Internet Data Sources

Below follows brief description of built in internet data sources. Users may add their own data sources by implementing the AbstractDataSource interface, see Adding A New Data Source.

YahooFinance

  • Available Data Fields for Yahoo Data are :close, :adj_close, :open, :low, :high, :volume
  • Available tick sizes (resolution) for the last 60 days are 1m, 2m, 5m, 15m, 30m, 60m, 90m, 1h
  • Available tick sizes (resolution) for other time periods are 1d, 5d, 1wk, 1mo, 3mo

FRED_API

  • Available Data Fields for FRED Data are :value
  • FRED API only supports daily data (resolution = 1d)
  • Data is resampled to daily frequency using forward fill if necessary

Polygon_API

  • Available Data Fields for Polygon Data are :close, :adj_close, :open, :low, :high, :volume, :vwap
  • Available tick sizes (resolution) are 1m, 1h, 1d, 1wk, 1mo, 1q, 1y
  • Data is filtered to include only market hours (14:30 to 21:00 UTC)
  • Adjusted close prices are provided