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 from WRDS and extract data using SQL statements. The data that is returned is read into a Pandas data frame.
Installation
Using pip
The easiest way to install WRDS-Py on any supported platform is to use pip, the Python package manager, to install from the Python package index (pypi).
$ pip install wrds
Windows
WRDS-Py requires the Pandas and Psycopg2 Python packages. Binaries of these can be found here: http://www.lfd.uci.edu/~gohlke/pythonlibs/#psycopg
Once the two required packages are installed, use pip to 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='crsp', 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
>>> db.close() # Close the connection to the database...
>>> with wrds.Connection() as db: # You can use a context manager ... 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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