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Yahoo & Alphavantage feeds

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This commit is contained in:
Miha Kralj
2022-11-10 15:36:34 -08:00
parent f62e9c76b8 274c5d18da
commit 0a4d38fc73
5 changed files with 87 additions and 85 deletions
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Source/Basics/TBars.cs
+8 -2
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@@ -36,6 +36,12 @@ public class TBars : System.Collections.Generic.List<(DateTime t, double o, doub
public TSeries OHLC4 => this._ohlc4;
public TSeries HLCC4 => this._hlcc4;
public TBars Tail(int count=10) {
TBars outBars = new();
if (count > this.Count) { count = this.Count; }
for (int i = this.Count-count; i<this.Count; i++) { outBars.Add(this[i]); }
return outBars;
}
public TSeries Select(int source)
{
return source switch
@@ -68,9 +74,9 @@ public class TBars : System.Collections.Generic.List<(DateTime t, double o, doub
_ => "Weighted",
};
}
public void
Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false)
=> Add(i.t, i.o, i.h, i.l, i.c, i.v, update);
public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false)
Source/Basics/TSeries.cs
+7
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@@ -40,6 +40,13 @@ public class TSeries : System.Collections.Generic.List<(DateTime t, double v)>
public int Length => this.Count;
public TSeries Tail(int count=10) {
TSeries outSeries = new();
if (count > this.Count) { count = this.Count; }
for (int i = this.Count-count; i<this.Count; i++) { outSeries.Add(this[i]); }
return outSeries;
}
// add/update one (t,v) tuple to/at the end of the list
public void Add((DateTime t, double v) TValue, bool update = false)
{
Source/Feeds/Alphavantage_Feed.cs
+14 -81
View File
@@ -3,86 +3,32 @@ using System;
using System.Text.Json;
/* <summary>
Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requires a (free) API key
Alphavantage - Free API to collect 100 recent daily quotes. It requires a (free) API key
Get API key at https://www.alphavantage.co/support/#api-key
Parameters:
Symbol: stock ("AAPL"), crypto ("BTC") or forex pair (divided by dash: "USD-EUR")
Extended: if true, return 2,000 rows. if false, return 100 rows
Interval: enum with options of Month, Week, Day, Hour, Min30, Min15, Min5, Min1
Symbol: stock ("AAPL"),
APIkey: unique Alphavantage API key
Usage:
Alphavantage_Feed ticker = new("MSFT", APIkey:"xxxxxxx");
</summary> */
public class Alphavantage_Feed : TBars
{
public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
public Alphavantage_Feed(string Symbol = "IBM", bool Extended = false, Interval Interval = Interval.Day, string APIkey = "demo")
public Alphavantage_Feed(string Symbol = "IBM", string APIkey = "demo")
{
string outputsize = "compact";
if (Extended) { outputsize = "full"; }
System.Net.Http.HttpClient client = new();
JsonElement json = new();
var tokens = Symbol.Split('-');
if (tokens.Length > 1)
{
string req = "https://www.alphavantage.co/query?function=FX" + GetInterval(Interval) + "&from_symbol=" + tokens[0] + "&to_symbol=" + tokens[1] + "&outputsize=" + outputsize + "&apikey=" + APIkey;
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Time Series FX (Monthly)", out json); break;
case Interval.Week: jres.TryGetProperty("Time Series FX (Weekly)", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series FX (Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series FX (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series FX (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series FX (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series FX (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series FX (1min)", out json); break;
}
}
if (json.ValueKind == JsonValueKind.Undefined)
{
string req = "https://www.alphavantage.co/query?function=TIME_SERIES" + GetInterval(Interval) + "&symbol=" + Symbol + "&outputsize=" + outputsize + "&apikey=" + APIkey;
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Monthly Time Series", out json); break;
case Interval.Week: jres.TryGetProperty("Weekly Time Series", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series (Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series (1min)", out json); break;
}
}
if (json.ValueKind == JsonValueKind.Undefined)
{
string req;
if ((int)Interval < 3) { req = "https://www.alphavantage.co/query?function=DIGITAL_CURRENCY" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
else { req = "https://www.alphavantage.co/query?function=CRYPTO" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Time Series (Digital Currency Monthly)", out json); break;
