Featured image of post Data Pipelining With Polygon

Data Pipelining With Polygon

Acquiring and managing minute, hour, and daily equity and ETF data from Polygon.io.

Introduction

Similar to the recent post about how I collect and store crypto asset data from Coinbase, the scripts below pull minute, hour, and daily data for equities and ETFs from Polygon.io.

The scripts check for an existing data record, and if found then the existing record is updated to include the most recent data. If there is not an existing data record, then the complete historical record from Polygon is pulled and stored.

Python Functions

Here are the functions needed for this project:

Function Usage

Polygon Fetch Full History

Here’s the docstring with the parameters/variables:

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    """
    Fetch full historical data for a given product from Polygon API.

    Parameters:
    -----------
    client
        Polygon API client instance.
    ticker : str
        Ticker symbol to download.
    timespan : str
        Time span for the data (e.g., "minute", "hour", "day", "week", "month", "quarter", "year").
    multiplier : int
        Multiplier for the time span (e.g., 1 for daily data).
    adjusted : bool
        If True, return adjusted data; if False, return raw data.
    full_history_df : pd.DataFrame
        DataFrame containing the data.
    current_start : datetime
        Date for which to start pulling data in datetime format.
    free_tier : bool
        If True, then pause to avoid API limits.
    verbose : bool
        If True, print detailed information about the data being processed.

    Returns:
    --------
    full_history_df : pd.DataFrame
        DataFrame containing the data.
    """

This script pulls the full history for a specified asset:

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from load_api_keys import load_api_keys
from polygon import RESTClient

# Load API keys from the environment
api_keys = load_api_keys()

# Get the environment variable for where data is stored
DATA_DIR = config("DATA_DIR")

# Open client connection
client = RESTClient(api_key=api_keys["POLYGON_KEY"])

# Create an empty DataFrame
df = pd.DataFrame({
    'Date': pd.Series(dtype="datetime64[ns]"),
    'open': pd.Series(dtype="float64"),
    'high': pd.Series(dtype="float64"),
    'low': pd.Series(dtype="float64"),
    'close': pd.Series(dtype="float64"),
    'volume': pd.Series(dtype="float64"),
    'vwap': pd.Series(dtype="float64"),
    'transactions': pd.Series(dtype="int64"),
    'otc': pd.Series(dtype="object")
})

# Example usage - minute
df = polygon_fetch_full_history(
    client=client,
    ticker="AMZN",
    timespan="day",
    multiplier=1,
    adjusted=True,
    full_history_df=df,
    current_start=datetime(2025, 1, 1),
    free_tier=True,
    verbose=True,
)

The example above pulls the daily data since 1/1/2025, but can handle data ranges of years because it pulls only a specific number of records at a time as recommended by Polygon (less than 5,000 records per API request), and then combines the records in the dataframe before returning the dataframe.

