feature/yfinance-multi-ticker: Adds support to openbb-yfinance for multi-ticker download. (#5845)

* yfinance multi-ticker support

* multi-ticker support for market indices

* crypto multi-ticker support

* recapture tests

* yfinance cache and tests

* currency historical multi-ticker support

* style things

* black

* missed a values

---------

Co-authored-by: James Maslek <jmaslek11@gmail.com>

openbb_platform/providers/yfinance/openbb_yfinance/models/crypto_historical.py

@@ -63,7 +63,7 @@ class YFinanceCryptoHistoricalFetcher(
         if params.get("end_date") is None:
             transformed_params["end_date"] = now
 
-        return YFinanceCryptoHistoricalQueryParams(**params)
+        return YFinanceCryptoHistoricalQueryParams(**transformed_params)
 
     @staticmethod
     def extract_data(
@@ -72,12 +72,20 @@ class YFinanceCryptoHistoricalFetcher(
         **kwargs: Any,
     ) -> List[Dict]:
         """Return the raw data from the Yahoo Finance endpoint."""
-        if "-" not in query.symbol:
-            position = len(query.symbol) - 3
-            query.symbol = query.symbol[:position] + "-" + query.symbol[position:]
+
+        tickers = query.symbol.split(",")
+        new_tickers = []
+        for ticker in tickers:
+            if "-" not in ticker:
+                new_ticker = ticker[:-3] + "-" + ticker[-3:]
+            if "-" in ticker:
+                new_ticker = ticker
+            new_tickers.append(new_ticker)
+
+        symbols = ",".join(new_tickers)
 
         data = yf_download(
-            query.symbol,
+            symbols,
             start=query.start_date,
             end=query.end_date,
             interval=query.interval,
@@ -99,12 +107,9 @@ class YFinanceCryptoHistoricalFetcher(
                 data.set_index("date", inplace=True)
                 data.index = to_datetime(data.index)
 
-            start_date_dt = datetime.combine(query.start_date, datetime.min.time())
-            end_date_dt = datetime.combine(query.end_date, datetime.min.time())
-
             data = data[
-                (data.index >= start_date_dt + timedelta(days=days))
-                & (data.index <= end_date_dt)
+                (data.index >= to_datetime(query.start_date))
+                & (data.index <= to_datetime(query.end_date + timedelta(days=days)))
             ]
 
         data.reset_index(inplace=True)

openbb_platform/providers/yfinance/openbb_yfinance/models/currency_historical.py

@@ -48,12 +48,14 @@ class YFinanceCurrencyHistoricalFetcher(
         params: Dict[str, Any]
     ) -> YFinanceCurrencyHistoricalQueryParams:
         """Transform the query."""
+
         transformed_params = params
-        transformed_params["symbol"] = (
-            f"{transformed_params['symbol'].upper()}=X"
-            if "=X" not in transformed_params["symbol"].upper()
-            else transformed_params["symbol"].upper()
-        )
+        symbols = params["symbol"].split(",")
+        new_symbols = [
+            f"{s.upper()}=X" if "=X" not in s.upper() else s.upper() for s in symbols
+        ]
+        transformed_params["symbol"] = ",".join(new_symbols)
+
         now = datetime.now().date()
 
         if params.get("start_date") is None:
@@ -94,12 +96,9 @@ class YFinanceCurrencyHistoricalFetcher(
                 data.set_index("date", inplace=True)
                 data.index = to_datetime(data.index)
 
-            start_date_dt = datetime.combine(query.start_date, datetime.min.time())
-            end_date_dt = datetime.combine(query.end_date, datetime.min.time())
-
             data = data[
-                (data.index >= start_date_dt + timedelta(days=days))
-                & (data.index <= end_date_dt)
+                (data.index >= to_datetime(query.start_date))
+                & (data.index <= to_datetime(query.end_date + timedelta(days=days)))
             ]
 
         data.reset_index(inplace=True)

openbb_platform/providers/yfinance/openbb_yfinance/models/market_indices.py

@@ -58,6 +58,31 @@ class YFinanceMarketIndicesFetcher(
         if params.get("end_date") is None:
             transformed_params["end_date"] = now
 
