Merge pull request #197 from alpacahq/rc4_new_data_schema

Support the new data schema

Author: Shlomi Kushchi

alpaca_trade_api/entity.py

@@ -134,16 +134,20 @@ def __getattr__(self, key):
         if key in self._raw:
             val = self._raw[key]
             if key == 'timestamp':
-                if val > 1000000000000000000:
-                    # this is for supporing timestamp represented in nanosecond. 
-                    # the alpaca data api uses nanoseconds. polygon uses microseconds.
-                    return pd.Timestamp(val, tz=NY)
-                return pd.Timestamp(val, tz=NY, unit='ms')
+                return pd.Timestamp(val, tz=NY, unit=self.unit)
             return val
         return getattr(super(), key)
 
 
-class Agg(_Timestamped, Entity):
+class _NanoTimestamped(_Timestamped):
+    unit = 'ns'
+
+
+class _MilliTimestamped(_Timestamped):
+    unit = 'ms'
+
+
+class Agg(_MilliTimestamped, Entity):
     pass
 
 
@@ -189,11 +193,11 @@ def df(self):
         return self._df
 
 
-class Trade(_Timestamped, Entity):
+class Trade(_NanoTimestamped, Entity):
     pass
 
 
-class Quote(_Timestamped, Entity):
+class Quote(_NanoTimestamped, Entity):
     pass
 
 
@@ -251,7 +255,7 @@ def df(self):
 
 
 trade_mapping = {
-    "sym": "symbol",
+    "T": "symbol",
     "c": "conditions",
     "x": "exchange",
     "p": "price",
@@ -272,7 +276,7 @@ def df(self):
 }
 
 agg_mapping = {
-    "sym": "symbol",
+    "T": "symbol",
     "o": "open",
     "c": "close",
     "h": "high",

tests/test_rest.py

@@ -399,7 +399,7 @@ def test_data(reqmock):
                 "cond2": 16,
                 "cond3": 0,
                 "cond4": 0,
-                "timestamp": 1518086464720
+                "timestamp": 1518101436000900000
             }
         }
         '''
@@ -422,7 +422,7 @@ def test_data(reqmock):
                 "bidprice": 159.45,
                 "bidsize": 20,
                 "bidexchange": 12,
-                "timestamp": 1518086601843
+                "timestamp": 1518101436000900000
             }
         }'''
     )