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aitzkovitzdanielatpolygoniomorningvera
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Add Technical Indicator Endpoints (#284)
* initial models * wip * restore websocket files * restore examples to master * touch up from_dict methods, add tests * individual result types * lint * remove multiplier per spec change * rename mock to account for spec change in test * fix typos in method descriptions * rename the base instead of re-export * update rest spec Co-authored-by: danielatpolygonio <[email protected]> Co-authored-by: Vera Harless <[email protected]>
1 parent a5b266b commit cadd01f

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+6320
-37
lines changed

‎.polygon/rest.json

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‎polygon/rest/__init__.py

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@@ -2,6 +2,7 @@
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from .trades import TradesClient
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from .quotes import QuotesClient
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from .snapshot import SnapshotClient
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from .indicators import IndicatorsClient
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from .reference import (
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MarketsClient,
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TickersClient,
@@ -32,6 +33,7 @@ class RESTClient(
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ConditionsClient,
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ExchangesClient,
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ContractsClient,
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IndicatorsClient,
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):
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def __init__(
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self,

‎polygon/rest/indicators.py

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from polygon.rest.models.common import SeriesType
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from polygon.rest.models.indicators import (
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SMAIndicatorResults,
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EMAIndicatorResults,
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RSIIndicatorResults,
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MACDIndicatorResults,
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)
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from .base import BaseClient
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from typing import Optional, Any, Dict, List, Union
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from .models import Order
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from urllib3 import HTTPResponse
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from datetime import datetime, date
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class IndicatorsClient(BaseClient):
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def get_sma(
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self,
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ticker: str,
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timestamp: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lte: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gte: Optional[Union[str, int, datetime, date]] = None,
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timespan: Optional[str] = None,
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window: Optional[int] = None,
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adjusted: Optional[bool] = None,
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expand_underlying: Optional[bool] = None,
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order: Optional[Union[str, Order]] = None,
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params: Optional[Dict[str, Any]] = None,
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series_type: Optional[Union[str, SeriesType]] = None,
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raw: bool = False,
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) -> Union[SMAIndicatorResults, HTTPResponse]:
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"""
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Get SMA values for a given ticker over a given range with the specified parameters
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:param ticker: The ticker symbol
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:param timespan: The size of the underlying aggregate time window
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:param window: The window size used to calculate the simple moving average. i.e. a window size of 10 with daily
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aggregates would result in a 10-day moving average
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:param timestamp: Either a date with the format YYYY-MM-DD or a millisecond timestamp.
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:param timestamp_lt: Timestamp less than
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:param timestamp_lte: Timestamp less than or equal to
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:param timestamp_gt: Timestamp greater than
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:param timestamp_gte: Timestamp greater than or equal to
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:param adjusted: Whether the underlying aggregates are adjusted for splits. By default, the aggregates used to
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calculate this indicator are adjusted. Set this as false to get results that are NOT adjusted for splits
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:param expand_underlying: Whether to include the aggregates used to calculate this indicator in the response
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:param order: Sort the results by timestamp. asc will return results in ascending order (oldest at the top),
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desc will return results in descending order (newest at the top).The end of the aggregate time window
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:param params: Any additional query params
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:param series_type: The price in the aggregate which will be used to calculate the simple moving average
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i.e. 'close' will result in using close prices to calculate the simple moving average
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:param raw: Return raw object instead of results object
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:return: SingleIndicatorResults
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"""
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url = f"/v1/indicators/sma/{ticker}"
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return self._get(
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path=url,
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params=self._get_params(self.get_sma, locals()),
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result_key="results",
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deserializer=SMAIndicatorResults.from_dict,
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raw=raw,
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)
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def get_ema(
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self,
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ticker: str,
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timestamp: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lte: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gte: Optional[Union[str, int, datetime, date]] = None,
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timespan: Optional[str] = None,
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window: Optional[int] = None,
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adjusted: Optional[bool] = None,
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expand_underlying: Optional[bool] = None,
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order: Optional[Union[str, Order]] = None,
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params: Optional[Dict[str, Any]] = None,
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series_type: Optional[Union[str, SeriesType]] = None,
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raw: bool = False,
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) -> Union[EMAIndicatorResults, HTTPResponse]:
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"""
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Get EMA values for a given ticker over a given range with the specified parameters
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:param ticker: The ticker symbol
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:param timespan: The size of the underlying aggregate time window
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:param window: The window size used to calculate the exponential moving average. i.e. a window size of 10 with daily
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aggregates would result in a 10-day moving average
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:param timestamp: Either a date with the format YYYY-MM-DD or a millisecond timestamp.
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:param timestamp_lt: Timestamp less than
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:param timestamp_lte: Timestamp less than or equal to
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:param timestamp_gt: Timestamp greater than
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:param timestamp_gte: Timestamp greater than or equal to
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:param adjusted: Whether the underlying aggregates are adjusted for splits. By default, the aggregates used to
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calculate this indicator are adjusted. Set this as false to get results that are NOT adjusted for splits
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:param expand_underlying: Whether to include the aggregates used to calculate this indicator in the response
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:param order: Sort the results by timestamp. asc will return results in ascending order (oldest at the top),
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desc will return results in descending order (newest at the top).The end of the aggregate time window
