Skip to main content

Market Data API 入门

机器翻译译自英文（docs.alpaca.markets）本页 11 段已全部译完

安装 Alpaca 的客户端 SDK

在本指南中，我们将使用 Alpaca 提供的 SDK。Alpaca 维护四种语言的 SDK：Python、JavaScript、C# 和 Go。在继续下一节之前，请按照下方安装指南中的步骤安装你选择的 SDK。

pip install alpaca-py
go get -u github.com/alpacahq/alpaca-trade-api-go/v3/alpaca
npm install --save @alpacahq/alpaca-trade-api
dotnet add package Alpaca.Markets

生成 API 密钥

前往 Alpaca 仪表盘，在右侧边栏找到 API Keys 部分。点击 Generate New Keys 并保存生成的 API 凭证。如果你之前在那里生成过密钥但丢失了 secret，也可以在这里重新生成。

如何通过 SDK 请求市场数据

SDK 安装完成且 API 密钥就绪后，你就可以开始请求市场数据了。Alpaca 为历史数据和实时数据提供了许多选项，因此为保持本指南简洁，这些示例仅涉及获取历史和实时 bar 数据。有关其他可用数据的更多信息，请参阅 Market Data API 参考。

要开始使用 SDK 获取历史数据，请导入 SDK 并实例化加密货币历史数据客户端。然后定义参数并发送请求，例如查询 2022 年 9 月第一周比特币的历史日 bar 数据。

from alpaca.data.historical import CryptoHistoricalDataClient
from alpaca.data.requests import CryptoBarsRequest
from alpaca.data.timeframe import TimeFrame

# No keys required for crypto data
client = CryptoHistoricalDataClient()

# Creating request object
request_params = CryptoBarsRequest(
  symbol_or_symbols=["BTC/USD"],
  timeframe=TimeFrame.Day,
  start=datetime(2022, 9, 1),
  end=datetime(2022, 9, 7)
)

# Retrieve daily bars for Bitcoin in a DataFrame and printing it
btc_bars = client.get_crypto_bars(request_params)

# Convert to dataframe
btc_bars.df

"""
Result

symbol  timestamp                  open      high      low       close      volume       trade_count          vwap
BTC/USD 2022-09-01 05:00:00+00:00  20055.79  20292.00  19564.86  20156.76   7141.975485     110122.0  19934.167845
        2022-09-02 05:00:00+00:00  20156.76  20444.00  19757.72  19919.47   7165.911879      96231.0  20075.200868
        2022-09-03 05:00:00+00:00  19924.83  19968.20  19658.04  19806.11   2677.652012      51551.0  19800.185480
        2022-09-04 05:00:00+00:00  19805.39  20058.00  19587.86  19888.67   4325.678790      62082.0  19834.451414
        2022-09-05 05:00:00+00:00  19888.67  20180.50  19635.96  19760.56   6274.552824      84784.0  19812.095982
        2022-09-06 05:00:00+00:00  19761.39  20026.91  18534.06  18724.59  11217.789784     128106.0  19266.835520
"""
package main

import "github.com/alpacahq/alpaca-trade-api-go/v3/marketdata"

func main() {
	// No keys required for crypto data
	client := marketdata.NewClient(marketdata.ClientOpts{})

	request := marketdata.GetCryptoBarsRequest{
		TimeFrame: marketdata.OneDay,
		Start:     time.Date(2022, 9, 1, 0, 0, 0, 0, time.UTC),
		End:       time.Date(2022, 9, 7, 0, 0, 0, 0, time.UTC),
	}

	bars, err := client.GetCryptoBars("BTC/USD", request)
	if err != nil {
		panic(err)
	}
	for _, bar := range bars {
		fmt.Printf("%+v\n", bar)
	}
}

/*
Result

{Timestamp:2022-09-01 05:00:00 +0000 UTC Open:20055.79 High:20292 Low:19564.86 Close:20156.76 Volume:7141.975485 TradeCount:110122 VWAP:19934.1678446199}
{Timestamp:2022-09-02 05:00:00 +0000 UTC Open:20156.76 High:20444 Low:19757.72 Close:19919.47 Volume:7165.911879 TradeCount:96231 VWAP:20075.2008677126}
{Timestamp:2022-09-03 05:00:00 +0000 UTC Open:19924.83 High:19968.2 Low:19658.04 Close:19806.11 Volume:2677.652012 TradeCount:51551 VWAP:19800.1854803241}
{Timestamp:2022-09-04 05:00:00 +0000 UTC Open:19805.39 High:20058 Low:19587.86 Close:19888.67 Volume:4325.67879 TradeCount:62082 VWAP:19834.4514137038}
{Timestamp:2022-09-05 05:00:00 +0000 UTC Open:19888.67 High:20180.5 Low:19635.96 Close:19760.56 Volume:6274.552824 TradeCount:84784 VWAP:19812.0959815687}
{Timestamp:2022-09-06 05:00:00 +0000 UTC Open:19761.39 High:20026.91 Low:18534.06 Close:18724.59 Volume:11217.789784 TradeCount:128106 VWAP:19266.8355201911}
*/
import Alpaca from "@alpacahq/alpaca-trade-api";

