Yahoo & Alphavantage feeds

Source/Basics/TBars.cs

@@ -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
@@ -69,8 +75,8 @@ public class TBars : System.Collections.Generic.List<(DateTime t, double o, doub
         };
     }
     
-    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

@@ -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

@@ -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")
+        Symbol: stock ("AAPL"),
-        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
         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;
-            }
 
-        }
+        string req = "https://www.alphavantage.co/query?function=TIME_SERIES_DAILY_ADJUSTED" + "&symbol=" + Symbol + "&apikey=" + APIkey;
-        if (json.ValueKind == JsonValueKind.Undefined)
+        var msg = client.GetStringAsync(req).Result;
-        {
+        var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
-            string req = "https://www.alphavantage.co/query?function=TIME_SERIES" + GetInterval(Interval) + "&symbol=" + Symbol + "&outputsize=" + outputsize + "&apikey=" + APIkey;
+        jres.TryGetProperty("Time Series (Daily)", out json);
-            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)); }
-        }
         
+        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

@@ -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

@@ -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);
+        }
+    }
+}