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:param params: Any additional query params
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:param series_type: The price in the aggregate which will be used to calculate the simple moving average
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i.e. 'close' will result in using close prices to calculate the simple moving average
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:param raw: Return raw object instead of results object
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:return: SingleIndicatorResults
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"""
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url = f"/v1/indicators/ema/{ticker}"
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return self._get(
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path=url,
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params=self._get_params(self.get_ema, locals()),
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result_key="results",
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deserializer=EMAIndicatorResults.from_dict,
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raw=raw,
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)
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def get_rsi(
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self,
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ticker: str,
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timestamp: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lte: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gte: Optional[Union[str, int, datetime, date]] = None,
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timespan: Optional[str] = None,
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window: Optional[int] = None,
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adjusted: Optional[bool] = None,
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expand_underlying: Optional[bool] = None,
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order: Optional[Union[str, Order]] = None,
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params: Optional[Dict[str, Any]] = None,
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series_type: Optional[Union[str, SeriesType]] = None,
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raw: bool = False,
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) -> Union[RSIIndicatorResults, HTTPResponse]:
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"""
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Get RSI values for a given ticker over a given range with the specified parameters
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:param ticker: The ticker symbol
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:param timespan: The size of the underlying aggregate time window
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:param window: The window size used to calculate the simple moving average. i.e. a window size of 10 with daily
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aggregates would result in a 10-day moving average
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:param timestamp: Either a date with the format YYYY-MM-DD or a millisecond timestamp.
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:param timestamp_lt: Timestamp less than
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:param timestamp_lte: Timestamp less than or equal to
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:param timestamp_gt: Timestamp greater than
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:param timestamp_gte: Timestamp greater than or equal to
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:param adjusted: Whether the underlying aggregates are adjusted for splits. By default, the aggregates used to
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calculate this indicator are adjusted. Set this as false to get results that are NOT adjusted for splits
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:param expand_underlying: Whether to include the aggregates used to calculate this indicator in the response
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:param order: Sort the results by timestamp. asc will return results in ascending order (oldest at the top),
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desc will return results in descending order (newest at the top).The end of the aggregate time window
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:param params: Any additional query params
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:param series_type: The price in the aggregate which will be used to calculate the simple moving average
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i.e. 'close' will result in using close prices to calculate the simple moving average
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:param raw: Return raw object instead of results object
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:return: SingleIndicatorResults
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"""
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url = f"/v1/indicators/rsi/{ticker}"
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return self._get(
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path=url,
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params=self._get_params(self.get_rsi, locals()),
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result_key="results",
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deserializer=RSIIndicatorResults.from_dict,
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raw=raw,
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)
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def get_macd(
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self,
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ticker: str,
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timestamp: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_lte: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gt: Optional[Union[str, int, datetime, date]] = None,
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timestamp_gte: Optional[Union[str, int, datetime, date]] = None,
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timespan: Optional[str] = None,
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short_window: Optional[int] = None,
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long_window: Optional[int] = None,
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signal_window: Optional[int] = None,
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adjusted: Optional[bool] = None,
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expand_underlying: Optional[bool] = None,
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order: Optional[Union[str, Order]] = None,
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params: Optional[Dict[str, Any]] = None,
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series_type: Optional[Union[str, SeriesType]] = None,
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raw: bool = False,
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) -> Union[MACDIndicatorResults, HTTPResponse]:
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"""
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Get MACD values for a given ticker over a given range with the specified parameters
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:param ticker: The ticker symbol
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:param timespan: The size of the underlying aggregate time window
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:param short_window: The short window size used to calculate the MACD data
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:param long_window: The long window size used to calculate the MACD data
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:param signal_window: The window size used to calculate the MACD signal line
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:param timestamp: Either a date with the format YYYY-MM-DD or a millisecond timestamp.
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:param timestamp_lt: Timestamp less than
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:param timestamp_lte: Timestamp less than or equal to
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:param timestamp_gt: Timestamp greater than
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:param timestamp_gte: Timestamp greater than or equal to
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:param adjusted: Whether the underlying aggregates are adjusted for splits. By default, the aggregates used to
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calculate this indicator are adjusted. Set this as false to get results that are NOT adjusted for splits
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:param expand_underlying: Whether to include the aggregates used to calculate this indicator in the response
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:param order: Sort the results by timestamp. asc will return results in ascending order (oldest at the top),
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desc will return results in descending order (newest at the top).The end of the aggregate time window
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:param params: Any additional query params
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:param series_type: The price in the aggregate which will be used to calculate the simple moving average
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i.e. 'close' will result in using close prices to calculate the simple moving average
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:param raw: Return raw object instead of results object
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:return: MACDIndicatorResults
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"""
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url = f"/v1/indicators/macd/{ticker}"
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return self._get(
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path=url,
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params=self._get_params(self.get_macd, locals()),
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result_key="results",
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deserializer=MACDIndicatorResults.from_dict,
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raw=raw,
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)

