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September 1, 2021 14:42
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download and store OHLCV data into a CSV
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import alpaca_trade_api as tradeapi | |
api = tradeapi.REST(key_id=<your key id>,secret_key=<your secret key>) | |
storageLocation = "<your folder location>" | |
barTimeframe = "1H" # 1Min, 5Min, 15Min, 1H, 1D | |
assetsToDownload = ["SPY","MSFT","AAPL","NFLX"] | |
iteratorPos = 0 # Tracks position in list of symbols to download | |
assetListLen = len(assetsToDownload) | |
while iteratorPos < assetListLen: | |
symbol = assetsToDownload[iteratorPos] | |
dataFile = "" | |
lastDate = "2013-00-00T00:00:00.000Z" # ISO8601 Date | |
# Verifies if symbol file exists | |
try: # If file exists, reads the time of the last bar | |
dataFile = open(storageLocation + '{0}.csv'.format(symbol), 'a+') | |
lastDate = list(csv.DictReader(dataFile))[-1]["time"] | |
except: # If not, initialises new CSV file | |
dataFile = open(storageLocation + '{0}.csv'.format(symbol), 'w') | |
dataFile.write("time,open,high,low,close,volume\n") | |
returned_data = api.get_bars(symbol,barTimeframe,start_dt=lastDate).bars | |
# Reads, formats and stores the new bars | |
for bar in returned_data: | |
ret_time = str(bar.time) | |
ret_open = str(bar.open) | |
ret_high = str(bar.high) | |
ret_low = str(bar.low) | |
ret_close = str(bar.close) | |
ret_volume = str(bar.volume) | |
# Writes formatted line to CSV file | |
dataFile.write(ret_time + "," + ret_open + "," + ret_high + "," + ret_low + "," + ret_close + "," + ret_volume) | |
dataFile.close() | |
iteratorPos += 1 | |
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The code doesn't seem to be working for me either. The bar.time function doesn't seem to be valid.