+        tickers = params.get("symbol").lower().split(",")
+
+        new_tickers = []
+        for ticker in tickers:
+            _ticker = ""
+            indices = pd.DataFrame(INDICES).transpose().reset_index()
+            indices.columns = ["code", "name", "symbol"]
+
+            if ticker in indices["code"].values:
+                _ticker = indices[indices["code"] == ticker]["symbol"].values[0]
+
+            if ticker.title() in indices["name"].values:
+                _ticker = indices[indices["name"] == ticker.title()]["symbol"].values[0]
+
+            if "^" + ticker.upper() in indices["symbol"].values:
+                _ticker = "^" + ticker.upper()
+
+            if ticker.upper() in indices["symbol"].values:
+                _ticker = ticker.upper()
+
+            if _ticker != "":
+                new_tickers.append(_ticker)
+
+        transformed_params["symbol"] = ",".join(new_tickers)
+
         return YFinanceMarketIndicesQueryParams(**params)
 
     @staticmethod
@@ -67,21 +92,9 @@ class YFinanceMarketIndicesFetcher(
         **kwargs: Any,
     ) -> List[dict]:
         """Return the raw data from the Yahoo Finance endpoint."""
-        symbol = query.symbol.lower()
-        indices = pd.DataFrame(INDICES).transpose().reset_index()
-        indices.columns = ["code", "name", "symbol"]
-
-        if symbol in indices["code"].to_list():
-            symbol = indices[indices["code"] == symbol]["symbol"].values[0]
-
-        if symbol.title() in indices["name"].to_list():
-            symbol = indices[indices["name"] == symbol.title()]["symbol"].values[0]
-
-        if "^" + symbol.upper() in indices["symbol"].to_list():
-            symbol = "^" + symbol.upper()
 
         data = yf_download(
-            symbol=symbol,
+            symbol=query.symbol,
             start_date=query.start_date,
             end_date=query.end_date,
             interval=query.interval,
@@ -104,12 +117,9 @@ class YFinanceMarketIndicesFetcher(
                 data.set_index("date", inplace=True)
                 data.index = to_datetime(data.index)
 
-            start_date_dt = datetime.combine(query.start_date, datetime.min.time())
-            end_date_dt = datetime.combine(query.end_date, datetime.min.time())
-
             data = data[
-                (data.index >= start_date_dt + timedelta(days=days))
-                & (data.index <= end_date_dt)
+                (data.index >= to_datetime(query.start_date))
+                & (data.index <= to_datetime(query.end_date + timedelta(days=days)))
             ]
 
         data.reset_index(inplace=True)

openbb_platform/providers/yfinance/openbb_yfinance/utils/helpers.py

@@ -10,6 +10,7 @@ from typing import Any, Literal, Optional, Union
 import pandas as pd
 import yfinance as yf
 from dateutil.relativedelta import relativedelta
+from openbb_core.provider.utils.errors import EmptyDataError
 from openbb_yfinance.utils.references import MONTHS
 
 
@@ -91,7 +92,7 @@ def yf_download(
     keepna: bool = False,
     repair: bool = False,
     rounding: bool = False,
-    group_by: Literal["symbol", "column"] = "column",
+    group_by: Literal["symbol", "column"] = "symbol",
     adjusted: bool = False,
     **kwargs: Any,
 ) -> pd.DataFrame:
@@ -115,22 +116,40 @@ def yf_download(
     if adjusted is False:
         kwargs = dict(auto_adjust=False, back_adjust=False)
 
