Created
June 8, 2024 17:42
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Extracts 1 day of OHLCV-1h data for XNAS.ITCH
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| # Extracts 1 day of OHLCV-1h data for XNAS.ITCH | |
| import databento as db | |
| client = db.Historical() | |
| data = client.timeseries.get_range( | |
| dataset='XNAS.ITCH', | |
| schema='ohlcv-1h', | |
| symbols='ALL_SYMBOLS', | |
| start='2024-05-01', | |
| end='2024-05-02', | |
| ) | |
| symbology = data.request_symbology(client) | |
| data.insert_symbology_json(symbology) | |
| df = data.to_df(tz='US/Eastern') | |
| print(df) | |
| """ | |
| rtype publisher_id instrument_id open high low close volume symbol | |
| ts_event | |
| 2024-05-01 04:00:00-04:00 34 2 15239 70.510 70.570 70.5100 70.5400 2806 SSO | |
| 2024-05-01 04:00:00-04:00 34 2 600 0.388 0.388 0.3758 0.3762 21411 AKLI | |
| 2024-05-01 04:00:00-04:00 34 2 19034 32.070 32.100 31.3700 31.3700 384 RBRK | |
| 2024-05-01 04:00:00-04:00 34 2 18431 21.090 21.090 21.0900 21.0900 1 BYON | |
| 2024-05-01 04:00:00-04:00 34 2 16253 134.850 134.960 134.1300 134.5900 4453 TSM | |
| ... ... ... ... ... ... ... ... ... ... | |
| 2024-05-01 19:00:00-04:00 34 2 16490 24.500 24.500 24.5000 24.5000 1504 UGI | |
| 2024-05-01 19:00:00-04:00 34 2 1287 2.380 2.380 2.3800 2.3800 199 ATER | |
| 2024-05-01 19:00:00-04:00 34 2 12609 154.460 154.460 154.4600 154.4600 1 PI | |
| 2024-05-01 19:00:00-04:00 34 2 5204 120.000 120.000 120.0000 120.0000 1 ENSG | |
| 2024-05-01 19:00:00-04:00 34 2 12039 0.409 0.409 0.4090 0.4090 236 OPGN | |
| [62062 rows x 9 columns] | |
| """ |
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