Remove marketdata v1 functions (#590)

* Remove marketdata v1 functions

* update README

Author: gnvk

README.md

@@ -266,7 +266,7 @@ API Version now defaults to 'v2', however, if you still have a 'v1' account, you
 
 The Alpaca API requires API key ID and secret key, which you can obtain from the
 web console after you sign in.  You can pass `key_id` and `secret_key` to the initializers of
-`REST` or `StreamConn` as arguments, or set up environment variables as
+`REST` or `Stream` as arguments, or set up environment variables as
 outlined below.
 
 ### REST
@@ -370,20 +370,6 @@ api.submit_order(
 
 ---
 
-#### Debugging
-Websocket exceptions may occur during execution.
-It will usually happen during the `consume()` method, which basically is the
-websocket steady-state.<br>
-exceptions during the consume method may occur due to:
-- server disconnections
-- error while handling the response data
-
-We handle the first issue by reconnecting the websocket every time there's a disconnection.
-The second issue, is usually a user's code issue. To help you find it, we added a flag to the
-StreamConn object called `debug`. It is set to False by default, but you can turn it on to get a more
-verbose logs when this exception happens.
-Turn it on like so `StreamConn(debug=True)`
-
 ## Logging
 You should define a logger in your app in order to make sure you get all the messages from the different components.<br>
 It will help you debug, and make sure you don't miss issues when they occur.<br>
@@ -408,15 +394,15 @@ The steps to execute this are:
 
 * Run the Alpaca Proxy Agent as described in the project's README
 * Define a new environment variable: `DATA_PROXY_WS` set to the address of the proxy agent. (e.g: `DATA_PROXY_WS=ws://127.0.0.1:8765`)
-* If you are using the Alpaca data stream, make sure to initiate the StreamConn object with the container's url: `data_url='http://127.0.0.1:8765'`
+* If you are using the Alpaca data stream, make sure to initiate the Stream object with the container's url: `data_url='http://127.0.0.1:8765'`
 * Execute your algorithm. It will connect to the Alpaca servers through the proxy agent, allowing you to execute multiple strategies
 
 
 ## Raw Data vs Entity Data
-By default the data returned from the api or streamed via StreamConn is wrapped with an Entity object for ease of use. Some users may prefer working with vanilla python objects (lists, dicts, ...). You have 2 options to get the raw data:
+By default the data returned from the api or streamed via Stream is wrapped with an Entity object for ease of use. Some users may prefer working with vanilla python objects (lists, dicts, ...). You have 2 options to get the raw data:
 
 * Each Entity object as a `_raw` property that extract the raw data from the object.
-* If you only want to work with raw data, and avoid casting to Entity (which may take more time, casting back and forth) you could pass `raw_data` argument to `Rest()` object or the `StreamConn()` object.
+* If you only want to work with raw data, and avoid casting to Entity (which may take more time, casting back and forth) you could pass `raw_data` argument to `Rest()` object or the `Stream()` object.
 
 ## Support and Contribution
 

alpaca_trade_api/__init__.py

@@ -3,4 +3,3 @@
 from .rest import REST, TimeFrame, TimeFrameUnit  # noqa
 from .rest_async import AsyncRest  # noqa
 from .stream import Stream  # noqa
-from .stream2 import StreamConn  # noqa

alpaca_trade_api/entity.py

@@ -64,6 +64,7 @@ class Order(Entity):
     Entity properties:
     https://alpaca.markets/docs/api-documentation/api-v2/orders/#order-entity
     """
+
     def __init__(self, raw):
         super().__init__(raw)
         try:
@@ -95,6 +96,7 @@ class Bar(Entity):
     https://alpaca.markets/docs/api-documentation/api-v2/market-data/bars/
     #bars-entity
     """
+
     def __getattr__(self, key):
         if key == 't':
             val = self._raw[key[0]]
@@ -135,29 +137,6 @@ def df(self):
         return self._df
 
 
-class BarSet(dict):
-    def __init__(self, raw):
-        for symbol in raw:
-            self[symbol] = Bars(raw[symbol])
-        self._raw = raw
-
-    @property
-    def df(self):
-        '''## Experimental '''
-        if not hasattr(self, '_df'):
-            dfs = []
-            for symbol, bars in self.items():
-                df = bars.df.copy()
-                df.columns = pd.MultiIndex.from_product(
-                    [[symbol, ], df.columns])
-                dfs.append(df)
-            if len(dfs) == 0:
-                self._df = pd.DataFrame()
-            else:
-                self._df = pd.concat(dfs, axis=1)
-        return self._df
-
-
 class _Timestamped(object):
     _tskeys = ('timestamp',)
 
@@ -174,60 +153,6 @@ class _NanoTimestamped(_Timestamped):
     _unit = 'ns'
 
 
-class _MilliTimestamped(_Timestamped):
-    _unit = 'ms'
-
-
-class Agg(_MilliTimestamped, Entity):
-    """
-    Entity properties:
-    https://alpaca.markets/docs/api-documentation/api-v2/market-data/streaming/
-    """
-    _tskeys = ('timestamp', 'start', 'end')
-
-
-class Aggs(list):
-    def __init__(self, raw):
-        self._raw = raw
-        super().__init__([
-            Agg(tick) for tick in self.rename_keys()
-        ])
-
-    def _raw_results(self):
-        return self._raw.get('results', [])
-
-    def rename_keys(self):
-        colmap = {
-            "o": "open",
-            "h": "high",
-            "l": "low",
-            "c": "close",
-            "v": "volume",
-            "t": "timestamp",
-        }
-        return [
-            {colmap.get(k, k): v for k, v in tick.items()}
-            for tick in self._raw_results()
-        ]
-
-    @property
-    def df(self):
-        if not hasattr(self, '_df'):
-            columns = ('timestamp', 'open', 'high', 'low', 'close', 'volume')
-            df = pd.DataFrame(
-                self.rename_keys(),
-                columns=columns
-            )
-            df.set_index('timestamp', inplace=True)
-            df.index = pd.to_datetime(
-                df.index.astype('int64'),
-                unit='ms', utc=True
-            ).tz_convert(NY)
-
-            self._df = df
-        return self._df
-
-
 class Trade(_NanoTimestamped, Entity):
     pass
 
