Add accessor for new bars data endpoint

Fix flake8 error

Fix reqmock address in new unit test

Replace apostrophes with quote marks in new test JSON

Remove older data entities

Remove older data entities

Remove test script

Add override and environment configuration for base URL

Make BarSet a map of string to Bar

Fix an indentation error

Add automatic conversion of t on Bar entities to timestamp

Rename get_bars to get_barset, Bars.df

PEP8

Update readme with bars endpoint info

Author: ttt733

README.md

@@ -52,11 +52,15 @@ is for live trading, and for paper trading and other purposes, you can to change
 the base URL. You can pass it as an argument `REST()`, or using the environment
 variable, `APCA_API_BASE_URL`.
 
+The environment variable `APCA_API_DATA_URL` can also be changed to configure the
+endpoint for returning data from the `/bars` endpoint. By default, it will use
+`https://data.alpaca.markets`.
+
 ## REST
 
 The `REST` class is the entry point for the API request.  The instance of this
 class provides all REST API calls such as account, orders, positions,
-bars, quotes and fundamentals.
+and bars.
 
 Each returned object is wrapped by a subclass of `Entity` class (or a list of it).
 This helper class provides property access (the "dot notation") to the
@@ -124,6 +128,15 @@ Calls `GET /assets` and returns a list of `Asset` entities.
 ### REST.get_asset(symbol)
 Calls `GET /assets/{symbol}` and returns an `Asset` entity.
 
+### REST.get_barset(symbols, timeframe, limit, start=None, end=None, after=None, until=None)
+Calls `GET /bars/{timeframe}` for the given symbols, and returns a Barset with `limit` Bar objects
+for each of the the requested symbols.
+`timeframe` can be one of `minute`, `1Min`, `5Min`, `15Min`, `day` or `1D`. `minute` is an alias
+of `1Min`. Similarly, `day` is an alias of `1D`.
+`start`, `end`, `after`, and `until` need to be string format, which you can obtain with
+`pd.Timestamp().isoformat()`
+`after` cannot be used with `start` and `until` cannot be used with `end`.
+
 ### REST.get_clock()
 Calls `GET /clock` and returns a `Clock` entity.
 
@@ -246,7 +259,7 @@ Returns a `Trades` which is a list of `Trade` entities.
 Returns a pandas DataFrame object with the ticks returned by the `historic_trades`.
 
 ### polygon/REST.historic_quotes(symbol, date, offset=None, limit=None)
-Returns a `Quotes` which is a list of `Quote` entities.  
+Returns a `Quotes` which is a list of `Quote` entities.
 
 - `date` is a date string such as '2018-2-2'. The returned quotes are from this day only.
 - `offset` is an integer in Unix Epoch millisecond as the lower bound filter, inclusive.

alpaca_trade_api/common.py

@@ -6,6 +6,11 @@ def get_base_url():
         'APCA_API_BASE_URL', 'https://api.alpaca.markets').rstrip('/')
 
 
+def get_data_url():
+    return os.environ.get(
+        'APCA_API_DATA_URL', 'https://data.alpaca.markets').rstrip('/')
+
+
 def get_credentials(key_id=None, secret_key=None):
     key_id = key_id or os.environ.get('APCA_API_KEY_ID')
     if key_id is None:

alpaca_trade_api/entity.py

@@ -3,6 +3,7 @@
 import re
 
 ISO8601YMD = re.compile(r'\d{4}-\d{2}-\d{2}T')
+NY = 'America/New_York'
 
 
 class Entity(object):
@@ -25,7 +26,7 @@ def __getattr__(self, key):
                 return pd.Timestamp(val)
             else:
                 return val
-        return getattr(super(), key)
+        return super().__getattribute__(key)
 
     def __repr__(self):
         return '{name}({raw})'.format(
@@ -51,51 +52,62 @@ class Position(Entity):
 
 
 class Bar(Entity):
-    pass
+    def __getattr__(self, key):
+        if key == 't':
+            val = self._raw[key[0]]
+            return pd.Timestamp(val, unit='s', tz=NY)
+        return super().__getattr__(key)
 
