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Cameron Yick
2021-08-14 21:03:11 -04:00
parent fc654d1e48
commit f4a9a04b2e
7 changed files with 320 additions and 263 deletions
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459
tiingo/api.py
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@@ -16,10 +16,12 @@ from tiingo.exceptions import (
InstallPandasException,
APIColumnNameError,
InvalidFrequencyError,
MissingRequiredArgumentError)
MissingRequiredArgumentError,
)
try:
import pandas as pd
pandas_is_installed = True
except ImportError:
pandas_is_installed = False
@@ -40,11 +42,13 @@ def get_zipfile_from_response(response):
def get_buffer_from_zipfile(zipfile, filename):
if sys.version_info < (3, 0): # python 2
from StringIO import StringIO
return StringIO(zipfile.read(filename))
else: # python 3
# Source:
# https://stackoverflow.com/questions/5627954/py3k-how-do-you-read-a-file-inside-a-zip-file-as-text-not-bytes
from io import (TextIOWrapper, BytesIO)
from io import TextIOWrapper, BytesIO
return TextIOWrapper(BytesIO(zipfile.read(filename)))
@@ -52,16 +56,16 @@ def dict_to_object(item, object_name):
"""Converts a python dict to a namedtuple, saving memory."""
fields = item.keys()
values = item.values()
return json.loads(json.dumps(item),
object_hook=lambda d:
namedtuple(object_name, fields)(*values))
return json.loads(
json.dumps(item), object_hook=lambda d: namedtuple(object_name, fields)(*values)
)
class TiingoClient(RestClient):
"""Class for managing interactions with the Tiingo REST API
Supply API Key via Environment Variable TIINGO_API_KEY
or via the Config Object
Supply API Key via Environment Variable TIINGO_API_KEY
or via the Config Object
"""
def __init__(self, *args, **kwargs):
@@ -69,74 +73,77 @@ class TiingoClient(RestClient):
self._base_url = "https://api.tiingo.com"
try:
api_key = self._config['api_key']
api_key = self._config["api_key"]
except KeyError:
api_key = os.environ.get('TIINGO_API_KEY')
api_key = os.environ.get("TIINGO_API_KEY")
self._api_key = api_key
if not(api_key):
raise RuntimeError("Tiingo API Key not provided. Please provide"
" via environment variable or config argument.")
if not (api_key):
raise RuntimeError(
"Tiingo API Key not provided. Please provide"
" via environment variable or config argument."
)
self._headers = {
'Authorization': "Token {}".format(api_key),
'Content-Type': 'application/json',
'User-Agent': 'tiingo-python-client {}'.format(VERSION)
"Authorization": "Token {}".format(api_key),
"Content-Type": "application/json",
"User-Agent": "tiingo-python-client {}".format(VERSION),
}
self._frequency_pattern = re.compile('^[0-9]+(min|hour)$', re.IGNORECASE)
self._frequency_pattern = re.compile("^[0-9]+(min|hour)$", re.IGNORECASE)
def __repr__(self):
return '<TiingoClient(url="{}")>'.format(self._base_url)
def _is_eod_frequency(self,frequency):
return frequency.lower() in ['daily', 'weekly', 'monthly', 'annually']
def _is_eod_frequency(self, frequency):
return frequency.lower() in ["daily", "weekly", "monthly", "annually"]
# TICKER PRICE ENDPOINTS
# https://api.tiingo.com/docs/tiingo/daily
def list_tickers(self, assetTypes=[]):
"""Return a list of dicts of metadata tickers for all supported tickers
of the specified asset type, as well as metadata about each ticker.
This includes supported date range, the exchange the ticker is traded
on, and the currency the stock is traded on.
Tickers for unrelated products are omitted.
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
"""
listing_file_url = "https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip"
of the specified asset type, as well as metadata about each ticker.
This includes supported date range, the exchange the ticker is traded
on, and the currency the stock is traded on.
Tickers for unrelated products are omitted.
