4 files changed, 188 insertions, 0 deletions
diff --git a/datasets/ratner_stock/.gitignore b/datasets/ratner_stock/.gitignore
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+SIG.csv
+old/
+ratner_stock.json
diff --git a/datasets/ratner_stock/README.md b/datasets/ratner_stock/README.md
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+# Ratner Group Stock Price
+
+The Ratner Group's stock price [is 
+known](https://en.wikipedia.org/wiki/Gerald_Ratner#The_speech) for an event 
+that can be considered a change point.
+
+Historical stock market data for SIG retrieved from [Yahoo finance (daily 
+frequency)](https://finance.yahoo.com/quote/SIG/history?period1=584841600&period2=1567036800&interval=1d&filter=history&frequency=1d). 
+We use the Python package ``yfinance`` to download the data as it can not be 
+redistributed as part of this repository.
+
+The data has been sampled every 3 observations to reduce the length of the 
+series.
+
+Since the original data has observations only on trading days, there are 
+arguably gaps in this time series (on non-trading days). However we consider 
+these to be consecutive, and thus also consider the sampled time series to 
+have consecutive observations.
+
+![Plot of ratner_stock dataset](./ratner_stock.png)
diff --git a/datasets/ratner_stock/get_ratner_stock.py b/datasets/ratner_stock/get_ratner_stock.py
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+++ b/datasets/ratner_stock/get_ratner_stock.py
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+#!/usr/bin/env python
+# -*- coding: utf-8 -*-
+
+"""
+Collect the ratner_stock dataset.
+
+See the README file for more information.
+
+Author: G.J.J. van den Burg
+License: This file is part of TCPD, see the top-level LICENSE file.
+Copyright: 2019, The Alan Turing Institute
+
+"""
+
+import argparse
+import clevercsv
+import hashlib
+import json
+import os
+import yfinance
+
+from functools import wraps
+
+MD5_CSV = "db7406dc7d4eb480d73b4fe6c4bb00be"
+MD5_JSON = "f7086ff916f35b88463bf8fd1857815e"
+
+SAMPLE = 3
+
+NAME_CSV = "SIG.csv"
+NAME_JSON = "ratner_stock.json"
+
+
+class ValidationError(Exception):
+    def __init__(self, filename):
+        self.message = (
+            "Validating the file '%s' failed. \n"
+            "Please raise an issue on the GitHub page for this project \n"
+            "if the error persists." % filename
+        )
+
+
+def check_md5sum(filename, checksum):
+    with open(filename, "rb") as fp:
+        data = fp.read()
+    h = hashlib.md5(data).hexdigest()
+    return h == checksum
+
+
+def validate(checksum):
+    """Decorator that validates the target file."""
+
+    def validate_decorator(func):
+        @wraps(func)
+        def wrapper(*args, **kwargs):
+            target = kwargs.get("target_path", None)
+            if os.path.exists(target) and check_md5sum(target, checksum):
+                return
+            out = func(*args, **kwargs)
+            if not os.path.exists(target):
+                raise FileNotFoundError("Target file expected at: %s" % target)
+            if not check_md5sum(target, checksum):
+                raise ValidationError(target)
+            return out
+
+        return wrapper
+
+    return validate_decorator
+
+
+def write_csv(target_path=None):
+    sig = yfinance.download(
+        "SIG",
+        start="1988-07-14",
+        end="1995-08-23",
+        progress=False,
+        rounding=False,
+    )
+    sig.round(6).to_csv(target_path, float_format="%.6f")
+
+
+@validate(MD5_JSON)
+def write_json(csv_path, target_path=None):
+    with open(csv_path, "r", newline="", encoding="ascii") as fp:
+        reader = clevercsv.reader(
+            fp, delimiter=",", quotechar="", escapechar=""
+        )
+        rows = list(reader)
+
+    header = rows.pop(0)
+
+    rows = [r for i, r in enumerate(rows) if i % SAMPLE == 0]
+
+    # take the first 600 rows
+    rows = rows[:600]
+
+    name = "ratner_stock"
+    longname = "Ratner Group Stock Price"
+    time = [r[0] for r in rows]
+    time_fmt = "%Y-%m-%d"
+
+    values = [float(r[4]) for r in rows]
+
+    series = [{"label": "Close Price", "type": "float", "raw": values}]
+
+    data = {
+        "name": name,
+        "longname": longname,
+        "n_obs": len(time),
+        "n_dim": len(series),
+        "time": {
+            "type": "string",
+            "format": time_fmt,
+            "index": list(range(len(time))),
+            "raw": time,
+        },
+        "series": series,
+    }
+
+    with open(target_path, "w") as fp:
+        json.dump(data, fp, indent="\t")
+
+
+def collect(output_dir="."):
+    csv_path = os.path.join(output_dir, NAME_CSV)
+    json_path = os.path.join(output_dir, NAME_JSON)
+
+    write_csv(target_path=csv_path)
+    write_json(csv_path, target_path=json_path)
+
+
+def clean(output_dir="."):
+    csv_path = os.path.join(output_dir, NAME_CSV)
+    json_path = os.path.join(output_dir, NAME_JSON)
+
+    if os.path.exists(csv_path):
+        os.unlink(csv_path)
+    if os.path.exists(json_path):
+        os.unlink(json_path)
+
+
+def parse_args():
+    parser = argparse.ArgumentParser()
+    parser.add_argument(
+        "-o", "--output-dir", help="output directory to use", default="."
+    )
+    parser.add_argument(
+        "action",
+        choices=["collect", "clean"],
+        help="Action to perform",
+        default="collect",
+        nargs="?",
+    )
+    return parser.parse_args()
+
+
+def main(output_dir="."):
+    args = parse_args()
+    if args.action == "collect":
+        collect(output_dir=args.output_dir)
+    elif args.action == "clean":
+        clean(output_dir=args.output_dir)
+
+
+if __name__ == "__main__":
+    main()
diff --git a/datasets/ratner_stock/ratner_stock.png b/datasets/ratner_stock/ratner_stock.png
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index 0000000..a39feff
--- /dev/null
+++ b/datasets/ratner_stock/ratner_stock.png