Python access to WRDS Data
Project description
WRDS-Py is a library for extracting data from WRDS data sources and getting it into Pandas.
The library allows users to access data on the WRDS servers and extract data using SQL statements. The data that is returned is read into a Pandas data frame. It also provides functions for extracting the metadata of the tables.
Installation
For Mac OS, Linux and Windows, you can use pip to install the WRDS package.
If that does not work, download the files from github and follow these instructions:
Mac OS/Linux
$ python setup.py install
Windows
The WRDS-PY package requires Pandas and Psycopg2. Binaries of these can be found here: http://www.lfd.uci.edu/~gohlke/pythonlibs/#psycopg
Once the two required packages are installed, you can run $ python setup.py install
For more information please consult the WRDS Support section at https://wrds-web.wharton.upenn.edu/wrds/support/.
Usage
>>> import wrds
>>> db = wrds.Connection()
Enter your credentials.
Username: <your_username>
Password: <your_password>
>>> db.list_libraries()
['audit', 'bank', 'block', 'bvd', 'bvdtrial', 'cboe', ...]
>>> db.list_tables(library='crsp')
['aco_amda', 'aco_imda', 'aco_indfnta', 'aco_indfntq', ...]
>>> db.describe_table(library='csrp', table='stocknames')
Approximately 58957 rows in crsp.stocknames.
name nullable type
0 permno True DOUBLE PRECISION
1 permco True DOUBLE PRECISION
2 namedt True DATE
...
>>> stocknames = db.get_table(library='crsp', table='stocknames', obs=10) >>> stocknames.head() permno permco namedt nameenddt cusip ncusip ticker \ 0 10000.0 7952.0 1986-01-07 1987-06-11 68391610 68391610 OMFGA 1 10001.0 7953.0 1986-01-09 1993-11-21 36720410 39040610 GFGC 2 10001.0 7953.0 1993-11-22 2008-02-04 36720410 29274A10 EWST 3 10001.0 7953.0 2008-02-05 2009-08-03 36720410 29274A20 EWST 4 10001.0 7953.0 2009-08-04 2009-12-17 36720410 29269V10 EGAS ...
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