 
-class AssetBars(Entity):
+class Bars(list):
+    def __init__(self, raw):
+        super().__init__([Bar(o) for o in raw])
+        self._raw = raw
 
     @property
     def df(self):
         if not hasattr(self, '_df'):
-            df = pd.DataFrame(self._raw['bars'])
-            if len(df.columns) == 0:
-                df.columns = ('time', 'open', 'high', 'low', 'close', 'volume')
-            df = df.set_index('time')
-            df.index = pd.to_datetime(df.index)
+            df = pd.DataFrame(
+                self._raw, columns=('t', 'o', 'h', 'l', 'c', 'v'),
+            )
+            alias = {
+                't': 'time',
+                'o': 'open',
+                'h': 'high',
+                'l': 'low',
+                'c': 'close',
+                'v': 'volume',
+            }
+            df.columns = [alias[c] for c in df.columns]
+            df.set_index('time', inplace=True)
+            df.index = pd.to_datetime(
+                df.index * 1e9, utc=True,
+            ).tz_convert(NY)
             self._df = df
         return self._df
 
-    @property
-    def bars(self):
-        if not hasattr(self, '_bars'):
-            raw = self._raw
-            t = []
-            o = []
-            h = []
-            l = []  # noqa: E741
-            c = []
-            v = []
-            bars = []
-            for bar in raw['bars']:
-                t.append(pd.Timestamp(bar['time']))
-                o.append(bar['open'])
-                h.append(bar['high'])
-                l.append(bar['low'])
-                c.append(bar['close'])
-                v.append(bar['volume'])
-                bars.append(Bar(bar))
-            self._bars = bars
-        return self._bars
-
-
-class Quote(Entity):
-    pass
 
+class BarSet(dict):
+    def __init__(self, raw):
+        for symbol in raw:
+            self[symbol] = Bars(raw[symbol])
+        self._raw = raw
 
-class Fundamental(Entity):
-    pass
+    @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 Clock(Entity):
@@ -106,7 +118,7 @@ def __getattr__(self, key):
                 return pd.Timestamp(val)
             else:
                 return val
-        return getattr(super(), key)
+        return super().__getattr__(key)
 
 
 class Calendar(Entity):
@@ -119,4 +131,4 @@ def __getattr__(self, key):
                 return pd.Timestamp(val).time()
             else:
                 return val
-        return getattr(super(), key)
+        return super().__getattr__(key)

alpaca_trade_api/rest.py

@@ -3,11 +3,14 @@
 import requests
 from requests.exceptions import HTTPError
 import time
-from .common import get_base_url, get_credentials
+from .common import (
+    get_base_url,
+    get_data_url,
+    get_credentials,
+)
 from .entity import (
     Account, Asset, Order, Position,
-    AssetBars, Quote, Fundamental,
-    Clock, Calendar,
+    BarSet, Clock, Calendar,
 )
 from . import polygon
 
@@ -61,8 +64,9 @@ def __init__(self, key_id=None, secret_key=None, base_url=None):
         self.polygon = polygon.REST(
             self._key_id, 'staging' in self._base_url)
 
-    def _request(self, method, path, data=None, prefix='/v1'):
-        url = self._base_url + prefix + path
+    def _request(self, method, path, data=None, prefix='/v1', base_url=None):
+        base_url = base_url or self._base_url
+        url = base_url + prefix + path
         headers = {
             'APCA-API-KEY-ID': self._key_id,
             'APCA-API-SECRET-KEY': self._secret_key,
@@ -83,7 +87,7 @@ def _request(self, method, path, data=None, prefix='/v1'):
                 return self._one_request(method, url, opts, retry)
             except RetryException:
                 retry_wait = self._retry_wait
-                logger.warn(
+                logger.warning(
                     'sleep {} seconds and retrying {} '
                     '{} more time(s)...'.format(
                         retry_wait, url, retry))
@@ -125,6 +129,10 @@ def post(self, path, data=None):
     def delete(self, path, data=None):
         return self._request('DELETE', path, data)
 