‎polygon/rest/models/__init__.py

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from .common import *
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from .aggs import *
3-
from .trades import *
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from .quotes import *
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from .markets import *
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from .tickers import *
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from .splits import *
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from .dividends import *
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from .common import *
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from .conditions import *
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from .contracts import *
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from .dividends import *
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from .exchanges import *
11-
from .snapshot import *
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from .financials import *
13-
from .contracts import *
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from .indicators import *
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from .markets import *
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from .quotes import *
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from .snapshot import *
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from .splits import *
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from .tickers import *
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from .trades import *

‎polygon/rest/models/common.py

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TWO = 2
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THREE = 3
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FOUR = 4
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class SeriesType(Enum):
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OPEN = "open"
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CLOSE = "close"
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HIGH = "high"
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LOW = "low"

‎polygon/rest/models/indicators.py

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from sqlite3 import Timestamp
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from typing import Optional, Any, Dict, List, Union
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from ...modelclass import modelclass
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from .aggs import Agg
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@modelclass
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class IndicatorValue:
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"Contains one datum for indicators with a single value."
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timestamp: Optional[int] = None
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value: Optional[float] = None
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@staticmethod
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def from_dict(d):
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return IndicatorValue(
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timestamp=d.get("timestamp", None),
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value=d.get("value", None),
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)
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@modelclass
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class MACDIndicatorValue:
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"Contains one datum for all MACD values."
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timestamp: Optional[int] = None
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value: Optional[float] = None
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signal: Optional[float] = None
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histogram: Optional[float] = None
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@staticmethod
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def from_dict(d):
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return MACDIndicatorValue(
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timestamp=d.get("timestamp", None),
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value=d.get("value", None),
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signal=d.get("histogram", None),
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histogram=d.get("signal", None),
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)
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@modelclass
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class IndicatorUnderlying:
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"Contains the URL to call to get the aggs used for building the indicator."
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url: Optional[str] = None
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aggregates: Optional[List[Agg]] = None
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@staticmethod
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def from_dict(d):
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return IndicatorUnderlying(
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url=d.get("url", None),
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aggregates=[Agg.from_dict(a) for a in d.get("aggregates", [])],
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)
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@modelclass
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class SingleIndicatorResults:
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"Contains indicator values and Underlying."
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values: Optional[List[IndicatorValue]] = None
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underlying: Optional[IndicatorUnderlying] = None
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@staticmethod
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def from_dict(d):
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return SingleIndicatorResults(
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values=[IndicatorValue.from_dict(v) for v in (d.get("values", []))],
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underlying=IndicatorUnderlying.from_dict(d.get("underlying", None)),
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)
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SMAIndicatorResults = SingleIndicatorResults
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EMAIndicatorResults = SingleIndicatorResults
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RSIIndicatorResults = SingleIndicatorResults
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@modelclass
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class MACDIndicatorResults:
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"Contains indicator values and Underlying."
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values: Optional[List[MACDIndicatorValue]] = None
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underlying: Optional[IndicatorUnderlying] = None
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@staticmethod
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def from_dict(d):
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return MACDIndicatorResults(
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values=[MACDIndicatorValue.from_dict(v) for v in (d.get("values", []))],
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underlying=IndicatorUnderlying.from_dict(d.get("underlying", None)),
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)

‎test_rest/mocks/v1/indicators/ema/AAPL&window=5&adjusted=False&timestamp.lte=1478393873000&timestamp.gte=1477972800000.json

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{
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"results": {
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"underlying": {
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"url": "http://localhost:8081/v2/aggs/ticker/AAPL/range/1/day/1477368000000/1478393873000?adjusted=false\u0026limit=50000\u0026sort=desc"
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},
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"values": [
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{
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"timestamp": 1478232000000,
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"value": 110.96883950617286
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},
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{
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"timestamp": 1478145600000,
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"value": 112.03325925925927
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},
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{
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"timestamp": 1478059200000,
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"value": 113.1348888888889
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},
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{
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"timestamp": 1477972800000,
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"value": 113.90733333333334
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}
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]
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},
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"status": "OK",
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"request_id": "aaa162ba-e0b6-4c4a-aa05-dcac472aea71"
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}

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