fds.sdk.FactSetIntradayTickHistory 0.21.6

FactSet Intraday Tick History client library for Python

FactSet Intraday Tick History client library for Python

FactSet’s Tick History provides cost-effective access to real-time and delayed global exchange data. Proprietary technology normalizes over 200 global exchanges and 19 tick history fields. Asset types integrated include equities, futures, options, fixed income, mutual funds, ETFs, indices, commodities, and FX rates.

Tick History provides dynamic access to tick data for a specific security intra-day or historically via standard HTTPS protocol. History is available for all quotes and trades for a trailing 6 months or 1-year, respectively. Quotes and trade data for Options is available for 30 days. Tick History data is also available in a separate end-of-day feed.

This Python package is automatically generated by the OpenAPI Generator project:

• API version: 1.0.0
• Package version: 0.21.6
• Build package: org.openapitools.codegen.languages.PythonClientCodegen

Requirements

• Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.FactSetIntradayTickHistory

pip

pip install fds.sdk.utils fds.sdk.FactSetIntradayTickHistory

Usage

1. Generate authentication credentials.
2. Setup Python environment.

   1. Install and activate python 3.7+. If you're using pyenv:

      pyenv install 3.9.7
      pyenv shell 3.9.7
      

   2. (optional) Install poetry.

3. Install dependencies.
4. Run the following:

from fds.sdk.utils.authentication import ConfidentialClient

import fds.sdk.FactSetIntradayTickHistory
from fds.sdk.FactSetIntradayTickHistory.api import first_trade_api
from fds.sdk.FactSetIntradayTickHistory.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint

# See configuration.py for a list of all supported configuration parameters.

# Examples for each supported authentication method are below,
# choose one that satisfies your use case.

# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.FactSetIntradayTickHistory.Configuration(
    fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)

# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.FactSetIntradayTickHistory.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.FactSetIntradayTickHistory.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = first_trade_api.FirstTradeApi(api_client)
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    id = "id_example" # str | Requested symbol or security. The symbol can be a FactSet exchange symbol, CUSIP, or SEDOL. **NOTE**: Only one identifier can be requested per request.<P>**TRY IT OUT** - Choose One from - BABA-USA,WALMEX-MX,7203-TKS,VOD-LON,NPN-JSE,MABAX,NZF,SPY-USA,AGG-USA,GLD-USA,AOR-USA,MNA-USA,UUP-USA,SP50-SPX,ESX-STX,XAO-ASX,WD-MSX,NG00-USA,GC00-USA,CC00-USA,C00-USA,FC00-USA,ER00-USA,EURUSD-FX1,USDMXN-FX1,AUDJPY-FX1,EURCZK-FX1,USDILS-FX1,USDZAR-FX1,US10YY-TU1,FDS#190621C00145000-USA,FDS#190621P00145000-USA
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    req_id = "req_id_example" # str | Request Identification String. Can be used by the application to keep track of requests. The id is not used by this service, however, it is included in the XML response. (optional)
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    start_date = "start_date_example" # str | This is the start date for the Snapshot History. Requests should be made in the format YYYYMMDD Default is current business day. Field can be sd or date. TRY IT OUT Cannot use current day. (optional)
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    start_time = "040000" # str | This is the start time for the snapshot history requested. Requests should be made in a **HHMMSSS** format.Range from 000000 - 235959. **TRY IT OUT** Cannot use current day (optional) if omitted the server will use the default value of "040000"
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    format = "XML" # str | The format of the output file. TRY IT OUT Choose from JSON, CSV, CSV_NO_HEADER (optional) if omitted the server will use the default value of "XML"
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    include_request = "false" # str | Flag to include request id and key in the CSV output. (optional) if omitted the server will use the default value of "false"
    # NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
    dataset = "" # str | Decides what type of trades to return, default is all trades and quotes, alternatively charting can be selected which will filter out unofficial trades. (optional)

    try:
        # Request returns data for the first trade (official and unofficial) after the specified time
        # example passing only required values which don't have defaults set
        # and optional values
        api_response = api_instance.tick_history_firsttrade_get(id, req_id=req_id, start_date=start_date, start_time=start_time, format=format, include_request=include_request, dataset=dataset)

        pprint(api_response)
    except fds.sdk.FactSetIntradayTickHistory.ApiException as e:
        print("Exception when calling FirstTradeApi->tick_history_firsttrade_get: %s\n" % e)

    # # Get response, http status code and response headers
    # try:
    #     # Request returns data for the first trade (official and unofficial) after the specified time
    #     api_response, http_status_code, response_headers = api_instance.tick_history_firsttrade_get_with_http_info(id, req_id=req_id, start_date=start_date, start_time=start_time, format=format, include_request=include_request, dataset=dataset)


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.FactSetIntradayTickHistory.ApiException as e:
    #     print("Exception when calling FirstTradeApi->tick_history_firsttrade_get: %s\n" % e)

