i in range(1, len(div_status_df)): + div = div_status_df.iloc[i] + div_dt = div.name + this_is_phantom = False + last_is_phantom = False + drop = div['drop'] + last_div = div_status_df.iloc[i-1] + ratio = div['div'] / last_div['div'] + if abs(div_dt-last_div.name) <= phantom_proximity_threshold and not last_div['phantom'] and not div['phantom'] and abs(ratio-1.0) < ratio_threshold: + last_drop = div_status_df['drop'].iloc[i-1] + if drop > 1.5*last_drop: + last_is_phantom = True + else: + this_is_phantom = True + if last_is_phantom or this_is_phantom: + phantom_div_dt = div_dt if this_is_phantom else div_status_df.index[i-1] + div_status_df.loc[phantom_div_dt, 'phantom'] = True + for c in checks: + if c in div_status_df.columns: + div_status_df.loc[phantom_div_dt, c] = False + checks.append('phantom') + + if not div_status_df[checks].any().any(): + # Maybe failed to detect a too-small div. If div is ~0.01x of previous and next, then + # treat as a 0.01x error + if len(div_status_df) > 1: + for i in range(0, len(div_status_df)): + if div_status_df['phantom'].iloc[i]: + continue + r_pre, r_post = None, None + if i > 0: + r_pre = div_status_df['%'].iloc[i-1] / div_status_df['%'].iloc[i] + if i < (len(div_status_df)-1): + r_post = div_status_df['%'].iloc[i+1] / div_status_df['%'].iloc[i] + r_pre = r_pre or r_post + r_post = r_post or r_pre + if abs(r_pre-currency_divide)<20 and abs(r_post-currency_divide)<20: + div_dt = div_status_df.index[i] + div_status_df.loc[div_dt, 'div_too_small'] = True + + if not div_status_df[checks].any().any(): + # Perfect + return df + for c in checks: + if not div_status_df[c].any(): + div_status_df = div_status_df.drop(c, axis=1) + checks = [c for c in checks if c in div_status_df.columns] + + # With small dividends e.g. < 10%, my error detecting logic can be tricked by price volatility. + # But by looking at all the dividends, can find errors that previous logic missed. + + div_status_df = div_status_df.sort_values('%') + div_status_df['cluster'] = cluster_dividends(div_status_df, column='%', ) + + # Discard columns with no problems + for c in checks: + if (~div_status_df[c]).all(): + div_status_df = div_status_df.drop(c, axis=1) + checks = [c for c in checks if c in div_status_df.columns] + if len(checks) == 0: + return df + + cluster_ids = div_status_df['cluster'].unique() + for cid in cluster_ids: + fc = div_status_df['cluster'] == cid + cluster = div_status_df[fc].sort_index() + + if 'phantom' in cluster.columns: + cluster = cluster[~cluster['phantom']] + n = len(cluster) + if n == 0: + # this cluster is just phantom + continue + div_pcts = cluster[['%']].copy() + if len(div_pcts) > 1: + time_diffs = div_pcts['%'].index.to_series().diff().dt.total_seconds() / (365.25 * 24 * 60 * 60) + time_diffs.loc[time_diffs.index[0]] = time_diffs.iloc[1] + div_pcts['period'] = time_diffs + div_pcts['avg yr yield'] = div_pcts['%'] / div_pcts['period'] + + for c in checks: + f_fail = cluster[c].to_numpy() + n_fail = np.sum(f_fail) + if n_fail in [0, n]: + continue + pct_fail = np.sum(f_fail) / n + if c == 'div_too_big': + true_threshold = 1.0 + fals_threshold = 0.2 + if 'adj_too_small' not in cluster.columns: + # More likely that 'div_too_big' are false positives: NOT too big + fals_threshold = 2/3 + elif cluster['adj_too_small'].all(): + # The present adjustment also contradicts the dividend yields, + # more likely the dividends are too big. + if (cluster['vol'][fc][f_fail]==0).all(): + # No trading volume to cross-check, so higher thresholds + fals_threshold = 2/3 + else: + true_threshold = 1/2 + if pct_fail >= true_threshold: + div_status_df.loc[fc, c] = True + continue + elif pct_fail <= fals_threshold: + div_status_df.loc[fc, c] = False + continue + + if c == 'div_too_small': + true_threshold = 1.0 + fals_threshold = 0.1 + if 'adj_exceeds_div' not in cluster.columns and 'adj_exceeds_prices' not in cluster.columns: + # More likely that 'div_too_small' are false positives: NOT too small + fals_threshold = 2/3 + elif ('adj_exceeds_div' in cluster.columns and cluster['adj_exceeds_div'].all()) \ + ('adj_exceeds_prices' in cluster.columns and cluster['adjadj_exceeds_prices_exceeds_div'].all()): + # More likely that falses are false negatives + true_threshold = 0.5 + if pct_fail >= true_threshold: + div_status_df.loc[fc, c] = True + continue + elif pct_fail <= fals_threshold: + div_status_df.loc[fc, c] = False + continue + + if c == 'adj_missing': + if cluster[c].iloc[-1] and n_fail == 1: + # Only the latest/last row is missing, genuine error + continue + if c == 'adj_too_small': + continue + + if c == 'phantom' and self.ticker in ['KAP.IL', 'SAND']: + # Manually approve, but these are probably safe to assume ok + continue + + div_status_df = div_status_df.sort_index() + + # Discard dividends with no problems + div_status_df = div_status_df[div_status_df[checks].any(axis=1)] + if div_status_df.empty: + return df + + # Process phantoms first + if 'phantom' in div_status_df.columns: + f_phantom = div_status_df['phantom'] + # ... but only if no other problems + f_phantom = f_phantom & (~div_status_df[[c for c in checks if c != 'phantom']].any(axis=1)) + if f_phantom.any(): + div_dts = div_status_df.index[f_phantom] + msg = f'Removing phantom div(s): {[str(dt.date()) for dt in div_dts]}' + logger.info(msg, extra=log_extras) + for i in np.where(f_phantom)[0]: + dt = div_status_df.index[i] + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] /= div_status_df['present adj'].iloc[i] + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] /= div_status_df['present adj'].iloc[i] + df2_nan.loc[:enddt, 'Repaired?'] = True + df2.loc[dt, 'Dividends'] = 0 + df_modified = True + div_status_df.loc[f_phantom, 'phantom'] = False + # Discard dividends with no problems + div_status_df = div_status_df[div_status_df[checks].any(axis=1)] + + if div_status_df.empty: + if not df2_nan.empty: + df2 = pd.concat([df2, df2_nan]).sort_index() + return df2 + + # These arrays track changes for constructing compact log messages + div_repairs = {} + for cid in div_status_df['cluster'].unique(): + cluster = div_status_df[div_status_df['cluster']==cid] + cluster = cluster.sort_index(ascending=False) + cluster['Fixed?'] = False + for i in range(len(cluster)): + row = cluster.iloc[i] + dt = row.name + + adj_missing = 'adj_missing' in row and row['adj_missing'] + adj_too_small = 'adj_too_small' in row and row['adj_too_small'] + adj_exceeds_div = 'adj_exceeds_div' in row and row['adj_exceeds_div'] + adj_exceeds_prices = 'adj_exceeds_prices' in row and row['adj_exceeds_prices'] + div_too_small = 'div_too_small' in row and row['div_too_small'] + div_too_big = 'div_too_big' in row and row['div_too_big'] + + adj_too_big = adj_exceeds_div or adj_exceeds_prices + + n_failed_checks = np.sum([row[c] for c in checks if c in row]) + if n_failed_checks == 1: + if adj_too_small or adj_too_big: + k = 'too-small div-adjust' if adj_too_small else 'too-big div-adjust' + div_repairs.setdefault(k, []).append(dt) + adj_correction = (1.0 - row['%']) / row['present adj'] + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + cluster.loc[dt, 'Fixed?'] = True + + elif div_too_small: + # Fix both dividend and adjustment + # - div_too_small looks fine, the adj also needs repair because compared against div + k = 'too-small div' + correction = currency_divide + correct_div = row['div'] * correction + df2.loc[dt, 'Dividends'] = correct_div + # adj is correct *compared to the present div*, so needs rescaling + # to match corrected dividend + k += ' & div-adjust' + target_adj = 1.0 - ((1.0 - row['present adj']) * correction) + adj_correction = target_adj / row['present adj'] + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + cluster.loc[dt, 'Fixed?'] = True + div_repairs.setdefault(k, []).append(dt) + + elif div_too_big: + k = 'too-big div' + correction = 1.0/currency_divide + + correct_div = row['div'] * correction + df2.loc[dt, 'Dividends'] = correct_div + + # Also correct adjustment to match corrected dividend + target_div_pct = row['%']/currency_divide + target_adj = 1.0 - target_div_pct + present_adj = row['present adj'] + k += ' & div-adjust' + adj_correction = target_adj / row['present adj'] + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + + cluster.loc[dt, 'Fixed?'] = True + div_repairs.setdefault(k, []).append(dt) + + elif adj_missing: + k = 'missing div-adjust' + div_repairs.setdefault(k, []).append(dt) + enddt = dt-_datetime.timedelta(seconds=1) + adj_correction = 1.0-row['%'] + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + cluster.loc[dt, 'Fixed?'] = True + + elif n_failed_checks == 2: + if div_too_big and adj_missing: + # A currency unit mixup AND adjustment missing + k = 'too-big div and missing div-adjust' + div_repairs.setdefault(k, []).append(dt) + adj_correction = 1.0 - row['%']/currency_divide + df2.loc[dt, 'Dividends'] /= currency_divide + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + cluster.loc[dt, 'Fixed?'] = True + + elif div_too_big and adj_too_small: + # Adj Close is correct, just need to fix Dividend. + # Probably just a currency unit mixup. + df2.loc[dt, 'Dividends'] /= currency_divide + k = 'too-big div' + if 'FX was repaired' in row and row['FX was repaired']: + # Complication: not just a currency unit mixup, but + # mixed up the local currency with $. So need to + # recalculate adjustment. + msg = None + div_adj = 1.0 - (row['%']/currency_divide) + adj_correction = div_adj / row['present adj'] + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + # Currently not logging this FX-fix event, since I refactored fixing. + k += " and FX mixup" + div_repairs.setdefault(k, []).append(dt) + cluster.loc[dt, 'Fixed?'] = True + + elif adj_too_big and div_too_big: + # Assume div 100x error, and that Yahoo used this wrong dividend. + # 'adj_too_big=True' is probably redundant information, knowing div too big + # is enough to require also fixing adjustment + k = 'too-big div & div-adjust' + div_repairs.setdefault(k, []).append(dt) + target_div_pct = row['%']/currency_divide + target_adj = 1.0 - target_div_pct + adj_correction = target_adj / row['present adj'] + df2.loc[dt, 'Dividends'] /= currency_divide + enddt = dt-_datetime.timedelta(seconds=1) + df2.loc[ :enddt, 'Adj Close'] *= adj_correction + df2.loc[ :enddt, 'Repaired?'] = True + df2_nan.loc[:enddt, 'Adj Close'] *= adj_correction + df2_nan.loc[:enddt, 'Repaired?'] = True + cluster.loc[dt, 'Fixed?'] = True + + for k in div_repairs: + msg = f"Repaired {k}: {[str(dt.date()) for dt in sorted(div_repairs[k])]}" + logger.info(msg, extra=log_extras) + + if 'Adj' in df2.columns: + raise Exception('"Adj" has snuck in df2') + + if not df2_nan.empty: + df2 = pd.concat([df2, df2_nan]).sort_index() return df2 @@ -1234,10 +1945,9 @@ def _fix_bad_stock_splits(self, df, interval, tz_exchange): split_idx += 5 cutoff_idx = min(df.shape[0], split_idx) # add one row after to detect big change df_pre_split = df.iloc[0:cutoff_idx+1] - logger.debug(f'split_idx={split_idx} split_dt={split_dt}', extra=log_extras) + logger.debug(f'split_idx={split_idx} split_dt={split_dt.date()} split={split:.4f}', extra=log_extras) logger.debug(f'df dt range: {df_pre_split.index[0].date()} -> {df_pre_split.index[-1].date()}', extra=log_extras) - - df_pre_split_repaired = self._fix_prices_sudden_change(df_pre_split, interval, tz_exchange, split, correct_volume=True) + df_pre_split_repaired = self._fix_prices_sudden_change(df_pre_split, interval, tz_exchange, split, correct_volume=True, correct_dividend=True) # Merge back in: if cutoff_idx == df.shape[0]-1: df = df_pre_split_repaired @@ -1250,7 +1960,7 @@ def _fix_bad_stock_splits(self, df, interval, tz_exchange): return df @utils.log_indent_decorator - def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_volume=False): + def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_volume=False, correct_dividend=False): if df.empty: return df @@ -1260,6 +1970,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v split = change split_rcp = 1.0 / split interday = interval in ['1d', '1wk', '1mo', '3mo'] + multiday = interval in ['1wk', '1mo', '3mo'] if change in [100.0, 0.01]: fix_type = '100x error' @@ -1271,7 +1982,7 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v # start_min = 1 year before oldest split f = df['Stock Splits'].to_numpy() != 0.0 start_min = (df.index[f].min() - _dateutil.relativedelta.relativedelta(years=1)).date() - logger.debug(f'start_min={start_min} change={change}', extra=log_extras) + logger.debug(f'start_min={start_min} change={change:.4f} (rcp={1.0/change:.4f})', extra=log_extras) OHLC = ['Open', 'High', 'Low', 'Close'] @@ -1291,11 +2002,16 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v # If stock is currently suspended and not in USA, then usually Yahoo introduces # 100x errors into suspended intervals. Clue is no price change and 0 volume. # Better to use last active trading interval as baseline. - f_no_activity = (df2['Low'] == df2['High']) & (df2['Volume']==0) + # f_no_activity = (df2['Low'] == df2['High']) & (df2['Volume']==0) + # Update: intra-interval 100x/0.01x errors can trick Low==High + f_no_activity = df2['Volume']==0 f_no_activity = f_no_activity | df2[OHLC].isna().all(axis=1) appears_suspended = f_no_activity.any() and np.where(f_no_activity)[0][0]==0 f_active = ~f_no_activity idx_latest_active = np.where(f_active & np.roll(f_active, 1))[0] + if len(idx_latest_active) == 0: + # In rare cases, not enough trading activity for 2+ consecutive days e.g. CLC.L + idx_latest_active = np.where(f_active)[0] if len(idx_latest_active) == 0: idx_latest_active = None else: @@ -1307,8 +2023,8 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v if logger.isEnabledFor(logging.DEBUG): df_debug = df2.copy() - df_debug = df_debug.drop(['Adj Close', 'Volume', 'Dividends', 'Repaired?'], axis=1, errors='ignore') - debug_cols = ['Low', 'High'] + df_debug = df_debug.drop(['Adj Close', 'Volume', 'Dividends', 'Stock Splits', 'Repaired?'], axis=1, errors='ignore') + debug_cols = ['Close'] df_debug = df_debug.drop([c for c in OHLC if c not in debug_cols], axis=1, errors='ignore') else: debug_cols = [] @@ -1336,6 +2052,9 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v price_data = price_data.astype('float') for j in range(price_data.shape[1]): price_data[:,j] *= adj + if logger.isEnabledFor(logging.DEBUG): + if OHLC[j] in df_debug.columns: + df_debug[OHLC[j]] *= adj if df_dtype == np.int64: price_data = price_data.astype('int') @@ -1358,8 +2077,8 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v # Possible if data was too old for reconstruction. _1d_change_minx[f_na] = 1.0 if logger.isEnabledFor(logging.DEBUG): - df_debug['1D change X'] = _1d_change_minx - df_debug['1D change X'] = df_debug['1D change X'].round(2).astype('str') + df_debug['1D %'] = _1d_change_minx + df_debug['1D %'] = df_debug['1D %'].round(2).astype('str') # If all 1D changes are closer to 1.0 than split, exit split_max = max(split, split_rcp) @@ -1420,22 +2139,38 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v r = _1d_change_x / split_rcp f_down = _1d_change_x < 1.0 / threshold f_up = _1d_change_x > threshold + f_up_ndims = len(f_up.shape) + f_up_shifts = f_up if f_up_ndims==1 else f_up.any(axis=1) + # In rare cases e.g. real disasters, the price actually drops massively on huge volume + if f_up_shifts.any(): + for i in np.where(f_up_shifts)[0]: + v = df2['Volume'].iloc[i] + vol_change_pct = 0 if v == 0 else df2['Volume'].iloc[i-1] / v + if multiday: + v = df2['Volume'].iloc[i+1] + if v > 0: + vol_change_pct = max(vol_change_pct, df2['Volume'].iloc[i] / v) + if vol_change_pct > 5: + # big volume change +500% = false positive + if f_up_ndims == 1: + f_up[i] = False + else: + f_up[i,:] = False f = f_down | f_up if logger.isEnabledFor(logging.DEBUG): if not correct_columns_individually: df_debug['r'] = r - df_debug['f_down'] = f_down - df_debug['f_up'] = f_up + df_debug['down'] = f_down + df_debug['up'] = f_up df_debug['r'] = df_debug['r'].round(2).astype('str') else: for j in range(len(OHLC)): c = OHLC[j] if c in debug_cols: df_debug[c + '_r'] = r[:, j] - df_debug[c + '_f_down'] = f_down[:, j] - df_debug[c + '_f_up'] = f_up[:, j] df_debug[c + '_r'] = df_debug[c + '_r'].round(2).astype('str') - + df_debug[c + '_down'] = f_down[:, j] + df_debug[c + '_up'] = f_up[:, j] if not f.any(): logger.debug(f'No {fix_type}s detected', extra=log_extras) @@ -1465,15 +2200,15 @@ def _fix_prices_sudden_change(self, df, interval, tz_exchange, change, correct_v return df # if logger.isEnabledFor(logging.DEBUG): - # df_debug['i'] = list(range(0, df_debug.shape[0])) - # df_debug['i_rev'] = df_debug.shape[0]-1 - df_debug['i'] - # if correct_columns_individually: - # f_change = df_debug[[c+'_f_down' for c in debug_cols]].any(axis=1) | df_debug[[c+'_f_up' for c in debug_cols]].any(axis=1) - # else: - # f_change = df_debug['f_down'] | df_debug['f_up'] - # f_change = f_change | np.roll(f_change, -1) | np.roll(f_change, 1) | np.roll(f_change, -2) | np.roll(f_change, 2) - # with pd.option_context('display.max_rows', None, 'display.max_columns', 10, 'display.width', 1000): # more options can be specified also - # logger.debug(f"price-repair-split: my workings:" + '\n' + str(df_debug[f_change])) + df_debug['i'] = list(range(0, df_debug.shape[0])) + df_debug['i_rev'] = df_debug.shape[0]-1 - df_debug['i'] + if correct_columns_individually: + f_change = df_debug[[c+'_down' for c in debug_cols]].any(axis=1) | df_debug[[c+'_up' for c in debug_cols]].any(axis=1) + else: + f_change = df_debug['f_down'] | df_debug['f_up'] + f_change = f_change | np.roll(f_change, -1) | np.roll(f_change, 1) | np.roll(f_change, -2) | np.roll(f_change, 2) + with pd.option_context('display.max_rows', None, 'display.max_columns', 10, 'display.width', 1000): # more options can be specified also + logger.debug("price-repair-split: my workings:" + '\n' + str(df_debug[f_change])) def map_signals_to_ranges(f, f_up, f_down): # Ensure 0th element is False, because True is nonsense @@ -1680,6 +2415,8 @@ def map_signals_to_ranges(f, f_up, f_down): logger.debug(f"range={r} m={m}", extra=log_extras) for c in ['Open', 'High', 'Low', 'Close', 'Adj Close']: df2.iloc[r[0]:r[1], df2.columns.get_loc(c)] *= m + if correct_dividend: + df2.iloc[r[0]:r[1], df2.columns.get_loc('Dividends')] *= m if correct_volume: col_loc = df2.columns.get_loc("Volume") df2.iloc[r[0]:r[1], col_loc] = (df2.iloc[r[0]:r[1], col_loc] * m_rcp).round().astype('int') diff --git a/yfinance/utils.py b/yfinance/utils.py index 2ede6810b..0968f9d15 100644 --- a/yfinance/utils.py +++ b/yfinance/utils.py @@ -431,8 +431,16 @@ def _interval_to_timedelta(interval): return relativedelta(months=1) elif interval == "3mo": return relativedelta(months=3) + elif interval == "6mo": + return relativedelta(months=6) elif interval == "1y": return relativedelta(years=1) + elif interval == "2y": + return relativedelta(years=2) + elif interval == "5y": + return relativedelta(years=5) + elif interval == "10y": + return relativedelta(years=10) elif interval == "1wk": return _pd.Timedelta(days=7) else: @@ -586,7 +594,7 @@ def fix_Yahoo_returning_prepost_unrequested(quotes, interval, tradingPeriods): return quotes -def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange): +def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange, repair=False, currency=None): # Yahoo bug fix. If market