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
"""
listing_file_url = (
"https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip"
)
response = requests.get(listing_file_url)
zipdata = get_zipfile_from_response(response)
raw_csv = get_buffer_from_zipfile(zipdata, 'supported_tickers.csv')
raw_csv = get_buffer_from_zipfile(zipdata, "supported_tickers.csv")
reader = csv.DictReader(raw_csv)
if not len(assetTypes):
return [row for row in reader]
assetTypesSet = set(assetTypes)
return [row for row in reader
if row.get('assetType') in assetTypesSet]
return [row for row in reader if row.get("assetType") in assetTypesSet]
def list_stock_tickers(self):
return self.list_tickers(['Stock'])
return self.list_tickers(["Stock"])
def list_etf_tickers(self):
return self.list_tickers(['ETF'])
return self.list_tickers(["ETF"])
def list_fund_tickers(self):
return self.list_tickers(['Mutual Fund'])
return self.list_tickers(["Mutual Fund"])
def get_ticker_metadata(self, ticker, fmt='json'):
def get_ticker_metadata(self, ticker, fmt="json"):
"""Return metadata for 1 ticker
Use TiingoClient.list_tickers() to get available options
Use TiingoClient.list_tickers() to get available options
Args:
ticker (str) : Unique identifier for stock
Args:
ticker (str) : Unique identifier for stock
"""
url = "tiingo/daily/{}".format(ticker)
response = self._request('GET', url)
response = self._request("GET", url)
data = response.json()
if fmt == 'json':
if fmt == "json":
return data
elif fmt == 'object':
elif fmt == "object":
return dict_to_object(data, "Ticker")
def _invalid_frequency(self, frequency):
@@ -145,7 +152,9 @@ class TiingoClient(RestClient):
:param frequency (string): frequency string
:return (boolean):
"""
is_valid = self._is_eod_frequency(frequency) or re.match(self._frequency_pattern, frequency)
is_valid = self._is_eod_frequency(frequency) or re.match(
self._frequency_pattern, frequency
)
return not is_valid
def _get_url(self, ticker, frequency):
@@ -157,8 +166,10 @@ class TiingoClient(RestClient):
:return (string): url
"""
if self._invalid_frequency(frequency):
etext = ("Error: {} is an invalid frequency. Check Tiingo API documentation "
"for valid EOD or intraday frequency format.")
etext = (
"Error: {} is an invalid frequency. Check Tiingo API documentation "
"for valid EOD or intraday frequency format."
)
raise InvalidFrequencyError(etext.format(frequency))
else:
if self._is_eod_frequency(frequency):
@@ -179,19 +190,19 @@ class TiingoClient(RestClient):
all of the available data will be returned. In the event of a list of tickers,
this parameter is required.
"""
url = self._get_url(ticker, params['resampleFreq'])
response = self._request('GET', url, params=params)
if params['format'] == 'csv':
url = self._get_url(ticker, params["resampleFreq"])
response = self._request("GET", url, params=params)
if params["format"] == "csv":
if sys.version_info < (3, 0): # python 2
from StringIO import StringIO
else: # python 3
from io import StringIO
df = pd.read_csv(StringIO(response.content.decode('utf-8')))
df = pd.read_csv(StringIO(response.content.decode("utf-8")))
else:
df = pd.DataFrame(response.json())
df.set_index('date', inplace=True)
df.set_index("date", inplace=True)
if metric_name is not None:
prices = df[metric_name]
@@ -203,40 +214,40 @@ class TiingoClient(RestClient):
# Localize to UTC to ensure equivalence between data returned in json format and
# csv format. Tiingo daily data requested in csv format does not include a timezone.
if prices.index.tz is None:
prices.index = prices.index.tz_localize('UTC')
prices.index = prices.index.tz_localize("UTC")
return prices
def get_ticker_price(self, ticker,
startDate=None, endDate=None,
fmt='json', frequency='daily'):
def get_ticker_price(
self, ticker, startDate=None, endDate=None, fmt="json", frequency="daily"
):
"""By default, return latest EOD Composite Price for a stock ticker.
