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Update fred.py #52

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83 changes: 57 additions & 26 deletions fredapi/fred.py
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Original file line number Diff line number Diff line change
@@ -1,6 +1,7 @@

import os
import sys
import datetime
import xml.etree.ElementTree as ET
if sys.version_info[0] >= 3:
import urllib.request as url_request
Expand Down Expand Up @@ -195,8 +196,9 @@ def get_series_as_of_date(self, series_id, as_of_date):
data : Series
a Series where each index is the observation date and the value is the data for the Fred series
"""
# do not request data past as_of_date
df = self.get_series_all_releases(series_id, realtime_end = as_of_date)
as_of_date = pd.to_datetime(as_of_date)
df = self.get_series_all_releases(series_id)
data = df[df['realtime_start'] <= as_of_date]
return data

Expand Down Expand Up @@ -228,32 +230,61 @@ def get_series_all_releases(self, series_id, realtime_start=None, realtime_end=N
realtime_start = self.earliest_realtime_start
if realtime_end is None:
realtime_end = self.latest_realtime_end
url = "%s/series/observations?series_id=%s&realtime_start=%s&realtime_end=%s" % (self.root_url,
series_id,
realtime_start,
realtime_end)
root = self.__fetch_data(url)
if root is None:
raise ValueError('No data exists for series id: ' + series_id)
data = {}
i = 0
for child in root:
val = child.get('value')
if val == self.nan_char:
val = float('NaN')
# prepare datetime start/end dates. Using datetime package since pd.to_datetime chokes on '9999-12-31' date
realtime_start_dt = datetime.datetime.strptime(realtime_start,'%Y-%m-%d')
realtime_end_dt = datetime.datetime.strptime(realtime_end,'%Y-%m-%d')
# FRED API appears to have a 2000 vintage limit now, need to check if more vintages available first.
# Also, cut off vintages outside the requested interval
_vintages = [_v for _v in sorted(self.get_series_vintage_dates(series_id)) if _v >= realtime_start_dt and _v <= realtime_end_dt]
# define max chunk length allowed on Fred API:
max_chunk_length = 2000
# go in chunks not exceeding max_chunk_length vintages
_vintages_chunk_start = 0
_vintages_chunk_end = min(len(_vintages),max_chunk_length) - 1
# init final dataframe:
df = pd.DataFrame()
# go in chunks of <= max_chunk_length
_done = False
while not _done:
_vintages_chunk_start_str = _vintages[_vintages_chunk_start].strftime('%Y-%m-%d')
_vintages_chunk_end_str = _vintages[_vintages_chunk_end].strftime('%Y-%m-%d')
# go until no point of continuing
url = "%s/series/observations?series_id=%s&realtime_start=%s&realtime_end=%s" % (self.root_url,
series_id,
_vintages_chunk_start_str,
_vintages_chunk_end_str)
root = self.__fetch_data(url)
if root is None:
raise ValueError('No data exists for series id: ' + series_id)
data = {}
i = 0
for child in root:
val = child.get('value')
if val == self.nan_char:
val = float('NaN')
else:
val = float(val)
realtime_start = self._parse(child.get('realtime_start'))
# realtime_end = self._parse(child.get('realtime_end'))
date = self._parse(child.get('date'))

data[i] = {'realtime_start': realtime_start,
# 'realtime_end': realtime_end,
'date': date,
'value': val}
i += 1
data = pd.DataFrame(data).T
# append the combined dataframe
df = pd.concat([df , data])
# prepare for the next chunk
_vintages_chunk_start = _vintages_chunk_end + 1
# check if no more chunks
if _vintages_chunk_start > len(_vintages)-1:
_done = True
else:
val = float(val)
realtime_start = self._parse(child.get('realtime_start'))
# realtime_end = self._parse(child.get('realtime_end'))
date = self._parse(child.get('date'))

data[i] = {'realtime_start': realtime_start,
# 'realtime_end': realtime_end,
'date': date,
'value': val}
i += 1
data = pd.DataFrame(data).T
return data
_vintages_chunk_end = min(len(_vintages)-1, _vintages_chunk_end + max_chunk_length)

return df

def get_series_vintage_dates(self, series_id):
"""
Expand Down