Download all Data for Tsay's Financial Time Series Book

download_tsay.py

#!/usr/bin/env python3

"""
Python script to download and save all .txt and .dat data for the book
Analysis of Financial Time Series (3rd edition) by Ruey S. Tsay
"""

from requests import get
import re
from urllib.request import urlretrieve
from urllib.error import HTTPError

url = 'http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/'
res = get(url)
raw = res.content.decode('UTF-16LE')
txt_data = re.findall('[a-zA-Z0-9-]+\.txt', raw)
dat_data = re.findall('[a-zA-Z0-9-]+\.dat', raw)
all_data = txt_data + dat_data
data = set(all_data)

for fname in data:
    print('Downloading ' + fname)
    try:
        urlretrieve(url + fname, fname)
    except HTTPError:
        print(fname + ' cannot be downloaded')
        continue