WRDS-Py is a library for extracting data from WRDS data sources and getting it into Pandas. The library allows users to access SAS/SHARE and extract data using SQL statements. The data that is returned is read into a Pandas data frame.
Mac OS/Linux
$ python setup.py install
Windows
The WRDS-PY package requires Pandas and Psycopg2. Binaries of these can be found here: http://www.lfd.uci.edu/~gohlke/pythonlibs/#psycopg
Once the two required packages are installed, you can run $ python setup.py install
For more information please consult the WRDS Support section at https://wrds-web.wharton.upenn.edu/wrds/support/.
>>> import wrds
>>> db = wrds.Connection()
Enter your credentials.
Username: <your_username>
Password: <your_password>
>>> db.list_libraries()
['audit', 'bank', 'block', 'bvd', 'bvdtrial', 'cboe', ...]
>>> db.list_tables(library='crsp')
['aco_amda', 'aco_imda', 'aco_indfnta', 'aco_indfntq', ...]
>>> db.describe_table(library='csrp', table='stocknames')
Approximately 58957 rows in crsp.stocknames.
name nullable type
0 permno True DOUBLE PRECISION
1 permco True DOUBLE PRECISION
2 namedt True DATE
...>>> stocknames = db.get_table(library='crsp', table='stocknames', obs=10)
>>> stocknames.head()
permno permco namedt nameenddt cusip ncusip ticker \
0 10000.0 7952.0 1986-01-07 1987-06-11 68391610 68391610 OMFGA
1 10001.0 7953.0 1986-01-09 1993-11-21 36720410 39040610 GFGC
2 10001.0 7953.0 1993-11-22 2008-02-04 36720410 29274A10 EWST
3 10001.0 7953.0 2008-02-05 2009-08-03 36720410 29274A20 EWST
4 10001.0 7953.0 2009-08-04 2009-12-17 36720410 29269V10 EGAS
...