On average, each feed contains 3 data sources.
On average, each feed contains 3 data sources.
Supported tickers + Available Day Ranges are here:
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
Supported tickers + Available Day Ranges are here:
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
Args:
ticker (string): Unique identifier for stock ticker
startDate (string): Start of ticker range in YYYY-MM-DD format
endDate (string): End of ticker range in YYYY-MM-DD format
fmt (string): 'csv' or 'json'
frequency (string): Resample frequency
Args:
ticker (string): Unique identifier for stock ticker
startDate (string): Start of ticker range in YYYY-MM-DD format
endDate (string): End of ticker range in YYYY-MM-DD format
fmt (string): 'csv' or 'json'
frequency (string): Resample frequency
"""
url = self._get_url(ticker, frequency)
params = {
'format': fmt if fmt != "object" else 'json', # conversion local
'resampleFreq': frequency
"format": fmt if fmt != "object" else "json", # conversion local
"resampleFreq": frequency,
}
if startDate:
params['startDate'] = startDate
params["startDate"] = startDate
if endDate:
params['endDate'] = endDate
params["endDate"] = endDate
# TODO: evaluate whether to stream CSV to cache on disk, or
# load as array in memory, or just pass plain text
response = self._request('GET', url, params=params)
response = self._request("GET", url, params=params)
if fmt == "json":
return response.json()
elif fmt == "object":
@@ -245,241 +256,273 @@ class TiingoClient(RestClient):
else:
return response.content.decode("utf-8")
def get_dataframe(self, tickers,
startDate=None, endDate=None, metric_name=None,
frequency='daily', fmt='json'):
def get_dataframe(
self,
tickers,
startDate=None,
endDate=None,
metric_name=None,
frequency="daily",
fmt="json",
):
""" Return a pandas.DataFrame of historical prices for one or more ticker symbols.
"""Return a pandas.DataFrame of historical prices for one or more ticker symbols.
By default, return latest EOD Composite Price for a list of stock tickers.
On average, each feed contains 3 data sources.
By default, return latest EOD Composite Price for a list of stock tickers.
On average, each feed contains 3 data sources.
Supported tickers + Available Day Ranges are here:
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
or from the TiingoClient.list_tickers() method.
Supported tickers + Available Day Ranges are here:
https://apimedia.tiingo.com/docs/tiingo/daily/supported_tickers.zip
or from the TiingoClient.list_tickers() method.
Args:
tickers (string/list): One or more unique identifiers for a stock ticker.
startDate (string): Start of ticker range in YYYY-MM-DD format.
endDate (string): End of ticker range in YYYY-MM-DD format.
metric_name (string): Optional parameter specifying metric to be returned for each
ticker. In the event of a single ticker, this is optional and if not specified
all of the available data will be returned. In the event of a list of tickers,
this parameter is required.
frequency (string): Resample frequency (defaults to daily).
fmt (string): 'csv' or 'json'
Args:
tickers (string/list): One or more unique identifiers for a stock ticker.
startDate (string): Start of ticker range in YYYY-MM-DD format.
endDate (string): End of ticker range in YYYY-MM-DD format.
metric_name (string): Optional parameter specifying metric to be returned for each
ticker. In the event of a single ticker, this is optional and if not specified
all of the available data will be returned. In the event of a list of tickers,
this parameter is required.
frequency (string): Resample frequency (defaults to daily).
fmt (string): 'csv' or 'json'
"""
valid_columns = {'open', 'high', 'low', 'close', 'volume', 'adjOpen', 'adjHigh', 'adjLow',
'adjClose', 'adjVolume', 'divCash', 'splitFactor'}
valid_columns = {
"open",
"high",
"low",
"close",
"volume",
"adjOpen",
"adjHigh",
"adjLow",
"adjClose",
"adjVolume",
"divCash",
"splitFactor",
}
if metric_name is not None and metric_name not in valid_columns:
raise APIColumnNameError('Valid data items are: ' + str(valid_columns))
raise APIColumnNameError("Valid data items are: " + str(valid_columns))
if metric_name is None and isinstance(tickers, list):
raise MissingRequiredArgumentError("""When tickers is provided as a list, metric_name is a required argument.
