0
$\begingroup$

I'm basically running some code as follows. Basically I'm just retrieving pairs of stocks (laid out as Row 1-Stock 1,2, Row 2-Stock 1,2 and so on, where Stock 1 and 2 are different in each row) from a CSV File. I then take in data from Yahoo associated with these "Pairs" of Stocks. I calculate the returns of the stocks and basically check if the distance (difference in returns) between a pair of stocks breaches some threshold and if so I return 1. However, I am running into the error below and Im unable to figure out why, as I know that the key ADP_PAYX which is associated with the first "stock pair" in the CSV File does infact exist.

Distancefunc(self, tickers, begdate, enddate)
    111             data = Returns(ticker,begdate,enddate)
    112             key = ticker[0]+'_'+ticker[1]
--> 113             R1 = data[key]['Returns'][0]
    114             R2 = data[key]['Returns'][1]
    115             distance = sum[(R1-R2)^2]

KeyError: 'ADP_PAYX' 




from datetime import datetime
import pytz
#import zipline as zp
import csv
import pandas as pd
import pandas.io.data as web
import numpy as np
from matplotlib.pyplot import *
from matplotlib.finance import quotes_historical_yahoo


def Dataretriever():
        Pairs = []
        f1=open('C:\Users\Pairs_0420.csv') #Enter the location of the file
        csvdata= csv.reader(f1)
        for row in csvdata:          #reading tickers from the csv file
            Pairs.append(row)
        return Pairs

tickers = Dataretriever()
tickersasstrings = map(str, tickers)

def PricePort(tickers,begdate,enddate):
    """
        Returns historical adjusted prices of a portfolio of stocks.
        tickers=pairsd   """
    final=pd.read_csv('http://chart.yahoo.com/table.csv?s=^GSPC',usecols=[0,6],index_col=0)
    final.columns=['^GSPC']
    data = {}
    for ticker in tickers:
        #print ticker        
        key = ticker[0]+'_'+ticker[1]
        data1 = quotes_historical_yahoo(ticker[0], begdate, enddate,asobject=True, adjusted=True)
        data2 = quotes_historical_yahoo(ticker[1], begdate, enddate,asobject=True, adjusted=True)
        #url1 = 'http://chart.yahoo.com/table.csv?s=ttt'.replace('ttt',ticker[0])
        data[key] = {'Data': (data1,data2)}
    return data    

def Returns(tickers,begdate,enddate):
    begdate=(2014,1,1)
    enddate=(2014,6,1)    
    p = PricePort(tickers,begdate,enddate)
    for ticker in tickers:
        key = ticker[0]+'_'+ticker[1]
        data1 = p[key]['Data'][0]
        data2 = p[key]['Data'][1]
        ret1 = (data1.close[1:] - data1.close[:-1])/data1.close[1:]
        ret2 = (data2.close[1:] - data2.close[:-1])/data2.close[1:]
        p[key]['Returns'] = (ret1,ret2)

    return p

class ThresholdClass():    
    #constructor
    def __init__(self, Pairs,begdatae,enddate):
        self.Pairs = Pairs
        self.begdate = begdate
        self.enddate = enddate

    def Distancefunc(self, tickers, begdate, enddate):
        for ticker in tickers:
            data = Returns(ticker,begdate,enddate)
            key = ticker[0]+'_'+ticker[1]
            R1 = data[key]['Returns'][0]
            R2 = data[key]['Returns'][1]
            distance = sum[(R1-R2)^2]
            return distance

    def MeanofPairs(self, tickers, begdate, enddate):
        sum = self.Distancefunc(tickers, begdate, enddate)
        mean = np.mean(sum)
        return mean

    def StandardDeviation(self, tickers, begdate, enddate):
        sum = self.Distancefunc(tickers, begdate, enddate)
        standard_dev = np.std(sum)
        return standard_dev 

    def ThresholdandnewsChecker(self, tickers, begdate, enddate):
        threshold = self.MeanofPairs(tickers, begdate, enddate) + 2*self.StandardDeviation(tickers, begdate, enddate)
        if (self.Distancefunc(tickers, begdate, enddate) > threshold):
            news = self.newsfunc(binaryfromnews)
            return 1       

begdate=(2013,1,1)
enddate=(2013,12,31)      
Threshold_Class  = ThresholdClass(tickers[:1],begdate,enddate)   
Threshold_Class.ThresholdandnewsChecker(tickers[:1], begdate, enddate)

Edit: Adding a print p before data1 = p[key]['Data'][0] showed that the keys are A_D and P_A instead of the required 'ADP_PAYX'. So, this is what I am looking to resolve at this point. Thanks.

$\endgroup$
0
$\begingroup$

In the method Distancefunc change this:

    for ticker in tickers:
        data = Returns(ticker,begdate,enddate)
        ...

to this:

    data = Returns(tickers,begdate,enddate)
    for ticker in tickers:
        ...

Note the change from ticker to tickers in the argument of Returns. The reason is that Returns is designed to loop over all tickers, but currently you are passing it a string instead of a list of tickers. That's why the key is set to A_D and the data dictionary: it's the first and second letter of the tickername ADP_PAYX.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.