Fama French Industries

I'm back in Python and needing to get FF12 from sic codes. So I wrote a little script to download the definitions from French's website and make a Pandas DataFrame that allows for merging. Thought I would share:


Edit: An alternative is to use pandas_datareader.famafrench

	from io import BytesIO
	from zipfile import ZipFile
	import requests
	def download_ffind_zip(ind_num):
	zip_url = ('http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/Siccodes{}.zip'
	.format(ind_num))
	data = requests.get(zip_url)
	zipfile = ZipFile(BytesIO(data.content))
	return zipfile.open('Siccodes{}.txt'.format(ind_num)).read().decode()
	def get_ffind_df(ind_num):
	if ind_num not in [5, 10, 12, 17, 30, 38, 48, 49]:
	raise ValueError('Industry number must be one of {} not {}.'
	.format([5, 10, 12, 17, 30, 38, 48, 49], ind_num))
	re_nameline = re.compile(r'^\s*(?P<ff{0}>\d\d?)\s+(?P<ff{0}_name>[a-z]+)\s+(?P<detail>.+)\s*$'
	.format(ind_num), re.I|re.M)
	re_rangeline = re.compile(r'^\s*(?P<sicfrom>\d{3,4})-(?P<sicto>\d{3,4})(?P<notes>\s+.+)?\s*$', re.I|re.M)
	data = download_ffind_zip(ind_num)
	# init to 'other'
	try:
	current_ind = [_.groupdict() for _ in re_nameline.finditer(data)
	if _.group('ff{0}_name'.format(ind_num)).lower() == 'other'][0]
	except IndexError:
	current_ind = {'ff{0}'.format(ind_num):ind_num,
	'ff{0}_name'.format(ind_num):'Other',
	'detail':''}
	vals = {i:current_ind for i in range(10000)}
	for line in data.split('\n'):
	match = re_nameline.search(line.strip())
	if match:
	current_ind = match.groupdict()
	continue
	match = re_rangeline.search(line.strip())
	if not match:
	continue
	match = match.groupdict()
	sicfrom,sicto = int(match['sicfrom']), int(match['sicto'])
	for i in range(sicfrom, sicto+1):
	vals[i] = current_ind
	df = pd.DataFrame.from_dict(vals, orient='index')
	df.index.name = 'sic'
	df['ff{0}'.format(ind_num)] = df['ff{0}'.format(ind_num)].astype(int)
	return df.reset_index()

view raw download_ff_industry.py hosted with ❤ by GitHub