-    data = yf.download(
-        tickers=symbol,
-        start=_start_date,
-        end=None,
-        interval=interval,
-        period=period,
-        prepost=prepost,
-        actions=actions,
-        progress=progress,
-        ignore_tz=ignore_tz,
-        keepna=keepna,
-        repair=repair,
-        rounding=rounding,
-        group_by=group_by,
-        **kwargs,
-    )
+    try:
+        data = yf.download(
+            tickers=symbol,
+            start=_start_date,
+            end=None,
+            interval=interval,
+            period=period,
+            prepost=prepost,
+            actions=actions,
+            progress=progress,
+            ignore_tz=ignore_tz,
+            keepna=keepna,
+            repair=repair,
+            rounding=rounding,
+            group_by=group_by,
+            **kwargs,
+        )
+    except ValueError:
+        raise EmptyDataError()
+
+    tickers = symbol.split(",")
+    if len(tickers) > 1:
+        _data = pd.DataFrame()
+        for ticker in tickers:
+            temp = data[ticker].copy().dropna(how="all")
+            for i in temp.index:
+                temp.loc[i, "symbol"] = ticker
+            temp = temp.reset_index().rename(
+                columns={"Date": "date", "Datetime": "date"}
+            )
+            _data = pd.concat([_data, temp])
+        _data = _data.set_index(["date", "symbol"]).sort_index()
+        data = _data
+
     if not data.empty:
         data = data.reset_index()
         data = data.rename(columns={"Date": "date", "Datetime": "date"})
@@ -159,11 +178,9 @@ def yf_download(
             "5y",
             "10y",
         ]:
-            data["date"] = (
-                data["date"].dt.tz_localize(None).dt.strftime("%Y-%m-%d %H:%M:%S")
-            )
+            data["date"] = data["date"].dt.strftime("%Y-%m-%d %H:%M:%S")
         if interval not in ["1m", "2m", "5m", "15m", "30m", "90m", "60m", "1h"]:
-            data["date"] = data["date"].dt.tz_localize(None).dt.strftime("%Y-%m-%d")
+            data["date"] = data["date"].dt.strftime("%Y-%m-%d")
 
         if adjusted is False:
             data = data.drop(columns=["Adj Close"])

openbb_platform/providers/yfinance/tests/record/http/test_yfinance_fetchers/test_y_finance_market_indices_fetcher.yaml

