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Alpaca How To

How to Fetch Historical Data in Alpaca Market Data API v2

Alpaca Team
Alpaca Team

This tutorial is a step-by-step demonstration of how to fetch historical data with the Alpaca Market Data API v2. This guide is part of the Alpaca 101 Tutorial Series. We will move forward assuming that you’ve registered on the Alpaca website. If you haven’t please visit Alpaca and sign up. Feel free to check out the other tutorials in this series at Alpaca Resources.

About the Alpaca Market Data API v2.

Data is the backbone of API access to the market, and we have established our very own data product that can evolve alongside the Alpaca platform. We are starting minimally with real-time and historical price data and will be adding various types of data suited for the Alpaca users. Users can find the documentation for the Alpaca Market Data API v2 below:

Alpaca Data API v2 - Documentation | Alpaca
Alpaca API lets you build and trade with real-time market data for free.

This tutorial will be over fetching historical data in Alpaca Market Data API v2. It is worth noting that the Alpaca Data API v2 provides historical data through multiple endpoints. These endpoints have the same URL prefix: https://data.alpaca.markets/v2

While the URL is the same for both subscription plans,  users with a Basic subscription will receive an error when trying to access data that is too recent.

Setting up Postman

For this tutorial, we will be implementing Postman to test any API calls which we send to the Alpaca Market Data API v2. As of right now, Alpaca Data API v2 provides three types of historical data which are Trades, Quotes, and Bars. That being said, either generate new API keys or fetch your previously generated paper API keys.  Now that you have your keys ready, open up the Postman application.

  • To initiate your first API request, click the + tab in the Postman UI.
  • Add the following request URL:
    https://paper-api.alpaca.markets/v2/account
  • Add your API keys
    Click the Headers section and add two keys called APCA-API-KEY-ID and APCA-API-SECRET-KEY. Enter your key values in the VALUE column.
  • Hit the Send button

You should be able to see various account information from this API call. Now you’re ready to trade!

Fetching Historical Trade data

Let’s create a raw request to fetch historical trade data for the ETF SPY. As we are interested in fetching historical data we append the following URL

GET/v2/stocks/{symbol}/trades

to the URL prefix: https://data.alpaca.markets/v2

Note SPY is the symbol for the SPY ETF we wish to fetch historical trade data for.  We then specify the symbol, which in our case is the path parameter of SPY. Moreover, we set the required query parameters of start, end, and limit as the values of 2021-02-06, 2021-02-07, and 10 respectively. Testing our API call we see we receive the expected response of a trades response object containing the timestamp (t), exchange (x), trade price (p), trade size (s), trade conditions (c), trade ID (i), and tape (z) for 10 trades (as this was our limit).  

Fetch Historical Trades

Fetching Historical Quote data

Let’s create a raw request to fetch historical quote data for the ETF SPY. As we are interested in fetching historical data we append the following URL

GET/v2/stocks/{symbol}/quotes

to the URL prefix: https://data.alpaca.markets/v2

Note SPY is the symbol for the SPY ETF we wish to fetch historical quote data for.  We then specify the symbol, which in our case is the path parameter of SPY. Moreover, we set the required query parameters of start, end, and limit has the values of 2021-02-06, 2021-02-07, and 10 respectively. Testing our API call we see we receive the expected response of a quotes response object containing the timestamp (t), ask exchange (ax), ask price (ap), ask size (as), bid exchange (bx) , bid price (bp), bid size(bs), and quote conditions (c) for 10 quotes(as this was our limit).

Fetch Historical Quotes

Fetching Historical Bars

Let’s create a raw request to fetch historical bars for the ETF SPY. As we are interested in fetching historical data we append the following URL

GET/v2/stocks/{symbol}/bars

to the URL prefix: https://data.alpaca.markets/v2

Note SPY is the symbol for the SPY ETF we wish to fetch historical bars for.  We then specify the symbol, which in our case is the path parameter of SPY. Moreover, we set the required query parameters of start, end, limit, and timeframe as the values of 2021-02-06, 2021-02-07, 10, 1Minrespectively. Here we note the parameter `timeframe` is also required.  Testing our API call we see we receive the expected response of a bars response object containing the timestamp (t), open (o), high(h), low(l), close (c), and volume (v) for 10 trades (as this was our limit) with one-minute aggregation.

Fetch Historical Bars

Great! Now, moving forward here are some important points to remember:

  • Alpaca Data API v2 provides historical data through multiple endpoints. These endpoints have the same URL prefix: https://data.alpaca.markets/v2
  • This URL is the same for both subscription plans but users with a Basic subscription will receive an error when trying to access data that is too recent.
  • There is a 15-minute delay for data to be classified as historical data.
  • The authentication is done the same way as with the Trading API
  • The query parameters start and end are required for historical trades, quotes, and bars however the additional parameter timeframe is also required for bars.
  • For start and end, the entered data must be equal to or after this time in RFC-3339 (ISO) format. Fractions of a second are not accepted.

Thank you for using Alpaca. Here are a couple more links that you might be interested in.

Alpaca GitHub repository

Alpaca
Alpaca builds an API for free stock trading. Alpaca has 41 repositories available. Follow their code on GitHub.

Alpaca Blog

Alpaca Blog | API for Stock Trading
Alpaca Blog for product updates, new integration, and more. Alpaca’s commission-free trading API is built for algorithmic trading and building apps

Alpaca Forum

Alpaca Community Forum
Alpaca user forum for FAQ, feature requests, many discussions around Alpaca stock trading API

Alpaca API documentation

Documentation | Alpaca
Alpaca API lets you build and trade with real-time market data for free.

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Brokerage services are provided by Alpaca Securities LLC ("Alpaca"), member FINRA/SIPC, a wholly-owned subsidiary of AlpacaDB, Inc. Technology and services are offered by AlpacaDB, Inc.

Alpaca How To

Alpaca Team

API-first stock brokerage. *Securities are offered through Alpaca Securities LLC* http://alpaca.markets/#disclosures