Celes Renata
2360c501e4
- New 'intraday_bars' endpoint in PolygonMarketAdapter: fetches hourly bars for today using range_bars URL with timespan=hour, sort=asc - Scheduler expands intraday_bars global source into per-ticker jobs for all active companies (every 15 minutes via polling_interval) - Migration 025 inserts the intraday source with 900s cadence - Frontend price matching uses closest-timestamp instead of date-string matching, with 2h tolerance for intraday and 36h for daily windows - Bumped market price fetch limit to 200 for intraday granularity
211 lines
8.5 KiB
Python
211 lines
8.5 KiB
Python
"""Market data API adapter interface and concrete Polygon.io provider.
|
|
|
|
The MarketDataAdapter is the abstract interface for all market data providers.
|
|
PolygonMarketAdapter is the first concrete implementation, targeting the
|
|
Polygon.io REST API for previous-day bars, quotes, and ticker details.
|
|
|
|
Requirements: 2.1, 2.5, 3.1, 3.2, 3.3
|
|
"""
|
|
import hashlib
|
|
import logging
|
|
import time
|
|
from datetime import datetime, timezone
|
|
from typing import Any
|
|
|
|
import httpx
|
|
|
|
from .base import AdapterResult, BaseAdapter
|
|
|
|
logger = logging.getLogger("market_adapter")
|
|
|
|
|
|
class MarketDataAdapter(BaseAdapter):
|
|
"""Abstract interface for market data providers.
|
|
|
|
Subclasses implement fetch() for their specific market data API.
|
|
"""
|
|
|
|
def source_type(self) -> str:
|
|
return "market_api"
|
|
|
|
|
|
class PolygonMarketAdapter(MarketDataAdapter):
|
|
"""Concrete adapter for the Polygon.io REST API.
|
|
|
|
Supports:
|
|
- Previous-day aggregate bars (/v2/aggs/ticker/{ticker}/prev)
|
|
- Grouped daily bars (/v2/aggs/grouped/locale/us/market/stocks/{date})
|
|
- Ticker details (/v3/reference/tickers/{ticker})
|
|
|
|
The endpoint is selected via the source config's "endpoint" field,
|
|
defaulting to previous-day bars.
|
|
"""
|
|
|
|
PREV_BARS = "/v2/aggs/ticker/{ticker}/prev"
|
|
RANGE_BARS = "/v2/aggs/ticker/{ticker}/range/{multiplier}/{timespan}/{from_date}/{to_date}"
|
|
GROUPED_DAILY = "/v2/aggs/grouped/locale/us/market/stocks/{date}"
|
|
INTRADAY_BARS = "/v2/aggs/ticker/{ticker}/range/{multiplier}/{timespan}/{from_date}/{to_date}"
|
|
TICKER_DETAILS = "/v3/reference/tickers/{ticker}"
|
|
|
|
def __init__(self, api_key: str, base_url: str = "https://api.polygon.io") -> None:
|
|
self.api_key: str = api_key
|
|
self.base_url: str = base_url.rstrip("/")
|
|
|
|
async def fetch(self, ticker: str, config: dict[str, Any]) -> AdapterResult:
|
|
"""Fetch market data from Polygon.io for a given ticker.
|
|
|
|
Config options:
|
|
endpoint: One of "prev_bars" (default), "range_bars", "ticker_details"
|
|
multiplier: Bar multiplier for range queries (default 1)
|
|
timespan: Bar timespan for range queries (default "day")
|
|
from_date: Start date for range queries (YYYY-MM-DD)
|
|
to_date: End date for range queries (YYYY-MM-DD)
|
|
adjusted: Whether bars are adjusted for splits (default true)
|
|
"""
|
|
endpoint_key = config.get("endpoint", "prev_bars")
|
|
url, params = self._build_request(ticker, endpoint_key, config)
|
|
|
|
async with httpx.AsyncClient(timeout=30) as client:
|
|
t0 = time.monotonic()
|
|
try:
|
|
resp = await client.get(url, params=params)
|
|
elapsed_ms = (time.monotonic() - t0) * 1000
|
|
resp.raise_for_status()
|
|
|
|
raw = resp.content
|
|
data = resp.json()
|
|
content_hash = hashlib.sha256(raw).hexdigest()
|
|
items = self._extract_items(data, endpoint_key)
|
|
|
|
return AdapterResult(
|
|
source_type="market_api",
|
|
ticker=ticker,
|
|
items=items,
|
|
raw_payload=raw,
|
|
content_hash=content_hash,
|
|
fetched_at=datetime.now(timezone.utc),
|
|
http_status=resp.status_code,
|
|
response_time_ms=round(elapsed_ms, 1),
|
|
metadata={
|
|
"provider": "polygon",
|
|
"endpoint": endpoint_key,
|
|
"results_count": data.get("resultsCount", len(items)),
|
|
"request_id": data.get("request_id", ""),
|
|
},
|
|
)
|
|
except httpx.HTTPStatusError as e:
|
|
elapsed_ms = (time.monotonic() - t0) * 1000
|
|
logger.error("Polygon HTTP error for %s: %s", ticker, e)
|
|
return self._error_result(
|
|
ticker, str(e), elapsed_ms,
|
|
http_status=e.response.status_code if e.response else None,
|
|
raw=e.response.content if e.response else b"",
|
|
)
|
|
except httpx.TimeoutException as e:
|
|
elapsed_ms = (time.monotonic() - t0) * 1000
|
|
logger.error("Polygon timeout for %s: %s", ticker, e)
|
|
return self._error_result(ticker, f"timeout: {e}", elapsed_ms)
|
|
except Exception as e:
|
|
elapsed_ms = (time.monotonic() - t0) * 1000
|
|
logger.error("Polygon fetch failed for %s: %s", ticker, e)
|
|
return self._error_result(ticker, str(e), elapsed_ms)
|
|
|
|
def _build_request(
|
|
self, ticker: str, endpoint_key: str, config: dict[str, Any]
|
|
) -> tuple[str, dict[str, str]]:
|
|
"""Build the URL and query params for a Polygon request."""
