#Class to fetch news and stock data from the web for a specific ticker and combine them into a dataframe. import pandas as pd import yfinance as yf from pygooglenews import GoogleNews from transformers import AutoTokenizer, AutoModelForSequenceClassification from transformers import pipeline class DataLoader: def __init__(self, ticker, time_period_news, time_period_stock, news_decay_rate = 0): self.ticker = ticker self.time_period_news = time_period_news self.time_period_stock = time_period_stock self.news_decay_rate = news_decay_rate def get_data(self): stock_data = self.get_stock_data() news_data = self.get_news_data() news_sentiment = self.get_sentiment(news_data) combined_data = self.combine_data(stock_data, news_sentiment) if self.news_decay_rate != 0: combined_data = self.news_decay(combined_data, self.news_decay_rate) return combined_data def get_stock_data(self): data = yf.download(self.ticker , period = self.time_period_stock) df = pd.DataFrame() df['Open'] = data['Open'] df['Close'] = data['Close'] df['High'] = data['High'] df['Low'] = data['Low'] df['Volume'] = data['Volume'] return df def get_news_data(self): googlenews = GoogleNews() news_data = googlenews.search(self.ticker, when=self.time_period_news) news_data = pd.DataFrame(news_data['entries']) return news_data def get_sentiment(self, news_data): tokenizer = AutoTokenizer.from_pretrained("ProsusAI/finbert") model = AutoModelForSequenceClassification.from_pretrained("ProsusAI/finbert") classifier = pipeline('sentiment-analysis', model=model, tokenizer=tokenizer) news_sentiment = [] for i in range(len(news_data)): sentiment = classifier(news_data['title'][i], top_k=None) postive_score = sentiment[0]['score'] negative_score = sentiment[1]['score'] neutral_score = sentiment[2]['score'] reformmated_time_stamp = pd.to_datetime(news_data['published'][i]).date() news_sentiment.append({'Date': reformmated_time_stamp, 'positive_score': postive_score, 'negative_score': negative_score, 'neutral_score': neutral_score}) return pd.DataFrame(news_sentiment) def combine_data(self, stock_data, news_sentiment): news_sentiment = ( news_sentiment .groupby('Date') .mean() .fillna(0) .reset_index() .set_index('Date') .sort_index() ) common_index = pd.date_range( start=pd.Timestamp(min(pd.Timestamp(stock_data.index[0]), pd.Timestamp(news_sentiment.index[0]))), end=pd.Timestamp(max(pd.Timestamp(stock_data.index[-1]), pd.Timestamp(news_sentiment.index[-1]))), freq='D' ) stock_data = stock_data.reindex(common_index).fillna(-1) news_sentiment = news_sentiment.reindex(common_index).fillna(0) #Ensure stock_data and news_sentiment have combatile indices stock_data.index = pd.to_datetime(stock_data.index).normalize() news_sentiment.index = pd.to_datetime(news_sentiment.index).normalize() combined_data = pd.merge( stock_data, news_sentiment, how='left', left_index=True, right_index=True ) #Drop all close values that are -1 combined_data = combined_data[combined_data['Close'] != -1] #fill all missing values with 0 combined_data = combined_data.fillna(0) return combined_data def news_decay(self, Combined_data, decay_rate): #We have lots of days in the data with no news. We will fill these days with the previous days news * decay_rate #This will allow us to have a more continuous news data combined_data = Combined_data.copy() news_columns = ['positive_score', 'negative_score', 'neutral_score'] #We want to start from the oldest date and work our way to the newest date for i in range(1, len(combined_data)): for column in news_columns: if combined_data[column][i] == 0 and combined_data[column][i-1] != 0: combined_data[column][i] = combined_data[column][i-1] * decay_rate return combined_data