A Guide to Obtaining Time Series Datasets in Python

Datasets from real-world scenarios are important for building and testing machine learning models. You may just want to have some data to experiment with an algorithm. You may also want to evaluate your model by setting up a benchmark or determining its weaknesses using different sets of data. Sometimes, you may also want to create synthetic datasets, where you can test your algorithms under controlled conditions by adding noise, correlations, or redundant information to the data.

In this post, we’ll illustrate how you can use Python to fetch some real-world time-series data from different sources. We’ll also create synthetic time-series data using Python’s libraries.

After completing this tutorial, you will know:

  • How to use the pandas_datareader
  • How to call a web data server’s APIs using the requests library
  • How to generate synthetic time-series data

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A Guide to Working With Datasets in Python
Photo by Mehreen Saeed, some rights reserved

Tutorial Overview

This tutorial is divided into three parts; they are:

  1. Using pandas_datareader
  2. Using the requests library to fetch data using the remote server’s APIs
  3. Generate synthetic time-series data

Loading Data Using pandas-datareader

This post will depend on a few libraries. If you haven’t installed them in your system, you may install them using pip:

The pandas_datareader library allows you to fetch data from different sources, including Yahoo Finance for financial market data, World Bank for global development data, and St. Louis Fed for economic data. In this section, we’ll show how you can load data from different sources.

Behind the scene, pandas_datareader pulls the data you want from the web in real time and assembles it into a pandas DataFrame. Because of the vastly different structure of web pages, each data source needs a different reader. Hence, pandas_datareader only supports reading from a limited number of sources, mostly related to financial and economic time series.

Fetching data is simple. For example, we know that the stock ticker for Apple is AAPL, so we can get the daily historical prices of Apple stock from Yahoo Finance as follows:

The call to DataReader() requires the first argument to specify the ticker and the second argument the data source. The above code prints the DataFrame:

We may also fetch the stock price history from multiple companies with the tickers in a list:

and the result would be a DataFrame with multi-level columns:

Because of the structure of DataFrames, it is convenient to extract part of the data. For example, we can plot only the daily close price on some dates using the following:

Multiple shares fetched from Yahoo Finance

The complete code is as follows:

The syntax for reading from another data source using pandas-datareader is similar. For example, we can read an economic time series from the Federal Reserve Economic Data (FRED). Every time series in FRED is identified by a symbol. For example, the consumer price index for all urban consumers is CPIAUCSL, the consumer price index for all items less food and energy is CPILFESL, and personal consumption expenditure is PCE. You can search and look up the symbols from FRED’s webpage.

Below is how we can obtain two consumer price indices, CPIAUCSL and CPILFESL, and show them in a plot:

Plot of Consumer Price Index

Obtaining data from World Bank is also similar, but we have to understand that the data from World Bank is more complicated. Usually, a data series, such as population, is presented as a time series and also has the countries dimension. Therefore, we need to specify more parameters to obtain the data.

Using pandas_datareader, we have a specific set of APIs for the World Bank. The symbol for an indicator can be looked up from World Bank Open Data or searched using the following:

The search() function accepts a regular expression string (e.g., .* above means string of any length). This will print:

where the id column is the symbol for the time series.

We can read data for specific countries by specifying the ISO-3166-1 country code. But World Bank also contains non-country aggregates (e.g., South Asia), so while pandas_datareader allows us to use the string “all” for all countries, usually we do not want to use it. Below is how we can get a list of all countries and aggregates from the World Bank:

Below is how we can get the population of all countries in 2020 and show the top 25 countries in a bar chart. Certainly, we can also get the population data across years by specifying a different start and end year:

Bar chart of total population of different countries

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Fetching Data Using Web APIs

Instead of using the pandas_datareader library, sometimes you have the option to fetch data directly from a web data server by calling its web APIs without any authentication needed. It can be done in Python using the standard library urllib.requests, or you may also use the requests library for an easier interface.

