Prerequisites

• An active Wharton Research Data Services (WRDS) account
• Python 2.7+ or 3.0+
• The wrds Python library (install it with pip install wrds)

Setup

Create the .pgpass File

On a Mac, create the .pgpass file under /Users/username with the following line:

wrds-pgdata.wharton.upenn.edu:9737:wrds:your_username:your_password

Replace your_username and your_password with your WRDS username and password.

Restrict File Permissions

chmod 600 ~/.pgpass

Getting Started

With the profile set up, you can access your WRDS account through the Python API:

import wrds
## provide your username 
db = wrds.Connection(wrds_username='username')

## Here is an example to get DOW daily index value.
db.raw_sql('SELECT date,dji FROM djones.djdaily limit 10')

## Get data from CRSP
crsp = db.raw_sql('select cusip,permno,date,bidlo,askhi from crsp.dsf LIMIT 100')