is open today then Yahoo normally returns # todays data as a separate row from rest-of week/month interval in above row. # Seems to depend on what exchange e.g. crypto OK. @@ -624,6 +632,30 @@ def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange): # Yahoo returning last interval duplicated, which means # Yahoo is not returning live data (phew!) return quotes + + ss = quotes['Stock Splits'].iloc[-2:].replace(0,1).prod() + if repair: + # First, check if one row is ~100x the other. A £/pence mixup on LSE. + # Avoid if a stock split near 100 + if currency == 'KWF': + # Kuwaiti Dinar divided into 1000 not 100 + currency_divide = 1000 + else: + currency_divide = 100 + # if ss < 75 or ss > 125: + if abs(ss/currency_divide-1) > 0.25: + ratio = quotes.loc[idx1, const._PRICE_COLNAMES_] / quotes.loc[idx2, const._PRICE_COLNAMES_] + if ((ratio/currency_divide-1).abs() < 0.05).all(): + # newer prices are 100x + for c in const._PRICE_COLNAMES_: + quotes.loc[idx2, c] *= 100 + elif((ratio*currency_divide-1).abs() < 0.05).all(): + # newer prices are 0.01x + for c in const._PRICE_COLNAMES_: + quotes.loc[idx2, c] *= 0.01 + + # quotes.loc[idx2, 'Stock Splits'] = 2 # wtf? why doing this? + if _np.isnan(quotes.loc[idx2, "Open"]): quotes.loc[idx2, "Open"] = quotes["Open"].iloc[n - 1] # Note: nanmax() & nanmin() ignores NaNs, but still need to check not all are NaN to avoid warnings @@ -641,6 +673,9 @@ def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange): if "Adj Close" in quotes.columns: quotes.loc[idx2, "Adj Close"] = quotes["Adj Close"].iloc[n - 1] quotes.loc[idx2, "Volume"] += quotes["Volume"].iloc[n - 1] + quotes.loc[idx2, "Dividends"] += quotes["Dividends"].iloc[n - 1] + if ss != 1.0: + quotes.loc[idx2, "Stock Splits"] = ss quotes = quotes.drop(quotes.index[n - 1]) return quotes From a74ad474d98e6d5b7a681253aae5d6b55f9e43cd Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Thu, 22 Aug 2024 15:44:39 +0100 Subject: [PATCH 15/16] Repair dividends: fine-tune logic + unit tests Fix detecting div_adj_exceeds_prices. Fine-tune fixing div_too_big. Unit tests. --- tests/data/1398-HK-1d-bad-div-fixed.csv | 649 +++++++++++++++++++++ tests/data/1398-HK-1d-bad-div.csv | 649 +++++++++++++++++++++ tests/data/3988-HK-1d-bad-div-fixed.csv | 649 +++++++++++++++++++++ tests/data/3988-HK-1d-bad-div.csv | 649 +++++++++++++++++++++ tests/data/ABDP-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/ABDP-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/ADIG-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/ADIG-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/CALM-1d-no-bad-divs.csv | 663 +++++++++++++++++++++ tests/data/CLC-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/CLC-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/ELCO-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/ELCO-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/EWG-1d-no-bad-divs.csv | 663 +++++++++++++++++++++ tests/data/HSBK-IL-1d-no-bad-divs.csv | 666 +++++++++++++++++++++ tests/data/IBE-MC-1d-no-bad-divs.csv | 678 ++++++++++++++++++++++ tests/data/KAP-IL-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/KAP-IL-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/KEN-TA-1d-bad-div-fixed.csv | 652 +++++++++++++++++++++ tests/data/KEN-TA-1d-bad-div.csv | 652 +++++++++++++++++++++ tests/data/KME-MI-1d-bad-div-fixed.csv | 675 ++++++++++++++++++++++ tests/data/KME-MI-1d-bad-div.csv | 675 ++++++++++++++++++++++ tests/data/KMR-L-1d-no-bad-divs.csv | 666 +++++++++++++++++++++ tests/data/KWS-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/KWS-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/LSC-L-1d-bad-div-fixed.csv | 665 +++++++++++++++++++++ tests/data/LSC-L-1d-bad-div.csv | 665 +++++++++++++++++++++ tests/data/NPK-1d-no-bad-divs.csv | 663 +++++++++++++++++++++ tests/data/NVT-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/NVT-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/PSH-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/PSH-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/REL-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/REL-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/RGL-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/RGL-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/SAND-1d-bad-div-fixed.csv | 663 +++++++++++++++++++++ tests/data/SAND-1d-bad-div.csv | 663 +++++++++++++++++++++ tests/data/SCR-TO-1d-bad-div-fixed.csv | 663 +++++++++++++++++++++ tests/data/SCR-TO-1d-bad-div.csv | 663 +++++++++++++++++++++ tests/data/SERE-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/SERE-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/SOLB-BR-1d-bad-div-fixed.csv | 678 ++++++++++++++++++++++ tests/data/SOLB-BR-1d-bad-div.csv | 678 ++++++++++++++++++++++ tests/data/TEM-L-1d-bad-div-fixed.csv | 666 +++++++++++++++++++++ tests/data/TEM-L-1d-bad-div.csv | 666 +++++++++++++++++++++ tests/data/TEP-PA-1d-bad-div-fixed.csv | 678 ++++++++++++++++++++++ tests/data/TEP-PA-1d-bad-div.csv | 678 ++++++++++++++++++++++ tests/data/TISG-MI-1d-no-bad-divs.csv | 584 +++++++++++++++++++ tests/test_price_repair.py | 730 ++++++++++++++++++++++++ tests/test_prices.py | 492 ---------------- yfinance/scrapers/history.py | 62 +- 52 files changed, 33276 insertions(+), 519 deletions(-) create mode 100644 tests/data/1398-HK-1d-bad-div-fixed.csv create mode 100644 tests/data/1398-HK-1d-bad-div.csv create mode 100644 tests/data/3988-HK-1d-bad-div-fixed.csv create mode 100644 tests/data/3988-HK-1d-bad-div.csv create mode 100644 tests/data/ABDP-L-1d-bad-div-fixed.csv create mode 100644 tests/data/ABDP-L-1d-bad-div.csv create mode 100644 tests/data/ADIG-L-1d-bad-div-fixed.csv create mode 100644 tests/data/ADIG-L-1d-bad-div.csv create mode 100644 tests/data/CALM-1d-no-bad-divs.csv create mode 100644 tests/data/CLC-L-1d-bad-div-fixed.csv create mode 100644 tests/data/CLC-L-1d-bad-div.csv create mode 100644 tests/data/ELCO-L-1d-bad-div-fixed.csv create mode 100644 tests/data/ELCO-L-1d-bad-div.csv create mode 100644 tests/data/EWG-1d-no-bad-divs.csv create mode 100644 tests/data/HSBK-IL-1d-no-bad-divs.csv create mode 100644 tests/data/IBE-MC-1d-no-bad-divs.csv create mode 100644 tests/data/KAP-IL-1d-bad-div-fixed.csv create mode 100644 tests/data/KAP-IL-1d-bad-div.csv create mode 100644 tests/data/KEN-TA-1d-bad-div-fixed.csv create mode 100644 tests/data/KEN-TA-1d-bad-div.csv create mode 100644 tests/data/KME-MI-1d-bad-div-fixed.csv create mode 100644 tests/data/KME-MI-1d-bad-div.csv create mode 100644 tests/data/KMR-L-1d-no-bad-divs.csv create mode 100644 tests/data/KWS-L-1d-bad-div-fixed.csv create mode 100644 tests/data/KWS-L-1d-bad-div.csv create mode 100644 tests/data/LSC-L-1d-bad-div-fixed.csv create mode 100644 tests/data/LSC-L-1d-bad-div.csv create mode 100644 tests/data/NPK-1d-no-bad-divs.csv create mode 100644 tests/data/NVT-L-1d-bad-div-fixed.csv create mode 100644 tests/data/NVT-L-1d-bad-div.csv create mode 100644 tests/data/PSH-L-1d-bad-div-fixed.csv create mode 100644 tests/data/PSH-L-1d-bad-div.csv create mode 100644 tests/data/REL-L-1d-bad-div-fixed.csv create mode 100644 tests/data/REL-L-1d-bad-div.csv create mode 100644 tests/data/RGL-L-1d-bad-div-fixed.csv create mode 100644 tests/data/RGL-L-1d-bad-div.csv create mode 100644 tests/data/SAND-1d-bad-div-fixed.csv create mode 100644 tests/data/SAND-1d-bad-div.csv create mode 100644 tests/data/SCR-TO-1d-bad-div-fixed.csv create mode 100644 tests/data/SCR-TO-1d-bad-div.csv create mode 100644 tests/data/SERE-L-1d-bad-div-fixed.csv create mode 100644 tests/data/SERE-L-1d-bad-div.csv create mode 100644 tests/data/SOLB-BR-1d-bad-div-fixed.csv create mode 100644 tests/data/SOLB-BR-1d-bad-div.csv create mode 100644 tests/data/TEM-L-1d-bad-div-fixed.csv create mode 100644 tests/data/TEM-L-1d-bad-div.csv create mode 100644 tests/data/TEP-PA-1d-bad-div-fixed.csv create mode 100644 tests/data/TEP-PA-1d-bad-div.csv create mode 100644 tests/data/TISG-MI-1d-no-bad-divs.csv create mode 100644 tests/test_price_repair.py diff --git a/tests/data/1398-HK-1d-bad-div-fixed.csv b/tests/data/1398-HK-1d-bad-div-fixed.csv new file mode 100644 index 000000000..d786f71f2 --- /dev/null +++ b/tests/data/1398-HK-1d-bad-div-fixed.csv @@ -0,0 +1,649 @@ +Datetime,Open,High,Low,Close,Adj Close,Volume,Dividends,Stock Splits,Repaired? +2022-01-03 00:00:00+08:00,4.449999809265137,4.449999809265137,4.400000095367432,4.420000076293945,3.504674898559325,42688622.0,0.0,0.0,True +2022-01-04 00:00:00+08:00,4.429999828338623,4.449999809265137,4.389999866485596,4.440000057220459,3.520532966294506,146990360.0,0.0,0.0,True +2022-01-05 00:00:00+08:00,4.449999809265137,4.550000190734863,4.440000057220459,4.519999980926514,3.5839656809292446,312079015.0,0.0,0.0,True +2022-01-06 00:00:00+08:00,4.539999961853027,4.539999961853027,4.440000057220459,4.5,3.5681076131940634,144072250.0,0.0,0.0,True 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b/tests/test_price_repair.py @@ -0,0 +1,730 @@ +from .context import yfinance as yf +from .context import session_gbl + +import unittest + +import os +import datetime as _dt +import numpy as _np +import pandas as _pd + + +class TestPriceRepairAssumptions(unittest.TestCase): + session = None + + @classmethod + def setUpClass(cls): + cls.session = session_gbl + cls.dp = os.path.dirname(__file__) + + @classmethod + def tearDownClass(cls): + if cls.session is not None: + cls.session.close() + + def test_resampling(self): + for tkr in ['GOOGL', 'GLEN.L', '2330.TW']: + dat = yf.Ticker(tkr, session=self.session) + + intervals = ['1d', '1wk', '1mo', '3mo'] + periods = ['1d', '5d', '1mo', '3mo', '6mo', '1y', '2y', '5y', '10y', 'ytd']#, 'max'] + # Yahoo