Mastering Python for Finance - Second Edition

Writing a class to generate sources of market data

Write a class called MarketDataSource to help us fetch historical data from an external data provider. In this example, we will be using Quandl as our data provider. The constructor of the class is defined as follows:

class MarketDataSource(object):    def __init__(self, symbol, tick_event_handler=None, start='', end=''):        self.market_data = MarketData()        self.symbol = symbol        self.tick_event_handler = tick_event_handler        self.start, self.end = start, end        self.df = None

In the constructor, the symbol parameter contains the value recognized by our data provider to download our desired dataset. An object of MarketData is instantiated for storing the most recent market data available. The tick_event_handler ...