Please provide a metric_name, or call this method with one ticker at a time.""")
raise MissingRequiredArgumentError(
"""When tickers is provided as a list, metric_name is a required argument.
Please provide a metric_name, or call this method with one ticker at a time."""
)
params = {
'format': fmt,
'resampleFreq': frequency
}
params = {"format": fmt, "resampleFreq": frequency}
if startDate:
params['startDate'] = startDate
params["startDate"] = startDate
if endDate:
params['endDate'] = endDate
params["endDate"] = endDate
if pandas_is_installed:
if type(tickers) is str:
prices = self._request_pandas(
ticker=tickers, params=params, metric_name=metric_name)
ticker=tickers, params=params, metric_name=metric_name
)
else:
prices = pd.DataFrame()
for stock in tickers:
ticker_series = self._request_pandas(
ticker=stock, params=params, metric_name=metric_name)
ticker=stock, params=params, metric_name=metric_name
)
ticker_series = ticker_series.rename(stock)
prices = pd.concat([prices, ticker_series], axis=1, sort=True)
return prices
else:
error_message = ("Pandas is not installed, but .get_ticker_price() was "
"called with fmt=pandas. In order to install tiingo with "
"pandas, reinstall with pandas as an optional dependency. \n"
"Install tiingo with pandas dependency: \'pip install tiingo[pandas]\'\n"
"Alternatively, just install pandas: pip install pandas.")
error_message = (
"Pandas is not installed, but .get_ticker_price() was "
"called with fmt=pandas. In order to install tiingo with "
"pandas, reinstall with pandas as an optional dependency. \n"
"Install tiingo with pandas dependency: 'pip install tiingo[pandas]'\n"
"Alternatively, just install pandas: pip install pandas."
)
raise InstallPandasException(error_message)
# NEWS FEEDS
# tiingo/news
def get_news(self, tickers=[], tags=[], sources=[], startDate=None,
endDate=None, limit=100, offset=0, sortBy="publishedDate",
onlyWithTickers=False,
fmt='json'):
def get_news(
self,
tickers=[],
tags=[],
sources=[],
startDate=None,
endDate=None,
limit=100,
offset=0,
sortBy="publishedDate",
onlyWithTickers=False,
fmt="json",
):
"""Return list of news articles matching given search terms
https://api.tiingo.com/docs/tiingo/news
https://api.tiingo.com/docs/tiingo/news
# Dates are in YYYY-MM-DD Format.
# Dates are in YYYY-MM-DD Format.
Args:
tickers [string] : List of unique Stock Tickers to search
tags [string] : List of topics tagged by Tiingo Algorithms
sources [string]: List of base urls to include as news sources
startDate, endDate [date]: Boundaries of news search window
limit (int): Max results returned. Default 100, max 1000
offset (int): Search results offset, used for paginating
sortBy (string): "publishedDate" OR "crawlDate", descending
onlyWithTickers (bool): If true, only links with tagged tickers will return.
Args:
tickers [string] : List of unique Stock Tickers to search
tags [string] : List of topics tagged by Tiingo Algorithms
sources [string]: List of base urls to include as news sources
startDate, endDate [date]: Boundaries of news search window
limit (int): Max results returned. Default 100, max 1000
offset (int): Search results offset, used for paginating
sortBy (string): "publishedDate" OR "crawlDate", descending
onlyWithTickers (bool): If true, only links with tagged tickers will return.