handles period=max weird. For tkr=INTC, interval=1d starts 5 years before interval=1mo + for i in range(len(intervals)): + interval = intervals[i] + if interval == '1d': + continue + for j in range(i, len(periods)): + period = periods[j] + print(f"- interval={interval} period={period}") + + df_truth = dat.history(interval=interval, period=period) + # df_1d = dat.history(interval='1d', period=period) + # dfr = dat._lazy_load_price_history()._resample(df_1d, '1d', interval, period) + dfr = dat.history(interval=interval, period=period, repair=True) + + debug = False + if len(dfr) != len(df_truth): + if dfr.index[1] == df_truth.index[0]: + # print(" - resampled has extra row at start") + pass + elif dfr.index[0] == df_truth.index[1]: + print(" - resampled missing a row at start") + debug = True + else: + print(" - resampled index different length") + debug = True + elif (dfr.index != df_truth.index).all(): + print(" - resampled index mismatch:") + print(dfr.index == df_truth.index) + debug = True + else: + # vol_match = dfr['Volume'] == df_truth['Volume'] + vol_diff_pct0 = (dfr['Volume'].iloc[0] - df_truth['Volume'].iloc[0])/df_truth['Volume'].iloc[0] + vol_diff_pct1 = (dfr['Volume'].iloc[-1] - df_truth['Volume'].iloc[-1])/df_truth['Volume'].iloc[-1] + vol_diff_pct = _np.array([vol_diff_pct0, vol_diff_pct1]) + vol_match = vol_diff_pct > -0.23 + vol_match_nmatch = _np.sum(vol_match) + vol_match_ndiff = len(vol_match) - vol_match_nmatch + if vol_match.all(): + # print(" - volume match 100%") + pass + elif vol_match_ndiff == 1 and not vol_match[0]: + # print(" - volume almost-perfect match, only first different") + # debug = True + pass + else: + # print(f" - volume match {vol_match_nmatch}/{len(vol_match)} {vol_match.to_numpy()}") + print(f" - volume significantly different in first row: vol_diff_pct={vol_diff_pct*100}%") + debug = True + + if debug: + print("- investigate:") + print("- df_truth:") + print(df_truth)#[['Open', 'Close', 'Volume']]) + df_1d = dat.history(interval='1d', period=period) + print("- df_1d:") + print(df_1d)#[['Open', 'Close', 'Volume']]) + print("- dfr:") + print(dfr)#[['Open', 'Close', 'Volume']]) + return + + + +class TestPriceRepair(unittest.TestCase): + session = None + + @classmethod + def setUpClass(cls): + cls.session = session_gbl + cls.dp = os.path.dirname(__file__) + + @classmethod + def tearDownClass(cls): + if cls.session is not None: + cls.session.close() + + def test_types(self): + tkr = 'INTC' + dat = yf.Ticker(tkr, session=self.session) + + data = dat.history(period="3mo", interval="1d", prepost=True, repair=True) + self.assertIsInstance(data, _pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + reconstructed = dat._lazy_load_price_history()._reconstruct_intervals_batch(data, "1wk", True) + self.assertIsInstance(reconstructed, _pd.DataFrame, "data has wrong type") + self.assertFalse(data.empty, "data is empty") + + # pass + def test_reconstruct_2m(self): + # 2m repair requires 1m data. + # Yahoo restricts 1m fetches to 7 days max within last 30 days. + # Need to test that '_reconstruct_intervals_batch()' can handle this. + + tkrs = ["BHP.AX", "IMP.JO", "BP.L", "PNL.L", "INTC"] + + dt_now = _pd.Timestamp.utcnow() + td_60d = _dt.timedelta(days=60) + + # Round time for 'requests_cache' reuse + dt_now = dt_now.ceil("1h") + + for tkr in tkrs: + dat = yf.Ticker(tkr, session=self.session) + end_dt = dt_now + start_dt = end_dt - td_60d + dat.history(start=start_dt, end=end_dt, interval="2m", repair=True) + + # pass + def test_repair_100x_random_weekly(self): + # Setup: + tkr = "PNL.L" + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + data_cols = ["Low", "High", "Open", "Close", "Adj Close"] + df = _pd.DataFrame(data={"Open": [470.5, 473.5, 474.5, 470], + "High": [476, 476.5, 477, 480], + "Low": [470.5, 470, 465.5, 468.26], + "Close": [475, 473.5, 472, 473.5], + "Adj Close": [474.865, 468.6, 467.1, 468.6], + "Volume": [2295613, 2245604, 3000287, 2635611]}, + index=_pd.to_datetime([_dt.date(2022, 10, 24), + _dt.date(2022, 10, 17), + _dt.date(2022, 10, 10), + _dt.date(2022, 10, 3)])) + df = df.sort_index() + df.index.name = "Date" + df_bad = df.copy() + df_bad.loc["2022-10-24", "Close"] *= 100 + df_bad.loc["2022-10-17", "Low"] *= 100 + df_bad.loc["2022-10-03", "Open"] *= 100 + df.index = df.index.tz_localize(tz_exchange) + df_bad.index = df_bad.index.tz_localize(tz_exchange) + + # Run test + + df_repaired = hist._fix_unit_random_mixups(df_bad, "1wk", tz_exchange, prepost=False) + + # First test - no errors left + for c in data_cols: + try: + self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) + except AssertionError: + print(df[c]) + print(df_repaired[c]) + raise + + # Second test - all differences should be either ~1x or ~100x + ratio = df_bad[data_cols].values / df[data_cols].values + ratio = ratio.round(2) + # - round near-100 ratio to 100: + f = ratio > 90 + ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 + # - now test + f_100 = ratio == 100 + f_1 = ratio == 1 + self.assertTrue((f_100 | f_1).all()) + + self.assertTrue("Repaired?" in df_repaired.columns) + self.assertFalse(df_repaired["Repaired?"].isna().any()) + + # pass + def test_repair_100x_random_weekly_preSplit(self): + # PNL.L has a stock-split in 2022. Sometimes requesting data before 2022 is not split-adjusted. + + tkr = "PNL.L" + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + data_cols = ["Low", "High", "Open", "Close", "Adj Close"] + df = _pd.DataFrame(data={"Open": [400, 398, 392.5, 417], + "High": [421, 425, 419, 420.5], + "Low": [400, 380.5, 376.5, 396], + "Close": [410, 409.5, 402, 399], + "Adj Close": [409.75, 393.43, 386.22, 383.34], + "Volume": [3232600, 3773900, 10835000, 4257900]}, + index=_pd.to_datetime([_dt.date(2020, 3, 30), + _dt.date(2020, 3, 23), + _dt.date(2020, 3, 16), + _dt.date(2020, 3, 9)])) + df = df.sort_index() + # Simulate data missing split-adjustment: + df[data_cols] *= 100.0 + df["Volume"] *= 0.01 + # + df.index.name = "Date" + # Create 100x errors: + df_bad = df.copy() + df_bad.loc["2020-03-30", "Close"] *= 100 + df_bad.loc["2020-03-23", "Low"] *= 100 + df_bad.loc["2020-03-09", "Open"] *= 100 + df.index = df.index.tz_localize(tz_exchange) + df_bad.index = df_bad.index.tz_localize(tz_exchange) + + df_repaired = hist._fix_unit_random_mixups(df_bad, "1wk", tz_exchange, prepost=False) + + # First test - no errors left + for c in data_cols: + try: + self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) + except AssertionError: + print("Mismatch in column", c) + print("- df_repaired:") + print(df_repaired[c]) + print("- answer:") + print(df[c]) + raise + + # Second test - all differences should be either ~1x or ~100x + ratio = df_bad[data_cols].values / df[data_cols].values + ratio = ratio.round(2) + # - round near-100 ratio to 100: + f = ratio > 90 + ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 + # - now test + f_100 = ratio == 100 + f_1 = ratio == 1 + self.assertTrue((f_100 | f_1).all()) + + self.assertTrue("Repaired?" in df_repaired.columns) + self.assertFalse(df_repaired["Repaired?"].isna().any()) + + # pass + def test_repair_100x_random_daily(self): + tkr = "PNL.L" + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + data_cols = ["Low", "High", "Open", "Close", "Adj Close"] + df = _pd.DataFrame(data={"Open": [478, 476, 476, 472], + "High": [478, 477.5, 477, 475], + "Low": [474.02, 474, 473, 470.75], + "Close": [475.5, 475.5, 474.5, 475], + "Adj Close": [475.5, 475.5, 474.5, 475], + "Volume": [436414, 485947, 358067, 287620]}, + index=_pd.to_datetime([_dt.date(2022, 11, 1), + _dt.date(2022, 10, 31), + _dt.date(2022, 10, 28), + _dt.date(2022, 10, 27)])) + for c in data_cols: + df[c] = df[c].astype('float') + df = df.sort_index() + df.index.name = "Date" + df_bad = df.copy() + df_bad.loc["2022-11-01", "Close"] *= 100 + df_bad.loc["2022-10-31", "Low"] *= 100 + df_bad.loc["2022-10-27", "Open"] *= 100 + df.index = df.index.tz_localize(tz_exchange) + df_bad.index = df_bad.index.tz_localize(tz_exchange) + + df_repaired = hist._fix_unit_random_mixups(df_bad, "1d", tz_exchange, prepost=False) + + # First test - no errors left + for c in data_cols: + self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) + + # Second test - all differences should be either ~1x or ~100x + ratio = df_bad[data_cols].values / df[data_cols].values + ratio = ratio.round(2) + # - round near-100 ratio to 100: + f = ratio > 90 + ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 + # - now test + f_100 = ratio == 100 + f_1 = ratio == 1 + self.assertTrue((f_100 | f_1).all()) + + self.assertTrue("Repaired?" in df_repaired.columns) + self.assertFalse(df_repaired["Repaired?"].isna().any()) + + # pass + def test_repair_100x_block_daily(self): + # Some 100x errors are not sporadic. + # Sometimes Yahoo suddenly shifts from cents->$ from some recent date. + + tkrs = ['AET.L', 'SSW.JO'] + intervals = ['1d', '1wk'] + # tkrs = ['AET.L'] + # intervals = ['1wk'] + # import yfinance as yf ; yf.enable_debug_mode() + + for tkr in tkrs: + for interval in intervals: + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + data_cols = ["Low", "High", "Open", "Close", "Adj Close"] + fp = os.path.join(self.dp, "data", tkr.replace('.','-') + '-' + interval + "-100x-error.csv") + if not os.path.isfile(fp): + continue + df_bad = _pd.read_csv(fp, index_col="Date") + df_bad.index = _pd.to_datetime(df_bad.index, utc=True).tz_convert(tz_exchange) + df_bad = df_bad.sort_index() + + df = df_bad.copy() + fp = os.path.join(self.dp, "data", tkr.replace('.','-') + '-' + interval + "-100x-error-fixed.csv") + df = _pd.read_csv(fp, index_col="Date") + df.index = _pd.to_datetime(df.index, utc=True).tz_convert(tz_exchange) + df = df.sort_index() + + df_repaired = hist._fix_unit_switch(df_bad, interval, tz_exchange) + df_repaired = df_repaired.sort_index() + + # First test - no errors left + for c in data_cols: + try: + self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) + except Exception: + print("- repaired:") + print(df_repaired[c]) + print("- correct:") + print(df[c]) + print(f"TEST FAIL on column '{c}' (tkr={tkr} interval={interval})") + raise + + # Second test - all differences should be either ~1x or ~100x + ratio = df_bad[data_cols].values / df[data_cols].values + ratio = ratio.round(2) + # - round near-100 ratio to 100: + f = ratio > 90 + ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 + # - now test + f_100 = (ratio == 100) | (ratio == 0.01) + f_1 = ratio == 1 + self.assertTrue((f_100 | f_1).all()) + + self.assertTrue("Repaired?" in df_repaired.columns) + self.assertFalse(df_repaired["Repaired?"].isna().any()) + + # pass + def test_repair_zeroes_daily(self): + tkr = "BBIL.L" + dat = yf.Ticker(tkr, session=self.session) + hist = dat._lazy_load_price_history() + tz_exchange = dat.fast_info["timezone"] + + df_bad = _pd.DataFrame(data={"Open": [0, 102.04, 102.04], + "High": [0, 102.1, 102.11], + "Low": [0, 102.04, 102.04], + "Close": [103.03, 102.05, 102.08], + "Adj Close": [102.03, 102.05, 102.08], + "Volume": [560, 137, 117]}, + index=_pd.to_datetime([_dt.datetime(2022, 11, 1), + _dt.datetime(2022, 10, 31), + _dt.datetime(2022, 10, 30)])) + df_bad = df_bad.sort_index() + df_bad.index.name = "Date" + df_bad.index = df_bad.index.tz_localize(tz_exchange) + + repaired_df = hist._fix_zeroes(df_bad, "1d", tz_exchange, prepost=False) + + correct_df = df_bad.copy() + correct_df.loc["2022-11-01", "Open"] = 102.080002 + correct_df.loc["2022-11-01", "Low"] = 102.032501 + correct_df.loc["2022-11-01", "High"] = 102.080002 + for c in ["Open", "Low", "High", "Close"]: + self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=1e-8).all()) + + self.assertTrue("Repaired?" in repaired_df.columns) + self.assertFalse(repaired_df["Repaired?"].isna().any()) + + # pass + def test_repair_zeroes_daily_adjClose(self): + # Test that 'Adj Close' is reconstructed correctly, + # particularly when a dividend occurred within 1 day. + + tkr = "INTC" + df = _pd.DataFrame(data={"Open": [28.95, 28.65, 29.55, 29.62, 29.25], + "High": [29.12, 29.27, 29.65, 31.17, 30.30], + "Low": [28.21, 28.43, 28.61, 29.53, 28.80], + "Close": [28.24, 29.05, 28.69, 30.32, 30.19], + "Adj Close": [28.12, 28.93, 28.57, 29.83, 29.70], + "Volume": [36e6, 51e6, 49e6, 58e6, 62e6], + "Dividends": [0, 0, 0.365, 0, 0]}, + index=_pd.to_datetime([_dt.datetime(2023, 2, 8), + _dt.datetime(2023, 2, 7), + _dt.datetime(2023, 2, 6), + _dt.datetime(2023, 2, 3), + _dt.datetime(2023, 2, 2)])) + df = df.sort_index() + df.index.name = "Date" + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + df.index = df.index.tz_localize(tz_exchange) + hist = dat._lazy_load_price_history() + + rtol = 5e-3 + for i in [0, 1, 2]: + df_slice = df.iloc[i:i+3] + for j in range(3): + df_slice_bad = df_slice.copy() + df_slice_bad.loc[df_slice_bad.index[j], "Adj Close"] = 0.0 + + df_slice_bad_repaired = hist._fix_zeroes(df_slice_bad, "1d", tz_exchange, prepost=False) + for c in ["Close", "Adj Close"]: + self.assertTrue(_np.isclose(df_slice_bad_repaired[c], df_slice[c], rtol=rtol).all()) + self.assertTrue("Repaired?" in df_slice_bad_repaired.columns) + self.assertFalse(df_slice_bad_repaired["Repaired?"].isna().any()) + + # pass + def test_repair_zeroes_hourly(self): + tkr = "INTC" + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + correct_df = hist.history(period="5d", interval="1h", auto_adjust=False, repair=True) + + df_bad = correct_df.copy() + bad_idx = correct_df.index[10] + df_bad.loc[bad_idx, "Open"] = _np.nan + df_bad.loc[bad_idx, "High"] = _np.nan + df_bad.loc[bad_idx, "Low"] = _np.nan + df_bad.loc[bad_idx, "Close"] = _np.nan + df_bad.loc[bad_idx, "Adj Close"] = _np.nan + df_bad.loc[bad_idx, "Volume"] = 0 + + repaired_df = hist._fix_zeroes(df_bad, "1h", tz_exchange, prepost=False) + + for c in ["Open", "Low", "High", "Close"]: + try: + self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=1e-7).all()) + except AssertionError: + print("COLUMN", c) + print("- repaired_df") + print(repaired_df) + print("- correct_df[c]:") + print(correct_df[c]) + print("- diff:") + print(repaired_df[c] - correct_df[c]) + raise + + self.assertTrue("Repaired?" in repaired_df.columns) + self.assertFalse(repaired_df["Repaired?"].isna().any()) + + # pass + def test_repair_bad_stock_splits(self): + # Stocks that split in 2022 but no problems in Yahoo data, + # so repair should change nothing + good_tkrs = ['AMZN', 'DXCM', 'FTNT', 'GOOG', 'GME', 'PANW', 'SHOP', 'TSLA'] + good_tkrs += ['AEI', 'GHI', 'IRON', 'LXU', 'NUZE', 'RSLS', 'TISI'] + good_tkrs += ['BOL.ST', 'TUI1.DE'] + intervals = ['1d', '1wk', '1mo', '3mo'] + for tkr in good_tkrs: + for interval in intervals: + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + df_good = dat.history(start='2020-01-01', end=_dt.date.today(), interval=interval, auto_adjust=False) + + repaired_df = hist._fix_bad_stock_splits(df_good, interval, tz_exchange) + + # Expect no change from repair + df_good = df_good.sort_index() + repaired_df = repaired_df.sort_index() + for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: + try: + self.assertTrue((repaired_df[c].to_numpy() == df_good[c].to_numpy()).all()) + except Exception: + print(f"tkr={tkr} interval={interval} COLUMN={c}") + df_dbg = df_good[[c]].join(repaired_df[[c]], lsuffix='.good', rsuffix='.repaired') + f_diff = repaired_df[c].to_numpy() != df_good[c].to_numpy() + print(df_dbg[f_diff | _np.roll(f_diff, 1) | _np.roll(f_diff, -1)]) + raise + + bad_tkrs = ['4063.T', 'ALPHA.PA', 'AV.L', 'CNE.L', 'MOB.ST', 'SPM.MI'] + bad_tkrs.append('LA.V') # special case - stock split error is 3 years ago! why not fixed? + for tkr in bad_tkrs: + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + interval = '1d' + fp = os.path.join(self.dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split.csv") + if not os.path.isfile(fp): + interval = '1wk' + fp = os.path.join(self.dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split.csv") + df_bad = _pd.read_csv(fp, index_col="Date") + df_bad.index = _pd.to_datetime(df_bad.index, utc=True) + + repaired_df = hist._fix_bad_stock_splits(df_bad, "1d", tz_exchange) + + fp = os.path.join(self.dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split-fixed.csv") + correct_df = _pd.read_csv(fp, index_col="Date") + correct_df.index = _pd.to_datetime(correct_df.index, utc=True) + + repaired_df = repaired_df.sort_index() + correct_df = correct_df.sort_index() + for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: + try: + self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=5e-6).all()) + except AssertionError: + print(f"tkr={tkr} COLUMN={c}") + # print("- repaired_df") + # print(repaired_df) + # print("- correct_df[c]:") + # print(correct_df[c]) + # print("- diff:") + # print(repaired_df[c] - correct_df[c]) + raise + + # Had very high price volatility in Jan-2021 around split date that could + # be mistaken for missing stock split adjustment. And old logic did think + # column 'High' required fixing - wrong! + sketchy_tkrs = ['FIZZ'] + intervals = ['1wk'] + for tkr in sketchy_tkrs: + for interval in intervals: + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + df_good = hist.history(start='2020-11-30', end='2021-04-01', interval=interval, auto_adjust=False) + + repaired_df = hist._fix_bad_stock_splits(df_good, interval, tz_exchange) + + # Expect no change from repair + df_good = df_good.sort_index() + repaired_df = repaired_df.sort_index() + for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: + try: + self.assertTrue((repaired_df[c].to_numpy() == df_good[c].to_numpy()).all()) + except AssertionError: + print(f"tkr={tkr} interval={interval} COLUMN={c}") + df_dbg = df_good[[c]].join(repaired_df[[c]], lsuffix='.good', rsuffix='.repaired') + f_diff = repaired_df[c].to_numpy() != df_good[c].to_numpy() + print(df_dbg[f_diff | _np.roll(f_diff, 1) | _np.roll(f_diff, -1)]) + raise + + # pass + def test_repair_missing_div_adjust(self): + tkr = '8TRA.DE' + + dat = yf.Ticker(tkr, session=self.session) + tz_exchange = dat.fast_info["timezone"] + hist = dat._lazy_load_price_history() + + df_bad = _pd.read_csv(os.path.join(self.dp, "data", tkr.replace('.','-')+"-1d-missing-div-adjust.csv"), index_col="Date") + df_bad.index = _pd.to_datetime(df_bad.index) + + repaired_df = hist._fix_missing_div_adjust(df_bad, "1d", tz_exchange) + + correct_df = _pd.read_csv(os.path.join(self.dp, "data", tkr.replace('.','-')+"-1d-missing-div-adjust-fixed.csv"), index_col="Date") + correct_df.index = _pd.to_datetime(correct_df.index) + + repaired_df = repaired_df.sort_index() + correct_df = correct_df.sort_index() + for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: + try: + self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=5e-6).all()) + except Exception: + print(f"tkr={tkr} COLUMN={c}") + print("- repaired_df") + print(repaired_df) + print("- correct_df[c]:") + print(correct_df[c]) + print("- diff:") + print(repaired_df[c] - correct_df[c]) + raise + + def test_repair_bad_div_adjusts(self): + interval = '1d' + bad_tkrs = [] + false_positives = [] + + # Tickers are not random. Either their errors were really bad, or + # they discovered bugs/gaps in repair logic. + + # bad_tkrs += ['MPCC.OL'] # has yahoo fixed? + + # These tickers were exceptionally bad + bad_tkrs += ['LSC.L'] + bad_tkrs += ['TEM.L'] + bad_tkrs += ['CLC.L'] + + # Other special sits + bad_tkrs += ['KME.MI'] # 2023 dividend paid to