{"id":630,"date":"2018-02-08T11:50:00","date_gmt":"2018-02-08T10:50:00","guid":{"rendered":"https:\/\/eaa-online.org\/arc\/blog\/blog\/retrieving-data-wrds-directly-using-python-r-and-stata\/"},"modified":"2022-10-17T15:22:56","modified_gmt":"2022-10-17T13:22:56","slug":"retrieving-data-wrds-directly-using-python-r-and-stata","status":"publish","type":"post","link":"https:\/\/eaa-online.org\/arc\/blog\/2018\/02\/08\/retrieving-data-wrds-directly-using-python-r-and-stata\/","title":{"rendered":"Retrieving data from WRDS directly using Python, R, and Stata"},"content":{"rendered":"
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Downloading data from the WRDS website is convenient but not the most transparent and replicable as it requires a workflow along the lines of:<\/p>\n

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  1. Create a list of identifiers using your program (i.e. Python)<\/li>\n
  2. Load the identifiers into the WRDS web interface + make your query<\/li>\n
  3. Download the resulting data from WRDS into a file<\/li>\n
  4. Load the WRDS data file back into your program<\/li>\n<\/ol>\n

    The problem is that step 2 and step 3 happen outside of your code. This essentially leaves a gap in the steps required to run your code, which can leave other people (or your future-self) confused as to what you exactly did on the WRDS website to extract the required data.<\/p>\n

    For a long time WRDS only offered to programmatically interface with WRDS data through SAS files. Non-SAS clients (think Python and R) could therefore only interact with WRDS data through SAS-bindings. This approach technically worked but was definitely a substantial hassle for many applications. Fortunately, WRDS decided to also make all their data available through a series of PostgreSQL databases. This change happened somewhere in June \/ July of 2017 (at least for the WRDS Python package). In other words, we can now finally directly interface with WRDS data using tools like Python, R, Stata, and MATLAB!<\/p>\n

    The WRDS support documents extensively describe how interface with WRDS using the different programs. I will include all links below, but for the sake of completeness will discuss a couple of tips and tricks + some Python code examples to illustrate how one can use it.<\/p>\n<\/div>\n<\/div>\n<\/div>\n

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