{"id":185940,"date":"2023-03-02T11:40:48","date_gmt":"2023-03-02T16:40:48","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=185940"},"modified":"2023-03-14T15:27:52","modified_gmt":"2023-03-14T19:27:52","slug":"exploring-the-finnhub-io-api","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/exploring-the-finnhub-io-api\/","title":{"rendered":"Exploring the finnhub.io API"},"content":{"rendered":"\n

Excerpt<\/em><\/p>\n\n\n\n

The changing face of market data providers<\/h2>\n\n\n\n

Over the last few years, a number of new market data providers have come online. They tend to have modern websites, broad coverage, and well-documented RESTful APIs. Their services are often priced very competitively \u2013 especially for personal use \u2013 and usually have generous free tiers.<\/p>\n\n\n\n

One such newcomer is\u00a0finnhub.io\u00a0(https:\/\/robotwealth.com\/finnhub-api\/finnhub.io) Its offering includes stock, bond, crpto, and FX historical price data and real time trades and quotes. Their fundamental data offering is noticably broad and includes current values and point-in-time snapshots for numerous metrics. There are also some interesting alternative data sets including measures of social media sentiment, insider transactions and insider sentiment, senate lobbying, government spending, and others. In addition, there\u2019s a real-time newsfeed delivered over websockets.<\/p>\n\n\n\n

The free tier is quite generous and offers more than enough for doing proof of concept work and testing ideas. While you only get a year\u2019s worth of historical data per API call on the free tier (more if you specify a lower resolution, like monthly), you can make up to 50 calls per minute.<\/p>\n\n\n\n

In this post, we\u2019ll explore the finnhub.io free tier via its REST API.<\/p>\n\n\n\n

Get started<\/h2>\n\n\n\n

A nice python library for working with the finnhub.io<\/a> is available: pip install finnhub-python<\/code><\/p>\n\n\n\n

To access the API, you\u2019ll need an API key. Get one here<\/a>.<\/p>\n\n\n\n

To get started, import the libraries we need and set up a finnhub.Client<\/code> with your API key:<\/p>\n\n\n\n

import finnhub\nimport os\nimport time\nimport datetime\nfrom zoneinfo import ZoneInfo\nimport pandas as pd\nimport numpy as np\nimport seaborn as sns\nimport matplotlib.pyplot as plt\n\n# Set up client\n# Note the FINNHUB_KEY environment variable stores my API key\nfinnhub_client = finnhub.Client(api_key=os.environ['FINNHUB_KEY'])<\/pre>\n\n\n\n
OHLCV stock prices<\/h2>\n\n\n\n
The stock prices endpoint requires a symbol, a resolution (\u2018D\u2019 for daily data), and a date range consisting of \u2018from\u2019 and \u2018to\u2019 values as UNIX timestamps.<\/p>\n\n\n\n
We\u2019ll get a week\u2019s worth of AAPL data from February 2023.<\/p>\n\n\n\n
# helper function for making UNIX timestamps\ndef unix_timestamp_from_date(date, format='%Y-%m-%d'):\n    '''Transform human readable date string to UNIX timestamp'''\n    return int(\n        datetime.datetime.strptime(date, format)\n        .replace(tzinfo=ZoneInfo('US\/Eastern'))\n        .timestamp()\n    )\n\n# api query paramters\nsymbol = 'AAPL'\nresolution = 'D'\nfrom_date = unix_timestamp_from_date('2023-02-06')\nto_date =  unix_timestamp_from_date('2023-02-10')\n\n# make request and print\nres = finnhub_client.stock_candles(\n        symbol,\n        resolution,\n        from_date,\n        to_date\n      )\n\ndisplay(res)<\/pre>\n\n\n\n
{'c': [151.73, 154.65, 151.92, 150.87, 151.01],\n 'h': [153.1, 155.23, 154.58, 154.33, 151.3401],\n 'l': [150.78, 150.64, 151.168, 150.42, 149.22],\n 'o': [152.575, 150.64, 153.88, 153.775, 149.46],\n 's': 'ok',\n 't': [1675641600, 1675728000, 1675814400, 1675900800, 1675987200],\n 'v': [69858306, 83322551, 64120079, 56007143, 57450708]}<\/pre>\n\n\n\n
The data comes down as a dictionary of lists. The docs state that prices are adjusted for splits. Spot checking some data against other sources suggests it\u2019s also adjusted for dividends.<\/p>\n\n\n\n
The dictionary keys consist of letters that represent:<\/p>\n\n\n\n