Forked from yoshyoshi/gist:5a35a23ac263747eabc70906fd037ff3
Created
June 19, 2020 23:20
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download and store OHLCV data into a CSV
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| import alpaca_trade_api as tradeapi | |
| api = tradeapi.REST(key_id=<your key id>,secret_key=<your secret key>) | |
| storageLocation = "<your folder location>" | |
| barTimeframe = "1H" # 1Min, 5Min, 15Min, 1H, 1D | |
| assetsToDownload = ["SPY","MSFT","AAPL","NFLX"] | |
| iteratorPos = 0 # Tracks position in list of symbols to download | |
| assetListLen = len(assetsToDownload) | |
| while iteratorPos < assetListLen: | |
| symbol = assetsToDownload[iteratorPos] | |
| dataFile = "" | |
| lastDate = "2013-00-00T00:00:00.000Z" # ISO8601 Date | |
| # Verifies if symbol file exists | |
| try: # If file exists, reads the time of the last bar | |
| dataFile = open(storageLocation + '{0}.csv'.format(symbol), 'a+') | |
| lastDate = list(csv.DictReader(dataFile))[-1]["time"] | |
| except: # If not, initialises new CSV file | |
| dataFile = open(storageLocation + '{0}.csv'.format(symbol), 'w') | |
| dataFile.write("time,open,high,low,close,volume\n") | |
| returned_data = api.get_bars(symbol,barTimeframe,start_dt=lastDate).bars | |
| # Reads, formats and stores the new bars | |
| for bar in returned_data: | |
| ret_time = str(bar.time) | |
| ret_open = str(bar.open) | |
| ret_high = str(bar.high) | |
| ret_low = str(bar.low) | |
| ret_close = str(bar.close) | |
| ret_volume = str(bar.volume) | |
| # Writes formatted line to CSV file | |
| dataFile.write(ret_time + "," + ret_open + "," + ret_high + "," + ret_low + "," + ret_close + "," + ret_volume) | |
| dataFile.close() | |
| iteratorPos += 1 | |
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