Download Continuous Futures EOD data from Quandl.com and save in SQLlite database

quandl_futures_to_sql.py

import quandl
import pandas as pd
from sqlalchemy import create_engine

# Link to list of symbols
https://www.quandl.com/data/SCF-Continuous-Futures/documentation/documentation

# Sign up at Quandl.com to get Auth Token 
token = 'your auth token from quandl.com'


# Select Symbols for Download (symbols stored in pandas data frame)
ty = quandl.get("SCF/CME_TY1_OR", authtoken=token)
us = quandl.get("SCF/CME_US1_OR", authtoken=token)
fv = quandl.get("SCF/CME_FV1_OR", authtoken=token)
tu = quandl.get("SCF/CME_TU1_OR", authtoken=token)
vix = quandl.get("SCF/CBOE_VX1_OR", authtoken=token)
sp = quandl.get("SCF/CME_ES1_OR", authtoken=token)
dax = quandl.get("SCF/EUREX_FDAX1_OR", authtoken=token)
bund = quandl.get("SCF/EUREX_FGBL1_OR", authtoken=token)
gilt = quandl.get("SCF/LIFFE_R1_OR", authtoken=token)
gold = quandl.get("SCF/CME_GC1_OR", authtoken=token)
crude = quandl.get("SCF/CME_CL1_OR", authtoken=token)
ym = quandl.get("SCF/CME_YM1_OR", authtoken=token)
russ2k = quandl.get("SCF/ICE_TF1_OR", authtoken=token)
dol = quandl.get("SCF/ICE_DX1_OR", authtoken=token)
eurodollar = quandl.get("SCF/CME_ED1_OR", authtoken=token)
ffunds = quandl.get("SCF/CME_FF1_OR", authtoken=token)

# List of Symbols
dfs = [ty, us, fv,tu,vix,sp,dax,bund,gilt,gold,crude,ym,russ2k,dol,eurodollar,ffunds]
# Text List of Symbols
names = ["ty", "us", "fv","tu","vix","sp","dax","bund","gilt","gold","crude","ym","russ2k","dol","eurodollar","ffunds"]          

# ADD SYMBOL COLUMN FOR IDENTIFICATION
for d,n in zip(dfs,names):
    d["Symbol"]= n

# APPEND(END TO END) ALL DATA INTO SINGLE DATA FRAME
fut = pd.concat(dfs)

# IMPORT SQL ALCHEMY AND LOAD DATA INTO DATABASE CALLED futures.db
path = "./data/"
engine = create_engine('sqlite:///futures.db')
fut.to_sql('futures', engine, if_exists='append')

# READ TABLE INTO DATA FRAME
df = pd.read_sql_table('futures', engine)

# OTHER IO WITH PANDAS
def test_hdf_fixed_write(df):
    df.to_hdf('test_fixed.hdf','test',mode='w')

def test_hdf_fixed_read():
    pd.read_hdf('test_fixed.hdf','test')

def test_hdf_fixed_write_compress(df):
    df.to_hdf('test_fixed_compress.hdf','test',mode='w',complib='blosc')

def test_hdf_fixed_read_compress():
    pd.read_hdf('test_fixed_compress.hdf','test')

def test_hdf_table_write(df):
    df.to_hdf('test_table.hdf','test',mode='w',format='table')

def test_hdf_table_read():
    pd.read_hdf('test_table.hdf','test')

def test_hdf_table_write_compress(df):
    df.to_hdf('test_table_compress.hdf','test',mode='w',complib='blosc',format='table')

def test_hdf_table_read_compress():
    pd.read_hdf('test_table_compress.hdf','test')

def test_csv_write(df):
    df.to_csv('test.csv',mode='w')

def test_csv_read():
    pd.read_csv('test.csv',index_col=0)

def test_feather_write(df):
    df.to_feather('test.feather')

def test_feather_read():
    pd.read_feather('test.feather')

def test_pickle_write(df):
    df.to_pickle('test.pkl')

def test_pickle_read():
    pd.read_pickle('test.pkl')

def test_pickle_write_compress(df):
    df.to_pickle('test.pkl.compress', compression='xz')

def test_pickle_read_compress():
    pd.read_pickle('test.pkl.compress', compression='xz')