
# get stock market index data by yfinance library
import yfinance as yf
import datetime
import time
import pandas as pd


# the reddit data is from 2021-01-01 to 2022-08-31
# but the stock market is closed at the first three days in 2021
# get 2020-12-31 data to fill the NaN value of the first three days

# get daily s&p 500 index 
sp500_df = yf.download('^GSPC', start='2020-12-31', end='2022-08-31')
sp500_df

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# get daily NASDAQ index 
nasdaq_df = yf.download('^IXIC', start='2020-12-31', end='2022-08-31')
nasdaq_df

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# get daily dow jones index
dj_df = yf.download('^DJI', start='2020-12-31', end='2022-08-31')
dj_df

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# merge three stock market index together
df_index = pd.DataFrame(sp500_df['Close'])
df_index.columns = ['sp500']
df_index['nasdaq'] = nasdaq_df['Close']
df_index['dj'] = dj_df['Close']
df_index['date'] = df_index.index.astype(str)
df_index


# generate consecutive date data from 2020-12-31 to 2022-08-31
date_list = []
begin_date = datetime.datetime.strptime('2020-12-31', "%Y-%m-%d")
end_date = datetime.datetime.strptime('2022-08-31', "%Y-%m-%d")
while begin_date <= end_date:
    date_str = begin_date.strftime("%Y-%m-%d")
    date_list.append(date_str)
    begin_date += datetime.timedelta(days=1)


df_date = pd.DataFrame(date_list, columns = ['date'])
df_date


# merge stock index df and consecutive date df
# stock market closed dates are filled with NaN
df = pd.merge(df_date,df_index,how='left', on='date')
df


# fill the NaN value with valid stock market index from the previous day
stock_data = df.fillna(method = 'ffill')
stock_data


# drop the 2020-12-31 row
stock_data =stock_data.drop(0)


stock_data


stock_data.to_csv('stock_index.csv')

	Open	High	Low	Close	Adj Close	Volume
Date
2020-12-31	3733.270020	3760.199951	3726.879883	3756.070068	3756.070068	3172510000
2021-01-04	3764.610107	3769.989990	3662.709961	3700.649902	3700.649902	5006680000
2021-01-05	3698.020020	3737.830078	3695.070068	3726.860107	3726.860107	4582620000
2021-01-06	3712.199951	3783.040039	3705.340088	3748.139893	3748.139893	6049970000
2021-01-07	3764.709961	3811.550049	3764.709961	3803.790039	3803.790039	5080870000
...	...	...	...	...	...	...
2022-08-24	4126.549805	4156.560059	4119.970215	4140.770020	4140.770020	3056910000
2022-08-25	4153.259766	4200.540039	4147.589844	4199.120117	4199.120117	2976050000
2022-08-26	4198.740234	4203.040039	4057.659912	4057.659912	4057.659912	3175260000
2022-08-29	4034.580078	4062.989990	4017.419922	4030.610107	4030.610107	2963020000
2022-08-30	4041.250000	4044.979980	3965.209961	3986.159912	3986.159912	3190580000

	Open	High	Low	Close	Adj Close	Volume
Date
2020-12-31	12877.089844	12902.070312	12821.230469	12888.280273	12888.280273	4771390000
2021-01-04	12958.519531	12958.719727	12543.240234	12698.450195	12698.450195	6546740000
2021-01-05	12665.650391	12828.269531	12665.650391	12818.959961	12818.959961	6904420000
2021-01-06	12666.150391	12909.629883	12649.990234	12740.790039	12740.790039	7648340000
2021-01-07	12867.339844	13090.910156	12867.339844	13067.480469	13067.480469	6777010000
...	...	...	...	...	...	...
2022-08-24	12375.150391	12504.330078	12350.160156	12431.530273	12431.530273	3896570000
2022-08-25	12506.370117	12641.259766	12471.980469	12639.269531	12639.269531	4290090000
2022-08-26	12630.580078	12655.839844	12141.519531	12141.709961	12141.709961	4510480000
2022-08-29	12021.049805	12124.870117	11981.419922	12017.669922	12017.669922	4183740000
2022-08-30	12093.059570	12101.849609	11790.019531	11883.139648	11883.139648	4630720000

	Open	High	Low	Close	Adj Close	Volume
Date
2020-12-31	30417.640625	30637.470703	30344.500000	30606.480469	30606.480469	284470000
2021-01-04	30627.470703	30674.279297	29881.820312	30223.890625	30223.890625	475080000
2021-01-05	30204.250000	30504.890625	30141.779297	30391.599609	30391.599609	350910000
2021-01-06	30362.779297	31022.650391	30313.070312	30829.400391	30829.400391	500430000
2021-01-07	30901.179688	31193.400391	30897.859375	31041.130859	31041.130859	427810000
...	...	...	...	...	...	...
2022-08-24	32899.011719	33095.500000	32828.558594	32969.230469	32969.230469	256900000
2022-08-25	33029.269531	33306.089844	32889.851562	33291.781250	33291.781250	308530000
2022-08-26	33293.429688	33364.699219	32278.220703	32283.400391	32283.400391	352850000
2022-08-29	32188.000000	32325.160156	31972.789062	32098.990234	32098.990234	317820000
2022-08-30	32163.839844	32205.660156	31647.220703	31790.869141	31790.869141	317150000

	sp500	nasdaq	dj	date
Date
2020-12-31	3756.070068	12888.280273	30606.480469	2020-12-31
2021-01-04	3700.649902	12698.450195	30223.890625	2021-01-04
2021-01-05	3726.860107	12818.959961	30391.599609	2021-01-05
2021-01-06	3748.139893	12740.790039	30829.400391	2021-01-06
2021-01-07	3803.790039	13067.480469	31041.130859	2021-01-07
...	...	...	...	...
2022-08-24	4140.770020	12431.530273	32969.230469	2022-08-24
2022-08-25	4199.120117	12639.269531	33291.781250	2022-08-25
2022-08-26	4057.659912	12141.709961	32283.400391	2022-08-26
2022-08-29	4030.610107	12017.669922	32098.990234	2022-08-29
2022-08-30	3986.159912	11883.139648	31790.869141	2022-08-30

	date
0	2020-12-31
1	2021-01-01
2	2021-01-02
3	2021-01-03
4	2021-01-04
...	...
604	2022-08-27
605	2022-08-28
606	2022-08-29
607	2022-08-30
608	2022-08-31