"""
url = "tiingo/news"
params = {
'limit': limit,
'offset': offset,
'sortBy': sortBy,
'tickers': tickers,
'source': (",").join(sources) if sources else None,
'tags': tags,
'startDate': startDate,
'endDate': endDate,
'onlyWithTickers': onlyWithTickers
"limit": limit,
"offset": offset,
"sortBy": sortBy,
"tickers": tickers,
"source": (",").join(sources) if sources else None,
"tags": tags,
"startDate": startDate,
"endDate": endDate,
"onlyWithTickers": onlyWithTickers,
}
response = self._request('GET', url, params=params)
response = self._request("GET", url, params=params)
data = response.json()
if fmt == 'json':
if fmt == "json":
return data
elif fmt == 'object':
elif fmt == "object":
return [dict_to_object(item, "NewsArticle") for item in data]
def get_bulk_news(self, file_id=None, fmt='json'):
def get_bulk_news(self, file_id=None, fmt="json"):
"""Only available to institutional clients.
If ID is NOT provided, return array of available file_ids.
If ID is provided, provides URL which you can use to download your
file, as well as some metadata about that file.
If ID is NOT provided, return array of available file_ids.
If ID is provided, provides URL which you can use to download your
file, as well as some metadata about that file.
"""
if file_id:
url = "tiingo/news/bulk_download/{}".format(file_id)
else:
url = "tiingo/news/bulk_download"
response = self._request('GET', url)
response = self._request("GET", url)
data = response.json()
if fmt == 'json':
if fmt == "json":
return data
elif fmt == 'object':
elif fmt == "object":
return dict_to_object(data, "BulkNews")
# Crypto
# tiingo/crypto
def get_crypto_top_of_book(self, tickers=[], exchanges=[],
includeRawExchangeData=False, convertCurrency=None):
url = 'tiingo/crypto/top'
params = {
'tickers': ','.join(tickers)
}
def get_crypto_top_of_book(
self,
tickers=[],
exchanges=[],
includeRawExchangeData=False,
convertCurrency=None,
):
url = "tiingo/crypto/top"
params = {"tickers": ",".join(tickers)}
if len(exchanges):
params['exchanges'] = ','.join(exchanges)
params["exchanges"] = ",".join(exchanges)
if includeRawExchangeData is True:
params['includeRawExchangeData'] = True
params["includeRawExchangeData"] = True
if convertCurrency:
params['convertCurrency'] = convertCurrency
params["convertCurrency"] = convertCurrency
response = self._request('GET', url, params=params)
response = self._request("GET", url, params=params)
return response.json()
def get_crypto_price_history(self, tickers=[], baseCurrency=None,
startDate=None, endDate=None, exchanges=[],
consolidateBaseCurrency=False, includeRawExchangeData=False,
resampleFreq=None, convertCurrency=None):
url = 'tiingo/crypto/prices'
params = {
'tickers': ','.join(tickers)
}
def get_crypto_price_history(
self,
tickers=[],
baseCurrency=None,
startDate=None,
endDate=None,
exchanges=[],
consolidateBaseCurrency=False,
includeRawExchangeData=False,
resampleFreq=None,
convertCurrency=None,
):
url = "tiingo/crypto/prices"
params = {"tickers": ",".join(tickers)}
if startDate:
params['startDate'] = startDate
params["startDate"] = startDate
if endDate:
params['endDate'] = endDate
params["endDate"] = endDate
if len(exchanges):
params['exchanges'] = ','.join(exchanges)
params["exchanges"] = ",".join(exchanges)
if consolidateBaseCurrency is True:
params['consolidateBaseCurrency'] = ','.join(consolidateBaseCurrency)
params["consolidateBaseCurrency"] = ",".join(consolidateBaseCurrency)
if includeRawExchangeData is True:
params['includeRawExchangeData'] = includeRawExchangeData
params["includeRawExchangeData"] = includeRawExchangeData
if resampleFreq:
params['resampleFreq'] = resampleFreq
params["resampleFreq"] = resampleFreq
if convertCurrency:
params['convertCurrency'] = convertCurrency
params["convertCurrency"] = convertCurrency
response = self._request('GET', url, params=params)