Dateopenhighlowclosevolumevwaptransactionsotc
02025-01-02 05:00:00222.03000225.15000218.19000220.2200033956579.00000221.27450449631
12025-01-03 05:00:00222.50500225.36000221.62000224.1900027515606.00000223.70500346976
22025-01-06 05:00:00226.78000228.83500224.84000227.6100031849831.00000227.09210410686
32025-01-07 05:00:00227.90000228.38100221.46000222.1100028084164.00000223.40330379570
42025-01-08 05:00:00223.18500223.52000220.20000222.1300025033292.00000222.04140325539
52025-01-10 05:00:00221.46000221.71000216.50000218.9400036811525.00000218.86400493840
62025-01-13 05:00:00218.06000219.40000216.47000218.4600027262655.00000218.14260373519
72025-01-14 05:00:00220.44000221.82000216.20000217.7600024711650.00000218.62450332022
82025-01-15 05:00:00222.83000223.57000220.75000223.3500031291257.00000222.66900353985
92025-01-16 05:00:00224.42000224.65000220.31000220.6600024757276.00000221.89420313323
102025-01-17 05:00:00225.84000226.51000223.08000225.9400042370123.00000225.39270385914
112025-01-21 05:00:00228.90000231.78000226.94000230.7100039951456.00000230.09010552447
122025-01-22 05:00:00232.02000235.44000231.19000235.0100041448217.00000234.09500512233
132025-01-23 05:00:00234.10000235.52000231.51000235.4200026404364.00000234.24350365153
142025-01-24 05:00:00234.50000236.40000232.93000234.8500025890738.00000234.45870349378
152025-01-27 05:00:00226.21000235.61000225.86000235.4200049428332.00000231.81880661486
162025-01-28 05:00:00234.29000241.77000233.98000238.1500041587188.00000238.63650542344
172025-01-29 05:00:00239.01500240.39000236.15000237.0700026091716.00000237.41410384889
182025-01-30 05:00:00237.14000237.95000232.22000234.6400032020728.00000235.02300428122
192025-01-31 05:00:00236.50000240.29000236.41000237.6800036162377.00000238.20190435388
202025-02-03 05:00:00234.06000239.25000232.90000237.4200037285868.00000236.60880551855
212025-02-04 05:00:00239.01000242.52000238.03000242.0600029713812.00000241.16980412003
222025-02-05 05:00:00237.02000238.32000235.20000236.1700038832042.00000236.57200552144
232025-02-06 05:00:00238.01000239.65990236.01000238.8300060897095.00000235.75270803119
242025-02-07 05:00:00232.50000234.81000228.06000229.1500077539276.00000230.45270943441
252025-02-10 05:00:00230.54500233.92000229.20000233.1400035419926.00000232.41510473182
262025-02-11 05:00:00231.92000233.44000230.13000232.7600023713726.00000232.11010329473
272025-02-12 05:00:00230.46000231.18000228.16000228.9300032285249.00000229.60790400325
282025-02-13 05:00:00228.85000230.42000227.52000230.3700031346512.00000229.33120408846
292025-02-14 05:00:00229.20000229.89000227.23000228.6800027031084.00000228.65430375369
302025-02-18 05:00:00228.82000229.30000223.72000226.6500042975133.00000225.80820600702
312025-02-19 05:00:00225.52000226.83000223.71000226.6300028566709.00000225.37730391423
322025-02-20 05:00:00224.77500225.13000221.81000222.8800030001665.00000222.93510447333
332025-02-21 05:00:00223.28000223.31000214.74000216.5800055323850.00000217.71220774966
342025-02-24 05:00:00217.45000217.71500212.42000212.7100042387585.00000214.05260586136
352025-02-25 05:00:00211.63000213.34000204.16000212.8000058957977.00000209.69830800750
362025-02-26 05:00:00214.94000218.16000213.09000214.3500039120603.00000215.44180508442
372025-02-27 05:00:00218.35000219.97000208.37000208.7400040548571.00000212.37250558788
382025-02-28 05:00:00208.65000212.62000206.99000212.2800051771737.00000210.40300540930
392025-03-03 05:00:00213.35200214.01000202.55000205.0200042948447.00000207.41030666781
402025-03-04 05:00:00200.11000206.80000197.43200203.8000060853084.00000201.92830872022
412025-03-05 05:00:00204.80000209.98000203.26000208.3600038610085.00000207.05520514659
422025-03-06 05:00:00204.40000205.77000198.30150200.7000049863755.00000201.45630688561
432025-03-07 05:00:00199.49000202.26530192.53000199.2500059802821.00000197.66190785672
442025-03-10 04:00:00195.60000196.73000190.85000194.5400062350926.00000193.58390902822
452025-03-11 04:00:00193.90000200.18000193.40000196.5900054002880.00000196.82150668549
462025-03-12 04:00:00200.72000201.52000195.29000198.8900043679284.00000198.88200573896
472025-03-13 04:00:00198.16500198.87990191.82000193.8900041270761.00000194.33260588538
482025-03-14 04:00:00197.41000198.65000195.32000197.9500038096663.00000197.43590470644
492025-03-17 04:00:00198.77000199.00000194.32470195.7400047341752.00000196.46120568556
502025-03-18 04:00:00192.52000194.00000189.38000192.8200040414867.00000192.08510554394
512025-03-19 04:00:00193.38000195.96500191.96000195.5400039442878.00000194.28850445698
522025-03-20 04:00:00193.07000199.32000192.30000194.9500038921113.00000195.63600455391
532025-03-21 04:00:00192.90000196.99000192.52000196.2100060056917.00000195.30150394836
542025-03-24 04:00:00200.00000203.64000199.95000203.2600041625365.00000202.36990515880
552025-03-25 04:00:00203.59500206.21000203.22000205.7100031171161.00000205.10370402368
562025-03-26 04:00:00205.83500206.01000199.92500201.1300032990973.00000202.21640450177
572025-03-27 04:00:00200.89000203.79000199.28210201.3600027317661.00000201.85530363321
