Merge pull request #420 from alpacahq/feature/v2-latest

Add latest trade and quote

Author: kalmant

alpaca_trade_api/entity_v2.py

@@ -1,7 +1,7 @@
 from enum import Enum
 import pandas as pd
-from .entity import Bar, Trade, Quote
-
+from .entity import Bar, Entity, Trade, Quote, _NanoTimestamped
+from typing import Dict
 
 trade_mapping_v2 = {
     "i": "id",
@@ -66,6 +66,17 @@ def df(self):
         return self._df
 
 
+class Remapped:
+    def __init__(self, mapping: Dict[str,str], *args, **kwargs):
+        self._reversed_mapping = {value: key for (key, value) in mapping.items()}
+        super().__init__(*args, **kwargs)
+    
+    def __getattr__(self, key):
+        if key in self._reversed_mapping:
+            return super().__getattr__(self._reversed_mapping[key])
+        return super().__getattr__(key)
+
+
 class BarsV2(EntityList):
     def __init__(self, raw):
         super().__init__(EntityListType.Bar, raw)
@@ -79,3 +90,17 @@ def __init__(self, raw):
 class QuotesV2(EntityList):
     def __init__(self, raw):
         super().__init__(EntityListType.Quote, raw)
+
+
+class TradeV2(Remapped, _NanoTimestamped, Entity):
+    _tskeys = ('t',)
+
+    def __init__(self, raw):
+        super().__init__(trade_mapping_v2, raw)
+
+
+class QuoteV2(Remapped, _NanoTimestamped, Entity):
+    _tskeys = ('t',)
+
+    def __init__(self,raw):
+        super().__init__(quote_mapping_v2, raw)

alpaca_trade_api/rest.py

@@ -16,7 +16,7 @@
     Asset, Order, Position, BarSet, Clock, Calendar,
     Aggs, Trade, Quote, Watchlist, PortfolioHistory
 )
-from .entity_v2 import BarsV2, TradesV2, QuotesV2
+from .entity_v2 import BarsV2, TradesV2, TradeV2, QuotesV2, QuoteV2
 from . import polygon
 
 logger = logging.getLogger(__name__)
@@ -520,7 +520,7 @@ def get_last_trade(self, symbol: str) -> Trade:
         return self.response_wrapper(resp['last'], Trade)
 
     def get_last_quote(self, symbol: str) -> Quote:
-        """Get the last trade for the given symbol"""
+        """Get the last quote for the given symbol"""
         resp = self.data_get('/last_quote/stocks/{}'.format(symbol))
         return self.response_wrapper(resp['last'], Quote)
 
@@ -636,6 +636,22 @@ def get_bars(self,
                                        raw=True))
         return BarsV2(bars)
 
+    def get_latest_trade(self, symbol: str) -> TradeV2:
+        """
+        Get the latest trade for the given symbol
+        """
+        resp = self.data_get(
+                             '/stocks/{}/trades/latest'.format(symbol),
+                             api_version='v2')
+        return self.response_wrapper(resp['trade'], TradeV2)
+
+    def get_latest_quote(self, symbol: str) -> QuoteV2:
+        """Get the latest quote for the given symbol"""
+        resp = self.data_get(
+                             '/stocks/{}/quotes/latest'.format(symbol),
+                             api_version='v2')
+        return self.response_wrapper(resp['quote'], QuoteV2)
+
     def get_clock(self) -> Clock:
         resp = self.get('/clock')
         return self.response_wrapper(resp, Clock)

tests/test_rest.py

@@ -541,6 +541,77 @@ def test_data(reqmock):
     assert type(quote) == tradeapi.entity.Quote
     assert type(api_raw.get_last_quote('AAPL')) == dict
 
+    # Latest trade
+    reqmock.get(
+        'https://data.alpaca.markets/v2/stocks/AAPL/trades/latest',
+        text='''
+        {
+			"symbol": "AAPL",
+			"trade": {
+				"t": "2021-04-20T12:40:34.123456789Z",
+				"x": "J",
+				"p": 134.7,
+				"s": 20,
+				"c": [
+					"@",
+					"T",
+					"I"
+				],
+				"i": 32,
+				"z": "C"
+			}
+		}
+        '''
+    )
+    latest_trade = api.get_latest_trade('AAPL')
+    assert latest_trade.exchange == "J"
+    assert latest_trade.price == 134.7
+    assert latest_trade.size == 20
+    assert latest_trade.conditions == ["@", "T", "I"]
+    assert latest_trade.id == 32
+    assert latest_trade.tape == "C"
+    assert latest_trade.timestamp.day == 20
+    assert latest_trade.timestamp.second == 34
+    assert latest_trade.timestamp.nanosecond == 789
+    assert type(latest_trade) == tradeapi.entity_v2.TradeV2
+    assert type(api_raw.get_latest_trade('AAPL')) == dict
+
+    # Latest quote
+    reqmock.get(
+        'https://data.alpaca.markets/v2/stocks/AAPL/quotes/latest',
+        text='''
+        {
+            "symbol": "AAPL",
+            "quote": {
+                "t": "2021-04-20T13:01:57.123456789",
+                "ax": "Q",
+                "ap": 134.68,
+                "as": 1,
+                "bx": "K",
+                "bp": 134.66,
+                "bs": 29,
+                "c": [
+                    "R"
+                ],
+                "z": "C"
+            }
+        }'''
+    )
+
+    latest_quote = api.get_latest_quote('AAPL')
+    assert latest_quote.ask_exchange == "Q"
+    assert latest_quote.ask_price == 134.68
+    assert latest_quote.ask_size == 1
+    assert latest_quote.bid_exchange == "K"
+    assert latest_quote.bid_price == 134.66
+    assert latest_quote.bid_size == 29
+    assert latest_quote.conditions == ["R"]
+    assert latest_quote.tape == "C"
+    assert latest_quote.timestamp.day == 20
+    assert latest_quote.timestamp.nanosecond == 789
+    assert type(latest_quote) == tradeapi.entity_v2.QuoteV2
+    assert type(api_raw.get_latest_quote('AAPL')) == dict
+
 
 def test_watchlists(reqmock):
     api = tradeapi.REST('key-id', 'secret-key', api_version='v1')