response = self._request("GET", url, params=params)
return response.json()
def get_crypto_metadata(self, tickers=[], fmt='json'):
url = 'tiingo/crypto'
def get_crypto_metadata(self, tickers=[], fmt="json"):
url = "tiingo/crypto"
params = {
'tickers': ','.join(tickers),
'format': fmt,
"tickers": ",".join(tickers),
"format": fmt,
}
response = self._request('GET', url, params=params)
if fmt == 'csv':
response = self._request("GET", url, params=params)
if fmt == "csv":
return response.content.decode("utf-8")
else:
return response.json()
# FUNDAMENTAL DEFINITIONS
# tiingo/fundamentals/definitions
def get_fundamentals_definitions(self, tickers=[], fmt='json'):
def get_fundamentals_definitions(self, tickers=[], fmt="json"):
"""Return definitions for fundamentals for specified tickers
https://api.tiingo.com/documentation/fundamentals
https://api.tiingo.com/documentation/fundamentals
Args:
tickers [string] : optional, either list or string
fmt (string): 'csv' or 'json'
Args:
tickers [string] : optional, either list or string
fmt (string): 'csv' or 'json'
"""
url = "tiingo/fundamentals/definitions"
params = {
'tickers': tickers,
'format': fmt
}
response = self._request('GET', url, params=params)
if fmt == 'json':
params = {"tickers": tickers, "format": fmt}
response = self._request("GET", url, params=params)
if fmt == "json":
return response.json()
elif fmt == 'csv':
elif fmt == "csv":
return response.content.decode("utf-8")
# FUNDAMENTAL DAILY
# tiingo/fundamentals/<ticker>/daily
def get_fundamentals_daily(self, ticker, fmt='json',
startDate=None, endDate=None):
def get_fundamentals_daily(self, ticker, fmt="json", startDate=None, endDate=None):
"""Returns metrics which rely on daily price-updates
https://api.tiingo.com/documentation/fundamentals
https://api.tiingo.com/documentation/fundamentals
# Dates are in YYYY-MM-DD Format.
# Dates are in YYYY-MM-DD Format.
Args:
tickers [string] : List of unique Stock Tickers to search
startDate, endDate [date]: Boundaries of search window
fmt (string): 'csv' or 'json'
Args:
tickers [string] : List of unique Stock Tickers to search
startDate, endDate [date]: Boundaries of search window
fmt (string): 'csv' or 'json'
"""
url = 'tiingo/fundamentals/{}/daily'.format(ticker)
params = {
'startDate': startDate,
'endDate': endDate,
'format': fmt
}
response = self._request('GET', url, params=params)
if fmt == 'json':
url = "tiingo/fundamentals/{}/daily".format(ticker)
params = {"startDate": startDate, "endDate": endDate, "format": fmt}
response = self._request("GET", url, params=params)
if fmt == "json":
return response.json()
elif fmt == 'csv':
elif fmt == "csv":
return response.content.decode("utf-8")
# FUNDAMENTAL STATEMENTS
# tiingo/fundamentals/<ticker>/statements
def get_fundamentals_statements(self, ticker, asReported=False, fmt='json',
startDate=None, endDate=None):
def get_fundamentals_statements(
self, ticker, asReported=False, fmt="json", startDate=None, endDate=None
):
"""Returns data that is extracted from quarterly and annual statements.
https://api.tiingo.com/documentation/fundamentals
@@ -494,19 +537,19 @@ class TiingoClient(RestClient):
fmt (string): 'csv' or 'json'
"""
if asReported:
asReported = 'true'
asReported = "true"
else:
asReported = 'false'
asReported = "false"
url = 'tiingo/fundamentals/{}/statements'.format(ticker)
url = "tiingo/fundamentals/{}/statements".format(ticker)
params = {
'startDate': startDate,
'endDate': endDate,
'asReported': asReported,
'format': fmt
"startDate": startDate,
"endDate": endDate,
"asReported": asReported,
"format": fmt,
}
response = self._request('GET', url, params=params)
if fmt == 'json':
response = self._request("GET", url, params=params)
if fmt == "json":
return response.json()
elif fmt == 'csv':
elif fmt == "csv":
return response.content.decode("utf-8")