@@ -1,4 +1,82 @@
 interactions:
+- request:
+    body: null
+    headers:
+      Accept:
+      - '*/*'
+      Accept-Encoding:
+      - gzip, deflate, br
+      Connection:
+      - keep-alive
+    method: GET
+    uri: https://fc.yahoo.com/
+  response:
+    body:
+      string: "<!doctype html public \"-//W3C//DTD HTML 4.01//EN\" \"http://www.w3.org/TR/html4/strict.dtd\">\n<html><head><title>Yahoo
+        - 404 Not Found</title><style>\n/* nn4 hide */ \n/*/*/\nbody {font:small/1.2em
+        arial,helvetica,clean,sans-serif;font:x-small;text-align:center;}table {font-size:inherit;font:x-small;}\nhtml>body
+        {font:83%/1.2em arial,helvetica,clean,sans-serif;}input {font-size:100%;vertical-align:middle;}p,
+        form {margin:0;padding:0;}\np {padding-bottom:6px;margin-bottom:10px;}#doc
+        {width:48.5em;margin:0 auto;border:1px solid #fff;text-align:center;}#ygma
+        {text-align:right;margin-bottom:53px}\n#ygma img {float:left;}#ygma div {border-bottom:1px
+        solid #ccc;padding-bottom:8px;margin-left:152px;}#bd {clear:both;text-align:left;width:75%;margin:0
+        auto 20px;}\nh1 {font-size:135%;text-align:center;margin:0 0 15px;}legend
+        {display:none;}fieldset {border:0 solid #fff;padding:.8em 0 .8em 4.5em;}\nform
+        {position:relative;background:#eee;margin-bottom:15px;border:1px solid #ccc;border-width:1px
+        0;}\n#s1p {width:15em;margin-right:.1em;}\nform span {position:absolute;left:70%;top:.8em;}form
+        a {font:78%/1.2em arial;display:block;padding-left:.8em;white-space:nowrap;background:
+        url(https://s.yimg.com/lq/i/s/bullet.gif) no-repeat left center;} \nform .sep
+        {display:none;}.more {text-align:center;}#ft {padding-top:10px;border-top:1px
+        solid #999;}#ft p {text-align:center;font:78% arial;}\n/* end nn4 hide */\n</style></head>\n<body><div
+        id=\"doc\">\n<div id=\"ygma\"><a href=\"https://www.yahoo.com/\"><img src=https://s.yimg.com/lq/i/yahoo.gif
+        width=147 height=31 border=0 alt=\"Yahoo\"></a><div><a href=\"https://www.yahoo.com\">Yahoo</a>
+        - <a href=\"https://help.yahoo.com\">Help</a></div></div><div id=\"bd\"><p>The
+        requested URL was not found on this server.</p>\n<p>Please check the URL for
+        proper spelling and capitalization. If\nyou're having trouble locating a destination
+        on Yahoo, try visiting the \n<strong><a \nhref=\"https://www.yahoo.com\">Yahoo
+        home\npage</a></strong> or you may find what you're looking for\nif you try
+        searching below.</p>\n<form name=\"s1\" action=\"https://search.yahoo.com/search\"><fieldset>\n<legend><label
+        for=\"s1p\">Search the Web</label></legend>\n<input type=\"text\" size=30
+        name=\"p\" id=\"s1p\" title=\"enter search terms here\">\n<input type=\"submit\"
+        value=\"Search\">\n</fieldset></form>\n<p class=\"more\">Please try <strong><a
+        href=\"https://help.yahoo.com\">Yahoo Help Central</a></strong> if you need
+        more assistance.</p>\n</div><div id=\"ft\"><p>Copyright &copy; 2023 Yahoo
+        Inc. All rights reserved. <a href=\"https://privacy.yahoo.com\">Privacy Policy</a>
+        - <a href=\"https://info.yahoo.com/legal/us/yahoo/utos/terms/\">Terms of Service</a></p></div>\n</div></body></html>\n"
+    headers:
+      Age:
+      - '0'
+      Connection:
+      - keep-alive
+      Content-Length:
+      - '2659'
+      Content-Type:
+      - text/html; charset=iso-8859-1
+      Date:
+      - Fri, 01 Dec 2023 18:53:01 GMT
+      Expect-CT:
+      - max-age=31536000, report-uri="http://csp.yahoo.com/beacon/csp?src=yahoocom-expect-ct-report-only"
+      P3P:
+      - policyref="https://policies.yahoo.com/w3c/p3p.xml", CP="CAO DSP COR CUR ADM
+        DEV TAI PSA PSD IVAi IVDi CONi TELo OTPi OUR DELi SAMi OTRi UNRi PUBi IND
+        PHY ONL UNI PUR FIN COM NAV INT DEM CNT STA POL HEA PRE LOC GOV"
+      Referrer-Policy:
+      - no-referrer-when-downgrade
+      Server:
+      - ATS
+      Set-Cookie:
+      - A3=d=AQABBI0ramUCEFKCuPaLYqHEwIBxhoLwCDEFEgEBAQF9a2V0ZSXUxyMA_eMAAA&S=AQAAAuO1tSCJA6SjMjYh5yTo1x4;
+        Expires=Sun, 1 Dec 2024 00:53:01 GMT; Max-Age=31557600; Domain=.yahoo.com;
+        Path=/; SameSite=None; Secure; HttpOnly
+      Strict-Transport-Security:
+      - max-age=31536000
+      X-Content-Type-Options:
+      - nosniff
+      X-XSS-Protection:
+      - 1; mode=block
+    status:
+      code: 404
+      message: Not Found
 - request:
     body: null
     headers:
@@ -11,10 +89,60 @@ interactions:
       Cookie:
       - MOCK_COOKIE
     method: GET
-    uri: https://query2.finance.yahoo.com/v8/finance/chart/SPY?crumb=MOCK_CRUMB&interval=1d&range=1d
+    uri: https://query1.finance.yahoo.com/v1/test/getcrumb
   response:
     body:
