Merge pull request #173 from shlomikushchi/historic_agg_v2

Use v2 by default for historic_agg_v2

Author: umitanuki

alpaca_trade_api/__init__.py

@@ -1,4 +1,4 @@
 from .rest import REST  # noqa
 from .stream2 import StreamConn  # noqa
 
-__version__ = '0.46'
+__version__ = '0.47'

alpaca_trade_api/polygon/rest.py

@@ -1,3 +1,4 @@
+import dateutil
 import requests
 from .entity import (
     Aggs, Aggsv2, Aggsv2Set,
@@ -59,8 +60,8 @@ def historic_trades(self, symbol, date, offset=None, limit=None):
         return Trades(raw)
 
     def historic_trades_v2(
-        self, symbol, date, timestamp=None, timestamp_limit=None,
-        reverse=None, limit=None
+            self, symbol, date, timestamp=None, timestamp_limit=None,
+            reverse=None, limit=None
     ):
         path = '/ticks/stocks/trades/{}/{}'.format(symbol, date)
         params = {}
@@ -92,8 +93,8 @@ def historic_quotes(self, symbol, date, offset=None, limit=None):
         return Quotes(raw)
 
     def historic_quotes_v2(
-        self, symbol, date, timestamp=None, timestamp_limit=None,
-        reverse=None, limit=None
+            self, symbol, date, timestamp=None, timestamp_limit=None,
+            reverse=None, limit=None
     ):
         path = '/ticks/stocks/nbbo/{}/{}'.format(symbol, date)
         params = {}
@@ -109,27 +110,46 @@ def historic_quotes_v2(
 
         return QuotesV2(raw)
 
-    def historic_agg(self, size, symbol,
-                     _from=None, to=None, limit=None):
-        path = '/historic/agg/{}/{}'.format(size, symbol)
-        params = {}
-        if _from is not None:
-            params['from'] = _from
-        if to is not None:
-            params['to'] = to
-        if limit is not None:
-            params['limit'] = limit
-        raw = self.get(path, params)
-
-        return Aggs(raw)
-
     def historic_agg_v2(self, symbol, multiplier, timespan, _from, to,
                         unadjusted=False, limit=None):
-        path = '/aggs/ticker/{}/range/{}/{}/{}/{}'.format(
-            symbol, multiplier, timespan, _from, to
-        )
-        params = {}
-        params['unadjusted'] = unadjusted
+        """
+
+        :param symbol:
+        :param multiplier: Size of the timespan multiplier (distance between
+               samples. e.g if it's 1 we get for daily 2015-01-05, 2015-01-06,
+                            2015-01-07, 2015-01-08.
+                            if it's 3 we get 2015-01-01, 2015-01-04,
+                            2015-01-07, 2015-01-10)
+        :param timespan: Size of the time window: minute, hour, day, week,
+               month, quarter, year
+        :param _from: some use isoformat some use timestamp. for now we
+                      handle both.
+                      examples of different usages: pylivetrader,
+                      alpaca-backtrader.
+        :param to:
+        :param unadjusted:
+        :param limit: max samples to retrieve (seems like we get "limit - 1" )
+        :return:
+        """
+        path_template = '/aggs/ticker/{symbol}/range/{multiplier}/' \
+                        '{timespan}/{_from}/{to}'
+        if isinstance(_from, int):
+            path = path_template.format(symbol=symbol,
+                                        multiplier=multiplier,
+                                        timespan=timespan,
+                                        _from=_from,
+                                        to=to
+                                        )
+        else:
+            path = path_template.format(symbol=symbol,
+                                        multiplier=multiplier,
+                                        timespan=timespan,
+                                        _from=dateutil.parser.parse(
+                                            _from).date().isoformat(),
+                                        to=dateutil.parser.parse(
+                                            to).date().isoformat()
+                                        )
+        params = {'unadjusted': unadjusted}
         if limit:
             params['limit'] = limit
         raw = self.get(path, params, version='v2')

tests/test_polygon/test_rest.py

@@ -139,85 +139,6 @@ def test_polygon(reqmock):
     with pytest.raises(AttributeError):
         quotes[0].foo
 
-    # Historic Aggregates
-    reqmock.get(
-        endpoint('/historic/agg/minute/AAPL') +
-        '&from=2018-2-2&to=2018-2-5&limit=100',
-        text='''
-{
-  "map": {
-    "a": "average",
-    "c": "close",
-    "h": "high",
-    "l": "low",
-    "o": "open",
-    "t": "timestamp",
-    "v": "volume"
-  },
-  "status": "success",
-  "aggType": "min",
-  "symbol": "AAPL",
-  "ticks": [
-    {
-      "o": 173.15,
-      "c": 173.2,
-      "l": 173.15,
-      "h": 173.21,
-      "v": 1800,
-      "t": 1517529605000
-    }
-  ]
-}''')
-
-    aggs = cli.historic_agg('minute', 'AAPL',
-                            _from='2018-2-2',
-                            to='2018-2-5',
-                            limit=100)
-    assert aggs[0].open == 173.15
-    assert aggs[0].timestamp.day == 1
-    assert len(aggs) == 1
-    assert aggs.df.iloc[0].high == 173.21
-    with pytest.raises(AttributeError):
-        aggs[0].foo
-
-    reqmock.get(
-        endpoint('/historic/agg/day/AAPL') +
-        '&from=2018-2-2&to=2018-2-5&limit=100',
-        text='''
-{
-  "map": {
-    "a": "average",
-    "c": "close",
-    "h": "high",
-    "l": "low",
-    "o": "open",
-    "d": "day",
-    "v": "volume"
-  },
-  "status": "success",
-  "aggType": "day",
-  "symbol": "AAPL",
-  "ticks": [
-    {
-      "o": 173.15,
-      "c": 173.2,
-      "l": 173.15,
-      "h": 173.21,
-      "v": 1800,
-      "d": "2018-02-02"
-    }
-  ]
-}''')
-
-    aggs = cli.historic_agg('day', 'AAPL',
-                            _from='2018-2-2',
-                            to='2018-2-5',
-                            limit=100)
-    assert aggs[0].open == 173.15
-    assert aggs[0].day.day == 2
-    assert len(aggs) == 1
-    assert aggs.df.iloc[0].high == 173.21
-
 # Historic Aggregates V2
     reqmock.get(
         endpoint(