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README.md

OHLC

This module provides Open, High, Low, Close (OHLC) data (and volume) for trading applications.

The data currently comes from IQFeed, so you will need an account with API access from them.

Dependencies

IQFeed

Usage

All data is returned as a pandas DataFrame.

Both the start and end dates default to the current day.

Daily Data

from ohlc import ohlc

from datetime import datetime

daily_data = ohlc('SPY', start_date = datetime(2024, 1, 1))

Example data:

           Date    Open     High     Low   Close     Volume
0    2024-01-02  472.16  473.670  470.49  472.65  123007793
1    2024-01-03  470.43  471.190  468.17  468.79  103585866
2    2024-01-04  468.30  470.960  467.05  467.28   84232169
3    2024-01-05  467.49  470.440  466.43  467.92   86118913
4    2024-01-08  468.43  474.750  468.30  474.60   74879074
..          ...     ...      ...     ...     ...        ...
221  2024-11-15  589.72  590.200  583.86  585.75   75988766
222  2024-11-18  586.22  589.490  585.34  588.15   37084081
223  2024-11-19  584.71  591.045  584.03  590.30   49412046
224  2024-11-20  590.38  590.790  584.63  590.50   50032576
225  2024-11-21  593.40  595.120  587.45  593.67   46750285

Intraday / Minute Data

from ohlc import ohlc

from datetime import datetime

intraday_data = ohlc('SPY', minutes = 5, start_date = datetime(2024, 1, 1), end_date = datetime(2024, 1, 31))

If neither the start nor end date is provided, data for the current day is returned:

from ohlc import ohlc

todays_data = ohlc('SPY', minutes = 5)

Example data:

          Date      Time     Open      High       Low     Close   Volume
0   2024-11-22  09:35:00  593.660  594.5100  593.5700  594.5100  1084785
1   2024-11-22  09:40:00  594.480  594.7182  593.9800  594.7000   691893
2   2024-11-22  09:45:00  594.710  595.7800  594.6800  595.5800   809901
3   2024-11-22  09:50:00  595.610  596.1310  595.2300  595.6400   588006
4   2024-11-22  09:55:00  595.630  595.6900  594.6900  595.3342   521905
..         ...       ...      ...       ...       ...       ...      ...
65  2024-11-22  15:00:00  595.520  595.6300  595.3800  595.3999   140253
66  2024-11-22  15:05:00  595.390  595.3900  594.2300  594.5744   369153
67  2024-11-22  15:10:00  594.570  595.0100  594.5200  594.6147   174254
68  2024-11-22  15:15:00  594.620  594.6700  594.1700  594.2500   257970
69  2024-11-22  15:20:00  594.255  594.6900  594.1801  594.6150   184050