Added new polyfeed endpoints

alpaca_trade_api/entity.py

@@ -129,6 +129,71 @@ def df(self):
         return self._df
 
 
+
+class _Timestamped(object):
+    def __getattr__(self, key):
+        if key in self._raw:
+            val = self._raw[key]
+            if key == 'timestamp':
+                return pd.Timestamp(val, tz=NY, unit='ms')
+            return val
+        return getattr(super(), key)
+
+
+class Agg(_Timestamped, Entity):
+    pass
+
+
+class Aggs(list):
+    def __init__(self, raw):
+        self._raw = raw
+        super().__init__([
+            Agg(tick) for tick in self.rename_keys()
+        ])
+
+    def _raw_results(self):
+        return self._raw.get('results', [])
+
+    def rename_keys(self):
+        colmap = {
+            "o": "open",
+            "h": "high",
+            "l": "low",
+            "c": "close",
+            "v": "volume",
+            "t": "timestamp",
+        }
+        return [
+            {colmap.get(k, k): v for k, v in tick.items()}
+            for tick in self._raw_results()
+        ]
+
+    @property
+    def df(self):
+        if not hasattr(self, '_df'):
+            columns = ('timestamp', 'open', 'high', 'low', 'close', 'volume')
+            df = pd.DataFrame(
+                self.rename_keys(),
+                columns=columns
+            )
+            df.set_index('timestamp', inplace=True)
+            df.index = pd.to_datetime(
+                df.index.astype('int64'),
+                unit='ms', utc=True
+            ).tz_convert(NY)
+
+            self._df = df
+        return self._df
+
+
+class Trade(_Timestamped, Entity):
+    pass
+
+
+class Quote(_Timestamped, Entity):
+    pass
+
+
 class Clock(Entity):
     def __getattr__(self, key):
         if key in self._raw:

alpaca_trade_api/rest.py

@@ -12,7 +12,7 @@
 from .entity import (
     Account, AccountConfigurations, AccountActivity,
     Asset, Order, Position, BarSet, Clock, Calendar,
-    Watchlist
+    Aggs, Trade, Quote, Watchlist
 )
 from . import polygon
 from . import alpha_vantage
@@ -359,6 +359,22 @@ def get_barset(self,
         resp = self.data_get('/bars/{}'.format(timeframe), params)
         return BarSet(resp)
 
+    def get_aggregates(self, symbol, timespan, _from, to):
+        resp = self.data_get('/aggs/ticker/{}/range/1/{}/{}/{}'.format(
+            symbol, timespan, _from, to
+        ))
+        return Aggs(resp)
+
+    def get_last_trade(self, symbol):
+        '''Get the last trade for the given symbol'''
+        resp = self.data_get('/last/stocks/{}'.format(symbol))
+        return Trade(resp['last'])
+
+    def get_last_quote(self, symbol):
+        '''Get the last trade for the given symbol'''
+        resp = self.data_get('/last_quote/stocks/{}'.format(symbol))
+        return Quote(resp['last'])
+
     def get_clock(self):
         resp = self.get('/clock')
         return Clock(resp)

tests/test_rest.py

@@ -6,8 +6,12 @@
 import requests_mock
 
 
-if 'APCA_API_BASE_URL' in os.environ:
-    del os.environ['APCA_API_BASE_URL']
+@pytest.fixture(autouse=True)
+def delete_base_url_envs():
+    if 'APCA_API_BASE_URL' in os.environ:
+        del os.environ['APCA_API_BASE_URL']
+    if 'APCA_API_DATA_URL' in os.environ:
+        del os.environ['APCA_API_DATA_URL']
 
 
 @pytest.fixture
@@ -331,6 +335,102 @@ def test_data(reqmock):
     assert barset['AAPL'][0].t.day == 23
     assert barset['AAPL'].df.index[0].day == 23
 
+    # Aggs
+    reqmock.get(
+        'https://data.alpaca.markets/v1/aggs/ticker/AAPL/'
+        'range/1/day/2020-02-10/2020-02-12',
+        text='''
+        {
+            "ticker": "AAPL",
+            "status": "OK",
+            "adjusted": true,
+            "queryCount": 3,
+            "resultsCount": 3,
+            "results": [
+                {
+                    "v": 23748626,
+                    "o": 314.18,
+                    "c": 321.54,
+                    "h": 321.54,
+                    "l": 313.85,
+                    "t": 1581310800000,
+                    "n": 1
+                },
+                {
+                    "v": 21107108,
+                    "o": 323.6,
+                    "c": 319.61,
+                    "h": 323.9,
+                    "l": 318.71,
+                    "t": 1581397200000,
+                    "n": 1
+                },
+                {
+                    "v": 24425223,
+                    "o": 321.62,
+                    "c": 327.2,
+                    "h": 327.21,
+                    "l": 321.47,
+                    "t": 1581483600000,
+                    "n": 1
+                }
+            ]
+        }'''
+    )
+    aggs = api.get_aggregates('AAPL', 'day', '2020-02-10', '2020-02-12')
+    assert len(aggs) == 3
+    assert aggs[0].open == 314.18
+    assert aggs.df.iloc[1].high == 323.9
+    with pytest.raises(AttributeError):
+        aggs[2].foo
+
+    # Last trade
+    reqmock.get(
+        'https://data.alpaca.markets/v1/last/stocks/AAPL',
+        text='''
+        {
+            "status": "success",
+            "symbol": "AAPL",
+            "last": {
+                "price": 159.59,
+                "size": 20,
+                "exchange": 11,
+                "cond1": 14,
+                "cond2": 16,
+                "cond3": 0,
+                "cond4": 0,
+                "timestamp": 1518086464720
+            }
+        }
+        '''
+    )
+    trade = api.get_last_trade('AAPL')
+    assert trade.price == 159.59
+    assert trade.timestamp.day == 8
+
+    # Last quote
+    reqmock.get(
+        'https://data.alpaca.markets/v1/last_quote/stocks/AAPL',
+        text='''
+        {
+            "status": "success",
+            "symbol": "AAPL",
+            "last": {
+                "askprice": 159.59,
+                "asksize": 2,
+                "askexchange": 11,
+                "bidprice": 159.45,
+                "bidsize": 20,
+                "bidexchange": 12,
+                "timestamp": 1518086601843
+            }
+        }'''
+    )
+
+    quote = api.get_last_quote('AAPL')
+    assert quote.askprice == 159.59
+    assert quote.timestamp.day == 8
+
 
 def test_errors(reqmock):
     api = tradeapi.REST('key-id', 'secret-key', api_version='v1')