savings share, not common/preferred + bad_tkrs += ['REL.L'] # 100x div also missing adjust + + # Adj too small + bad_tkrs += ['ADIG.L'] + bad_tkrs += ['CLC.L'] + bad_tkrs += ['RGL.L'] + bad_tkrs += ['SERE.L'] + + # Div 100x + bad_tkrs += ['ABDP.L'] + bad_tkrs += ['ELCO.L'] + bad_tkrs += ['KWS.L'] + bad_tkrs += ['PSH.L'] + bad_tkrs += ['SCR.TO'] + + # Missing div adjusts: + bad_tkrs += ['1398.HK'] + bad_tkrs += ['3988.HK'] + bad_tkrs += ['KEN.TA'] + + # Phantom divs + bad_tkrs += ['KAP.IL'] # 1x 1d phantom div, and false positives 0.01x in 1wk + bad_tkrs += ['SAND'] + bad_tkrs += ['SOLB.BR'] # 1x phantom div, but some false-positive 100x. and had to improve phantom detection + bad_tkrs += ['TEM.L'] + bad_tkrs += ['TEP.PA'] + + # Maybe test tickers with mix of adj-too-small and 100x + + false_positives += ['CALM'] # tiny div on 2023-10-31 + false_positives += ['EWG'] # tiny div 2022-12-13 + false_positives += ['HSBK.IL'] # normal divs but 1wk volatility uncovered logic bug + false_positives += ['IBE.MC'] # 2x 0.01x divs only detected when compared to others. pass + false_positives += ['KMR.L'] + false_positives += ['TISG.MI'] + + for tkr in false_positives: + # Nothing should change + dat = yf.Ticker(tkr, session=self.session) + hist = dat._lazy_load_price_history() + hist.history(period='1mo') # init metadata for currency + currency = hist._history_metadata['currency'] + + fp = os.path.join(self.dp, "data", tkr.replace('.','-') + '-' + interval + "-no-bad-divs.csv") + if not os.path.isfile(fp): + continue + df = _pd.read_csv(fp, index_col='Datetime') + df.index = _pd.to_datetime(df.index, utc=True) + + repaired_df = hist._fix_bad_div_adjust(df, interval, currency) + + c = 'Dividends' + self.assertTrue(_np.isclose(repaired_df[c].to_numpy(), df[c].to_numpy(), rtol=1e-12, equal_nan=True).all()) + c = 'Adj Close' + try: + f_close = _np.isclose(repaired_df[c].to_numpy(), df[c].to_numpy(), rtol=1e-12, equal_nan=True) + self.assertTrue(f_close.all()) + except Exception: + f_diff = ~f_close + print(f"tkr={tkr} interval={interval}") + print("- repaired_df:") + print(repaired_df[c][f_diff]) + print("- df:") + print(df[c][f_diff]) + print("- diff:") + print(repaired_df[c][f_diff] - df[c][f_diff]) + raise + + for tkr in bad_tkrs: + dat = yf.Ticker(tkr, session=self.session) + hist = dat._lazy_load_price_history() + hist.history(period='1mo') # init metadata for currency + currency = hist._history_metadata['currency'] + + fp = os.path.join(self.dp, "data", tkr.replace('.','-') + '-' + interval + "-bad-div.csv") + if not os.path.isfile(fp): + continue + df_bad = _pd.read_csv(fp, index_col='Datetime') + df_bad.index = _pd.to_datetime(df_bad.index, utc=True) + fp = os.path.join(self.dp, "data", tkr.replace('.','-') + '-' + interval + "-bad-div-fixed.csv") + correct_df = _pd.read_csv(fp, index_col='Datetime') + correct_df.index = _pd.to_datetime(correct_df.index, utc=True) + + repaired_df = hist._fix_bad_div_adjust(df_bad, interval, currency) + + c = 'Dividends' + f_close = _np.isclose(repaired_df[c].to_numpy(), correct_df[c].to_numpy(), rtol=1e-12, equal_nan=True) + try: + self.assertTrue(f_close.all()) + except Exception: + f_diff = ~f_close + print(f"tkr={tkr} interval={interval}") + print("- repaired_df:") + print(repaired_df[c][f_diff]) + print("- correct_df:") + print(correct_df[c][f_diff]) + print("- diff:") + print(repaired_df[c][f_diff] - correct_df[c][f_diff]) + raise + + c = 'Adj Close' + try: + f_close = _np.isclose(repaired_df[c].to_numpy(), correct_df[c].to_numpy(), rtol=5e-7, equal_nan=True) + self.assertTrue(f_close.all()) + except Exception: + f_diff = ~f_close + print(f"tkr={tkr} interval={interval}") + print("- repaired_df:") + print(repaired_df[c][f_diff]) + print("- correct_df:") + print(correct_df[c][f_diff]) + print("- diff:") + print(repaired_df[c][f_diff] - correct_df[c][f_diff]) + raise + + +if __name__ == '__main__': + unittest.main() diff --git a/tests/test_prices.py b/tests/test_prices.py index 0e9ba68c9..9791a0b06 100644 --- a/tests/test_prices.py +++ b/tests/test_prices.py @@ -3,7 +3,6 @@ import unittest -import os import datetime as _dt import pytz as _tz import numpy as _np @@ -451,496 +450,5 @@ def test_aggregate_capital_gains(self): dat.history(start=start, end=end, interval=interval) -class TestPriceRepair(unittest.TestCase): - session = None - - @classmethod - def setUpClass(cls): - cls.session = session_gbl - - @classmethod - def tearDownClass(cls): - if cls.session is not None: - cls.session.close() - - def test_types(self): - tkr = 'INTC' - dat = yf.Ticker(tkr, session=self.session) - - data = dat.history(period="3mo", interval="1d", prepost=True, repair=True) - self.assertIsInstance(data, _pd.DataFrame, "data has wrong type") - self.assertFalse(data.empty, "data is empty") - - reconstructed = dat._lazy_load_price_history()._reconstruct_intervals_batch(data, "1wk", True) - self.assertIsInstance(reconstructed, _pd.DataFrame, "data has wrong type") - self.assertFalse(data.empty, "data is empty") - - def test_reconstruct_2m(self): - # 2m repair requires 1m data. - # Yahoo restricts 1m fetches to 7 days max within last 30 days. - # Need to test that '_reconstruct_intervals_batch()' can handle this. - - tkrs = ["BHP.AX", "IMP.JO", "BP.L", "PNL.L", "INTC"] - - dt_now = _pd.Timestamp.utcnow() - td_60d = _dt.timedelta(days=60) - - # Round time for 'requests_cache' reuse - dt_now = dt_now.ceil("1h") - - for tkr in tkrs: - dat = yf.Ticker(tkr, session=self.session) - end_dt = dt_now - start_dt = end_dt - td_60d - dat.history(start=start_dt, end=end_dt, interval="2m", repair=True) - - def test_repair_100x_random_weekly(self): - # Setup: - tkr = "PNL.L" - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - data_cols = ["Low", "High", "Open", "Close", "Adj Close"] - df = _pd.DataFrame(data={"Open": [470.5, 473.5, 474.5, 470], - "High": [476, 476.5, 477, 480], - "Low": [470.5, 470, 465.5, 468.26], - "Close": [475, 473.5, 472, 473.5], - "Adj Close": [470.1, 468.6, 467.1, 468.6], - "Volume": [2295613, 2245604, 3000287, 2635611]}, - index=_pd.to_datetime([_dt.date(2022, 10, 24), - _dt.date(2022, 10, 17), - _dt.date(2022, 10, 10), - _dt.date(2022, 10, 3)])) - df = df.sort_index() - df.index.name = "Date" - df_bad = df.copy() - df_bad.loc["2022-10-24", "Close"] *= 100 - df_bad.loc["2022-10-17", "Low"] *= 100 - df_bad.loc["2022-10-03", "Open"] *= 100 - df.index = df.index.tz_localize(tz_exchange) - df_bad.index = df_bad.index.tz_localize(tz_exchange) - - # Run test - - df_repaired = hist._fix_unit_random_mixups(df_bad, "1wk", tz_exchange, prepost=False) - - # First test - no errors left - for c in data_cols: - try: - self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) - except AssertionError: - print(df[c]) - print(df_repaired[c]) - raise - - # Second test - all differences should be either ~1x or ~100x - ratio = df_bad[data_cols].values / df[data_cols].values - ratio = ratio.round(2) - # - round near-100 ratio to 100: - f = ratio > 90 - ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 - # - now test - f_100 = ratio == 100 - f_1 = ratio == 1 - self.assertTrue((f_100 | f_1).all()) - - self.assertTrue("Repaired?" in df_repaired.columns) - self.assertFalse(df_repaired["Repaired?"].isna().any()) - - def test_repair_100x_random_weekly_preSplit(self): - # PNL.L has a stock-split in 2022. Sometimes requesting data before 2022 is not split-adjusted. - - tkr = "PNL.L" - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - data_cols = ["Low", "High", "Open", "Close", "Adj Close"] - df = _pd.DataFrame(data={"Open": [400, 398, 392.5, 417], - "High": [421, 425, 419, 420.5], - "Low": [400, 380.5, 376.5, 396], - "Close": [410, 409.5, 402, 399], - "Adj Close": [393.91, 393.43, 386.22, 383.34], - "Volume": [3232600, 3773900, 10835000, 4257900]}, - index=_pd.to_datetime([_dt.date(2020, 3, 30), - _dt.date(2020, 3, 23), - _dt.date(2020, 3, 16), - _dt.date(2020, 3, 9)])) - df = df.sort_index() - # Simulate data missing split-adjustment: - df[data_cols] *= 100.0 - df["Volume"] *= 0.01 - # - df.index.name = "Date" - # Create 100x errors: - df_bad = df.copy() - df_bad.loc["2020-03-30", "Close"] *= 100 - df_bad.loc["2020-03-23", "Low"] *= 100 - df_bad.loc["2020-03-09", "Open"] *= 100 - df.index = df.index.tz_localize(tz_exchange) - df_bad.index = df_bad.index.tz_localize(tz_exchange) - - df_repaired = hist._fix_unit_random_mixups(df_bad, "1wk", tz_exchange, prepost=False) - - # First test - no errors left - for c in data_cols: - try: - self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) - except AssertionError: - print("Mismatch in column", c) - print("- df_repaired:") - print(df_repaired[c]) - print("- answer:") - print(df[c]) - raise - - # Second test - all differences should be either ~1x or ~100x - ratio = df_bad[data_cols].values / df[data_cols].values - ratio = ratio.round(2) - # - round near-100 ratio to 100: - f = ratio > 90 - ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 - # - now test - f_100 = ratio == 100 - f_1 = ratio == 1 - self.assertTrue((f_100 | f_1).all()) - - self.assertTrue("Repaired?" in df_repaired.columns) - self.assertFalse(df_repaired["Repaired?"].isna().any()) - - def test_repair_100x_random_daily(self): - tkr = "PNL.L" - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - data_cols = ["Low", "High", "Open", "Close", "Adj Close"] - df = _pd.DataFrame(data={"Open": [478, 476, 476, 472], - "High": [478, 477.5, 477, 475], - "Low": [474.02, 474, 473, 470.75], - "Close": [475.5, 475.5, 474.5, 475], - "Adj Close": [475.5, 475.5, 474.5, 475], - "Volume": [436414, 485947, 358067, 287620]}, - index=_pd.to_datetime([_dt.date(2022, 11, 1), - _dt.date(2022, 10, 31), - _dt.date(2022, 10, 