    # # Get response asynchronous
    # try:
    #     # Request returns data for the first trade (official and unofficial) after the specified time
    #     async_result = api_instance.tick_history_firsttrade_get_async(id, req_id=req_id, start_date=start_date, start_time=start_time, format=format, include_request=include_request, dataset=dataset)
    #     api_response = async_result.get()


    #     pprint(api_response)
    # except fds.sdk.FactSetIntradayTickHistory.ApiException as e:
    #     print("Exception when calling FirstTradeApi->tick_history_firsttrade_get: %s\n" % e)

    # # Get response, http status code and response headers asynchronous
    # try:
    #     # Request returns data for the first trade (official and unofficial) after the specified time
    #     async_result = api_instance.tick_history_firsttrade_get_with_http_info_async(id, req_id=req_id, start_date=start_date, start_time=start_time, format=format, include_request=include_request, dataset=dataset)
    #     api_response, http_status_code, response_headers = async_result.get()


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.FactSetIntradayTickHistory.ApiException as e:
    #     print("Exception when calling FirstTradeApi->tick_history_firsttrade_get: %s\n" % e)

Using Pandas

To convert an API response to a Pandas DataFrame, it is necessary to transform it first to a dictionary.

import pandas as pd

response_dict = api_response.to_dict()['data']

simple_json_response = pd.DataFrame(response_dict)
nested_json_response = pd.json_normalize(response_dict)

Debugging

The SDK uses the standard library logging module.

Setting debug to True on an instance of the Configuration class sets the log-level of related packages to DEBUG and enables additional logging in Pythons HTTP Client.

Note: This prints out sensitive information (e.g. the full request and response). Use with care.

import logging
import fds.sdk.FactSetIntradayTickHistory

logging.basicConfig(level=logging.DEBUG)

configuration = fds.sdk.FactSetIntradayTickHistory.Configuration(...)
configuration.debug = True

Configure a Proxy

You can pass proxy settings to the Configuration class:

• proxy: The URL of the proxy to use.
• proxy_headers: a dictionary to pass additional headers to the proxy (e.g. Proxy-Authorization).

import fds.sdk.FactSetIntradayTickHistory

configuration = fds.sdk.FactSetIntradayTickHistory.Configuration(
    # ...
    proxy="http://secret:password@localhost:5050",
    proxy_headers={
        "Custom-Proxy-Header": "Custom-Proxy-Header-Value"
    }
)

Custom SSL Certificate

TLS/SSL certificate verification can be configured with the following Configuration parameters:

• ssl_ca_cert: a path to the certificate to use for verification in PEM format.
• verify_ssl: setting this to False disables the verification of certificates. Disabling the verification is not recommended, but it might be useful during local development or testing.

import fds.sdk.FactSetIntradayTickHistory

configuration = fds.sdk.FactSetIntradayTickHistory.Configuration(
    # ...
    ssl_ca_cert='/path/to/ca.pem'
)

Documentation for API Endpoints

All URIs are relative to https://api-sandbox.factset.com

Class	Method	HTTP request	Description
FirstTradeApi	tick_history_firsttrade_get	GET /TickHistory/firsttrade	Request returns data for the first trade (official and unofficial) after the specified time
LastTradeApi	tick_history_lasttrade_get	GET /TickHistory/lasttrade	Request returns data for the last trade and associated quotes before the specified time
QuoteAtTimeApi	tick_history_qat_get	GET /TickHistory/qat	Request returns a quote at the specified time
TickHistoryApi	get_tick_history	GET /TickHistory/history	Tick History service returns trade data and associated quotes for a client specified interval and time period
TradesAtTimeApi	tick_history_tradesattime_get	GET /TickHistory/tradesattime	Request returns the before and after trade data along with the associated quotes for the specified time

Documentation For Models

• Fields
• Intervals
• Specialfield
• TickhistoryResponse

Documentation For Authorization

FactSetApiKey

• Type: HTTP basic authentication

FactSetOAuth2

• Type: OAuth
• Flow: application
• Authorization URL:
• Scopes: N/A

Notes for Large OpenAPI documents

If the OpenAPI document is large, imports in fds.sdk.FactSetIntradayTickHistory.apis and fds.sdk.FactSetIntradayTickHistory.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:

Solution 1: Use specific imports for apis and models like:

• from fds.sdk.FactSetIntradayTickHistory.api.default_api import DefaultApi
• from fds.sdk.FactSetIntradayTickHistory.model.pet import Pet

Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:

import sys
sys.setrecursionlimit(1500)
import fds.sdk.FactSetIntradayTickHistory
from fds.sdk.FactSetIntradayTickHistory.apis import *
from fds.sdk.FactSetIntradayTickHistory.models import *

Contributing

Please refer to the contributing guide.

Copyright

Copyright 2022 FactSet Research Systems Inc

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.