Add script for retrieving daily data, including falling back to intraday bars while the market is still open

daily_data.py

@@ -0,0 +1,39 @@
+from datetime import datetime, timedelta
+from pandas import concat, DataFrame
+
+from ohlc import ohlc
+
+def get_daily_data(symbol: str, start_date: datetime = datetime.today() - timedelta(days = 365), 
+        end_date: datetime = datetime.today()) -> DataFrame:
+    daily_data = ohlc(symbol = symbol, start_date = start_date, end_date = end_date)
+
+    """
+    The daily bar is not available for the current day until after market close.
+    It must be calculated using intraday (e.g., 5-minute) bars while the market is open.
+    """
+    today = datetime.today().strftime('%Y-%m-%d')
+    if today not in daily_data['Date'].values:
+        intraday_data = ohlc(symbol = symbol, minutes = 5)
+
+        open_price = intraday_data['Open'].iloc[0]
+        high_price = intraday_data['High'].max()
+        low_price = intraday_data['Low'].min()
+        close_price = intraday_data['Close'].iloc[-1]
+        total_volume = intraday_data['Total Volume'].iloc[-1]
+
+        todays_data = {
+            'Date': today,
+            'Open': open_price,
+            'High': high_price,
+            'Low': low_price,
+            'Close': close_price,
+            'Total Volume': total_volume,
+            'Period Volume': 0
+        }
+
+        daily_data = concat([daily_data, DataFrame([todays_data])], ignore_index = True)
+
+    return daily_data
+
+if __name__ == '__main__':
+    print(get_daily_data(symbol = 'SPY'))