Federal Reserve Bank of St. Louis - FRED, ALFRED, GeoFRED and FRASER
Project description
Python client for Federal Reserve Bank of St. Louis
Description
This is a third-party client that is developed and maintained independently of the Federal Reserve Bank. As such, it is not affiliated with or supported by the institution.
The Federal Reserve Bank of St. Louis is one of 12 regional Reserve Banks that, along with the Board of Governors in Washington, D.C., make up the United States' central bank. The https://stlouisfed.org site currently provides more than 816,000 time series from 107 sources using the FRED (Federal Reserve Economic Data) and ALFRED (Archival FRED) interfaces. It is also possible to obtain detailed geographical data from GeoFRED ( Geographical Economic FRED) or more than 500,000 publications from the digital library FRASER.
The pystlouisfed
package covers the entire FRED / ALFRED / GeoFRED / FRASER API and returns most of the results as pandas.DataFrame
, which is cast to the correct data types
with a specific index. So "date", "realtime_start", "observation_start" etc are datetime64
type, "value" is float
and not str
, missing values are np.NaN
and not "." etc ...
The naming convention of methods and parameters is the same as in the target API and everything is detailed documented. There is also
a default rate-limiter, which ensures that the API call limit is not exceeded.
Getting Started
Installing
pip install pystlouisfed
Dependencies
- pandas for time series data and lists
- requests for API calls
- shapely for geometric data from GeoFRED
- sickle for FRASER oai-pmh API
- ratelimiter for limiting API calls
Usage
First you need to register and create an API key.
Documentation
The documentation contains a description of all methods, enums, classes and API calls with individual examples and their results. Or you can display a detailed description directly with the help function.
For example:
from pystlouisfed import FRED
help(FRED.series_search)
Let 's start with FRED and ALFRED
Most FRED (ALFRED) API calls return a list of objects (pandas.DataFrame
), but there are a few exceptions. A few methods do not return a pandas.DataFrame
, but only one specific
object from the pystlouisfed.models.
For example:
"Hey FRED give me Category with ID 125"
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
category = fred.category(category_id=125)
# Category(id=125, name='Trade Balance', parent_id=13)
or Source with ID 1
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
fred.source(source_id=1)
# Source(id=1, realtime_start='2022-01-14', realtime_end='2022-01-14', name='Board of Governors of the Federal Reserve System (US)', link='http://www.federalreserve.gov/')
other methods return pandas.DataFrame
For example method FRED.category_series
(all series for a specific category)
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.category_series(category_id=125)
print(df.head())
realtime_start realtime_end title observation_start observation_end frequency frequency_short units units_short seasonal_adjustment seasonal_adjustment_short last_updated popularity group_popularity notes
id
AITGCBN 2022-02-05 2022-02-05 Advance U.S. International Trade in Goods: Bal... 2021-12-01 2021-12-01 Monthly M Millions of Dollars Mil. of $ Not Seasonally Adjusted NSA 2022-01-26 13:31:05+00:00 3 26 This advance estimate represents the current m...
AITGCBS 2022-02-05 2022-02-05 Advance U.S. International Trade in Goods: Bal... 2021-12-01 2021-12-01 Monthly M Millions of Dollars Mil. of $ Seasonally Adjusted SA 2022-01-26 13:31:02+00:00 26 26 This advance estimate represents the current m...
BOPBCA 2022-02-05 2022-02-05 Balance on Current Account (DISCONTINUED) 1960-01-01 2014-01-01 Quarterly Q Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-06-18 13:41:28+00:00 10 11 This series has been discontinued as a result ...
BOPBCAA 2022-02-05 2022-02-05 Balance on Current Account (DISCONTINUED) 1960-01-01 2013-01-01 Annual A Billions of Dollars Bil. of $ Not Seasonally Adjusted NSA 2014-06-18 13:41:28+00:00 2 11 This series has been discontinued as a result ...
BOPBCAN 2022-02-05 2022-02-05 Balance on Current Account (DISCONTINUED) 1960-01-01 2014-01-01 Quarterly Q Billions of Dollars Bil. of $ Not Seasonally Adjusted NSA 2014-06-18 13:41:28+00:00 1 11 This series has been discontinued as a result ...
or method FRED.series_search
(search series by text)
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.series_search(search_text='monetary service index')
print(df.head())
realtime_start realtime_end title observation_start observation_end frequency frequency_short units units_short seasonal_adjustment seasonal_adjustment_short last_updated popularity group_popularity notes
id
MSIMZMP 2022-02-05 2022-02-05 Monetary Services Index: MZM (preferred) 1967-01-01 2013-12-01 Monthly M Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-01-17 13:16:42+00:00 20 20 The MSI measure the flow of monetary services ...
MSIM2 2022-02-05 2022-02-05 Monetary Services Index: M2 (preferred) 1967-01-01 2013-12-01 Monthly M Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-01-17 13:16:44+00:00 16 16 The MSI measure the flow of monetary services ...
