Merge pull request #39 from alpacahq/marketDataApi

Add accessor for new bars data endpoint

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,
@@ -88,7 +92,7 @@ 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))
@@ -130,6 +134,10 @@ 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')
@@ -215,78 +223,36 @@ 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):