Created
September 22, 2015 19:48
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Example code from 'Get Free Intraday Stock Data With Python and BarChart OnDemand API' blog post.
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# -*- coding: utf-8 -*- | |
import time | |
t0 = time.clock() | |
import pandas as pd | |
from pandas.tseries.offsets import BDay | |
import numpy as np | |
import datetime as dt | |
from copy import copy | |
import warnings | |
warnings.filterwarnings('ignore',category=pd.io.pytables.PerformanceWarning) | |
# ================================================================== # | |
# datetime management | |
d = dt.date.today() | |
# ---------- Days ---------- | |
l10 = d - 10 * BDay() | |
l21 = d - 21 * BDay() | |
l63 = d - 63 * BDay() | |
l252 = d - 252 * BDay() | |
# ---------- Years ---------- | |
l252_x2 = d - 252 * 2 * BDay() | |
l252_x3 = d - 252 * 3 * BDay() | |
l252_x5 = d - 252 * 5 * BDay() | |
l252_x7 = d - 252 * 7 * BDay() | |
l252_x10 = d - 252 * 10 * BDay() | |
l252_x20 = d - 252 * 20 * BDay() | |
l252_x25 = d - 252 * 25 * BDay() | |
# ================================================================== # | |
# filepath management | |
project_dir = r'insert_your_project_directory' | |
price_path = project_dir + r'Stock_Price_Data\\' | |
# ================================================================== # | |
apikey = 'insert_your_api_key' | |
def construct_barChart_url(sym, start_date, freq, api_key=apikey): | |
'''Function to construct barchart api url''' | |
url = 'http://marketdata.websol.barchart.com/getHistory.csv?' +\ | |
'key={}&symbol={}&type={}&startDate={}'.format(api_key, sym, freq, start_date) | |
return url | |
# ================================================================== # | |
# header=3 to skip unnecesary file metadata included by State Street | |
spy_components = pd.read_excel(project_dir +\ | |
'_SPDR_holdings/holdings-spy.xls', header=3) | |
syms = spy_components.Identifier.dropna() | |
syms = syms.drop(syms.index[-1]).order() | |
def get_minute_data(): | |
'''Function to Retrieve <= 3 months of minute data for SP500 components''' | |
# This is the required format for datetimes to access the API | |
# You could make a function to translate datetime to this format | |
start = '20150831000000' | |
#end = d | |
freq = 'minutes' | |
prices = {} | |
symbol_count = len(syms) | |
N = copy(symbol_count) | |
try: | |
for i, sym in enumerate(syms, start=1): | |
api_url = construct_barChart_url(sym, start, freq, api_key=apikey) | |
try: | |
csvfile = pd.read_csv(api_url, parse_dates=['timestamp']) | |
csvfile.set_index('timestamp', inplace=True) | |
prices[sym] = csvfile | |
except: | |
continue | |
N -= 1 | |
pct_total_left = (N/symbol_count) | |
print('{}..[done] | {} of {} symbols collected | percent remaining: {:>.2%}'.format(\ | |
sym, i, symbol_count, pct_total_left)) | |
except Exception as e: | |
print(e) | |
finally: | |
pass | |
px = pd.Panel.from_dict(prices) | |
# convert timestamps to EST | |
px.major_axis = px.major_axis.tz_localize('utc').tz_convert('US/Eastern') | |
return px | |
pxx = get_minute_data() | |
print(pxx) | |
print(pxx['AAL'].tail()) | |
print(pxx['ZTS'].tail()) | |
try: | |
store = pd.HDFStore(price_path + 'Minute_Symbol_Data.h5') | |
store['minute_prices'] = pxx | |
store.close() | |
except Exception as e: | |
print(e) | |
finally: | |
pass | |
# ================================================================== # | |
# timer looking clean # | |
secs = np.round( ( time.clock() - t0 ), 4 ) | |
time_secs = "{timeSecs} seconds to run".format(timeSecs = secs) | |
mins = np.round( ( ( time.clock() ) - t0 ) / 60, 4 ) | |
time_mins = "| {timeMins} minutes to run".format(timeMins = mins) | |
hours = np.round( ( time.clock() - t0 ) / 60 / 60, 4 ) | |
time_hrs = "| {timeHrs} hours to run".format(timeHrs = hours) | |
print( time_secs, time_mins, time_hrs ) |
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