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Fix yfinance discarding last regular hour of Saudi prices

fix/saudi-intraday-lost-hour
ValueRaider 2023-07-06 16:22:59 +01:00
parent 711e1138d3
commit ae1f5c326c
2 changed files with 16 additions and 8 deletions
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4
yfinance/base.py
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@ -333,8 +333,10 @@ class TickerBase:
tps = self._history_metadata["tradingPeriods"]
if not isinstance(tps, pd.DataFrame):
self._history_metadata = utils.format_history_metadata(self._history_metadata, tradingPeriodsOnly=True)
self._history_metadata_formatted = True
tps = self._history_metadata["tradingPeriods"]
quotes = utils.fix_Yahoo_returning_prepost_unrequested(quotes, params["interval"], tps)
exchangeName = self._history_metadata['exchangeName']
quotes = utils.fix_Yahoo_returning_prepost_unrequested(quotes, params["interval"], tps, exchangeName)
logger.debug(f'{self.ticker}: OHLC after cleaning: {quotes.index[0]} -> {quotes.index[-1]}')
# actions

20
yfinance/utils.py
View File

@ -566,12 +566,18 @@ def set_df_tz(df, interval, tz):
return df
def fix_Yahoo_returning_prepost_unrequested(quotes, interval, tradingPeriods):
def fix_Yahoo_returning_prepost_unrequested(quotes, interval, tradingPeriods, exchangeName):
# Sometimes Yahoo returns post-market data despite not requesting it.
# Normally happens on half-day early closes.
#
# And sometimes returns pre-market data despite not requesting it.
# E.g. some London tickers.
# But for some exchanges, Yahoo returning incorrect schedule
if exchangeName == 'SAU':
# Saudi exchange. Yahoo returning wrong close 3pm instead of 3:20pm
return quotes
tps_df = tradingPeriods.copy()
tps_df["_date"] = tps_df.index.date
quotes["_date"] = quotes.index.date
@ -583,12 +589,12 @@ def fix_Yahoo_returning_prepost_unrequested(quotes, interval, tradingPeriods):
f_drop = f_drop | (quotes.index < quotes["start"])
if f_drop.any():
# When printing report, ignore rows that were already NaNs:
# f_na = quotes[["Open","Close"]].isna().all(axis=1)
# n_nna = quotes.shape[0] - _np.sum(f_na)
# n_drop_nna = _np.sum(f_drop & ~f_na)
# quotes_dropped = quotes[f_drop]
# if debug and n_drop_nna > 0:
# print(f"Dropping {n_drop_nna}/{n_nna} intervals for falling outside regular trading hours")
f_na = quotes[["Open","Close"]].isna().all(axis=1)
n_nna = quotes.shape[0] - _np.sum(f_na)
n_drop_nna = _np.sum(f_drop & ~f_na)
quotes_dropped = quotes[f_drop]
if n_drop_nna > 0:
get_yf_logger().debug(f"Dropping {n_drop_nna}/{n_nna} intervals for falling outside regular trading hours")
quotes = quotes[~f_drop]
quotes = quotes.drop(["_date", "start", "end"], axis=1)
return quotes