API client for AlphaVantage (stocks only atm) - https://www.alphavantage.co

alphavantage.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-

import pandas as pd
from urllib.parse import urlencode


class AlphaVantage(object):
    
    def __init__(self, api_key):
        self.api_key = api_key
        self.base_url = "https://www.alphavantage.co/query"
    
    def __get_csv(self, function, **kwargs):
        return pd.read_csv("%s?apikey=%s&function=%s&datatype=csv&%s" % (
            self.base_url, self.api_key, function, urlencode(kwargs)
        ))
    
    def __get_ohlc(self, interval, symbols, full, group_by, auto_adjust):

        if isinstance(symbols, str):
            symbols = [symbols]
            
        api_call = "TIME_SERIES_DAILY_ADJUSTED"
        if isinstance(interval, int):
            auto_adjust = False
            interval = str(interval)+"min"
            api_call = "TIME_SERIES_INTRADAY"
        elif isinstance(interval, str) and interval.upper() == "D":
            api_call = "TIME_SERIES_DAILY_ADJUSTED"
        elif isinstance(interval, str) and interval.upper() == "W":
            api_call = "TIME_SERIES_WEEKLY_ADJUSTED"
        elif isinstance(interval, str) and interval.upper() == "M":
            api_call = "TIME_SERIES_MONTHLY_ADJUSTED"

        dfs = {}
        for symbol in symbols:
            df = self.__get_csv(function=api_call, symbol=symbol, interval=interval,
                               outputsize=("full" if full else "compact"))
            df["timestamp"] = pd.to_datetime(df["timestamp"])
            df.set_index(["timestamp"], inplace=True)
            df.sort_index(inplace=True)
            
            df["volume"] = df["volume"].astype(int)
            
            if str(interval).upper() not in ["W", "M"]:
                df.rename(columns={
                    "dividend_amount": "dividend", 
                    "split_coefficient": "split"
                }, inplace=True)
            
            
            if auto_adjust:
                if "adjusted close" in df.columns:
                    df["adjusted_close"] = df["adjusted close"]
                ratio = df["close"] / df["adjusted_close"]
                df["adjusted_open"] = df["open"] / ratio
                df["adjusted_high"] = df["high"] / ratio
                df["adjusted_low"] = df["low"] / ratio

                df.drop(
                    ["open", "high", "low", "close"],
                    axis=1, inplace=True)

                df.rename(columns={
                    "adjusted_open": "open", 
                    "adjusted_high": "high",
                    "adjusted_low": "low", 
                    "adjusted_close": "close"
                }, inplace=True)

            if str(interval).upper() == "D":
                dfs[symbol] = df[["open","high","low","close","volume","dividend","split"]]
            else:
                dfs[symbol] = df[["open","high","low","close","volume"]]

        
        if len(symbols) == 1:
            return dfs[symbol]

        # combine data
        data = pd.concat(dfs.values(), axis=1, keys=dfs.keys())
        if group_by == "column":
            data.columns = data.columns.swaplevel(0, 1)

        return data
    
    def get_quotes(self, symbols):
        if isinstance(symbols, list):
            symbols = ",".join(symbols)
        return self.__get_csv(function="BATCH_STOCK_QUOTES", symbols=symbols)

    
    def get_intraday(self, symbols, interval=1, full=False, group_by="column", auto_adjust=True):
        return self.__get_ohlc(interval, symbols, full, group_by, auto_adjust)


    def get_daily(self, symbols, full=False, group_by="column", auto_adjust=True):
        return self.__get_ohlc("D", symbols, full, group_by, auto_adjust)


    def get_weekly(self, symbols, full=False, group_by="column", auto_adjust=True):
        return self.__get_ohlc("W", symbols, full, group_by, auto_adjust)


    def get_monthly(self, symbols, full=False, group_by="column", auto_adjust=True):
        return self.__get_ohlc("M", symbols, full, group_by, auto_adjust)

Example usage:

av = AlphaVantage(API_KEY)

# get quotes
data = av.get_quotes(symbols=["AAPL", "GOOG"])

# get full, intraday, auto-adjusted prices, groupped by colums
data = av.get_intraday(symbols=["AAPL", "GOOG"], interval=1, full=True, group_by="column", auto_adjust=True)

# get full daily, auto-adjusted prices, groupped by colums
data = av.get_daily(symbols=["AAPL", "GOOG"], full=True, group_by="column", auto_adjust=True)

# get full daily, auto-adjusted prices, groupped by colums
data = av.get_weekly(symbols=["AAPL", "GOOG"], full=True, group_by="column", auto_adjust=True)

# get full daily, auto-adjusted prices, groupped by colums
data = av.get_monthly(symbols=["AAPL", "GOOG"], full=True, group_by="column", auto_adjust=True)