Merge pull request #124 from alpacahq/feature/polygon-v2-upgrade

Add v2 trade and quote endpoints for Polygon API

Author: ttt733

alpaca_trade_api/polygon/entity.py

@@ -147,6 +147,10 @@ def __getattr__(self, key):
             val = self._raw[key]
             if key == 'timestamp':
                 return pd.Timestamp(val, tz=NY, unit='ms')
+            elif key in [
+                'sip_timestamp', 'participant_timestamp', 'trf_timestamp'
+            ]:
+                return pd.Timestamp(val, tz=NY, unit='ns')
             return val
         return getattr(super(), key)
 
@@ -156,14 +160,24 @@ class _TradesOrQuotes(object):
 
     def __init__(self, raw):
         def rename_keys(tick, map):
+            if type(map['t']) is dict:
+                # Must be a v2 response
+                return {
+                    map[k]['name']: v for k, v in tick.items()
+                }
             return {
                 map[k]: v for k, v in tick.items()
             }
 
         unit_class = self.__class__._unit
+        results = {}
+        if 'ticks' in raw:
+            results = raw['ticks']
+        else:
+            results = raw['results']
         super().__init__([
-            unit_class(rename_keys(tick, raw['map']))
-            for tick in raw['ticks']
+            unit_class(rename_keys(result, raw['map']))
+            for result in results
         ])
         self._raw = raw
 
@@ -172,16 +186,32 @@ def df(self):
         if not hasattr(self, '_df'):
             raw = self._raw
             columns = self.__class__._columns
+            results = {}
+            if 'ticks' in raw:
+                results = raw['ticks']
+            else:
+                results = raw['results']
             df = pd.DataFrame(
-                sorted(raw['ticks'], key=lambda d: d['t']),
+                sorted(results, key=lambda d: d['t']),
                 columns=columns,
             )
-            df.columns = [raw['map'][c] for c in df.columns]
-            df.set_index('timestamp', inplace=True)
-            df.index = pd.to_datetime(
-                df.index.astype('int64') * 1000000,
-                utc=True,
-            ).tz_convert(NY)
+            if type(raw['map']['t']) is dict:
+                # Must be v2 response
+                df.columns = [raw['map'][c]['name'] for c in df.columns]
+                df.set_index('sip_timestamp', inplace=True)
+                df.index = pd.to_datetime(
+                    df.index.astype('int64'),
+                    utc=True,
+                    unit='ns',
+                ).tz_convert(NY)
+            else:
+                df.columns = [raw['map'][c] for c in df.columns]
+                df.set_index('timestamp', inplace=True)
+                df.index = pd.to_datetime(
+                    df.index.astype('int64'),
+                    utc=True,
+                    unit='ms',
+                ).tz_convert(NY)
 
             df.sort_index(inplace=True)
             self._df = df
@@ -198,6 +228,11 @@ class Trades(_TradesOrQuotes, list):
     _unit = Trade
 
 
+class TradesV2(_TradesOrQuotes, list):
+    _columns = ('t', 'y', 'f', 'q', 'i', 'x', 's', 'c', 'p', 'z')
+    _unit = Trade
+
+
 class Quote(_TradeOrQuote, Entity):
     pass
 
@@ -207,6 +242,12 @@ class Quotes(_TradesOrQuotes, list):
     _unit = Quote
 
 
+class QuotesV2(_TradesOrQuotes, list):
+    _columns = ('t', 'y', 'f', 'q', 'c', 'i', 'p', 'x', 's', 'P', 'X',
+                'S', 'z')
+    _unit = Quote
+
+
 class Exchange(Entity):
     pass
 

alpaca_trade_api/polygon/rest.py

@@ -1,12 +1,13 @@
 import requests
 from .entity import (
     Aggs, Aggsv2, Aggsv2Set,
-    Trade, Trades,
-    Quote, Quotes,
+    Trade, Trades, TradesV2,
+    Quote, Quotes, QuotesV2,
     Exchange, SymbolTypeMap, ConditionMap,
     Company, Dividends, Splits, Earnings, Financials, NewsList, Ticker
 )
 from alpaca_trade_api.common import get_polygon_credentials
+from deprecated import deprecated
 
 
 def _is_list_like(o):
@@ -41,6 +42,10 @@ def symbol_type_map(self):
         path = '/meta/symbol-types'
         return SymbolTypeMap(self.get(path))
 
+    @deprecated(
+        'historic_trades v1 is deprecated and will be removed from the ' +
+        'Polygon API in the future. Please upgrade to historic_trades_v2.'
+    )
     def historic_trades(self, symbol, date, offset=None, limit=None):
         path = '/historic/trades/{}/{}'.format(symbol, date)
         params = {}
@@ -52,6 +57,28 @@ 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
+    ):
+        path = '/ticks/stocks/trades/{}/{}'.format(symbol, date)
+        params = {}
+        if timestamp is not None:
+            params['timestamp'] = timestamp
+        if timestamp_limit is not None:
+            params['timestampLimit'] = timestamp_limit
+        if reverse is not None:
+            params['reverse'] = reverse
+        if limit is not None:
+            params['limit'] = limit
+        raw = self.get(path, params, 'v2')
+
+        return TradesV2(raw)
+
+    @deprecated(
+        'historic_quotes v1 is deprecated and will be removed from the ' +
+        'Polygon API in the future. Please upgrade to historic_quotes_v2.'
+    )
     def historic_quotes(self, symbol, date, offset=None, limit=None):
         path = '/historic/quotes/{}/{}'.format(symbol, date)
         params = {}
@@ -63,6 +90,24 @@ 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
+    ):
+        path = '/ticks/stocks/nbbo/{}/{}'.format(symbol, date)
+        params = {}
+        if timestamp is not None:
+            params['timestamp'] = timestamp
+        if timestamp_limit is not None:
+            params['timestampLimit'] = timestamp_limit
+        if reverse is not None:
+            params['reverse'] = reverse
+        if limit is not None:
+            params['limit'] = limit
+        raw = self.get(path, params, 'v2')
+
+        return QuotesV2(raw)
+
     def historic_agg(self, size, symbol,
                      _from=None, to=None, limit=None):
         path = '/historic/agg/{}/{}'.format(size, symbol)

setup.py

@@ -31,6 +31,7 @@
         'urllib3<1.25',
         'websocket-client',
         'websockets>=8.0',
+        'deprecated',
     ],
     tests_require=[
         'pytest',
@@ -39,6 +40,7 @@
         'coverage>=4.4.1',
         'mock>=1.0.1',
         'flake8',
+        'deprecated',
     ],
     setup_requires=['pytest-runner', 'flake8'],
 )