polygon

package
v1.9.0 Latest Latest
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 Go to latest Published: Sep 8, 2021 License: Apache-2.0 Imports: 17 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	MinuteAggs = "AM"
	SecondAggs = "A"
	Trades     = "T"
	Quotes     = "Q"
)
View Source 
const (
	MaxConnectionAttempts = 3
)

Variables

View Source 
var (
	// DefaultClient is the default Polygon client using the
	// environment variable set credentials
	DefaultClient = NewClient(common.Credentials())
)

Functions

This section is empty.

Types

type APIError added in v1.3.9 

type APIError struct {
	Code    string `json:"code"`
	Message string `json:"message"`
}

APIError wraps the detailed code and message supplied by Polygon's API for debugging purposes

func (*APIError) Error added in v1.3.9 

func (e *APIError) Error() string

type AggTick 

type AggTick struct {
	Open              float64 `json:"o"`
	High              float64 `json:"h"`
	Low               float64 `json:"l"`
	Close             float64 `json:"c"`
	Volume            float64 `json:"v"`
	EpochMilliseconds int64   `json:"t"`
	Items             int64   `json:"n"` // v2 response only
}

AggTick is the structure that contains the actual tick data included in a HistoricAggregates response

type AggType 

type AggType string

AggType used in the HistoricAggregates response 

const (
	// Minute timeframe aggregates
	Minute AggType = "minute"
	// Day timeframe aggregates
	Day AggType = "day"
)

type Client 

type Client struct {
	// contains filtered or unexported fields
}

Client is a Polygon REST API client

func NewClient 

func NewClient(credentials *common.APIKey) *Client

NewClient creates a new Polygon client with specified credentials

func (*Client) GetHistoricAggregates 

func (c *Client) GetHistoricAggregates(
	symbol string,
	resolution AggType,
	from, to *time.Time,
	limit *int) (*HistoricAggregates, error)

GetHistoricAggregates requests Polygon's v1 REST API for historic aggregates for the provided resolution based on the provided query parameters.

func (*Client) GetHistoricAggregatesV2 added in v1.2.0 

func (c *Client) GetHistoricAggregatesV2(
	symbol string,
	multiplier int,
	resolution AggType,
	from, to *time.Time,
	unadjusted *bool) (*HistoricAggregatesV2, error)

GetHistoricAggregates requests Polygon's v2 REST API for historic aggregates for the provided resolution based on the provided query parameters.

func (*Client) GetHistoricQuotes deprecated 

func (c *Client) GetHistoricQuotes(symbol, date string) (totalQuotes *HistoricQuotes, err error)

GetHistoricQuotes requests polygon's REST API for historic quotes on the provided date.

Deprecated: This v1 endpoint should no longer be used, as it will be removed from the Polygon API in the future. Please use GetHistoricQuotesV2 instead.

func (*Client) GetHistoricQuotesV2 added in v1.3.9 

func (c *Client) GetHistoricQuotesV2(ticker string, date string, opts *HistoricTicksV2Params) (*HistoricQuotesV2, error)

GetHistoricQuotesV2 requests polygon's REST API for historic trades on the provided date.

func (*Client) GetHistoricTrades deprecated 

func (c *Client) GetHistoricTrades(
	symbol string,
	date string,
	opts *GetHistoricTradesParams) (totalTrades *HistoricTrades, err error)

GetHistoricTrades requests polygon's REST API for historic trades on the provided date.

Deprecated: This v1 endpoint should no longer be used, as it will be removed from the Polygon API in the future. Please use GetHistoricTradesV2 instead.

func (*Client) GetHistoricTradesV2 added in v1.3.9 

func (c *Client) GetHistoricTradesV2(ticker string, date string, opts *HistoricTicksV2Params) (*HistoricTradesV2, error)

GetHistoricTradesV2 requests polygon's REST API for historic trades on the provided date.

func (*Client) GetStockExchanges added in v1.1.2 

func (c *Client) GetStockExchanges() ([]StockExchange, error)

GetStockExchanges requests available stock and equity exchanges on polygon.io

type GetHistoricTradesParams added in v1.2.4 

type GetHistoricTradesParams struct {
	Offset int64 `json:"offset"`
	Limit  int64 `json:"limit"`
}

type HistoricAggregates 

type HistoricAggregates struct {
	Symbol        string  `json:"symbol"`
	AggregateType AggType `json:"aggType"`
	Map           struct {
		O string `json:"o"`
		C string `json:"c"`
		H string `json:"h"`
		L string `json:"l"`
		V string `json:"v"`
		D string `json:"d"`
	} `json:"map"`
	Ticks []AggTick `json:"ticks"`
}

HistoricAggregates is the structure that defines aggregate data served through Polygon's v1 REST API.

func GetHistoricAggregates 

func GetHistoricAggregates(
	symbol string,
	resolution AggType,
	from, to *time.Time,
	limit *int) (*HistoricAggregates, error)

GetHistoricAggregates requests polygon's REST API for historic aggregates for the provided resolution based on the provided query parameters using the default Polygon client.

