market_prices | Get meaningful OHLCV datasets | Data Manipulation library

The above call was made 21 minutes after the NYSE open. Notice that the call returns the last 40 trading minutes of data, NOT the arbitrary number of trading minutes that may have fallen within the last 40 minutes according to the clock on the wall. Any interval can be evaluated (limited only by the availability of underlying data). NB Here the force option forced the right side of the last indice back to the session close. Above the period has been defined in calendar months ('years' and 'weeks' are also valid arguments). Daily data can be easily resampled to a higher interval. Although some indices are longer than three calendar days, they all comprise of three trading days (sessions) of data (all indices are closed on the 'right', such that data includes the session that represents the left side of the interval but NOT any session that might be represented by the right side.). Also, the period the dataset covers is 12 sessions, NOT the arbitrary number of sessions that fell within the last 12 days according to the calendar hanging on the wall. market_prices comes into its own with the creation of datasets comprising instruments that trade on different exchanges. By default prices are shown as missing when the exchange is closed (the time zone of the above output is UTC). Indices that would cover periods during which no symbol trades are excluded. (Scroll right on the output to see all the returned data.). Within any session missing prices between the open and the close are always filled with contiguous data. This happens even for illiquid instruments where the price data alone may give no indication of a session's open or close. (See the exchange_calendars section for how market_prices 'knows' the trading times of each symbol.). The get method has plenty of options to customize the output, including fill to fill in indices when an exchange is closed... The 'workback' anchor option offers an alternative to anchoring indices on each session's open. The following call requests two trading days of data to a specific minute, at 3 hour intervals, with data evaluated by working back from the last indice. The second indice can be seen to cross sessions. It partly covers the end of a Friday session and partly the start of the subsequent Monday session... Although that indice still comprises only the requested interval of 3 trading hours... The indices_trading_minutes method called above is available via the .pt accessor. (market_prices uses the .pt accessor to make available a host of properties and methods to directly interrogate the price data.). Whereas the above examples used the get method to create a dataset, the following methods provide for more specific queries. close_at returns the most recent close price as of a specific date. price_at returns prices as at a specific minute. price_range returns OHLCV data over a period defined with the same arguments as get. The quickstart.ipynb tutorial offers a fuller introduction. Here you'll find links to all the tutorials which collectively cover all that market_prices offers.