World Bank is an example where web APIs are freely available, so we can easily read data in different formats, such as JSON, XML, or plain text. The page on the World Bank data repository’s API describes various APIs and their respective parameters. To repeat what we did in the previous example without using pandas_datareader, we first construct a URL to read a list of all countries so we can find the country code that is not an aggregate. Then, we can construct a query URL with the following arguments:

  1. country argument with value = all
  2. indicator argument with value = SP.POP.TOTL
  3. date argument with value = 2020
  4. format argument with value = json

Of course, you can experiment with different indicators. By default, the World Bank returns 50 items on a page, and we need to query for one page after another to exhaust the data. We can enlarge the page size to get all data in one shot. Below is how we get the list of countries in JSON format and collect the country codes:

It will print the HTTP status code, the header, and the list of country codes as follows:

From the header, we can verify that we exhausted the data (page 1 out of 1). Then we can get all population data as follows:

You should check the World Bank API documentation for details on how to construct the URL. For example, the date syntax of 2020:2021 would mean the start and end years, and the extra parameter page=3 will give you the third page in a multi-page result. With the data fetched, we can filter for only those non-aggregate countries, make it into a pandas DataFrame for sorting, and then plot the bar chart:

The figure should be precisely the same as before. But as you can see, using pandas_datareader helps make the code more concise by hiding the low-level operations.

Putting everything together, the following is the complete code:

Creating Synthetic Data Using NumPy

Sometimes, we may not want to use real-world data for our project because we need something specific that may not happen in reality. One particular example is to test out a model with ideal time-series data. In this section, we will see how we can create synthetic autoregressive (AR) time-series data.

The numpy.random library can be used to create random samples from different distributions. The randn() method generates data from a standard normal distribution with zero mean and unit variance.

In the AR($n$) model of order $n$, the value $x_t$ at time step $t$ depends upon the values at the previous $n$ time steps. That is,

x_t = b_1 x_{t-1} + b_2 x_{t-2} + … + b_n x_{t-n} + e_t

with model parameters $b_i$ as coefficients to different lags of $x_t$, and the error term $e_t$ is expected to follow normal distribution.

Understanding the formula, we can generate an AR(3) time series in the example below. We first use randn() to generate the first 3 values of the series and then iteratively apply the above formula to generate the next data point. Then, an error term is added using the randn() function again, subject to the predefined noise_level:

The code above will create the following plot:

But we can further add the time axis by first converting the data into a pandas DataFrame and then adding the time as an index:

after which we will have the following plot instead:

Plot of synthetic time series

Using similar techniques, we can generate pure random noise (i.e., AR(0) series), ARIMA time series (i.e., with coefficients to error terms), or Brownian motion time series (i.e., running sum of random noise) as well.

Further Reading

This section provides more resources on the topic if you are looking to go deeper.


Data source



In this tutorial, you discovered various options for fetching data or generating synthetic time-series data in Python.

Specifically, you learned:

  • How to use pandas_datareader and fetch financial data from different data sources
  • How to call APIs to fetch data from different web servers using the requests library
  • How to generate synthetic time-series data using NumPy’s random number generator

Do you have any questions about the topics discussed in this post? Ask your questions in the comments below, and I will do my best to answer.

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7 Responses to A Guide to Obtaining Time Series Datasets in Python

  1. Avatar
    Jeremy March 30, 2022 at 11:21 am #


    Good evening! This was fantastic, especially the last bit about developing synthetic time series data. I deal with sequences of time series data and have been using a far inferior method to develop synthetic data. While time-series data by itself is complicated to handle, sequences of time series bring additional complexities to the problem and I can use this as a guide for making my data a bit more robust. Thank you very much for posting this!

    Take care,

  2. Avatar
    Imperial Lord Daft Vader April 1, 2022 at 1:09 pm #

    version info for previous error about adding time as the index
    Python: 3.9.7 (default, Sep 16 2021, 13:09:58)
    [GCC 7.5.0]
    scipy: 1.7.3
    numpy: 1.21.2
    matplotlib: 3.5.1
    pandas: 1.4.1
    statsmodels: 0.13.2
    sklearn: 1.0.2
    theano: 1.0.5
    tensorflow: 2.4.1
    keras: 2.4.3

    • Avatar
      James Carmichael April 2, 2022 at 12:24 pm #

      Hello…Please specify the code listing you are experience an error on.

  3. Avatar
    amit April 15, 2022 at 1:11 pm #

    hi , am getting a remotedata error message !

    can i share the log somewhere ?

    • Avatar
      James Carmichael April 16, 2022 at 8:48 am #

      Hi Amit…Could you post the exact error message?

  4. Avatar
    F.S May 25, 2022 at 6:30 pm #


    When try to get the data i get following error messages.
    Could you support?

    Error message:ConnectionError: HTTPSConnectionPool(host=’finance.yahoo.com’, port=443): Max retries exceeded with url: /quote/AAPL/history?period1=1609462800&period2=1640998799&interval=1d&frequency=1d&filter=history (Caused by NewConnectionError(‘: Failed to establish a new connection: [Errno 11001] getaddrinfo failed’))

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