Import WRDS tables or SAS data into PostgreSQL.
WRDS (or SAS) to PostgreSQL
This software has two functions:
- Download tables from WRDS and feeds them to a PostgreSQL database. (Requires access to WRDS and to the data in question.)
- Import a SAS file (
*.sas7dbat) into a PostgreSQL database.
The software uses Python 3 and depends on Pandas, SQLAlchemy and Paramiko. In addition, the Python scripts generally interact with PostgreSQL using SQLAlchemy and the Psycopg library. These dependencies are installed when you use Pip (see instructions below).
2. A WRDS ID
To use public-key authentication to access WRDS, follow hints taken from here to set up a public key.
Copy that key to the WRDS server from the terminal on my computer.
(Note that this code assumes you have a directory
.ssh in your home directory. If not, log into WRDS via SSH, then type
mkdir ~/.ssh to create this.)
Here's code to create the key and send it to WRDS (for me):
ssh-keygen -t rsa cat ~/.ssh/id_rsa.pub | ssh email@example.com "cat >> ~/.ssh/authorized_keys"
Use an empty passphrase in setting up the key so that the scripts can run without user intervention.
You should have a PostgreSQL database to store the data.
4. Environment variables
Environment variables that the code can use include:
PGDATABASE: The name of the PostgreSQL database you use.
PGUSER: Your username on the PostgreSQL database.
PGHOST: Where the PostgreSQL database is to be found (this will be
localhostif its on the same machine as you're running the code on)
WRDS_ID: Your WRDS ID.
I set these environment variables in
export PGHOST="localhost" export PGDATABASE="crsp" export WRDS_ID="iangow" export PGUSER="igow"
Using the function
schema are required.
1. WRDS Settings
WRDS_ID using either
wrds_id=your_wrds_id in the function call or the environment variable
2. Environment variables
The software will use the environment variables
PGUSER if you If you have set them. Otherwise, you need to provide values as arguments to
3. Table settings
To tailor your request, specify the following arguments:
fix_missing: set to
Trueto fix missing values. This addresses special missign values, which SAS's
PROC EXPORTdumps as strings. Default value is
fix_cr: set to
Trueto fix characters. Default value is
drop: add column names to be dropped (e.g.,
drop="id name"will drop columns
obs: add maxium number of observations (e.g.,
obs=10will import the first 10 rows from the table on WRDS).
rename: rename columns (e.g.,
force: set to
Trueto force update. Default value is
Importing SAS data into PostgreSQL
The software can also upload SAS file directly to PostgreSQL.
You need to have local SAS in order to use this function.
fpath to specify the path to the file to be imported
Here are some examples.
If you are at the home directory of this git repo, you can import and use the software as shown below.
To install it from Github:
sudo -H pip3 install git+https://github.com/iangow/wrds2pg --upgrade
This software is also available from PyPI. To install it from PyPI:
pip3 install wrds2pg
from wrds2pg import wrds_update # 1. Download crsp.mcti from wrds and upload to pg as crps.mcti # Simplest version wrds_update(table_name="mcti", schema="crsp") # Tailored arguments wrds_update(table_name="mcti", schema="crsp", host=your_pghost, dbname=your_pg_database, fix_missing=True, fix_cr=True, drop="b30ret b30ind", obs=10, rename="caldt=calendar_date", force=True) # 2. Upload test.sas7dbat to pg as crsp.mcti wrds_update(table_name="mcti", schema="crsp", fpath="your_path/test.sas7dbat")
Author: Ian Gow, firstname.lastname@example.org
Contributor: Jingyu Zhang, email@example.com
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