finsets 0.0.1

Download and process datasets commonly used in finance research

finsets

Documentation site.

GitHub page.

Install

pip install finsets

How to use

import finsets as fds

or

from finsets import fred, wrds, papers

WRDS

Before you use any of the wrds_ modules, you need to create a pgpass with your WRDS credentials. To do that, run

from finsets.wrds import wrds_api

db = wrds_api.Connection()

WRDS recommends setting up a .pgpass file.
You can create this file yourself at any time with the create_pgpass_file() function.
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This will prompt you for your WRDS username and password. After you enter your credentials, if you don’t have a pgpass file already set up, it will ask you if you want to do that. Hit y and it will be automatically created for you. After this, you will never have to input your WRDS password.

You will still have to supply your WRDS username to functions that retrieve data from WRDS (all of them have a wrds_username parameter). If you don’t want to be prompted for the username for every download, save it under a WRDS_USERNAME environment variable:

• On Windows, in a Command Prompt:
  • setx WRDS_USERNAME "your_wrds_username_here"
• On Linux, in a terminal:
  • echo 'export WRDS_USERNAME="your_wrds_username_here"' >> ~/.bashrc && source ~/.bashrc
• On macOS, since macOS Catalina:
  • echo 'export WRDS_USERNAME="your_wrds_username_here"' >> ~/.zshrc && source ~/.szhrc
• On macOS, prior to macOS Catalina:
  • echo 'export WRDS_USERNAME="your_wrds_username_here"' >> ~/.bash_profile && source ~/.bash_profile

The functions in the wrds_ modules will close database connections to WRDS automatically. However, if you open a connection manually, as above (with wrds.Connection()) make sure you remember to close that connection. In our example above:

db.close()

Check the wrds_utils module for an introduction to some of the main utilities that come with the wrds package.

FRED

To use the functions in the fred module, you’ll need an API key from the St. Louis FRED.

Get one here and store it in your environment variables under the name FRED_API_KEY

Alternatively, you can supply the API key directly as the api_key parameter in each function in the fred module.