Market Data

The market data API allows you to access both live and historical data for equities, cryptocurrencies, and options. Over 5 years of historical data is available for thousands of equity and cryptocurrency symbols. Various data types are available such as bars/candles (OHLCV), trade data (price and sales), and quote data. For crypto, there is also orderbook data. For more information on the data types available, please look at the API reference.

Subscription Plans

Most market data features are free to use. However, if you are a professional or institution, you may wish to expand with the unlimited plan. Learn more about the subscriptions plans at alpaca.markets/data.

API Keys

You can sign up for API keys here. API keys allow you to access stock data. Keep in mind, crypto data does not require authentication to use. i.e. you can initialize CryptoHistoricalDataClient without providing API keys. However, if you do provide API keys, your rate limit will be higher.

Historical Data

There are 2 historical data clients: StockHistoricalDataClient, CryptoHistoricalDataClient, and OptionHistoricalDataClient. The crypto data client does not require API keys to use.

Clients

Historical Data can be queried by using one of the two historical data clients: StockHistoricalDataClient, CryptoHistoricalDataClient, and OptionHistoricalDataClient. Historical data is available for Bar, Trade and Quote datatypes. For crypto, latest orderbook data is also available.

from alpaca.data import CryptoHistoricalDataClient, StockHistoricalDataClient, OptionHistoricalDataClient

# no keys required.
crypto_client = CryptoHistoricalDataClient()

# keys required
stock_client = StockHistoricalDataClient("api-key",  "secret-key")
option_client = OptionHistoricalDataClient("api-key",  "secret-key")

Retrieving Latest Quote Data

The latest quote data is available through the historical data clients. The method will return a dictionary of Trade objects that are keyed by the corresponding symbol. We will need to use the StockLatestQuoteRequest model to prepare the request parameters.

Attention

Models that are returned by both historical data clients are agnostic of the number of symbols that were passed in. This means that you must use the symbol as a key to access the data regardless of whether a single symbol or multiple symbols were queried. Below is an example of this in action.

Multi Symbol

Here is an example of submitting a data request for multiple symbols. The symbol_or_symbols parameter can accommodate both a single symbol or a list of symbols. Notice how the data for a single symbol is accessed after the query. We use the symbol we desire as a key to access the data.

from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockLatestQuoteRequest

# keys required for stock historical data client
client = StockHistoricalDataClient('api-key', 'secret-key')

# multi symbol request - single symbol is similar
multisymbol_request_params = StockLatestQuoteRequest(symbol_or_symbols=["SPY", "GLD", "TLT"])

latest_multisymbol_quotes = client.get_stock_latest_quote(multisymbol_request_params)

gld_latest_ask_price = latest_multisymbol_quotes["GLD"].ask_price

Single Symbol

This is a similar example but for a single symbol. The key thing to notice is how we still need to use the symbol as a key to access the data we desire. This might seem odd since we only queried a single symbol. However, this must be done since the data models are agnostic to the number of symbols.

from alpaca.data.historical import CryptoHistoricalDataClient
from alpaca.data.requests import CryptoLatestQuoteRequest

# no keys required
client = CryptoHistoricalDataClient()

# single symbol request
request_params = CryptoLatestQuoteRequest(symbol_or_symbols="ETH/USD")

latest_quote = client.get_crypto_latest_quote(request_params)

# must use symbol to access even though it is single symbol
latest_quote["ETH/USD"].ask_price

Retrieving Historical Bar Data

You can request bar (candlestick) data via the HistoricalDataClients. In this example, we query daily bar data for “BTC/USD” and “ETH/USD” since July 1st 2022 using CryptoHistoricalDataClient. You can convert the response to a multi-index pandas dataframe using the .df property.

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

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

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

bars = client.get_crypto_bars(request_params)

# convert to dataframe
bars.df

# access bars as list - important to note that you must access by symbol key
# even for a single symbol request - models are agnostic to number of symbols
bars["BTC/USD"]

Real Time Data

Clients

The data stream clients lets you subscribe to real-time data via WebSockets. There are clients for crypto data, stock data and option data. These clients are different from the historical ones. They do not have methods which return data immediately. Instead, the methods in these clients allow you to assign methods to receive real-time data.

from alpaca.data import CryptoDataStream, StockDataStream

# keys are required for live data
crypto_stream = CryptoDataStream("api-key", "secret-key")

# keys required
stock_stream = StockDataStream("api-key", "secret-key")
option_stream = OptionDataStream("api-key", "secret-key")

Subscribing to Real-Time Quote Data

This example shows how to receive live quote data for stocks. To receive real time data, you will need to provide the client an asynchronous function to handle the data. The client will assign this provided method to receive the real-time data as it is available.

Finally, you will need to call the run method to start receiving data.

from alpaca.data.live import StockDataStream


wss_client = StockDataStream('api-key', 'secret-key')

# async handler
async def quote_data_handler(data):
    # quote data will arrive here
    print(data)

wss_client.subscribe_quotes(quote_data_handler, "SPY")

wss_client.run()