Historical Data Providers

What is it?

A historical data provider provides OHLCV data from an external API at the lowest level. Each HistoricalDataProvider instance converts the actual data provider's format into the expected format for the rest of the code - a list of MarketDataEvent instances. Each data provider corresponds to a separate source - for example, a Yfinance HistoricalDataProvider derives data from exclusively Yahoo Finance.

Each historical data provider has a corresponding config, which allows for unique parameters to be passed to each instance.

See historical data provdier reference.

Yfinance

The Yfinance data provider allows for access to historical data without the necessity of an API key. However, Yfinance has its limitations; data may be sparse (as in, it may occasionally skip bars), strict data and rate limits are enforced, and not all symbols are supported (nor give accurate data).

See Yfinance reference

Creating a Historical Data Provider

class MyDataProvider(Generic[TConfig]):
    """
    A data provider from a single source.

    Attributes:
        TConfig: A corresponding config to the data provider. I.e. 
                 Yfinance -> YfinanceConfig.
    """
    @abstractmethod
    def get_bars(self, config: TConfig) -> list[MarketDataEvent]:
        """
        Returns a list of market data events for any configuration parameters. This polls the actual source and converts the results from the source into `MarketDataEvent` instances.
        """
        # Your implementation here.
        ...

    @abstractmethod
    def get_expected_timestamps(
        self,
        config: TConfig,
    ) -> Iterable[datetime]:
        """
        Returns an Iterable of the expected timestamps for the start & finishing timestamps of a configuration. Typically speaking, this comes from a designated `Calendar` implementation supplied during initialization.
        """
        ...