CLN: tweaks in io.data (yahoo)

Author: nehalecky

pandas/io/data.py

@@ -133,7 +133,7 @@ def get_quote_yahoo(symbols):
 
 
 def _get_hist_yahoo(sym=None, start=None, end=None, retry_count=3,
-                    pause=0):
+                    pause=0, **kwargs):
     """
     Get historical data for the given name from yahoo.
     Date format is datetime
@@ -195,11 +195,22 @@ def _adjust_prices(hist_data, price_list=['Open', 'High', 'Low', 'Close']):
 
 def _calc_return_index(price_df):
     """
-    Return a returns index from a input price df or series.
+    Return a returns index from a input price df or series. Initial value
+    (typically NaN) is set to 1.
     """
-
-    ret_index =  price_df.pct_change().add(1).cumprod()
-    ret_index.ix[0] = 1
+    df = price_df.pct_change().add(1).cumprod()
+    mask = ~df.ix[1].isnull() & df.ix[0].isnull()
+    df.ix[0][mask] = 1
+
+    #Check for first stock listings after starting date of index in ret_index
+    #If True, find first_valid_index and set previous entry to 1.
+    if(~mask).any:
+        for sym in mask.index[~mask]:
+            tstamp = df[sym].first_valid_index()
+            t_idx = df.index.get_loc(tstamp) - 1
+            df[sym].ix[t_idx] = 1
+
+    ret_index = df
     return ret_index
 
 
@@ -258,16 +269,17 @@ def get_components_yahoo(idx_sym):
 
 
 def get_data_yahoo(symbols=None, start=None, end=None, retry_count=3, pause=0,
-                   adjust_price=False, ret_index=False, chunksize=25, **kwargs):
+                   adjust_price=False, ret_index=False, chunksize=25,
+                   **kwargs):
     """
     Returns DataFrame/Panel of historical stock prices from symbols, over date
     range, start to end. To avoid being penalized by Yahoo! Finance servers,
     pauses between downloading 'chunks' of symbols can be specified.
 
     Parameters
     ----------
-    symbols : string, list-like object (list, tupel, Series), or DataFrame
-        Single stock symbol (ticker), list-like object of symbols or
+    symbols : string, array-like object (list, tuple, Series), or DataFrame
+        Single stock symbol (ticker), array-like object of symbols or
         DataFrame with index containing stock symbols.
     start : string, (defaults to '1/1/2010')
         Starting date, timestamp. Parses many different kind of date
@@ -290,7 +302,7 @@ def get_data_yahoo(symbols=None, start=None, end=None, retry_count=3, pause=0,
 
     Returns
     -------
-    hist_data : DataFrame (str) or Panel (list-like object, DataFrame)
+    hist_data : DataFrame (str) or Panel (array-like object, DataFrame)
     """
 
     def dl_mult_symbols(symbols):
@@ -444,7 +456,8 @@ class Options(object):
 
     # Fetch call and put data with expiry from now to 8 months out
     >>> forward_calls, forward_puts = aapl.get_forward_data(8,
-        ...                                        call=True, put=True)
+    ...                                              call=True, put=True)
+
     """
 
     def __init__(self, symbol):