|
|
params: dict[str, str] = {"apiKey": self.api_key}
|
|
|
|
if endpoint_key == "range_bars":
|
|
multiplier = str(config.get("multiplier", 1))
|
|
timespan = config.get("timespan", "day")
|
|
from_date = config.get("from_date", "")
|
|
to_date = config.get("to_date", "")
|
|
path = self.RANGE_BARS.format(
|
|
ticker=ticker,
|
|
multiplier=multiplier,
|
|
timespan=timespan,
|
|
from_date=from_date,
|
|
to_date=to_date,
|
|
)
|
|
if config.get("adjusted") is not None:
|
|
params["adjusted"] = str(config["adjusted"]).lower()
|
|
if config.get("sort"):
|
|
params["sort"] = config["sort"]
|
|
if config.get("limit"):
|
|
params["limit"] = str(config["limit"])
|
|
elif endpoint_key == "intraday_bars":
|
|
# Intraday: fetch hourly bars for today
|
|
from datetime import date as date_cls
|
|
today = date_cls.today().isoformat()
|
|
multiplier = str(config.get("multiplier", 1))
|
|
timespan = config.get("timespan", "hour")
|
|
path = self.INTRADAY_BARS.format(
|
|
ticker=ticker,
|
|
multiplier=multiplier,
|
|
timespan=timespan,
|
|
from_date=today,
|
|
to_date=today,
|
|
)
|
|
params["adjusted"] = str(config.get("adjusted", True)).lower()
|
|
params["sort"] = "asc"
|
|
params["limit"] = str(config.get("limit", 50))
|
|
elif endpoint_key == "grouped_daily":
|
|
# Grouped daily: returns bars for ALL tickers for a given date
|
|
target_date = config.get("date", "")
|
|
if not target_date:
|
|
# Default to previous trading day
|
|
from datetime import date, timedelta
|
|
today = date.today()
|
|
prev = today - timedelta(days=1)
|
|
# Skip weekends
|
|
while prev.weekday() > 4:
|
|
prev -= timedelta(days=1)
|
|
target_date = prev.isoformat()
|
|
path = self.GROUPED_DAILY.format(date=target_date)
|
|
params["adjusted"] = str(config.get("adjusted", True)).lower()
|
|
elif endpoint_key == "ticker_details":
|
|
path = self.TICKER_DETAILS.format(ticker=ticker)
|
|
else:
|
|
# Default: previous-day bars
|
|
path = self.PREV_BARS.format(ticker=ticker)
|
|
if config.get("adjusted") is not None:
|
|
params["adjusted"] = str(config["adjusted"]).lower()
|
|
|
|
return f"{self.base_url}{path}", params
|
|
|
|
def _extract_items(self, data: dict[str, Any], endpoint_key: str) -> list[dict[str, Any]]:
|
|
"""Extract the relevant items list from a Polygon response."""
|
|
if endpoint_key == "ticker_details":
|
|
results = data.get("results", {})
|
|
return [results] if isinstance(results, dict) and results else []
|
|
|
|
# Aggregate endpoints return results as a list
|
|
# For grouped_daily, each item has a "T" field with the ticker
|
|
results = data.get("results", [])
|
|
if isinstance(results, list):
|
|
return results
|
|
return [results] if results else []
|
|
|
|
def _error_result(
|
|
self,
|
|
ticker: str,
|
|
error: str,
|
|
elapsed_ms: float,
|
|
http_status: int | None = None,
|
|
raw: bytes = b"",
|
|
) -> AdapterResult:
|
|
"""Build an error AdapterResult."""
|
|
return AdapterResult(
|
|
source_type="market_api",
|
|
ticker=ticker,
|
|
items=[],
|
|
raw_payload=raw,
|
|
content_hash="",
|
|
fetched_at=datetime.now(timezone.utc),
|
|
error=error,
|
|
http_status=http_status,
|
|
response_time_ms=round(elapsed_ms, 1),
|
|
metadata={"provider": "polygon"},
|
|
)
|