28), - _dt.date(2022, 10, 27)])) - df = df.sort_index() - df.index.name = "Date" - df_bad = df.copy() - df_bad.loc["2022-11-01", "Close"] *= 100 - df_bad.loc["2022-10-31", "Low"] *= 100 - df_bad.loc["2022-10-27", "Open"] *= 100 - df.index = df.index.tz_localize(tz_exchange) - df_bad.index = df_bad.index.tz_localize(tz_exchange) - - df_repaired = hist._fix_unit_random_mixups(df_bad, "1d", tz_exchange, prepost=False) - - # First test - no errors left - for c in data_cols: - self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) - - # Second test - all differences should be either ~1x or ~100x - ratio = df_bad[data_cols].values / df[data_cols].values - ratio = ratio.round(2) - # - round near-100 ratio to 100: - f = ratio > 90 - ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 - # - now test - f_100 = ratio == 100 - f_1 = ratio == 1 - self.assertTrue((f_100 | f_1).all()) - - self.assertTrue("Repaired?" in df_repaired.columns) - self.assertFalse(df_repaired["Repaired?"].isna().any()) - - def test_repair_100x_block_daily(self): - # Some 100x errors are not sporadic. - # Sometimes Yahoo suddenly shifts from cents->$ from some recent date. - - tkrs = ['AET.L', 'SSW.JO'] - for tkr in tkrs: - for interval in ['1d', '1wk']: - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - data_cols = ["Low", "High", "Open", "Close", "Adj Close"] - _dp = os.path.dirname(__file__) - fp = os.path.join(_dp, "data", tkr.replace('.','-') + '-' + interval + "-100x-error.csv") - if not os.path.isfile(fp): - continue - df_bad = _pd.read_csv(fp, index_col="Date") - df_bad.index = _pd.to_datetime(df_bad.index, utc=True).tz_convert(tz_exchange) - df_bad = df_bad.sort_index() - - df = df_bad.copy() - fp = os.path.join(_dp, "data", tkr.replace('.','-') + '-' + interval + "-100x-error-fixed.csv") - df = _pd.read_csv(fp, index_col="Date") - df.index = _pd.to_datetime(df.index, utc=True).tz_convert(tz_exchange) - df = df.sort_index() - - df_repaired = hist._fix_unit_switch(df_bad, interval, tz_exchange) - df_repaired = df_repaired.sort_index() - - # First test - no errors left - for c in data_cols: - try: - self.assertTrue(_np.isclose(df_repaired[c], df[c], rtol=1e-2).all()) - except: - print("- repaired:") - print(df_repaired[c]) - print("- correct:") - print(df[c]) - print(f"TEST FAIL on column '{c}' (tkr={tkr} interval={interval})") - raise - - # Second test - all differences should be either ~1x or ~100x - ratio = df_bad[data_cols].values / df[data_cols].values - ratio = ratio.round(2) - # - round near-100 ratio to 100: - f = ratio > 90 - ratio[f] = (ratio[f] / 10).round().astype(int) * 10 # round ratio to nearest 10 - # - now test - f_100 = (ratio == 100) | (ratio == 0.01) - f_1 = ratio == 1 - self.assertTrue((f_100 | f_1).all()) - - self.assertTrue("Repaired?" in df_repaired.columns) - self.assertFalse(df_repaired["Repaired?"].isna().any()) - - def test_repair_zeroes_daily(self): - tkr = "BBIL.L" - dat = yf.Ticker(tkr, session=self.session) - hist = dat._lazy_load_price_history() - tz_exchange = dat.fast_info["timezone"] - - df_bad = _pd.DataFrame(data={"Open": [0, 102.04, 102.04], - "High": [0, 102.1, 102.11], - "Low": [0, 102.04, 102.04], - "Close": [103.03, 102.05, 102.08], - "Adj Close": [102.03, 102.05, 102.08], - "Volume": [560, 137, 117]}, - index=_pd.to_datetime([_dt.datetime(2022, 11, 1), - _dt.datetime(2022, 10, 31), - _dt.datetime(2022, 10, 30)])) - df_bad = df_bad.sort_index() - df_bad.index.name = "Date" - df_bad.index = df_bad.index.tz_localize(tz_exchange) - - repaired_df = hist._fix_zeroes(df_bad, "1d", tz_exchange, prepost=False) - - correct_df = df_bad.copy() - correct_df.loc["2022-11-01", "Open"] = 102.080002 - correct_df.loc["2022-11-01", "Low"] = 102.032501 - correct_df.loc["2022-11-01", "High"] = 102.080002 - for c in ["Open", "Low", "High", "Close"]: - self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=1e-8).all()) - - self.assertTrue("Repaired?" in repaired_df.columns) - self.assertFalse(repaired_df["Repaired?"].isna().any()) - - def test_repair_zeroes_daily_adjClose(self): - # Test that 'Adj Close' is reconstructed correctly, - # particularly when a dividend occurred within 1 day. - - tkr = "INTC" - df = _pd.DataFrame(data={"Open": [28.95, 28.65, 29.55, 29.62, 29.25], - "High": [29.12, 29.27, 29.65, 31.17, 30.30], - "Low": [28.21, 28.43, 28.61, 29.53, 28.80], - "Close": [28.24, 29.05, 28.69, 30.32, 30.19], - "Adj Close": [28.12, 28.93, 28.57, 29.83, 29.70], - "Volume": [36e6, 51e6, 49e6, 58e6, 62e6], - "Dividends": [0, 0, 0.365, 0, 0]}, - index=_pd.to_datetime([_dt.datetime(2023, 2, 8), - _dt.datetime(2023, 2, 7), - _dt.datetime(2023, 2, 6), - _dt.datetime(2023, 2, 3), - _dt.datetime(2023, 2, 2)])) - df = df.sort_index() - df.index.name = "Date" - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - df.index = df.index.tz_localize(tz_exchange) - hist = dat._lazy_load_price_history() - - rtol = 5e-3 - for i in [0, 1, 2]: - df_slice = df.iloc[i:i+3] - for j in range(3): - df_slice_bad = df_slice.copy() - df_slice_bad.loc[df_slice_bad.index[j], "Adj Close"] = 0.0 - - df_slice_bad_repaired = hist._fix_zeroes(df_slice_bad, "1d", tz_exchange, prepost=False) - for c in ["Close", "Adj Close"]: - self.assertTrue(_np.isclose(df_slice_bad_repaired[c], df_slice[c], rtol=rtol).all()) - self.assertTrue("Repaired?" in df_slice_bad_repaired.columns) - self.assertFalse(df_slice_bad_repaired["Repaired?"].isna().any()) - - def test_repair_zeroes_hourly(self): - tkr = "INTC" - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - correct_df = hist.history(period="5d", interval="1h", auto_adjust=False, repair=True) - - df_bad = correct_df.copy() - bad_idx = correct_df.index[10] - df_bad.loc[bad_idx, "Open"] = _np.nan - df_bad.loc[bad_idx, "High"] = _np.nan - df_bad.loc[bad_idx, "Low"] = _np.nan - df_bad.loc[bad_idx, "Close"] = _np.nan - df_bad.loc[bad_idx, "Adj Close"] = _np.nan - df_bad.loc[bad_idx, "Volume"] = 0 - - repaired_df = hist._fix_zeroes(df_bad, "1h", tz_exchange, prepost=False) - - for c in ["Open", "Low", "High", "Close"]: - try: - self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=1e-7).all()) - except AssertionError: - print("COLUMN", c) - print("- repaired_df") - print(repaired_df) - print("- correct_df[c]:") - print(correct_df[c]) - print("- diff:") - print(repaired_df[c] - correct_df[c]) - raise - - self.assertTrue("Repaired?" in repaired_df.columns) - self.assertFalse(repaired_df["Repaired?"].isna().any()) - - def test_repair_bad_stock_splits(self): - # Stocks that split in 2022 but no problems in Yahoo data, - # so repair should change nothing - good_tkrs = ['AMZN', 'DXCM', 'FTNT', 'GOOG', 'GME', 'PANW', 'SHOP', 'TSLA'] - good_tkrs += ['AEI', 'GHI', 'IRON', 'LXU', 'NUZE', 'RSLS', 'TISI'] - good_tkrs += ['BOL.ST', 'TUI1.DE'] - intervals = ['1d', '1wk', '1mo', '3mo'] - for tkr in good_tkrs: - for interval in intervals: - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - _dp = os.path.dirname(__file__) - df_good = dat.history(start='2020-01-01', end=_dt.date.today(), interval=interval, auto_adjust=False) - - repaired_df = hist._fix_bad_stock_splits(df_good, interval, tz_exchange) - - # Expect no change from repair - df_good = df_good.sort_index() - repaired_df = repaired_df.sort_index() - for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: - try: - self.assertTrue((repaired_df[c].to_numpy() == df_good[c].to_numpy()).all()) - except: - print(f"tkr={tkr} interval={interval} COLUMN={c}") - df_dbg = df_good[[c]].join(repaired_df[[c]], lsuffix='.good', rsuffix='.repaired') - f_diff = repaired_df[c].to_numpy() != df_good[c].to_numpy() - print(df_dbg[f_diff | _np.roll(f_diff, 1) | _np.roll(f_diff, -1)]) - raise - - bad_tkrs = ['4063.T', 'ALPHA.PA', 'AV.L', 'CNE.L', 'MOB.ST', 'SPM.MI'] - bad_tkrs.append('LA.V') # special case - stock split error is 3 years ago! why not fixed? - for tkr in bad_tkrs: - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - _dp = os.path.dirname(__file__) - interval = '1d' - fp = os.path.join(_dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split.csv") - if not os.path.isfile(fp): - interval = '1wk' - fp = os.path.join(_dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split.csv") - df_bad = _pd.read_csv(fp, index_col="Date") - df_bad.index = _pd.to_datetime(df_bad.index, utc=True) - - repaired_df = hist._fix_bad_stock_splits(df_bad, "1d", tz_exchange) - - fp = os.path.join(_dp, "data", tkr.replace('.','-')+'-'+interval+"-bad-stock-split-fixed.csv") - correct_df = _pd.read_csv(fp, index_col="Date") - correct_df.index = _pd.to_datetime(correct_df.index, utc=True) - - repaired_df = repaired_df.sort_index() - correct_df = correct_df.sort_index() - for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: - try: - self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=5e-6).all()) - except AssertionError: - print(f"tkr={tkr} COLUMN={c}") - # print("- repaired_df") - # print(repaired_df) - # print("- correct_df[c]:") - # print(correct_df[c]) - # print("- diff:") - # print(repaired_df[c] - correct_df[c]) - raise - - # Had very high price volatility in Jan-2021 around split date that could - # be mistaken for missing stock split adjustment. And old logic did think - # column 'High' required fixing - wrong! - sketchy_tkrs = ['FIZZ'] - intervals = ['1wk'] - for tkr in sketchy_tkrs: - for interval in intervals: - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - _dp = os.path.dirname(__file__) - df_good = hist.history(start='2020-11-30', end='2021-04-01', interval=interval, auto_adjust=False) - - repaired_df = hist._fix_bad_stock_splits(df_good, interval, tz_exchange) - - # Expect no change from repair - df_good = df_good.sort_index() - repaired_df = repaired_df.sort_index() - for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: - try: - self.assertTrue((repaired_df[c].to_numpy() == df_good[c].to_numpy()).all()) - except AssertionError: - print(f"tkr={tkr} interval={interval} COLUMN={c}") - df_dbg = df_good[[c]].join(repaired_df[[c]], lsuffix='.good', rsuffix='.repaired') - f_diff = repaired_df[c].to_numpy() != df_good[c].to_numpy() - print(df_dbg[f_diff | _np.roll(f_diff, 1) | _np.roll(f_diff, -1)]) - raise - - def test_repair_missing_div_adjust(self): - tkr = '8TRA.DE' - - dat = yf.Ticker(tkr, session=self.session) - tz_exchange = dat.fast_info["timezone"] - hist = dat._lazy_load_price_history() - - _dp = os.path.dirname(__file__) - df_bad = _pd.read_csv(os.path.join(_dp, "data", tkr.replace('.','-')+"-1d-missing-div-adjust.csv"), index_col="Date") - df_bad.index = _pd.to_datetime(df_bad.index) - - repaired_df = hist._fix_missing_div_adjust(df_bad, "1d", tz_exchange) - - correct_df = _pd.read_csv(os.path.join(_dp, "data", tkr.replace('.','-')+"-1d-missing-div-adjust-fixed.csv"), index_col="Date") - correct_df.index = _pd.to_datetime(correct_df.index) - - repaired_df = repaired_df.sort_index() - correct_df = correct_df.sort_index() - for c in ["Open", "Low", "High", "Close", "Adj Close", "Volume"]: - try: - self.assertTrue(_np.isclose(repaired_df[c], correct_df[c], rtol=5e-6).all()) - except: - print(f"tkr={tkr} COLUMN={c}") - print("- repaired_df") - print(repaired_df) - print("- correct_df[c]:") - print(correct_df[c]) - print("- diff:") - print(repaired_df[c] - correct_df[c]) - raise - - if __name__ == '__main__': unittest.main() diff --git a/yfinance/scrapers/history.py b/yfinance/scrapers/history.py index f804dc51f..e9dd8fc49 100644 --- a/yfinance/scrapers/history.py +++ b/yfinance/scrapers/history.py @@ -1483,10 +1483,10 @@ def cluster_dividends(df, column='div', threshold=10): close_chgs_pct = close_deltas / df2['Close'].iloc[lookback_idx:lookahead_idx].to_numpy() adjClose_chgs_pct = adjClose_deltas / df2['Adj Close'].iloc[lookback_idx:lookahead_idx].to_numpy() # Check if adjustment is too much. Need a big dividend % to be sure. - if div_pct > 0.2: - adjClose_chg_pct = np.min(adjClose_chgs_pct) - close_chg_pct = np.min(close_chgs_pct) - if adjClose_chg_pct < 0.0 and adjClose_chg_pct < 1.0001*close_chg_pct: + if div_pct > 0.15: + adjClose_chg_pct = np.max(adjClose_chgs_pct) + close_chg_pct = np.max(close_chgs_pct) + if adjClose_chg_pct > 0.1 and adjClose_chg_pct > 1.0001*close_chg_pct: # Bigger drop div_adj_exceeds_prices = True @@ -1503,11 +1503,15 @@ def cluster_dividends(df, column='div', threshold=10): if div_missing_from_adjclose: div_adj_is_too_small = False # redundant information + if div_adj_exceeds_prices and div_adj_is_too_small: + # Contradiction. Assume former tricked by low-liquidity price action + div_adj_exceeds_prices = False + div_status = {'present adj': present_adj} div_status['adj_missing'] = div_missing_from_adjclose div_status['adj_exceeds_prices'] = div_adj_exceeds_prices div_status['adj_exceeds_div'] = div_adj_exceeds_div - div_status['adj_too_small'] = div_adj_is_too_small + div_status['div_exceeds_adj'] = div_adj_is_too_small for k,v in div_status.items(): if k not in div_status_df: @@ -1521,12 +1525,12 @@ def cluster_dividends(df, column='div', threshold=10): raise Exception(k,v,type(v)) div_status_df.loc[dt, k] = v - checks = ['adj_missing', 'adj_too_small', 'adj_exceeds_div', 'adj_exceeds_prices', 'div_too_big', 'div_too_small', 'fx_mixup'] + checks = ['adj_missing', 'adj_exceeds_div', 'adj_exceeds_prices', 'div_exceeds_adj', 'div_too_big', 'div_too_small', 'fx_mixup'] checks = [c for c in checks if c in div_status_df.columns] div_status_df['phantom'] = False phantom_proximity_threshold = _datetime.timedelta(days=7) - f = div_status_df['div_too_big'] | div_status_df['adj_too_small'] + f = div_status_df['div_too_big'] | div_status_df['div_exceeds_adj'] if f.any(): # One/some of these may be phantom dividends. Clue is if another correct dividend is very close indices = np.where(f)[0] @@ -1668,17 +1672,26 @@ def cluster_dividends(df, column='div', threshold=10): if c == 'div_too_big': true_threshold = 1.0 fals_threshold = 0.2 - if 'adj_too_small' not in cluster.columns: - # More likely that 'div_too_big' are false positives: NOT too big - fals_threshold = 2/3 - elif cluster['adj_too_small'].all(): - # The present adjustment also contradicts the dividend yields, + + if 'div_exceeds_adj' in cluster.columns and cluster['div_exceeds_adj'].all(): + # Dividend too big for prices AND the present adjustment, # more likely the dividends are too big. if (cluster['vol'][fc][f_fail]==0).all(): # No trading volume to cross-check, so higher thresholds fals_threshold = 2/3 else: - true_threshold = 1/2 + # Relax thresholds + true_threshold = 2/5 + + elif 'adj_exceeds_prices' in cluster.columns and cluster['adj_exceeds_prices'].all(): + # Both dividend and present adjust too big for prices, + # more likely the dividends are too big. + true_threshold = 1/2 + + elif not ('div_exceeds_adj' in cluster.columns or 'adj_exceeds_prices' in cluster.columns): + # Present adjustment seems correct, so more likely that 'div_too_big' are false positives: NOT too big + fals_threshold = 1/2 + if pct_fail >= true_threshold: div_status_df.loc[fc, c] = True continue @@ -1689,13 +1702,9 @@ def cluster_dividends(df, column='div', threshold=10): if c == 'div_too_small': true_threshold = 1.0 fals_threshold = 0.1 - if 'adj_exceeds_div' not in cluster.columns and 'adj_exceeds_prices' not in cluster.columns: - # More likely that 'div_too_small' are false positives: NOT too small + if 'adj_exceeds_div' not in cluster.columns: + # Adjustment confirms dividends => more likely that 'div_too_small' are false positives: NOT too small fals_threshold = 2/3 - elif ('adj_exceeds_div' in cluster.columns and cluster['adj_exceeds_div'].all()) \ - ('adj_exceeds_prices' in cluster.columns and cluster['adjadj_exceeds_prices_exceeds_div'].all()): - # More likely that falses are false negatives - true_threshold = 0.5 if pct_fail >= true_threshold: div_status_df.loc[fc, c] = True continue @@ -1707,7 +1716,7 @@ def cluster_dividends(df, column='div', threshold=10): if cluster[c].iloc[-1] and n_fail == 1: # Only the latest/last row is missing, genuine error continue - if c == 'adj_too_small': + if c == 'div_exceeds_adj': continue if c == 'phantom' and self.ticker in ['KAP.IL', 'SAND']: @@ -1759,18 +1768,17 @@ def cluster_dividends(df, column='div', threshold=10): dt = row.name adj_missing = 'adj_missing' in row and row['adj_missing'] - adj_too_small = 'adj_too_small' in row and row['adj_too_small'] + div_exceeds_adj = 'div_exceeds_adj' in row and row['div_exceeds_adj'] adj_exceeds_div = 'adj_exceeds_div' in row and row['adj_exceeds_div'] adj_exceeds_prices = 'adj_exceeds_prices' in row and row['adj_exceeds_prices'] div_too_small = 'div_too_small' in row and row['div_too_small'] div_too_big = 'div_too_big' in row and row['div_too_big'] - adj_too_big = adj_exceeds_div or adj_exceeds_prices - n_failed_checks = np.sum([row[c] for c in checks if c in row]) if n_failed_checks == 1: - if adj_too_small or adj_too_big: - k = 'too-small div-adjust' if adj_too_small else 'too-big div-adjust' + if div_exceeds_adj or adj_exceeds_div: + # Simply recalculate Adj Close + k = 'too-small div-adjust' if div_exceeds_adj else 'too-big div-adjust' div_repairs.setdefault(k, []).append(dt) adj_correction = (1.0 - row['%']) / row['present adj'] enddt = dt-_datetime.timedelta(seconds=1) @@ -1847,7 +1855,7 @@ def cluster_dividends(df, column='div', threshold=10): df2_nan.loc[:enddt, 'Repaired?'] = True cluster.loc[dt, 'Fixed?'] = True - elif div_too_big and adj_too_small: + elif div_too_big and div_exceeds_adj: # Adj Close is correct, just need to fix Dividend. # Probably just a currency unit mixup. df2.loc[dt, 'Dividends'] /= currency_divide @@ -1869,7 +1877,7 @@ def cluster_dividends(df, column='div', threshold=10): div_repairs.setdefault(k, []).append(dt) cluster.loc[dt, 'Fixed?'] = True - elif adj_too_big and div_too_big: + elif div_too_big and adj_exceeds_prices: # Assume div 100x error, and that Yahoo used this wrong dividend. # 'adj_too_big=True' is probably redundant information, knowing div too big # is enough to require also fixing adjustment From a2b5d6bea938f998a98fe1ecf177e3c36726a034 Mon Sep 17 00:00:00 2001 From: ValueRaider Date: Thu, 22 Aug 2024 16:29:07 +0100 Subject: [PATCH 16/16] Fix 2x old tests --- tests/test_prices.py | 10 ++++------ 1 file changed, 4 insertions(+), 6 deletions(-) diff --git a/tests/test_prices.py b/tests/test_prices.py index d1f435d99..c0f0c01e1 100644 --- a/tests/test_prices.py +++ b/tests/test_prices.py @@ -178,9 +178,8 @@ def test_intraDayWithEvents(self): if df_daily_divs.shape[0] == 0: continue - last_div_date = df_daily_divs.index[-1] - start_d = last_div_date.date() - end_d = last_div_date.date() + _dt.timedelta(days=1) + start_d = df_daily_divs.index[0].date() + end_d = df_daily_divs.index[-1].date() + _dt.timedelta(days=1) df_intraday = yf.Ticker(tkr, session=self.session).history(start=start_d, end=end_d, interval="15m", actions=True) self.assertTrue((df_intraday["Dividends"] != 0.0).any()) @@ -206,9 +205,8 @@ def test_intraDayWithEvents_tase(self): if df_daily_divs.shape[0] == 0: continue - last_div_date = df_daily_divs.index[-1] - start_d = last_div_date.date() - end_d = last_div_date.date() + _dt.timedelta(days=1) + start_d = df_daily_divs.index[0].date() + end_d = df_daily_divs.index[-1].date() + _dt.timedelta(days=1) df_intraday = yf.Ticker(tkr, session=self.session).history(start=start_d, end=end_d, interval="15m", actions=True) self.assertTrue((df_intraday["Dividends"] != 0.0).any())