Export OHLCV

The endpoint calculates OHLCV and VWAP period statistics (time bars) from raw trades and returns data in CSV format.

Request

Method Path
GET /api/v1/ohlcv

Path Parameters

Name Description
symbol [Required] Symbol.
class [Required] Market identifier code such as XNGS for NASDAQ, XNYS/ARCX for NYSE, IEXG for IEX, SETS/SEAQ/IOB for LSE, or TQBR/TQCB/CETS for MOEX.
exchange Exchange or trading venue name, such as NASDAQ, NYSE, IEX, LSE, MOEX.
startDate [Required] Start date in ISO format or calendar expression.
endDate [Required] End date in ISO format or calendar expression.
period [Required] Period for calculating statistics formatted as <unit> <count> such as 1 HOUR based on calendar alignment.
statistics List of statistic names statistics=name[,name]
Default is open,high,low,close,volume.
timezone Time zone for evaluating calendar expressions, if specified in startDate/endDate parameters.
workdayCalendar Workday calendar for evaluating calendar expressions, if specified in startDate/endDate parameters.

Statistics

  • open - Price of the first trade in the period.
  • high - Highest price in the period.
  • low - Lowest price in the period.
  • close - Price of the last trade in the period.
  • volume - Sum of all trade quantities in the period SUM(quantity)
  • count - Number of trades in the period.
  • vwap - Volume-weighed average price.
  • amount - Total value of trades in the period SUM(price * quantity * entity.tags.lot).

Response

Default:

datetime,open,high,low,close,volume

All:

datetime,open,high,low,close,volume,count,vwap,amount

Example

Request

URI

  • 1-minute OHLCV bars between 2021-01-13 19:00:00 and 2021-01-13 19:05:00 in UTC time zone.
GET /api/v1/ohlcv?class=IEXG&symbol=TSLA&startDate=2021-01-13T19%3A00%3A00Z&endDate=2021-01-13T19%3A05%3A00Z&period=1%20MINUTE
  • 1-minute OHLCV bars between 2021-01-13 14:00:00 and 2021-01-13 14:05:00 in US/Eastern time zone.
GET /api/v1/ohlcv?class=IEXG&symbol=TSLA&startDate=2021-01-13T14%3A00%3A00-05%3A00&endDate=2021-01-13T14%3A05%3A00-05%3A00&period=1%20MINUTE
  • 1-hour bars for the current trading day
GET /api/v1/ohlcv?class=IEXG&symbol=TSLA&startDate=current_working_day&endDate=now&period=1%20HOUR

Payload

None.

curl

curl "https://atsd_hostname:8443/api/v1/ohlcv?class=IEXG&symbol=TSLA&startDate=2021-01-13T19%3A00%3A00Z&endDate=2021-01-13T19%3A05%3A00Z&period=1%20MINUTE" \
 -k --header "Authorization: Bearer ****"

Response

datetime,open,high,low,close,volume
2021-01-13T19:00:00.000Z,843.67,844.38,843.02,843.88,910
2021-01-13T19:01:00.000Z,843.95,845.36,843.95,844.56,895
2021-01-13T19:02:00.000Z,845.48,845.48,844.83,844.97,503
2021-01-13T19:03:00.000Z,845.25,845.35,844.21,844.65,996
2021-01-13T19:04:00.000Z,844.85,846.97,844.85,846.96,1178

SQL Alternative

SELECT datetime, open(), high(), low(), close(), volume(), vwap()
  FROM atsd_trade
WHERE class = 'IEXG' AND symbol = 'TSLA'
  AND datetime between '2021-01-13 14:00:00' and '2021-01-13 14:05:00'
GROUP BY exchange, class, symbol, PERIOD(1 MINUTE)
  ORDER BY datetime