Pull out customized frequency from trading-IG historical data

[kiann00]

Hi there, for this function ig_service.fetch_historical_prices_by_epic_and_num_points()

My understanding is that, we specify the resolution = day, minute, while num_points = number of points to retrieve.
I (just) need the 5min-time-frame. Is there a way to specify it directly, so as to limit my data-call quota?

I don't really want to download a huge set of 1-min timeframe data, and then use pandas, as_freq /resample to resample it to a 5min time-frame........

Thanks everyone! Appreciate your help, in your busy time

[starsnpixel]

I'm not sure if I understand your question correctly. If you check out the function definition in rest.py, you'll find

:param resolution: (str, optional) timescale resolution. Expected values
            are 1Min, 2Min, 3Min, 5Min, 10Min, 15Min, 30Min, 1H, 2H, 3H, 4H, D,
            W, M. Default is 1Min

So if you only want the 5min timeframe, just call it by ig_service.fetch_historical_prices_by_epic_and_num_points(epic, '5Min', ...) it should do exactly what you're looking for.

[kiann00]

@starsnpixel , many thanks. I missed the reading it in rest.py.... Thanks so much.

Follow-up confirmation, ..... since (market)data limit in IG is very tight. I believe we get like 10,000 pts per week.
So, if I use the 5min-timeframe for this, I presume I will 'eat' alot less data (i.e. the frame does not take in 1min time-frame and re-samples it to 5min)

[oliverpolden]

Yes you will use a lot of data at 5min. I personally used the streaming api for 5 min data. Checking my code I have the following to logic for a new candle and then write the old one to the database:

        for currency in self.currencies:
            if currency in item_update["name"]:
                utm = item_update["values"]["UTM"]
                if self.candles[currency] and (utm > self.candles[currency]["UTM"]):
                    # Save candle to database.

item_update is in the example code and the above logic goes in my on_prices_update(item_update) function.
https://github.com/ig-python/trading-ig/blob/master/sample/stream_ig.py

[kiann00]

thanks @oliverpolden , .... yeah, using up my data-limit in the API is what I am afraid of.

So, I did investigate using the streaming as you advised here : https://github.com/ig-python/trading-ig/blob/master/sample/stream_ig.py

However, for some reason, I got an error trying to connect.... I posted my error message query there, where I put in my full code...

I don't suppose you know what is wrong? #281

[starsnpixel]

Hi there,
thanks a lot for your example. I'm currently struggling with lightstreamer, thus this helps a lot. However, I've got two questions:

1. What does utm do in utm = item_update["values"]["UTM"]?
2. What's self.candles? Is a function your wrote yourself?

Yes you will use a lot of data at 5min. I personally used the streaming api for 5 min data. Checking my code I have the following to logic for a new candle and then write the old one to the database:

        for currency in self.currencies:
            if currency in item_update["name"]:
                utm = item_update["values"]["UTM"]
                if self.candles[currency] and (utm > self.candles[currency]["UTM"]):
                    # Save candle to database.

item_update is in the example code and the above logic goes in my on_prices_update(item_update) function. https://github.com/ig-python/trading-ig/blob/master/sample/stream_ig.py

[starsnpixel]

Yes you will use a lot of data at 5min. I personally used the streaming api for 5 min data. Checking my code I have the following to logic for a new candle and then write the old one to the database:

        for currency in self.currencies:
            if currency in item_update["name"]:
                utm = item_update["values"]["UTM"]
                if self.candles[currency] and (utm > self.candles[currency]["UTM"]):
                    # Save candle to database.

item_update is in the example code and the above logic goes in my on_prices_update(item_update) function. https://github.com/ig-python/trading-ig/blob/master/sample/stream_ig.py

Okay, I just looked deeper into it and found out that my questions weren't really clever. :D But could you please explain the logic behind if self.candles[currency] and (utm > self.candles[currency]["UTM"])?