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Pandas wrapper for ActiveTick HTTP Proxy

Project description

activetick_http

Python module that connects to ActiveTick HTTP proxy and supplies Pandas DataFrames. Requires requests for the quoteStream, and redis for caching.

Currently unstable, may end up changing the methods from camelCase to pep8 snake_case.

tests run using pytest

How to use:

Run the HTTP proxy supplied by ActiveTick and instantiate ActiveTick, the defaults are shown with a Redis cache enabled:

from activetick_http import ActiveTick

# Import the StrictRedis client to enable local persistent caching
from redis import StrictRedis

# ActiveTick initialized with Redis caching enabled (requires Redis)
at = ActiveTick(host='127.0.0.1', port=5000, cache=StrictRedis(host='127.0.0.1'))

>From the ActiveTick instance we have access to all the functionality provided by the HTTP proxy with the following methods:

quoteData

quoteData(symbols, fields)

Returns instantaneous quote information (fields) on symbols check quote_fields.py for available options.:

fields = ['LastPrice', 'BidPrice', 'AskPrice']
df = at.quoteData(('SPY', 'TLT', 'TVIX'), fields)
print(df[fields].head())
  LastPrice BidPrice AskPrice
SPY 216.3 216.46 216.55
TLT 137.51 137.02 137.5
TVIX 18.15 18.2 18.25

quoteStream

quoteStream(symbols)

Returns a live updated quote stream iterator:

stream = at.quoteStream(('NUGT','DUST'))
for tick in stream:
    print(tick)

TODO: example df

barData

barData(symbol, historyType='I', intradayMinutes=60, beginTime=datetime, endTime=datetime)

Returns OHLCV data for singular symbol:

df = at.barData('INTC', historyType='I', beginTime=datetime(datetime.now().year, 9, 27))
print(df.head())
  open high low close volume
2016-09-28 09:00:00 37.52 37.52 37.25 37.395 1.79294e+06
2016-09-28 10:00:00 37.4 37.46 37.27 37.31 1.59818e+06
2016-09-28 11:00:00 37.31 37.32 37.15 37.28 1.32702e+06
2016-09-28 12:00:00 37.28 37.32 37.2 37.27 2.39398e+06
2016-09-28 13:00:00 37.275 37.39 37.22 37.37 1.23249e+06

tickData

tickData(symbol, trades=False, quotes=True, beginTime=datetime, endTime=dateime) Returns historical tick level quote and trade data for a symbol:

df = at.tickData('GDX', trades=True, quotes=False)
print(df.head())
  type last lastz lastx cond1 cond2 cond3 cond4
2016-09-28 09:30:00.091000 T 26.27 52073 P 0 0 17 0
2016-09-28 09:30:00.091000 T 26.27 52073 P 16 0 0 0
2016-09-28 09:30:00.182000 T 26.25 211 T 0 12 0 0
2016-09-28 09:30:00.184000 T 26.25 89 T 37 12 14 0
2016-09-28 09:30:00.185000 T 26.25 500 T 0 12 14 0

optionChain

optionChain(symbol)

Returns the symbols making up the optionchain for the underlying:

df = at.optionChain('SPY')
print(df.head())
   
0 OPTION:SPY—161014P00186000
1 OPTION:SPY—161012C00197000
2 OPTION:SPY—161014C00187000
3 OPTION:SPY—161014P00192000
4 OPTION:SPY—161012P00193000

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