activetick-http 0.1

Pandas wrapper for ActiveTick HTTP Proxy

activetick_http

Python module that connects to ActiveTick HTTP proxy and supplies Pandas DataFrames. Requires requests for the quoteStream, and redis for caching.

tests run using pytest

How to use:

Run the [HTTP proxy supplied by ActiveTick](http://www.activetick.com/activetick/contents/PersonalServicesDataAPIDownload.aspx)and instantiate ActiveTick, the defaults are shown with a Redis cache enabled:

from activetick_http import ActiveTick

# Import the StrictRedis client to enable local persistent caching
from redis import StrictRedis

# ActiveTick initialized with Redis caching enabled (requires Redis)
at = ActiveTick(host='127.0.0.1', port=5000, cache=StrictRedis(host='127.0.0.1'))

From the ActiveTick instance we have access to all the functionality provided by the HTTP proxy with the following methods:

quoteData

quoteData(symbols, fields)

Returns instantaneous quote information (fields) on symbols check quote_fields.py for availiable options.:

fields = ['LastPrice', 'BidPrice', 'AskPrice']
df = at.quoteData(('SPY', 'TLT', 'TVIX'), fields)
print(df[fields].head())

	LastPrice	BidPrice	AskPrice
SPY	216.3	216.46	216.55
TLT	137.51	137.02	137.5
TVIX	18.15	18.2	18.25

quoteStream

quoteStream(symbols)

Returns a live updated quote stream iterator:

stream = at.quoteStream(('NUGT','DUST'))
for tick in stream:
    print(tick)

TODO: example df

barData

barData(*symbol, historyType='I', intradayMinutes=60, beginTime=datetime, endTime=datetime*)

Returns OHLCV data for singular symbol:

df = at.barData('INTC', historyType='I', beginTime=datetime(datetime.now().year, 9, 27))
print(df.head())

	open	high	low	close	volume
2016-09-28 09:00:00	37.52	37.52	37.25	37.395	1.79294e+06
2016-09-28 10:00:00	37.4	37.46	37.27	37.31	1.59818e+06
2016-09-28 11:00:00	37.31	37.32	37.15	37.28	1.32702e+06
2016-09-28 12:00:00	37.28	37.32	37.2	37.27	2.39398e+06
2016-09-28 13:00:00	37.275	37.39	37.22	37.37	1.23249e+06

tickData

tickData(*symbol, trades=False, quotes=True, beginTime=datetime, endTime=dateime*) Returns historical tick level quote and trade data for a symbol:

df = at.tickData('SPY', trades=True, quotes=False)
print(df.head())

	type	bid	ask	bidz	askz	bidx	askx	cond
2016-09-28 09:30:00.003000	T	215.83	100	Z	0	0	14	0
2016-09-28 09:30:00.003000	T	215.83	309	Z	0	0	14	0
2016-09-28 09:30:00.008000	T	215.83	200	Z	0	0	0	0
2016-09-28 09:30:00.008000	T	215.83	300	K	0	0	0	0
2016-09-28 09:30:00.008000	T	215.83	200	Z	0	0	0	0

optionChain

optionChain(symbol)

Returns the symbols making up the optionchain for the underlying:

df = at.optionChain('SPY')
print(df.head)

0	OPTION:SPY—161014P00186000
1	OPTION:SPY—161012C00197000
2	OPTION:SPY—161014C00187000
3	OPTION:SPY—161014P00192000
4	OPTION:SPY—161012P00193000