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Add optional feed argument to the market data methods #625

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merged 1 commit into from
Jun 2, 2022
Merged

Add optional feed argument to the market data methods #625

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65 changes: 47 additions & 18 deletions alpaca_trade_api/rest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -261,8 +261,12 @@ def patch(self, path, data=None):
def delete(self, path, data=None):
return self._request('DELETE', path, data)

def data_get(self, path, data=None, api_version='v1'):
def data_get(self, path, data=None,
feed: Optional[str] = None, api_version='v1'):
base_url: URL = get_data_url()
if feed:
data = data or {}
data['feed'] = feed
return self._request(
'GET', path, data, base_url=base_url, api_version=api_version,
)
Expand Down Expand Up @@ -552,6 +556,7 @@ def _data_get(self,
endpoint_base: str = 'stocks',
resp_grouped_by_symbol: Optional[bool] = None,
page_limit: int = DATA_V2_MAX_LIMIT,
feed: Optional[str] = None,
**kwargs):
page_token = None
total_items = 0
Expand All @@ -574,7 +579,8 @@ def _data_get(self,
data['symbols'] = ','.join(symbol_or_symbols)
if endpoint:
path += f'/{endpoint}'
resp = self.data_get(path, data=data, api_version=api_version)
resp = self.data_get(path, data=data, feed=feed,
api_version=api_version)
if not resp_grouped_by_symbol:
k = endpoint or endpoint_base
for item in resp.get(k, []) or []:
Expand All @@ -596,9 +602,10 @@ def get_trades_iter(self,
start: Optional[str] = None,
end: Optional[str] = None,
limit: int = None,
feed: Optional[str] = None,
raw=False) -> TradeIterator:
trades = self._data_get('trades', symbol,
start=start, end=end, limit=limit)
start=start, end=end, limit=limit, feed=feed)
for trade in trades:
if raw:
yield trade
Expand All @@ -610,19 +617,21 @@ def get_trades(self,
start: Optional[str] = None,
end: Optional[str] = None,
limit: int = None,
feed: Optional[str] = None,
) -> TradesV2:
trades = list(self.get_trades_iter(symbol,
start, end, limit, raw=True))
start, end, limit, feed, raw=True))
return TradesV2(trades)

def get_quotes_iter(self,
symbol: Union[str, List[str]],
start: Optional[str] = None,
end: Optional[str] = None,
limit: int = None,
feed: Optional[str] = None,
raw=False) -> QuoteIterator:
quotes = self._data_get('quotes', symbol,
start=start, end=end, limit=limit)
start=start, end=end, limit=limit, feed=feed)
for quote in quotes:
if raw:
yield quote
Expand All @@ -634,11 +643,13 @@ def get_quotes(self,
start: Optional[str] = None,
end: Optional[str] = None,
limit: int = None,
feed: Optional[str] = None,
) -> QuotesV2:
quotes = list(self.get_quotes_iter(symbol,
start,
end,
limit,
quotes = list(self.get_quotes_iter(symbol=symbol,
start=start,
end=end,
limit=limit,
feed=feed,
raw=True))
return QuotesV2(quotes)

Expand All @@ -649,11 +660,12 @@ def get_bars_iter(self,
end: Optional[str] = None,
adjustment: str = 'raw',
limit: int = None,
feed: Optional[str] = None,
raw=False) -> BarIterator:
bars = self._data_get('bars', symbol,
timeframe=timeframe,
adjustment=adjustment,
start=start, end=end, limit=limit)
start=start, end=end, limit=limit, feed=feed)
for bar in bars:
if raw:
yield bar
Expand All @@ -667,60 +679,77 @@ def get_bars(self,
end: Optional[str] = None,
adjustment: str = 'raw',
limit: int = None,
feed: Optional[str] = None,
) -> BarsV2:
bars = list(self.get_bars_iter(symbol,
timeframe,
start,
end,
adjustment,
limit,
feed=feed,
raw=True))
return BarsV2(bars)

def get_latest_bar(self, symbol: str) -> BarV2:
def get_latest_bar(self, symbol: str, feed: Optional[str] = None) -> BarV2:
resp = self.data_get(
'/stocks/{}/bars/latest'.format(symbol),
feed=feed,
api_version='v2')
return self.response_wrapper(resp['bar'], BarV2)

def get_latest_bars(self, symbols: List[str]) -> LatestBarsV2:
def get_latest_bars(self, symbols: List[str],
feed: Optional[str] = None) -> LatestBarsV2:
resp = self.data_get(
f'/stocks/bars/latest?symbols={_join_with_commas(symbols)}',
feed=feed,
api_version='v2')
return self.response_wrapper(resp['bars'], LatestBarsV2)

def get_latest_trade(self, symbol: str) -> TradeV2:
def get_latest_trade(self, symbol: str,
feed: Optional[str] = None) -> TradeV2:
resp = self.data_get(
'/stocks/{}/trades/latest'.format(symbol),
feed=feed,
api_version='v2')
return self.response_wrapper(resp['trade'], TradeV2)

def get_latest_trades(self, symbols: List[str]) -> LatestTradesV2:
def get_latest_trades(self, symbols: List[str],
feed: Optional[str] = None) -> LatestTradesV2:
resp = self.data_get(
f'/stocks/trades/latest?symbols={_join_with_commas(symbols)}',
feed=feed,
api_version='v2')
return self.response_wrapper(resp['trades'], LatestTradesV2)

def get_latest_quote(self, symbol: str) -> QuoteV2:
def get_latest_quote(self, symbol: str,
feed: Optional[str] = None) -> QuoteV2:
resp = self.data_get(
'/stocks/{}/quotes/latest'.format(symbol),
feed=feed,
api_version='v2')
return self.response_wrapper(resp['quote'], QuoteV2)

def get_latest_quotes(self, symbols: List[str]) -> LatestQuotesV2:
def get_latest_quotes(self, symbols: List[str],
feed: Optional[str] = None) -> LatestQuotesV2:
resp = self.data_get(
f'/stocks/quotes/latest?symbols={_join_with_commas(symbols)}',
feed=feed,
api_version='v2')
return self.response_wrapper(resp['quotes'], LatestQuotesV2)

def get_snapshot(self, symbol: str) -> SnapshotV2:
def get_snapshot(self, symbol: str,
feed: Optional[str] = None) -> SnapshotV2:
resp = self.data_get('/stocks/{}/snapshot'.format(symbol),
feed=feed,
api_version='v2')
return self.response_wrapper(resp, SnapshotV2)

def get_snapshots(self, symbols: List[str]) -> SnapshotsV2:
def get_snapshots(self, symbols: List[str],
feed: Optional[str] = None) -> SnapshotsV2:
resp = self.data_get(
'/stocks/snapshots?symbols={}'.format(_join_with_commas(symbols)),
feed=feed,
api_version='v2')
return self.response_wrapper(resp, SnapshotsV2)

Expand Down