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add support for Alpha Vantage batch quotes #213
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Great idea! 1) I agree that this should go in I don't have any specific thoughts right now. General comments are in the contributing guide. Thanks for contributing! |
I have this working version of mostly done. Along the way I realized this the AV function only returns current price, without OHL & V. I have reached out to AV asking them to enhance their API. will hold off on submitting this for a bit until I get a response (either way) from them. |
@ethanbsmith quotes typically will only contain current price. Trade feeds typically contain only trades. Many/Most exchanges don't report current volume, you typically have to aggregate that number yourself. The exchange only reports (if they report it at all) after the close. Though I am a little confused that your prior report said 'volume' was one of the included fields. |
their other single ticker functions all return an OHLCV time series result set |
I know that for many of my use cases, i still need OHL & V for the day. The only way to get those is to loop through my ticker list, making round trip calls on their single ticker API. So, for me, i would never actually use the multi-ticker API as it stands. |
@ethanbsmith any update on this? I need to get an update to CRAN in ~2 weeks, and it would be nice if this were included! |
I still have not heard back from AV on changing their API, so I have put in a PR with the working code based on the existing API. The PR failed CI, but from the logs, I think this may be an issue with getSymbols.google, rather than the new code. Any hints/suggestions welcome |
@ethanbsmith Thanks for the update. You're correct that the failure is caused by |
It seems Alphavantage's API has changed and they do not have batch quotes anymore. Only single quote, like this. So current getQuote does not work anymore: getQuote(c('IBM','F'), src='av', api.key='yourOwn') # No data for symbols: IBM, F |
@helgasoft Thanks for the report! Could you please put this in a separate issue, so it doesn't get lost? I'd also really appreciate it if you could submit a PR. If you're not comfortable doing that, I'd still appreciate a suggested patch. |
Description
Alpha Vantage recently added support for getting current price quotes fro multiple symbols. this is similar to the getQuote functionality form Yahoo. I think it would be good to extend the getQuote function to support this API, since AV provides real-time quotes vs yahoos 15 minutes delay
Full docs: https://www.alphavantage.co/documentation/#batchquotes
There are a few issues worth considering:
symbol,price,volume,timestamp
in the output. this differs significantly from the yahoo version, but I think still fits within the quantmod framework, where different sources return different outputany issues/thoughts before i get started on a PR
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