feat: Adjust crypto historical quote (#497)

* feat: adjust crypto historical quote * doc: fix missing tittle underline
alpacahq · Aug 21, 2024 · d0622bd · d0622bd
1 parent 43fa7a6
commit d0622bd
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diff --git a/alpaca/data/historical/crypto.py b/alpaca/data/historical/crypto.py
@@ -13,14 +13,14 @@
     format_latest_data_response,
     parse_obj_as_symbol_dict,
 )
-from alpaca.data.models import BarSet, Orderbook, Quote, Trade, TradeSet, QuoteSet
+from alpaca.data.models import BarSet, Orderbook, Quote, QuoteSet, Trade, TradeSet
 from alpaca.data.requests import (
     CryptoBarsRequest,
-    CryptoQuoteRequest,
     CryptoLatestBarRequest,
     CryptoLatestOrderbookRequest,
     CryptoLatestQuoteRequest,
     CryptoLatestTradeRequest,
+    CryptoQuoteRequest,
     CryptoSnapshotRequest,
     CryptoTradesRequest,
 )

diff --git a/docs/api_reference/data/crypto/historical.rst b/docs/api_reference/data/crypto/historical.rst
@@ -15,6 +15,12 @@ Get Crypto Bars
 .. automethod:: alpaca.data.historical.crypto.CryptoHistoricalDataClient.get_crypto_bars
 
 
+Get Crypto Quotes
+-----------------
+
+.. automethod:: alpaca.data.historical.crypto.CryptoHistoricalDataClient.get_crypto_quotes
+
+
 Get Crypto Trades
 -----------------
 

diff --git a/docs/api_reference/data/crypto/requests.rst b/docs/api_reference/data/crypto/requests.rst
@@ -15,6 +15,12 @@ CryptoBarsRequest
 .. autoclass:: alpaca.data.requests.CryptoBarsRequest
 
 
+CryptoQuoteRequest
+------------------
+
+.. autoclass:: alpaca.data.requests.CryptoQuoteRequest
+
+
 CryptoTradesRequest
 -------------------
 

diff --git a/examples/crypto-trading-basic.ipynb b/examples/crypto-trading-basic.ipynb
@@ -75,6 +75,7 @@
     "\n",
     "from alpaca.data.requests import (\n",
     "    CryptoBarsRequest,\n",
+    "    CryptoQuoteRequest,\n",
     "    CryptoTradesRequest,\n",
     "    CryptoLatestQuoteRequest\n",
     "    )\n",
@@ -438,13 +439,31 @@
     "req = CryptoBarsRequest(\n",
     "    symbol_or_symbols = [symbol],\n",
     "    timeframe=TimeFrame(amount = 1, unit = TimeFrameUnit.Hour), # specify timeframe\n",
-    "    start = now - timedelta(days = 5),                          # specify start datetime, default=the beginning of the current day.\n",
+    "    start = now - timedelta(days = 1),                          # specify start datetime, default=the beginning of the current day.\n",
     "    # end_date=None,                                        # specify end datetime, default=now\n",
     "    limit = 2,                                               # specify limit\n",
     ")\n",
     "crypto_historical_data_client.get_crypto_bars(req).df"
    ]
   },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# get historical quote by symbol\n",
+    "# ref. https://docs.alpaca.markets/reference/cryptoquotes-1\n",
+    "now = datetime.now(ZoneInfo(\"America/New_York\"))\n",
+    "req = CryptoQuoteRequest(\n",
+    "    symbol_or_symbols = [symbol],\n",
+    "    start = now - timedelta(days = 1),                          # specify start datetime, default=the beginning of the current day.\n",
+    "    # end_date=None,                                        # specify end datetime, default=now\n",
+    "    limit = 2,                                               # specify limit\n",
+    ")\n",
+    "crypto_historical_data_client.get_crypto_quotes(req).df"
+   ]
+  },
   {
    "cell_type": "code",
    "execution_count": null,
@@ -454,7 +473,7 @@
     "# get historical trades by symbol\n",
     "req = CryptoTradesRequest(\n",
     "    symbol_or_symbols = [symbol],\n",
-    "    start = now - timedelta(days = 5),                          # specify start datetime, default=the beginning of the current day.\n",
+    "    start = now - timedelta(days = 1),                          # specify start datetime, default=the beginning of the current day.\n",
     "    # end=None,                                             # specify end datetime, default=now\n",
     "    limit = 2,                                                # specify limit\n",
     ")\n",

diff --git a/tests/data/test_historical_crypto_data.py b/tests/data/test_historical_crypto_data.py
@@ -4,12 +4,13 @@
 
 from alpaca.data import Bar, Quote, Trade
 from alpaca.data.historical.crypto import CryptoHistoricalDataClient
-from alpaca.data.models import BarSet, Snapshot, TradeSet
+from alpaca.data.models import BarSet, QuoteSet, Snapshot, TradeSet
 from alpaca.data.requests import (
     CryptoBarsRequest,
     CryptoLatestBarRequest,
     CryptoLatestQuoteRequest,
     CryptoLatestTradeRequest,
+    CryptoQuoteRequest,
     CryptoSnapshotRequest,
     CryptoTradesRequest,
 )
@@ -76,6 +77,57 @@ def test_get_crypto_bars(reqmock, crypto_client: CryptoHistoricalDataClient):
     assert barset.df.index.nlevels == 2
 
 
+def test_get_crypto_quotes(reqmock, crypto_client: CryptoHistoricalDataClient):
+    # test multisymbol request
+    symbols = ["BTC/USD", "ETH/USD"]
+    start = datetime(2022, 5, 26)
+    end = datetime(2022, 5, 26)
+    _symbols_in_url = "%2C".join(s for s in symbols)
+
+    _start_in_url = urllib.parse.quote_plus(
+        start.replace(tzinfo=timezone.utc).isoformat()
+    )
+    _end_in_url = urllib.parse.quote_plus(end.replace(tzinfo=timezone.utc).isoformat())
+    reqmock.get(
+        f"https://data.alpaca.markets/v1beta3/crypto/us/quotes?start={_start_in_url}&end={_end_in_url}&symbols={_symbols_in_url}",
+        text="""
+    {
+    "quotes": {
+        "BTC/USD": [
+        {
+            "t": "2022-05-26T11:47:18.44347136Z",
+            "bp": 29058,
+            "bs": 0.3544,
+            "ap": 29059,
+            "as": 3.252
+        }
+        ],
+        "ETH/USD": [
+        {
+            "t": "2022-05-26T11:47:18.499478272Z",
+            "bp": 1817,
+            "bs": 4.76,
+            "ap": 1817.7,
+            "as": 6.137
+        }
+        ]
+    },
+    "next_page_token": null
+    }
+        """,
+    )
+    request = CryptoQuoteRequest(symbol_or_symbols=symbols, start=start, end=end)
+    quoteset = crypto_client.get_crypto_quotes(request)
+
+    assert isinstance(quoteset, QuoteSet)
+
+    assert quoteset["BTC/USD"][0].bid_price == 29058
+    assert quoteset["ETH/USD"][0].ask_size == 6.137
+
+    assert quoteset.df.index[0][1].day == 26
+    assert quoteset.df.index.nlevels == 2
+
+
 def test_get_trades(reqmock, crypto_client: CryptoHistoricalDataClient):
     # test multisymbol request
     symbols = ["BTC/USD", "ETH/USD"]