+    def data_get(self, path, data=None):
+        base_url = get_data_url()
+        return self._request('GET', path, data, base_url=base_url)
+
     def get_account(self):
         '''Get the account'''
         resp = self.get('/account')
@@ -210,78 +218,36 @@ def get_asset(self, symbol):
         resp = self.get('/assets/{}'.format(symbol))
         return Asset(resp)
 
-    def list_quotes(self, symbols):
-        '''Get a list of quotes'''
-        if not isinstance(symbols, str):
-            symbols = ','.join(symbols)
-        params = {
-            'symbols': symbols,
-        }
-        resp = self.get('/quotes', params)
-        return [Quote(o) for o in resp]
-
-    def get_quote(self, symbol):
-        '''Get a quote'''
-        resp = self.get('/assets/{}/quote'.format(symbol))
-        return Quote(resp)
-
-    def list_fundamentals(self, symbols):
-        '''Get a list of fundamentals'''
-        if not isinstance(symbols, str):
-            symbols = ','.join(symbols)
-        params = {
-            'symbols': symbols,
-        }
-        resp = self.get('/fundamentals', params)
-        return [Fundamental(o) for o in resp]
-
-    def get_fundamental(self, symbol):
-        '''Get a fundamental'''
-        resp = self.get('/assets/{}/fundamental'.format(symbol))
-        return Fundamental(resp)
-
-    def list_bars(
-            self,
-            symbols,
-            timeframe,
-            start_dt=None,
-            end_dt=None,
-            limit=None):
-        '''Get a list of bars'''
+    def get_barset(self,
+                   symbols,
+                   timeframe,
+                   limit=None,
+                   start=None,
+                   end=None,
+                   after=None,
+                   until=None):
+        '''Get BarSet(dict[str]->list[Bar])
+        The parameter symbols can be either a comma-split string
+        or a list of string. Each symbol becomes the key of
+        the returned value.
+        '''
         if not isinstance(symbols, str):
             symbols = ','.join(symbols)
         params = {
             'symbols': symbols,
-            'timeframe': timeframe,
         }
-        if start_dt is not None:
-            params['start_dt'] = start_dt
-        if end_dt is not None:
-            params['end_dt'] = end_dt
         if limit is not None:
             params['limit'] = limit
-        resp = self.get('/bars', params)
-        return [AssetBars(o) for o in resp]
-
-    def get_bars(
-            self,
-            symbol,
-            timeframe,
-            start_dt=None,
-            end_dt=None,
-            limit=None):
-        '''Get bars'''
-        params = {
-            'timeframe': timeframe,
-        }
-        if start_dt is not None:
-            params['start_dt'] = start_dt
-        if end_dt is not None:
-            params['end_dt'] = end_dt
-        if limit is not None:
-            params['limit'] = limit
-        resp = self.get('/assets/{}/bars'.format(symbol), params)
-        return AssetBars(resp)
+        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 BarSet(resp)
 
     def get_clock(self):
         resp = self.get('/clock')

alpaca_trade_api/stream.py

@@ -2,7 +2,7 @@
 import re
 import websocket
 from .common import get_base_url, get_credentials
-from .entity import Account, AssetBars, Quote, Entity
+from .entity import Account, Entity
 
 
 class StreamConn(object):
@@ -55,10 +55,6 @@ def run(self):
     def _cast(self, stream, msg):
         if stream == 'account_updates':
             return Account(msg)
-        elif re.match(r'^bars/', stream):
-            return AssetBars(msg)
-        elif re.match(r'^quotes/', stream):
-            return Quote(msg)
         return Entity(msg)
 
     def _dispatch(self, stream, msg):

alpaca_trade_api/stream2.py

@@ -3,7 +3,7 @@
 import re
 import websockets
 from .common import get_base_url, get_credentials
-from .entity import Account, AssetBars, Quote, Entity
+from .entity import Account, Entity
 from . import polygon
 
 
@@ -109,10 +109,6 @@ async def close(self):
     def _cast(self, channel, msg):
         if channel == 'account_updates':
             return Account(msg)
-        elif re.match(r'^bars/', channel):
-            return AssetBars(msg)
-        elif re.match(r'^quotes/', channel):
-            return Quote(msg)
         return Entity(msg)
 
     async def _dispatch_nats(self, conn, subject, data):