alexanu

import requests

#OHLC data
r = requests.get('https://finnhub.io/api/v1/stock/candle?symbol=AAPL&resolution=1&from=1572651390&to=1572910590')
print(r.json())

#Tick data
r = requests.get('https://finnhub.io/api/v1/stock/tick?symbol=AAPL&from=1575968404&to=1575968424')
print(r.json())

alexanu

import numpy as np

# expects a numpy array with trades
# each trade is composed of: [time, price, quantity]
def generate_volumebars(trades, frequency=10):
    times = trades[:,0]
    prices = trades[:,1]
    volumes = trades[:,2]
    ans = np.zeros(shape=(len(prices), 6))
    candle_counter = 0