pyalloq-data-connector

pyalloq-data-connector provides vendor-agnostic data adapters for PyAlloq. It handles fetching raw market data from various third-party APIs and automatically standardizes them into pure, time-aligned MarketData objects.

Supported Adapters

• YahooFinanceClient: Free adapter using Yahoo Finance (yfinance). No API key required.
• AlphaVantageClient: Adapter for Alpha Vantage Time Series Daily API.
• FinnhubClient: Adapter for Finnhub's stock candle endpoint.
• EODHistoricalDataClient: Adapter for EOD Historical Data API.

Features

• Standardized Output: Automatically converts heterogeneous JSON/DataFrame vendor payloads into T x N aligned price matrices (MarketData).
• Missing Value Handling: Implements forward filling (ffill) for prices and zero-filling for volume data.
• Time Alignment: Constructs unified datetime indices across all requested ticker symbols.

Quick Example

import datetime as dt
from pyalloq_data_connector.yahoo_finance import YahooFinanceClient

client = YahooFinanceClient()
start = dt.datetime(2023, 1, 1)
end = dt.datetime(2024, 1, 1)

# Fetch standardized MarketData object
market_data = client.get_market_data(
    tickers=["AAPL", "MSFT", "GOOGL"],
    start=start,
    end=end
)

print(market_data.prices.head())
print(market_data.features["volume"].head())