Add OANDA RestV20 Historical Instrument Reader

.travis.yml

@@ -41,6 +41,7 @@ install:
 
 script:
     - export ENIGMA_API_KEY=$ENIGMA_API_KEY
+    - export OANDA_API_TOKEN=$OANDA_API_TOKEN
     - nosetests -v --with-coverage --cover-package=pandas_datareader
     - flake8 --version
     - flake8 --ignore E501 pandas_datareader

docs/source/remote_data.rst

@@ -33,6 +33,7 @@ Currently the following sources are supported:
     - :ref:`Eurostat<remote_data.eurostat>`
     - :ref:`Thrift Savings Plan<remote_data.tsp>`
     - :ref:`Oanda currency historical rate<remote_data.oanda_curr_hist>`
+    - :ref:`Oanda REST currency historical rate<remote_data.oandarest_curr_hist>`
     - :ref:`Nasdaq Trader symbol definitions<remote_data.nasdaq_symbols`
 
 It should be noted, that various sources support different kinds of data, so not all sources implement the same methods and the data elements returned might also differ.
@@ -542,6 +543,42 @@ Download currency historical rate from `Oanda <https://www.oanda.com/>`__.
 
       [153 rows x 3 columns]
 
+.. _remote_data.oandarest_curr_hist
+
+Oanda REST currency historical rate
+==============================
+
+Download currency historical rate from `Oanda <https://www.oanda.com/>`__.
+
+.. code-block:: python
+
+    In [1]: import pandas_datareader.data as web
+    In [2]: start, end = "2016-01-01", "2016-02-01"
+    In [3]: symbols = ["EUR_USD"]
+    In [4]: credentials["accountType"]="practise"
+    In [5]: credentials["apiToken"]="Your OANDA API token"
+    In [6]: pn = web.DataReader(
+                symbols, data_source="oanda_historical_currency",
+                start=start, end=end,
+                access_key=credentials
+            )
+
+    In [7]: ipdb> pn.transpose(2,1,0)["EUR_USD"].head(5)
+
+                Ask                                 Bid                                 Mid                                              Ask             Bid
+                Close     High      Low     Open    Close     High      Low     Open    Close     High      Low     Open Volume Complete Volume Complete Volume Complete
+      Date
+      2014-03-19 09:00:00  1.39146  1.39148  1.39146  1.39146  1.39138  1.39140  1.39136  1.39136  1.39142  1.39144  1.39141  1.39141      5     True      5     True      5     True
+      2014-03-19 09:00:05  1.39147  1.39148  1.39147  1.39147  1.39138  1.39138  1.39137  1.39137  1.39142  1.39142  1.39142  1.39142      4     True      4     True      4     True
+      2014-03-19 09:00:10  1.39149  1.39149  1.39148  1.39149  1.39138  1.39141  1.39138  1.39141  1.39143  1.39145  1.39143  1.39145      3     True      3     True      3     True
+      2014-03-19 09:00:15  1.39153  1.39153  1.39149  1.39151  1.39143  1.39143  1.39139  1.39140  1.39148  1.39148  1.39144  1.39146      6     True      6     True      6     True
+      2014-03-19 09:00:20  1.39150  1.39154  1.39150  1.39154  1.39140  1.39144  1.39139  1.39143  1.39145  1.39149  1.39145  1.39148     10     True     10     True     10     True
+
+      [15438 rows x 18 columns]
+
+    In [8]: pn["Ask","Close"]["EUR_USD"][pandas._to_datetime("2014-03-19 09:00:00")]
+    Out[8]: 1.39147
+
 .. _remote_data.nasdaq_symbols
 
 Nasdaq Trader Symbol Definitions

pandas_datareader/data.py

@@ -23,6 +23,8 @@
 from pandas_datareader.oanda import get_oanda_currency_historical_rates
 from pandas_datareader.nasdaq_trader import get_nasdaq_symbols
 
+from pandas_datareader.oandarest import OANDARestHistoricalInstrumentReader
+
 
 def get_data_fred(*args, **kwargs):
     return FredReader(*args, **kwargs).read()
@@ -57,7 +59,8 @@ def get_quote_google(*args, **kwargs):
 
 
 def DataReader(name, data_source=None, start=None, end=None,
-               retry_count=3, pause=0.001, session=None, access_key=None):
+               retry_count=3, pause=0.001, session=None,
+               access_key=None):
     """
     Imports data from a number of online sources.
 
@@ -67,11 +70,11 @@ def DataReader(name, data_source=None, start=None, end=None,
     Parameters
     ----------
     name : str or list of strs
-        the name of the dataset. Some data sources (yahoo, google, fred) will
+        the name of the dataset. Some data sources (yahoo, google, fred, oanda_historical_currency) will
         accept a list of names.
     data_source: {str, None}
         the data source ("yahoo", "yahoo-actions", "yahoo-dividends",
-        "google", "fred", "ff", or "edgar-index")
+        "google", "fred", "ff", or "edgar-index", oanda_historical_currency)
     start : {datetime, None}
         left boundary for range (defaults to 1/1/2010)
     end : {datetime, None}
@@ -83,6 +86,8 @@ def DataReader(name, data_source=None, start=None, end=None,
         single value given for symbol, represents the pause between retries.
     session : Session, default None
             requests.sessions.Session instance to be used
+    access_key: dict of object
+            Reader specific credentials
 
     Examples
     ----------
@@ -108,6 +113,13 @@ def DataReader(name, data_source=None, start=None, end=None,
     # Data from EDGAR index
     ed = DataReader("full", "edgar-index")
     ed2 = DataReader("daily", "edgar-index")
+
+    # OANDA REST
+    oa = DataReader("EUR_USD", data_source="oanda_rest_historical_currency",
+                    access_key={    "accountType"="practice",
+                                    "accountVersion="0"
+                                    "apiToken":"Your private API token" })
+
     """
     if data_source == "yahoo":
         return YahooDailyReader(symbols=name, start=start, end=end,
@@ -167,6 +179,12 @@ def DataReader(name, data_source=None, start=None, end=None,
             raise ValueError("Only the string 'symbols' is supported for "
                              "Nasdaq, not %r" % (name,))
         return get_nasdaq_symbols(retry_count=retry_count, pause=pause)
+    elif data_source == "oanda_historical_currency":
+        return OANDARestHistoricalInstrumentReader(
+            symbols=name, symbolsTypes=None,
+            start=start, end=end,
+            reader_compatible=True,
+            access_credential=access_key, session=session).read()
     else:
         msg = "data_source=%r is not implemented" % data_source
         raise NotImplementedError(msg)