gap_identify: Identify and return a gap in the data
In jagg19/AlpacaforR: Trade with Alpaca using R

gap_identify

R Documentation

Identify and return a gap in the data

Description

Identifies the largest gaps in the dataset first, then identifies small gaps based on expected dates from calendar (if timeframe = minute/hour/day). Finally adds the bounds to ensure any end gaps are filled.

Usage

gap_identify(
  ext,
  timeframe,
  ...,
  evar = get0("evar", mode = "environment", envir = rlang::caller_env())
)

Arguments

ext

(environment) with cyclically modified variables in bars_complete

timeframe

(character) For the v1 API, one of

'tr'/'lt'/'trade'/'last_trade' For the last trade price. See Last Trade
'qu'/'lq'/'quote'/'last_quote' For the last quote price. See Last Quote
'm'/'min'`/`'minute' (multiplier can be 1/5/15)
'd'/'day' (multiplier will be 1)

For the v2 IEX/SIP API the following timeframes are supported:

'lt'/'last_trade' The Latest trade API provides the latest trade data for a given ticker symbol. See Latest Trades
'tr'/'trade' For historical trade data for a given ticker symbol on a specified date from/to required. See Trades. WARNING The server stores data by the nanosecond. Limit the time span requested otherwise this could take a very long time. For example: a request spanning two days had 68 pages and took ~ 3m to retrieve.
'lq'/'last_quote'The Latest quote API provides the latest quote data for a given ticker symbol. See Latest Quote
'qu'/'quote' The Quotes endpoint provides NBBO quotes for a given ticker symbol at a specified date from/to required. See Quotes, WARNING The server stores data by the nanosecond. Limit the time span requested otherwise this could take a very long time. For example: a request spanning a single day (ie 5/26-5/27) can take ~ 3m to retrieve.
"ss"/"snapshot" The Snapshot endpoint provides the latest trade, latest quote, minute bar daily bar and previous daily bar data for a symbol or a set of symbols. See https://alpaca.markets/docs/api-documentation/api-v2/market-data/alpaca-data-api-v2/historical/#snapshot—multiple-tickers & https://alpaca.markets/docs/api-documentation/api-v2/market-data/alpaca-data-api-v2/historical/#snapshot—ticker
'm'/'min'/'minute'
'h'/'hour'
'd'/'day'

For the "p"/"polygon" API, multiplier can be any positive integer for any one of the following timeframe's:

'm'/'min'/'minute'
'h'/'hour'
'd'/'day'
'w'/'week'
'M'/'mo'/'month' (Note capitalize M for month)
'q'/'quarter'
'y'/'year'

...

Arguments passed on to market_data

symbol

(character) The stock or stocks (in vector format) for which data will be retrieved. Non case-sensitive.

v

(integer) The API version number.

1 the v1 IEX/Alpaca API: data.alpaca.markets/v1 will be used
2 the v2 Alpaca V2 API: data.alpaca.markets/v2 endpoint will be used.
"p"/"polygon" the Aggregates Endpoint: api.polygon.io/v2/aggs will be used.

multiplier

For the v1 API, with 'minute' timeframe one of 1/5/15. Otherwise, defaults to 1. For the v2 API, multiplier can only be 1. For the "polygon" API, this can be any positive integer. Default 1.

from

(equivalent to start in v1) (Date/POSIXlt/Datetime(POSIXct)/character) See Details for formatting guidelines. Return data equal to or after this time. Default is 7 days ago.

to

(equivalent to end in v1) (Date/POSIXlt/Datetime(POSIXct)/character) See Details for formatting guidelines. Return data equal to or before this time. Default is today's date.

after

v1 only (Date/POSIXlt/Datetime(POSIXct)/character) See Details for formatting guidelines. Return data after this time. Default is 7 days ago. Cannot be used with to

until

v1 only (Date/POSIXlt/Datetime(POSIXct)/character) See Details for formatting guidelines. Return data before this time. Default is today's date. Cannot be used with from

limit

v1 & v2 (integer) The amount of bars to return per symbol. This can range from 1 to 1000 for v1 and 1 to 10000 for v2. Default 1000 (v1), 10000 (v2), 50000 (p).

full

(logical) If TRUE, the function will attempt to return the entire expected dataset based on the range of dates provided and perform a data completeness check. If the requested from, to dates/times exceed that which can be returned in a single call, the API will be called repeatedly to return the full dataset. If FALSE, the request will be submitted to the API as is. Note on rate limits: The v1 API has a call limit of 1000 bars and a rate limit of 200 requests per minute. If the rate limit is reached, queries will pause for 1 minute. The polygon API free tier has a call limit of 5 requests per minute, if the rate limit is reached, queries will pause for 1 minute. Default FALSE.

unadjusted