MSIALLP 2022-02-05 2022-02-05 Monetary Services Index: ALL Assets (preferred) 1967-01-01 2013-12-01 Monthly M Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-01-17 13:16:45+00:00 14 14 The MSI measure the flow of monetary services ...
MSIM1P 2022-02-05 2022-02-05 Monetary Services Index: M1 (preferred) 1967-01-01 2013-12-01 Monthly M Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-01-17 13:16:45+00:00 9 9 The MSI measure the flow of monetary services ...
MSIM2A 2022-02-05 2022-02-05 Monetary Services Index: M2 (alternative) 1967-01-01 2013-12-01 Monthly M Billions of Dollars Bil. of $ Seasonally Adjusted SA 2014-01-17 13:16:44+00:00 8 8 The MSI measure the flow of monetary services ...
or method FRED.series_observations
(observations for specific series ID)
from matplotlib import pyplot as plt
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
# T10Y2Y - 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity
df = fred.series_observations(series_id='T10Y2Y')
df.plot(y='value', grid=True)
plt.show()
In addition, each DataFrame has correctly set data types.
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.category_series(125)
print(df.info(verbose=True, memory_usage='deep'))
<class 'pandas.core.frame.DataFrame'>
Index: 47 entries, AITGCBN to IEABCSN
Data columns (total 15 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 realtime_start 47 non-null datetime64[ns]
1 realtime_end 47 non-null datetime64[ns]
2 title 47 non-null string
3 observation_start 47 non-null datetime64[ns]
4 observation_end 47 non-null datetime64[ns]
5 frequency 47 non-null category
6 frequency_short 47 non-null category
7 units 47 non-null category
8 units_short 47 non-null category
9 seasonal_adjustment 47 non-null category
10 seasonal_adjustment_short 47 non-null category
11 last_updated 47 non-null datetime64[ns, UTC]
12 popularity 47 non-null int64
13 group_popularity 47 non-null int64
14 notes 47 non-null string
dtypes: category(6), datetime64[ns, UTC](1), datetime64[ns](4), int64(2), string(2)
memory usage: 25.0 KB
Working with Enums
FRED (ALFRED) has many different parameters, which are not the same for each method. So there is no need to remember everything or keep looking at the documentation.
pystlouisfed
uses the Enums constants. For example, the API endpoint FRED:series_observations (and
method FRED.series_observations
) has the optional parameters
"units", "frequency", "aggregation_method" or "output_type":
def series_observations(
self,
series_id: str,
realtime_start: date = None,
realtime_end: date = None,
sort_order: enums.SortOrder = enums.SortOrder.asc,
observation_start: date = date(1776, 7, 4),
observation_end: date = date(9999, 12, 31),
units: enums.Unit = enums.Unit.lin,
frequency: enums.Frequency = None,
aggregation_method: enums.AggregationMethod = enums.AggregationMethod.average,
output_type: enums.OutputType = enums.OutputType.realtime_period,
vintage_dates: List[str] = None
) -> pd.DataFrame:
But what should be the value? For example, for the parameter "aggregation_method" it is possible to use pystlouisfed.AggregationMethod
:
from enum import Enum
class AggregationMethod(Enum):
"""
A key that indicates the aggregation method used for frequency aggregation.
"""
avg = 'avg'
"""
Average (same as `pystlouisfed.enums.AggregationMethod.average`)
"""
average = 'avg'
"""
Average (same as `pystlouisfed.enums.AggregationMethod.avg`)
"""
sum = 'sum'
"""
Sum
"""
eop = 'eop'
"""
End of Period (same as `pystlouisfed.enums.AggregationMethod.end_of_period`)
"""
end_of_period = 'eop'
"""
End of Period (same as `pystlouisfed.enums.AggregationMethod.eop`)
"""
The method above can then be called as follows:
from pystlouisfed import FRED, AggregationMethod, Frequency
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.series_observations(series_id='T10Y2Y', aggregation_method=AggregationMethod.end_of_period, frequency=Frequency.weekly_ending_friday)
Working with rate limiting
The API is limited to 120 calls per 60 seconds.
pystlouisfed
therefore, by default uses ratelimiter, which monitors this limit!
So it is not a problem to download all series (~800) with the tag "daily" and "nsa" (Not Seasonally Adjusted) without exceeding any limits:
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
series = fred.tags_series(tag_names=['daily', 'nsa'], exclude_tag_names=['discontinued'])
for series_id in series.index.values:
df = fred.series_observations(series_id=series_id)
Working with data revisions
https://fred.stlouisfed.org/docs/api/fred/fred_vs_alfred.html
Most users are interested in FRED and not ALFRED. In other words, most people want to know what's the most accurate information about the past that is available today (FRED) not what information was known on some past date in history (ALFRED®). Note that the FRED and ALFRED web services use the same URLs but with different options. The default options for each URL have been chosen to make the most sense for FRED users. In particular by default, the real-time period has been set to today's date. ALFRED® users can change the real-time period by setting the realtime_start and realtime_end variables.