type HistoricAggregatesV2 added in v1.2.0 

type HistoricAggregatesV2 struct {
	Symbol       string    `json:"ticker"`
	Adjusted     bool      `json:"adjusted"`
	QueryCount   int       `json:"queryCount"`
	ResultsCount int       `json:"resultsCount"`
	Ticks        []AggTick `json:"results"`
}

HistoricAggregatesV2 is the structure that defines aggregate data served through Polygon's v2 REST API.

type HistoricQuotes 

type HistoricQuotes struct {
	Day string `json:"day"`
	Map struct {
		AE string `json:"aE"`
		AP string `json:"aP"`
		AS string `json:"aS"`
		BE string `json:"bE"`
		BP string `json:"bP"`
		BS string `json:"bS"`
		C  string `json:"c"`
		T  string `json:"t"`
	} `json:"map"`
	MsLatency int         `json:"msLatency"`
	Status    string      `json:"status"`
	Symbol    string      `json:"symbol"`
	Ticks     []QuoteTick `json:"ticks"`
	Type      string      `json:"type"`
}

HistoricQuotes is the structure that defines quote data served through polygon's REST API.

func GetHistoricQuotes 

func GetHistoricQuotes(symbol, date string) (totalQuotes *HistoricQuotes, err error)

GetHistoricQuotes requests polygon's REST API for historic quotes on the provided date using the default Polygon client.

type HistoricQuotesV2 added in v1.3.9 

type HistoricQuotesV2 struct {
	ResultsCount int64              `json:"results_count"`
	Ticker       string             `json:"ticker"`
	Results      []QuoteTickV2      `json:"results"`
	Map          map[string]MapItem `json:"map"`
}

HistoricQuotesV2 is the structure that defines trade data served through polygon's REST API.

type HistoricTicksV2Params added in v1.3.9 

type HistoricTicksV2Params struct {
	Timestamp      int64 `json:"timestamp"`
	TimestampLimit int64 `json:"timestamp_limit"`
	Reverse        bool  `json:"reverse"`
	Limit          int64 `json:"limit"`
}

type HistoricTrades 

type HistoricTrades struct {
	Day string `json:"day"`
	Map struct {
		C1 string `json:"c1"`
		C2 string `json:"c2"`
		C3 string `json:"c3"`
		C4 string `json:"c4"`
		E  string `json:"e"`
		P  string `json:"p"`
		S  string `json:"s"`
		T  string `json:"t"`
	} `json:"map"`
	MsLatency int         `json:"msLatency"`
	Status    string      `json:"status"`
	Symbol    string      `json:"symbol"`
	Ticks     []TradeTick `json:"ticks"`
	Type      string      `json:"type"`
}

HistoricTrades is the structure that defines trade data served through polygon's REST API.

func GetHistoricTrades 

func GetHistoricTrades(
	symbol string,
	date string,
	opts *GetHistoricTradesParams) (totalTrades *HistoricTrades, err error)

GetHistoricTrades requests polygon's REST API for historic trades on the provided date using the default Polygon client.

type HistoricTradesV2 added in v1.3.9 

type HistoricTradesV2 struct {
	ResultsCount int64              `json:"results_count"`
	Ticker       string             `json:"ticker"`
	Results      []TradeTickV2      `json:"results"`
	Map          map[string]MapItem `json:"map"`
}

HistoricTradesV2 is the structure that defines trade data served through polygon's REST API.

type MapItem added in v1.3.9 

type MapItem struct {
	Name string `json:"name"`
	Type string `json:"type"`
}

type PolgyonServerMsg added in v1.3.0 

type PolgyonServerMsg struct {
	Event string `json:"ev"`
}

PolygonServerMsg contains the field that is present in all responses to identify their type

type PolygonAuthMsg added in v1.3.0 

type PolygonAuthMsg struct {
	Event   string `json:"ev"`
	Status  string `json:"status"`
	Message string `json:"message"`
}

type PolygonClientMsg added in v1.3.0 

type PolygonClientMsg struct {
	Action string `json:"action"`
	Params string `json:"params"`
}

PolygonClientMsg is the standard message sent by clients of the stream interface

type QuoteTick 

type QuoteTick struct {
	Timestamp   int64   `json:"t"`
	BidExchange string  `json:"bE"`
	AskExchange string  `json:"aE"`
	BidPrice    float64 `json:"bP"`
	AskPrice    float64 `json:"aP"`
	BidSize     int     `json:"bS"`
	AskSize     int     `json:"aS"`
	Condition   int     `json:"c"`
}

QuoteTick is the structure that contains the actual tick data included in a HistoricQuotes response

type QuoteTickV2 added in v1.3.9 

type QuoteTickV2 struct {
	SIPTimestamp         *int64   `json:"t"`
	ParticipantTimestamp *int64   `json:"y"`
	TRFTimestamp         *int64   `json:"f"`
	SequenceNumber       *int     `json:"q"`
	Indicators           *[]int   `json:"i"`
	BidExchange          *int     `json:"x"`
	AskExchange          *int     `json:"X"`
	TRFID                *int     `json:"r"`
	Size                 *int     `json:"s"`
	Conditions           *[]int   `json:"c"`
	BidPrice             *float64 `json:"p"`
	AskPrice             *float64 `json:"P"`
	BidSize              *int     `json:"s"`
	AskSize              *int     `json:"S"`
	Tape                 *int     `json:"z"`
}