@@ -263,6 +188,7 @@ class Calendar(Entity):
     https://alpaca.markets/docs/api-documentation/api-v2/calendar/
     #calendar-entity
     """
+
     def __getattr__(self, key):
         if key in self._raw:
             val = self._raw[key]
@@ -292,6 +218,7 @@ class PortfolioHistory(Entity):
     https://alpaca.markets/docs/api-documentation/api-v2/portfolio-history/
     #portfoliohistory-entity
     """
+
     def __init__(self, raw):
         self._raw = raw
 

alpaca_trade_api/rest.py

@@ -1,4 +1,3 @@
-import deprecation
 import logging
 import os
 from typing import Iterator, List, Optional, Union
@@ -15,8 +14,8 @@
 )
 from .entity import (
     Bar, Entity, Account, AccountConfigurations, AccountActivity,
-    Asset, Order, Position, BarSet, Clock, Calendar,
-    Aggs, Trade, Quote, Watchlist, PortfolioHistory
+    Asset, Order, Position, Clock, Calendar,
+    Trade, Quote, Watchlist, PortfolioHistory
 )
 from .entity_v2 import (
     BarV2, BarsV2, LatestBarsV2, LatestQuotesV2, LatestTradesV2,
@@ -542,92 +541,6 @@ def get_asset(self, symbol: str) -> Asset:
         resp = self.get('/assets/{}'.format(symbol))
         return self.response_wrapper(resp, Asset)
 
-    @deprecation.deprecated(deprecated_in="v1.0.0",
-                            details="Use get_bars instead")
-    def get_barset(self,
-                   symbols,
-                   timeframe: str,
-                   limit: int = None,
-                   start: str = None,
-                   end: str = None,
-                   after: str = None,
-                   until: str = None) -> BarSet:
-        """
-        read the documentation here:
-        https://alpaca.markets/docs/api-documentation/api-v2/market-data/bars/
-        Get BarSet(dict[str]->list[Bar])
-        :param symbols: The parameter symbols can be either a comma-split
-               string or a list of string. Each symbol becomes the key of the
-               returned value.
-        :param timeframe: One of minute, 1Min, 5Min, 15Min, day or 1D. minute
-               is an alias of 1Min. Similarly, day is of 1D.
-        :param limit: The maximum number of bars per symbol. It can be between
-               1 and 1000. Default is 100.
-        :param start: ISO Format str, ex: '2019-04-15T09:30:00-04:00' or
-               '2019-04-15'
-        :param end: ISO Format str
-        :param after: ISO Format str
-        :param until: ISO Format str
-        :return: BarSet
-
-        note: start can't be used with after. end cannot be used with until.
-        """
-        if not isinstance(symbols, str):
-            symbols = ','.join(symbols)
-        params = {
-            'symbols': symbols,
-        }
-        if limit is not None:
-            params['limit'] = limit
-        if start is not None:
-            params['start'] = start
-        if end is not None:
-            params['end'] = end
-        if after is not None:
-            params['after'] = after
-        if until is not None:
-            params['until'] = until
-        resp = self.data_get('/bars/{}'.format(timeframe), params)
-        return self.response_wrapper(resp, BarSet)
-
-    @deprecation.deprecated(deprecated_in="v1.0.0",
-                            details="Use get_bars instead")
-    def get_aggs(self,
-                 symbol: str,
-                 multiplier: int,
-                 timespan: str,
-                 _from: str,
-                 to: str) -> Aggs:
-        """
-
-        :param symbol: str eg AAPL
-        :param multiplier: must be 1
-        :param timespan: day or minute
-        :param _from: yyyy-mm-dd
-        :param to: yyyy-mm-dd
-        :return:
-        """
-        resp = self.data_get('/aggs/ticker/{}/range/{}/{}/{}/{}'.format(
-            symbol, multiplier, timespan, _from, to
-        ))
-        return self.response_wrapper(resp, Aggs)
-
-    @deprecation.deprecated(deprecated_in="v1.0.0",
-                            details="Use get_latest_trade instead")
-    def get_last_trade(self, symbol: str) -> Trade:
-        """
-        Get the last trade for the given symbol
-        """
-        resp = self.data_get('/last/stocks/{}'.format(symbol))
-        return self.response_wrapper(resp['last'], Trade)
-
-    @deprecation.deprecated(deprecated_in="v1.0.0",
-                            details="Use get_latest_quote instead")
-    def get_last_quote(self, symbol: str) -> Quote:
-        """Get the last quote for the given symbol"""
-        resp = self.data_get('/last_quote/stocks/{}'.format(symbol))
-        return self.response_wrapper(resp['last'], Quote)
-
     def _data_get(self,
                   endpoint: str,
                   symbol_or_symbols: Union[str, List[str]],

alpaca_trade_api/stream.py

@@ -1,8 +1,3 @@
-"""
-Stream V2
-For historic reasons stream2.py contains the old api version.
-Don't get confused
-"""
 import asyncio
 import logging
 import json