looks like wed for SPY from 2014 to present
import pandas as pd
import pandas_datareader.data as web
import datetime
start = datetime.datetime(2014, 1, 1)
end = datetime.datetime(2018, 12, 4)
spy= web.DataReader('SPY', 'iex', start, end)
spy['day_of_week']=pd.to_datetime(spy.index)...