QuoteTickV2 is the structure that contains the actual tick data included in a HistoricQuotesV2 response

type StockExchange added in v1.1.2 

type StockExchange struct {
	Id     int64  `json:"id"`
	Type   string `json:"type"`
	Market string `json:"market"`
	Mic    string `json:"mic"`
	Name   string `json:"name"`
	Tape   string `json:"tape"`
}

Exchange defines the Stocks / Equities "Exchange" endpoint response

func GetStockExchanges added in v1.1.2 

func GetStockExchanges() ([]StockExchange, error)

GetStockExchanges queries Polygon.io REST API for information on available stock and equities exchanges

type Stream 

type Stream struct {
	sync.Mutex
	sync.Once
	// contains filtered or unexported fields
}

func GetStream 

func GetStream() *Stream

GetStream returns the singleton Polygon stream structure.

func (*Stream) Close 

func (s *Stream) Close() error

Close gracefully closes the Polygon stream.

func (*Stream) Subscribe 

func (s *Stream) Subscribe(channel string, handler func(msg interface{})) (err error)

Subscribe to the specified Polygon stream channel.

func (*Stream) Unsubscribe added in v1.7.0 

func (s *Stream) Unsubscribe(channel string) (err error)

Unsubscribe the specified Polygon stream channel.

type StreamAggregate added in v1.1.2 

type StreamAggregate struct {
	Event             string  `json:"ev"`
	Symbol            string  `json:"sym"`
	Volume            int     `json:"v"`
	AccumulatedVolume int     `json:"av"`
	OpeningPrice      float64 `json:"op"`
	VWAP              float64 `json:"vw"`
	OpenPrice         float64 `json:"o"`
	ClosePrice        float64 `json:"c"`
	HighPrice         float64 `json:"h"`
	LowPrice          float64 `json:"l"`
	Average           float64 `json:"a"`
	StartTimestamp    int64   `json:"s"`
	EndTimestamp      int64   `json:"e"`
}

StreamAggregate is the structure that defines an aggregate that polygon transmits via websocket protocol.

type StreamQuote 

type StreamQuote struct {
	Symbol      string  `json:"sym"`
	Condition   int     `json:"c"`
	BidExchange int     `json:"bx"`
	AskExchange int     `json:"ax"`
	BidPrice    float64 `json:"bp"`
	AskPrice    float64 `json:"ap"`
	BidSize     int64   `json:"bs"`
	AskSize     int64   `json:"as"`
	Timestamp   int64   `json:"t"`
}

StreamQuote is the structure that defines a quote that polygon transmits via websocket protocol.

type StreamTrade 

type StreamTrade struct {
	Symbol     string  `json:"sym"`
	Exchange   int     `json:"x"`
	TradeID    string  `json:"i"`
	Price      float64 `json:"p"`
	Size       int64   `json:"s"`
	Timestamp  int64   `json:"t"`
	Conditions []int   `json:"c"`
}

StreamTrade is the structure that defines a trade that polygon transmits via websocket protocol.

type SymbolsMetadata 

type SymbolsMetadata struct {
	Symbols []struct {
		Symbol  string    `json:"symbol"`
		Name    string    `json:"name"`
		Type    string    `json:"type"`
		Updated time.Time `json:"updated"`
		IsOTC   bool      `json:"isOTC"`
		URL     string    `json:"url"`
	} `json:"symbols"`
}

SymbolsMetadata is the structure that defines symbol metadata served through polygon's REST API.

type TradeTick 

type TradeTick struct {
	Timestamp  int64   `json:"t"`
	Price      float64 `json:"p"`
	Size       int     `json:"s"`
	Exchange   string  `json:"e"`
	Condition1 int     `json:"c1"`
	Condition2 int     `json:"c2"`
	Condition3 int     `json:"c3"`
	Condition4 int     `json:"c4"`
}

TradeTick is the structure that contains the actual tick data included in a HistoricTrades response

type TradeTickV2 added in v1.3.9 

type TradeTickV2 struct {
	SIPTimestamp         *int64   `json:"t"`
	ParticipantTimestamp *int64   `json:"y"`
	TRFTimestamp         *int64   `json:"f"`
	SequenceNumber       *int     `json:"q"`
	ID                   *string  `json:"i"`
	OrigID               *string  `json:"I"`
	Exchange             *int     `json:"x"`
	TRFID                *int     `json:"r"`
	Size                 *int     `json:"s"`
	Conditions           *[]int   `json:"c"`
	Price                *float64 `json:"p"`
	Tape                 *int     `json:"z"`
	Correction           *int     `json:"e"`
}

TradeTickV2 is the structure that contains the actual tick data included in a HistoricTradesV2 response

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