For example, "GDP" has 303 values for today.
from pystlouisfed import FRED
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.series_observations(series_id='GDP')
print(len(df))
# 303
But if we request all the changes, we get 3068 values!
from pystlouisfed import FRED
from datetime import date
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.series_observations(series_id='GDP', realtime_start=date(1776, 7, 4))
print(len(df))
# 3068
Of course, it is possible to set the range or only one day (set same date value for realtime_start
and realtime_end
). Let's say we want all changes between "2021-11-01" and "
2022-01-01":
from pystlouisfed import FRED
from datetime import date
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = fred.series_observations(series_id='GDP', realtime_start=date(2021, 11, 1), realtime_end=date(2022, 1, 1))
df.loc['2021-07-01':'2021-07-01']
and we see how the value for day "2021-07-01" has changed.
realtime_start realtime_end value
date
2021-07-01 2021-11-01 2021-11-23 23173.496
2021-07-01 2021-11-24 2021-12-21 23187.042
2021-07-01 2021-12-22 2022-01-01 23202.344
Between dates "2021-11-01" - "2021-11-23" was 23173.496, then until "2021-12-21" at 23187.042 and finally at 23202.344. I think this is important information for backtesting. Because the backtest on the current/last data will be wrong.
Many other features in the documentation.
Working with TimeZones
This functionality is currently on the TODO list.
FRED/ALFRED works with date in 99% of cases. But what is a date? For example, the friday "2022-02-04" can be almost anything - it depends on the time zone:
Why we are interested in this?
Let's say we are in the "Europe/Prague" timezone (UTC+1) and at 2:00am we call the method:
from pystlouisfed import FRED
from datetime import date
fred = FRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
fred.series_observations(series_id='GDP', realtime_start=date.today(), realtime_end=date.today())
FRED/ALFRED will return the error:
"Bad Request. Variable realtime_start can not be after today's date..."
because it works in the timezone "US/Central" (UTC−06:00)! Probably all the date values that the API returns are in "US/Central", but I haven't verified it.
GeoFRED
https://geofred.stlouisfed.org/about/
GeoFRED® allows you to create, customize, and share geographical maps of data found in FRED®. Easily access the details and adjust how the data are displayed. You can also transform the data and download it according to geographic category and time frame.
For example, the GeoFRED.shapes
method returns a list of the pystlouisfed.models.Shape
object.
This result can be plotted:
import matplotlib.pyplot as plt
from descartes import PolygonPatch
from pystlouisfed import GeoFRED, ShapeType
plt.figure()
ax = plt.axes()
geo_fred = GeoFRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
for country_shape in geo_fred.shapes(shape=ShapeType.country):
ax.add_patch(PolygonPatch(country_shape.geometry, ec='#999999', fc='#6699cc', alpha=0.5, zorder=2))
ax.axis('scaled')
plt.show()
Or it is possible to return data for a specific series ID:
from pystlouisfed import GeoFRED, ShapeType
geo_fred = GeoFRED(api_key='abcdefghijklmnopqrstuvwxyz123456')
df = geo_fred.series_data(series_id="WIPCPI")
print(df.head())
region code value series_id year
0 Alabama 01 46479.0 ALPCPI 2020
1 Alaska 02 63502.0 AKPCPI 2020
2 Arizona 04 49648.0 AZPCPI 2020
3 Arkansas 05 47235.0 ARPCPI 2020
4 California 06 70192.0 CAPCPI 2020
Other functions in the documentation.
FRASER
https://fraser.stlouisfed.org/about
FRASER is a digital library of U.S. economic, financial, and banking history—particularly the history of the Federal Reserve System.
Providing economic information and data to the public is an important mission for the St. Louis Fed started by former St. Louis Fed Research Director Homer Jones in 1958. FRASER began as a data preservation and accessibility project of the Federal Reserve Bank of St. Louis in 2004 and now provides access to data and policy documents from the Federal Reserve System and many other institutions.
The Fraser interface communicates using the OAI-PMH API. It is thus possible to obtain metadata about hundreds of thousands publications.
For example:
from pystlouisfed import FRASER
fraser = FRASER()
record = fraser.get_record(identifier='oai:fraser.stlouisfed.org:title:176')
metadata = record.get_metadata()
print(metadata['url'])
[
'https://fraser.stlouisfed.org/title/investigation-economic-problems-176',
'https://fraser.stlouisfed.org/images/record-thumbnail.jpg',
'https://fraser.stlouisfed.org/docs/historical/senate/1933sen_investeconprob/1933sen_investeconprob.pdf'
]
Other functions in the documentation.
License
Distributed under the MIT License. See LICENSE
for more information.
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