case Interval.Week: jres.TryGetProperty("Time Series (Digital Currency Weekly)", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series (Digital Currency Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series Crypto (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series Crypto (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series Crypto (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series Crypto (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series Crypto (1min)", out json); break;
}
}
if (json.ValueKind != JsonValueKind.Undefined)
{
foreach (var val in json.EnumerateObject()) { base.Add(GetOHLC(val)); }
}
string req = "https://www.alphavantage.co/query?function=TIME_SERIES_DAILY_ADJUSTED" + "&symbol=" + Symbol + "&apikey=" + APIkey;
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
jres.TryGetProperty("Time Series (Daily)", out json);
if (json.ValueKind == JsonValueKind.Undefined) {throw new InvalidOperationException("Stock symbol "+Symbol+" not found"); }
foreach (var val in json.EnumerateObject()) { base.Add(GetOHLC(val)); }
base.Reverse();
}
private static (DateTime t, double o, double h, double l, double c, double v) GetOHLC(JsonProperty json)
{
@@ -101,25 +47,12 @@ public class Alphavantage_Feed : TBars
case "3b. low (USD)": l = Convert.ToDouble(val.Value.ToString()); break;
case "4. close": c = Convert.ToDouble(val.Value.ToString()); break;
case "4b. close (USD)": c = Convert.ToDouble(val.Value.ToString()); break;
case "5. adjusted close": c = Convert.ToDouble(val.Value.ToString()); break;
//case "5. adjusted close": c = Convert.ToDouble(val.Value.ToString()); break;
case "5. volume": v = Convert.ToDouble(val.Value.ToString()); break;
case "6. volume": v = Convert.ToDouble(val.Value.ToString()); break;
}
}
return (date, o, h, l, c, v);
}
private static string GetInterval(Interval interval = Interval.Day) => interval switch
{
Interval.Month => "_MONTHLY",
Interval.Week => "_WEEKLY",
Interval.Day => "_DAILY_ADJUSTED",
Interval.Hour => "_INTRADAY&interval=60min",
Interval.Min30 => "_INTRADAY&interval=30min",
Interval.Min15 => "_INTRADAY&interval=15min",
Interval.Min5 => "_INTRADAY&interval=5min",
Interval.Min1 => "_INTRADAY&interval=1min",
_ => "_DAILY"
};
}
Source/Feeds/GBM_Feed.cs
+2 -2
View File
@@ -20,10 +20,10 @@ GBM - Geometric Brownian Motion is a random simulator of market movement, return
public class GBM_Feed : TBars
{
static double seed;
private double seed;
readonly double drift, volatility;
public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
seed = Seed;
this.seed = Seed;
volatility = Volatility*0.01;
drift = Drift*0.01;
for (int i = 0; i <Bars; i++) {
Source/Feeds/Yahoo_Feed.cs
+56
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@@ -0,0 +1,56 @@
namespace QuanTAlib;
using System;
using System.Text.Json;
/* <summary>
Yahoo Finance - Free API feed to collect daily market quotes
Parameters:
Symbol: stock symbol (default: "IBM")
Period: number of days of collected history (default: 252)
Usage:
Yahoo_Feed ticker = new("MSFT", 20);
</summary> */
public class Yahoo_Feed : TBars
{
private static string requestUrl;
public Yahoo_Feed(string Symbol = "IBM", int Period = 252) {
requestUrl = "https://query1.finance.yahoo.com/v8/finance/chart/"+
Symbol+"?interval=1d&period1="+
(int)new DateTimeOffset(DateTime.UtcNow.AddDays(-Period+1)).ToUnixTimeSeconds()+"&period2="+
(int)new DateTimeOffset(DateTime.UtcNow).ToUnixTimeSeconds();
System.Net.Http.HttpClient client = new();
var msg = client.GetStringAsync(requestUrl).Result;
var jresult = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
JsonElement json = new();
JsonElement datetime = new();
JsonElement open = new();
JsonElement high = new();
JsonElement low = new();
JsonElement close = new();
JsonElement volume = new();
jresult.TryGetProperty("chart",out json);
json.TryGetProperty("result",out json);
json[0].TryGetProperty("timestamp",out datetime);
json[0].TryGetProperty("indicators",out json);
json.TryGetProperty("quote",out json);
json[0].TryGetProperty("open",out open);
json[0].TryGetProperty("high",out high);
json[0].TryGetProperty("low",out low);
json[0].TryGetProperty("close",out close);
json[0].TryGetProperty("volume",out volume);
for (int i=0; i<datetime.GetArrayLength(); i++) {
DateTime d = DateTimeOffset.FromUnixTimeSeconds(long.Parse(datetime[i].GetRawText())).DateTime;
double o = Math.Round(double.Parse(open[i].GetRawText()),3);
double h = Math.Round(double.Parse(high[i].GetRawText()),3);
double l = Math.Round(double.Parse(low[i].GetRawText()),3);
double c = Math.Round(double.Parse(close[i].GetRawText()),3);
double v = Math.Round(double.Parse(volume[i].GetRawText()),3);
base.Add(d, o, h, l, c, v);
}
}
}