Class: SQA::DataFrame::AlphaVantage

Inherits:
Object
  • Object
show all
Defined in:
lib/sqa/data_frame/alpha_vantage.rb

Constant Summary collapse

CONNECTION = 
Faraday.new(url: 'https://www.alphavantage.co')
HEADERS = 
YahooFinance::HEADERS
HEADER_MAPPING =

The Alpha Vantage headers are being remapped so that they match those of the Yahoo Finance CSV file.

{
  "date"            => HEADERS[0],
  "open"            => HEADERS[1],
  "high"            => HEADERS[2],
  "low"             => HEADERS[3],
  "close"           => HEADERS[4],
  "adjusted_close"  => HEADERS[5],
  "volume"          => HEADERS[6]
}
TRANSFORMERS = 
{
  HEADERS[1] => -> (v) { v.to_f.round(3) },
  HEADERS[2] => -> (v) { v.to_f.round(3) },
  HEADERS[3] => -> (v) { v.to_f.round(3) },
  HEADERS[4] => -> (v) { v.to_f.round(3) },
  HEADERS[5] => -> (v) { v.to_f.round(3) },
  HEADERS[6] => -> (v) { v.to_i }
}

Class Method Summary collapse

Class Method Details

.recent(ticker, full: false, from_date: nil) ⇒ Object

Get recent data from JSON API

ticker String the security to retrieve returns a DataFrame

NOTE: The function=TIME_SERIES_DAILY_ADJUSTED

is not a free API endpoint from Alpha Vantange.
So we are just using the free API endpoint
function=TIME_SERIES_DAILY
This means that we are not getting the
real adjusted closing price.  To sync
the columns with those from Yahoo Finance
we are duplicating the unadjusted clossing price
and adding that to the data frame as if it were
adjusted.



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# File 'lib/sqa/data_frame/alpha_vantage.rb', line 53

def self.recent(ticker, full: false, from_date: nil)

  # NOTE: Using the CSV format because the JSON format has
  #       really silly key values.  The column names for the
  #       CSV format are much better.
  response  = CONNECTION.get(
    "/query?" +
    "function=TIME_SERIES_DAILY&" +
    "symbol=#{ticker.upcase}&" +
    "apikey=#{SQA.av.key}&" +
    "datatype=csv&" +
    "outputsize=#{full ? 'full' : 'compact'}"
  ).to_hash

  unless 200 == response[:status]
    raise "Bad Response: #{response[:status]}"
  end

  raw           = response[:body].split
  headers       = raw.shift.split(',')

  headers[0]    = 'date'  # website returns "timestamp" but that
                          # has an unintended side-effect when
                          # the names are normalized.
                          # SMELL: IS THIS STILL TRUE?

  close_inx     = headers.size - 2
  adj_close_inx = close_inx + 1

  headers.insert(adj_close_inx, 'adjusted_close')

  aofh    = raw.map do |e|
              e2 = e.split(',')
              e2[1..-2] = e2[1..-2].map(&:to_f) # converting open, high, low, close
              e2[-1]    = e2[-1].to_i           # converting volumn
              e2.insert(adj_close_inx, e2[close_inx]) # duplicate the close price as a fake adj close price
              headers.zip(e2).to_h
            end

  if from_date
    aofh.reject!{|e| Date.parse(e['date']) < from_date}
  end

  return nil if aofh.empty?

  # ensure tha the data frame is
  # always sorted oldest to newest.

  if aofh.first['date'] > aofh.last['date']
    aofh.reverse!
  end

  SQA::DataFrame.from_aofh(aofh, mapping: HEADER_MAPPING, transformers: TRANSFORMERS)
end