-      string: '{"chart":{"result":[{"meta":{"currency":"USD","symbol":"SPY","exchangeName":"PCX","instrumentType":"ETF","firstTradeDate":728317800,"regularMarketTime":1701118800,"gmtoffset":-18000,"timezone":"EST","exchangeTimezoneName":"America/New_York","regularMarketPrice":454.48,"chartPreviousClose":455.3,"priceHint":2,"currentTradingPeriod":{"pre":{"timezone":"EST","start":1701075600,"end":1701095400,"gmtoffset":-18000},"regular":{"timezone":"EST","start":1701095400,"end":1701118800,"gmtoffset":-18000},"post":{"timezone":"EST","start":1701118800,"end":1701133200,"gmtoffset":-18000}},"dataGranularity":"1d","range":"1d","validRanges":["1d","5d","1mo","3mo","6mo","1y","2y","5y","10y","ytd","max"]},"timestamp":[1701118800],"indicators":{"quote":[{"volume":[49500027],"low":[454.07989501953125],"high":[455.4901123046875],"open":[454.6499938964844],"close":[454.4800109863281]}],"adjclose":[{"adjclose":[454.4800109863281]}]}}],"error":null}}'
+      string: pzrtQzapOQy
+    headers:
+      Age:
+      - '0'
+      Connection:
+      - keep-alive
+      Expect-CT:
+      - max-age=31536000, report-uri="http://csp.yahoo.com/beacon/csp?src=yahoocom-expect-ct-report-only"
+      Referrer-Policy:
+      - no-referrer-when-downgrade
+      Strict-Transport-Security:
+      - max-age=31536000
+      Transfer-Encoding:
+      - chunked
+      X-Content-Type-Options:
+      - nosniff
+      X-XSS-Protection:
+      - 1; mode=block
+      cache-control:
+      - private
+      content-type:
+      - text/plain;charset=utf-8
+      date:
+      - Fri, 01 Dec 2023 18:53:01 GMT
+      server:
+      - ATS
+      x-envoy-decorator-operation:
+      - finance-yql--mtls-default-production-gq1.finance-k8s.svc.yahoo.local:4080/*
+      x-envoy-upstream-service-time:
+      - '1'
+      x-frame-options:
+      - SAMEORIGIN
+    status:
+      code: 200
+      message: OK
+- request:
+    body: null
+    headers:
+      Accept:
+      - '*/*'
+      Accept-Encoding:
+      - gzip, deflate, br
+      Connection:
+      - keep-alive
+      Cookie:
+      - MOCK_COOKIE
+    method: GET
+    uri: https://query2.finance.yahoo.com/v8/finance/chart/%5EGSPC?crumb=MOCK_CRUMB&interval=1d&range=1d
+  response:
+    body:
+      string: '{"chart":{"result":[{"meta":{"currency":"USD","symbol":"^GSPC","exchangeName":"SNP","instrumentType":"INDEX","firstTradeDate":-1325583000,"regularMarketTime":1701456780,"gmtoffset":-18000,"timezone":"EST","exchangeTimezoneName":"America/New_York","regularMarketPrice":4586.99,"chartPreviousClose":4567.8,"priceHint":2,"currentTradingPeriod":{"pre":{"timezone":"EST","start":1701421200,"end":1701441000,"gmtoffset":-18000},"regular":{"timezone":"EST","start":1701441000,"end":1701464400,"gmtoffset":-18000},"post":{"timezone":"EST","start":1701464400,"end":1701478800,"gmtoffset":-18000}},"dataGranularity":"1d","range":"1d","validRanges":["1d","5d","1mo","3mo","6mo","1y","2y","5y","10y","ytd","max"]},"timestamp":[1701456780],"indicators":{"quote":[{"high":[4599.39013671875],"volume":[1354097000],"open":[4559.43017578125],"low":[4554.7099609375],"close":[4586.990234375]}],"adjclose":[{"adjclose":[4586.990234375]}]}}],"error":null}}'
     headers:
       Age:
       - '0'
@@ -33,11 +161,11 @@ interactions:
       cache-control:
       - public, max-age=10, stale-while-revalidate=20
       content-length:
-      - '937'
+      - '936'
       content-type:
       - application/json;charset=utf-8
       date:
-      - Mon, 27 Nov 2023 23:48:17 GMT
+      - Fri, 01 Dec 2023 18:53:01 GMT
       server:
       - ATS
       vary:
@@ -45,7 +173,7 @@ interactions:
       x-envoy-decorator-operation:
       - finance-chart-api--mtls-production-gq1.finance-k8s.svc.yahoo.local:4080/*
       x-envoy-upstream-service-time:
-      - '72'
+      - '2'
     status:
       code: 200
       message: OK
@@ -61,139 +189,125 @@ interactions:
       Cookie:
       - MOCK_COOKIE
     method: GET
-    uri: https://query2.finance.yahoo.com/v8/finance/chart/SPY?crumb=MOCK_CRUMB&events=div%2Csplits%2CcapitalGains&includePrePost=True&interval=1d&period1=MOCK_PERIOD_1&period2=MOCK_PERIOD_2
+    uri: https://query2.finance.yahoo.com/v8/finance/chart/%5EGSPC?crumb=MOCK_CRUMB&events=div%2Csplits%2CcapitalGains&includePrePost=True&interval=1d&period1=MOCK_PERIOD_1&period2=MOCK_PERIOD_2
   response:
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+        AA==
     headers:
       Age:
-      - '1'
+      - '0'
       Connection:
       - keep-alive
       Expect-CT:
@@ -215,7 +329,7 @@ interactions:
       content-type:
       - application/json;charset=utf-8
       date:
-      - Mon, 27 Nov 2023 23:48:17 GMT
+      - Fri, 01 Dec 2023 18:53:01 GMT
       server:
       - ATS
       vary:
@@ -223,7 +337,7 @@ interactions:
       x-envoy-decorator-operation:
       - finance-chart-api--mtls-production-gq1.finance-k8s.svc.yahoo.local:4080/*
       x-envoy-upstream-service-time:
-      - '50'
+      - '5'
     status:
       code: 200
       message: OK

