market_data.ipynb

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   "source": [
    "# Market Data\n",
    "\n",
    "This code allows you to download historical market data from Yahoo Finance."
   ]
  },
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   "source": [
    "import numpy as np\n",
    "import yfinance as yf\n",
    "from datetime import datetime\n",
    "\n",
    "ticker = 'SPY'\n",
    "adjust = True\n",
    "start_date = datetime(1990, 1, 1)\n",
    "end_date = datetime(2022, 12, 31)\n",
    "price_frame = yf.download(ticker, start=start_date, end=end_date)\n",
    "\n",
    "price_frame.reset_index(inplace=True)\n",
    "price_frame['Date'] = price_frame['Date'].astype(np.int64) // 10**9\n",
    "\n",
    "ohlc_cols = ['Open', 'High', 'Low', 'Close']\n",
    "if adjust:\n",
    "    scale = price_frame['Adj Close'] / price_frame['Close']\n",
    "    for col in ohlc_cols:\n",
    "        price_frame[col] *= scale\n",
    "del price_frame['Adj Close']\n",
    "\n",
    "price_frame['High'] = price_frame[ohlc_cols].max(axis=1)\n",
    "price_frame['Low'] = price_frame[ohlc_cols].min(axis=1)\n",
    "\n",
    "price_frame.to_csv('data/%s.csv' % ticker, index=False, header=None)\n",
    "price_frame[:5]"
   ]
  }
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