(async () => {
  // Alpaca() requires the API key and sectret to be set, even for crypto
  const alpaca = new Alpaca({
    keyId: "YOUR_API_KEY",
    secretKey: "YOUR_API_SECRET",
  });

  const options = {
    start: "2022-09-01",
    end: "2022-09-07",
    timeframe: alpaca.newTimeframe(1, alpaca.timeframeUnit.DAY),
  };

  const bars = await alpaca.getCryptoBars(["BTC/USD"], options);
  console.table(bars.get("BTC/USD"));
})();

/*
Result

┌─────────┬──────────┬──────────┬──────────┬────────────┬──────────┬────────────────────────┬──────────────┬──────────────────┐
│ (index) │ Close    │ High     │ Low      │ TradeCount │ Open     │ Timestamp              │ Volume       │ VWAP             │
├─────────┼──────────┼──────────┼──────────┼────────────┼──────────┼────────────────────────┼──────────────┼──────────────────┤
│ 0       │ 20156.76 │ 20292    │ 19564.86 │ 110122     │ 20055.79 │ '2022-09-01T05:00:00Z' │ 7141.975485  │ 19934.1678446199 │
│ 1       │ 19919.47 │ 20444    │ 19757.72 │ 96231      │ 20156.76 │ '2022-09-02T05:00:00Z' │ 7165.911879  │ 20075.2008677126 │
│ 2       │ 19806.11 │ 19968.2  │ 19658.04 │ 51551      │ 19924.83 │ '2022-09-03T05:00:00Z' │ 2677.652012  │ 19800.1854803241 │
│ 3       │ 19888.67 │ 20058    │ 19587.86 │ 62082      │ 19805.39 │ '2022-09-04T05:00:00Z' │ 4325.67879   │ 19834.4514137038 │
│ 4       │ 19760.56 │ 20180.5  │ 19635.96 │ 84784      │ 19888.67 │ '2022-09-05T05:00:00Z' │ 6274.552824  │ 19812.0959815687 │
│ 5       │ 18724.59 │ 20026.91 │ 18534.06 │ 128106     │ 19761.39 │ '2022-09-06T05:00:00Z' │ 11217.789784 │ 19266.8355201911 │
└─────────┴──────────┴──────────┴──────────┴────────────┴──────────┴────────────────────────┴──────────────┴──────────────────┘
*/
using Alpaca.Markets;
using System;

var client = Environments.Paper.GetAlpacaCryptoDataClient(
    new SecretKey("YOUR_API_KEY", "YOUR_API_SECRET"));

var request = new HistoricalCryptoBarsRequest(
    "BTC/USD",
    new DateTime(2022, 9, 1, 0, 0, 0, DateTimeKind.Utc),
    new DateTime(2022, 9, 7, 0, 0, 0, DateTimeKind.Utc),
    BarTimeFrame.Day);

var bars = await client.ListHistoricalBarsAsync(request);

foreach (var bar in bars.Items)
{
    Console.WriteLine($"{bar.Symbol} {bar.TimeUtc:O} O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume} Trades:{bar.TradeCount} VWAP:{bar.Vwap}");
}

/*
Result

BTC/USD 2022-09-01T00:00:00.0000000Z O:20051.81 H:20205.83 L:19564.86 C:20132.97 V:7529.674053 Trades:114052 VWAP:19934.7015559282
BTC/USD 2022-09-02T00:00:00.0000000Z O:20132.5 H:20444 L:19757.72 C:19954.16 V:7392.679014 Trades:98745 VWAP:20095.8994413784
BTC/USD 2022-09-03T00:00:00.0000000Z O:19950.63 H:20054.69 L:19658.04 C:19832.06 V:3077.135497 Trades:52729 VWAP:19839.4065626337
BTC/USD 2022-09-04T00:00:00.0000000Z O:19834.87 H:20030.89 L:19587.86 C:20002.38 V:3712.178165 Trades:60722 VWAP:19813.5375316233
BTC/USD 2022-09-05T00:00:00.0000000Z O:19998.77 H:20058 L:19635.96 C:19795.12 V:4817.489036 Trades:66396 VWAP:19801.5785916073
BTC/USD 2022-09-06T00:00:00.0000000Z O:19795.12 H:20180.5 L:18668.9 C:18790.39 V:11753.830278 Trades:139147 VWAP:19480.9863696975
BTC/USD 2022-09-07T00:00:00.0000000Z O:18789.4 H:19462.02 L:18534.06 C:19290.53 V:8092.183326 Trades:89704 VWAP:18952.4811318379
*/

请求 ID

所有市场数据 API 端点都会在响应头中以 X-Request-ID 键提供 API 调用的唯一标识符，请求 ID 帮助我们在系统中识别调用链。

请务必在你创建的所有支持请求中提供请求 ID，这有助于我们尽快解决问题。请求 ID 无法在其他端点中查询，因此我们建议你持久化保存近期的请求 ID。

$ curl -v https://data.alpaca.markets/v2/stocks/bars
...
> GET /v2/stocks/bars HTTP/1.1
> Host: data.alpaca.markets
> User-Agent: curl/7.88.1
> Accept: */*
>
< HTTP/1.1 403 Forbidden
< Date: Fri, 25 Aug 2023 09:37:03 GMT
< Content-Type: application/json
< Content-Length: 26
< Connection: keep-alive
< X-Request-ID: 0d29ba8d9a51ee0eb4e7bbaa9acff223
<
...
AI 翻译查看英文原文