openbb_platform/providers/yfinance/tests/test_yfinance_fetchers.py

@@ -47,12 +47,14 @@ def vcr_config():
 
 
 @pytest.mark.record_http
-def test_y_finance_equity_historical_fetcher(credentials=test_credentials):
+def test_y_finance_market_indices_fetcher(credentials=test_credentials):
     params = {
-        "symbol": "AAPL",
+        "symbol": "^GSPC",
+        "start_date": date(2023, 1, 1),
+        "end_date": date(2023, 1, 10),
     }
 
-    fetcher = YFinanceEquityHistoricalFetcher()
+    fetcher = YFinanceMarketIndicesFetcher()
     result = fetcher.test(params, credentials)
     assert result is None
 
@@ -60,7 +62,7 @@ def test_y_finance_equity_historical_fetcher(credentials=test_credentials):
 @pytest.mark.record_http
 def test_y_finance_crypto_historical_fetcher(credentials=test_credentials):
     params = {
-        "symbol": "BTC-USD",
+        "symbol": "BTCUSD",
         "start_date": date(2023, 1, 1),
         "end_date": date(2023, 1, 10),
     }
@@ -70,6 +72,17 @@ def test_y_finance_crypto_historical_fetcher(credentials=test_credentials):
     assert result is None
 
 
+@pytest.mark.record_http
+def test_y_finance_equity_historical_fetcher(credentials=test_credentials):
+    params = {
+        "symbol": "AAPL",
+    }
+
+    fetcher = YFinanceEquityHistoricalFetcher()
+    result = fetcher.test(params, credentials)
+    assert result is None
+
+
 @pytest.mark.record_http
 def test_y_finance_currency_historical_fetcher(credentials=test_credentials):
     params = {
@@ -83,19 +96,6 @@ def test_y_finance_currency_historical_fetcher(credentials=test_credentials):
     assert result is None
 
 
-@pytest.mark.record_http
-def test_y_finance_market_indices_fetcher(credentials=test_credentials):
-    params = {
-        "symbol": "SPY",
-        "start_date": date(2023, 1, 1),
-        "end_date": date(2023, 1, 10),
-    }
-
-    fetcher = YFinanceMarketIndicesFetcher()
-    result = fetcher.test(params, credentials)
-    assert result is None
-
-
 @pytest.mark.record_http
 def test_y_finance_futures_historical_fetcher(credentials=test_credentials):
     params = {