66 lines
2.4 KiB
Python
66 lines
2.4 KiB
Python
"""Alpaca Markets OHLCV provider using the alpaca-py SDK."""
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from __future__ import annotations
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import asyncio
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import logging
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from datetime import date
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from alpaca.data.historical import StockHistoricalDataClient
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from alpaca.data.requests import StockBarsRequest
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from alpaca.data.timeframe import TimeFrame
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from alpaca.data.enums import Adjustment
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from app.exceptions import ProviderError, RateLimitError
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from app.providers.protocol import OHLCVData
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logger = logging.getLogger(__name__)
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class AlpacaOHLCVProvider:
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"""Fetches daily OHLCV bars from Alpaca Markets Data API."""
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def __init__(self, api_key: str, api_secret: str) -> None:
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if not api_key or not api_secret:
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raise ProviderError("Alpaca API key and secret are required")
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self._client = StockHistoricalDataClient(api_key, api_secret)
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async def fetch_ohlcv(
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self, ticker: str, start_date: date, end_date: date
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) -> list[OHLCVData]:
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"""Fetch daily OHLCV bars for *ticker* between *start_date* and *end_date*."""
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try:
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request = StockBarsRequest(
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symbol_or_symbols=ticker,
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timeframe=TimeFrame.Day,
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start=start_date,
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end=end_date,
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adjustment=Adjustment.SPLIT,
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)
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# alpaca-py's client is synchronous — run in a thread
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bars = await asyncio.to_thread(self._client.get_stock_bars, request)
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results: list[OHLCVData] = []
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bar_set = bars.get(ticker, []) if hasattr(bars, "get") else getattr(bars, "data", {}).get(ticker, [])
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for bar in bar_set:
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results.append(
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OHLCVData(
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ticker=ticker,
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date=bar.timestamp.date(),
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open=float(bar.open),
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high=float(bar.high),
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low=float(bar.low),
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close=float(bar.close),
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volume=int(bar.volume),
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)
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)
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return results
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except Exception as exc:
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msg = str(exc).lower()
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if "rate" in msg and "limit" in msg:
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raise RateLimitError(f"Alpaca rate limit hit for {ticker}") from exc
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logger.error("Alpaca provider error for %s: %s", ticker, exc)
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raise ProviderError(f"Alpaca provider error for {ticker}: {exc}") from exc
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