adding bulk fetch minute bars

pyEX/marketdata/ws.py

@@ -77,53 +77,53 @@ def tradesWS(symbols=None, on_data=None):
 def systemEventWS(on_data=None):
     '''https://iextrading.com/developer/docs/#system-event'''
     sendinit = ({'channels': ['systemevent']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def tradingStatusWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#trading-status'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['tradingstatus']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def opHaltStatusWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#operational-halt-status'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['ophaltstatus']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def ssrStatusWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#short-sale-price-test-status'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['ssr']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def securityEventWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#security-event'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['securityevent']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def tradeBreakWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#trade-break'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['tradebreaks']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def auctionWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#auction'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['auction']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)
 
 
 def officialPriceWS(symbols=None, on_data=None):
     '''https://iextrading.com/developer/docs/#official-price'''
     symbols = _strToList(symbols)
     sendinit = ({'symbols': symbols, 'channels': ['official-price']},)
-    return _stream(_wsURL('/deep'), sendinit, on_data)
+    return _stream(_wsURL('deep'), sendinit, on_data)

pyEX/stocks.py

@@ -1,3 +1,4 @@
+import itertools
 import requests
 import pandas as pd
 from io import BytesIO
@@ -8,6 +9,7 @@
 
 
 def batch(symbols, types=None, _range='1m', last=10):
+    '''fetch a large number of fields at the same time'''
     types = types or _BATCH_TYPES
 
     if not isinstance(symbols, [].__class__):
@@ -31,6 +33,7 @@ def batch(symbols, types=None, _range='1m', last=10):
 
 
 def batchDF(symbols, types=None, _range='1m', last=10):
+    '''fetch a large number of fields at the same time'''
     x = batch(symbols, types, _range, last)
 
     ret = {}
@@ -53,6 +56,7 @@ def batchDF(symbols, types=None, _range='1m', last=10):
 
 
 def bulkBatch(symbols, types=None, _range='1m', last=10):
+    '''fetch a large number of fields for multiple symbols all at the same time'''
     types = types or _BATCH_TYPES
     args = []
     empty_data = []
@@ -86,6 +90,7 @@ def bulkBatch(symbols, types=None, _range='1m', last=10):
 
 
 def bulkBatchDF(symbols, types=None, _range='1m', last=10):
+    '''fetch a large number of fields for multiple symbols all at the same time'''
     dat = bulkBatch(symbols, types, _range, last)
     ret = {}
     for symbol in dat:
@@ -181,6 +186,32 @@ def chartDF(symbol, timeframe='1m', date=None):
     return df
 
 
+def batchMinuteBars(symbol, dates):
+    '''fetch many dates worth of minute-bars for a given symbol'''
+    _raiseIfNotStr(symbol)
+    dates = [_strOrDate(date) for date in dates]
+    list_orig = dates.__class__
+
+    args = []
+    for date in dates:
+        args.append((symbol, '1d', date))
+
+    pool = ThreadPool(20)
+    rets = pool.starmap(chart, args)
+    pool.close()
+
+    return list_orig(itertools.chain(*rets))
+
+
+def batchMinuteBarsDF(symbol, dates):
+    '''fetch many dates worth of minute-bars for a given symbol'''
+    data = batchMinuteBars(symbol, dates)
+    df = pd.DataFrame(data)
+    _toDatetime(df)
+    df.set_index(['date', 'minute'], inplace=True)
+    return df
+
+
 def company(symbol):
     '''https://iextrading.com/developer/docs/#company'''
     _raiseIfNotStr(symbol)

ws.ipynb

@@ -0,0 +1,85 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pyEX"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "c = pyEX.topsWS(symbols='SIRI', on_data=print)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "c.run()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 16,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "c = pyEX.tradesWS(symbols=['AAPL', 'SNAP', 'MSFT'], on_data=print)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "WARNING:socketIO-client:ws-api.iextrading.com:443/socket.io [connection error] recv disconnected ([Errno 60] Operation timed out)\n"
+     ]
+    }
+   ],
+   "source": [
+    "c.run()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.7.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}