TickVault Python Query API
Python API that provides programmatic access to micro and nanosecond-scale trading data on a TickVault platform from TickSmith. Portals with accessible data include Thomson Reuters Tick History and Nasdaq-CX.
Installation
Using pip:
pip install tickvault-python-apiExample Usage
Get the bid/ask spread of TD on CHIX on May 4th, 2017
from tickvaultpythonapi.nasdaqcxclient import NasdaqCxClient
nasdaq = NasdaqCxClient(user_name=<USER_NAME>, secret_key=<API_KEY>)
result = nasdaq.query_hits(source="CHIX", tickers="td",
fields="ts,askprice,bidprice",
start_time=20170504093000, end_time=20170504160000,
predicates="ask_size > 10 and bid_size > 10 and line_type like Q",
limit=1000000)
df = nasdaq.as_dataframe(result)
df.plot()