582025-03-28 04:00:00198.42000199.26000191.88100192.7200052548226.00000193.98200678645
592025-03-31 04:00:00188.19000191.33000184.40000190.2600063547558.00000188.28000769862
602025-04-01 04:00:00187.86000193.93000187.20000192.1700041267315.00000191.47040528168
612025-04-02 04:00:00187.66000198.34000187.66000196.0100053679198.00000194.28700710850
622025-04-03 04:00:00182.99500184.13000176.92000178.4100095553617.00000180.342601447903
632025-04-04 04:00:00167.14500178.14360166.00000171.00000123159359.00000173.216201529094
642025-04-07 04:00:00162.00000183.40990161.38000175.26000109327115.00000172.669001420152
652025-04-08 04:00:00185.23000185.90000168.57000170.6600087710360.00000176.412801146023
662025-04-09 04:00:00172.11500192.65000169.93000191.10000116804328.00000182.334501310706
672025-04-10 04:00:00185.44000186.86920175.85180181.2200068302045.00000181.65100925662
682025-04-11 04:00:00179.93000185.86000178.00000184.8700050594339.00000182.64530638386
692025-04-14 04:00:00186.84000187.44000179.23000182.1200048002540.00000182.95010656762
702025-04-15 04:00:00181.41000182.35000177.93310179.5900043641952.00000180.07010564759
712025-04-16 04:00:00176.29000179.10460171.41000174.3300051875316.00000174.85240685436
722025-04-17 04:00:00176.00000176.21000172.00000172.6100044726453.00000173.58080527949
732025-04-21 04:00:00169.60000169.60000165.28500167.3200048126111.00000166.92550726774
742025-04-22 04:00:00169.84500176.78000169.35000173.1800056607202.00000173.24700617509
752025-04-23 04:00:00183.45000187.38000180.19000180.6000063470149.00000183.12080732657
762025-04-24 04:00:00180.91500186.74000180.18000186.5400043763196.00000184.88010516092
772025-04-25 04:00:00187.62000189.94000185.49000188.9900036414330.00000187.99630489570
782025-04-28 04:00:00190.10500190.22000184.88500187.7000033224732.00000187.47010452721
792025-04-29 04:00:00183.99000188.01580183.68000187.3900041667255.00000186.29110507603
802025-04-30 04:00:00182.17000185.05000178.85000184.4200055176543.00000182.76580688982
812025-05-01 04:00:00190.63000191.80711187.50000190.2000074265963.00000188.97670890648
822025-05-02 04:00:00191.43500192.88000186.40000189.9800077903487.00000189.93000920469
832025-05-05 04:00:00186.51000188.18000185.53000186.3500035217469.00000186.93730458698
842025-05-06 04:00:00184.57000187.93000183.85000185.0100029314055.00000185.66190371859
852025-05-07 04:00:00185.56000190.99000185.01000188.7100044002926.00000188.49640499932
862025-05-08 04:00:00191.43000194.33000188.82000192.0800041043620.00000192.12660513351
872025-05-09 04:00:00193.37500194.69000191.16000193.0600029663143.00000192.75640362745
882025-05-12 04:00:00210.71000211.66000205.75000208.6400075205042.00000208.15580920091
892025-05-13 04:00:00211.08000214.84000210.10000211.3700056193682.00000212.67920743293
902025-05-14 04:00:00211.45000211.93000208.85000210.2500038492128.00000210.46140519690
912025-05-15 04:00:00206.45000206.88000202.67300205.1700064347317.00000204.78920821281
922025-05-16 04:00:00206.85000206.85000204.37400205.5900043318478.00000205.33360490987
932025-05-19 04:00:00201.64500206.62000201.26000206.1600034314810.00000205.36920425652
942025-05-20 04:00:00204.62800205.58990202.65000204.0700029470373.00000204.01080417640
952025-05-21 04:00:00201.61000203.45500200.06000201.1200042460924.00000201.52350569211
962025-05-22 04:00:00201.38000205.76000200.16000203.1000038938882.00000203.32730514617
972025-05-23 04:00:00198.90000202.37000197.85000200.9900033393545.00000200.78910483196
982025-05-27 04:00:00203.08500206.69000202.19000206.0200034892044.00000205.21560505171
992025-05-28 04:00:00205.91500207.66000204.41000204.7200028549753.00000205.69780407710
1002025-05-29 04:00:00208.02500208.81000204.23000205.7000034700005.00000206.29430496232
1012025-05-30 04:00:00204.84000205.99000201.69500205.0100051679406.00000204.53180493714
1022025-06-02 04:00:00204.98000207.00000202.68000206.6500029113319.00000205.59400438892
1032025-06-03 04:00:00207.10500208.94690205.03000205.7100033139121.00000206.63430436643
1042025-06-04 04:00:00206.55000208.18000205.18000207.2300029915592.00000206.89200406881
1052025-06-05 04:00:00209.55000212.81000207.56000207.9100051979243.00000209.75510668806
1062025-06-06 04:00:00212.40000213.86990210.50000213.5700039832500.00000212.56720512176
1072025-06-09 04:00:00214.75000217.85000212.88000216.9800038102502.00000216.02540560148
1082025-06-10 04:00:00216.78000217.69000214.15000217.6100031303317.00000216.55610429031
1092025-06-11 04:00:00217.41000218.40000212.89000213.2000039325981.00000214.88400503640
1102025-06-12 04:00:00211.78000213.58000211.33000213.2400027639991.00000212.86550364940
1112025-06-13 04:00:00209.96000214.05000209.62000212.1000029337763.00000211.91290443361
1122025-06-16 04:00:00212.31000217.06000211.60000216.1000033284158.00000215.16220457829
1132025-06-17 04:00:00215.19500217.41000214.56000214.8200032086262.00000215.73320431316
1142025-06-18 04:00:00215.09000217.96000212.34000212.5200044360509.00000214.61350475101
1152025-06-20 04:00:00214.68000214.89000208.27090209.6900075350733.00000210.62300591675
1162025-06-23 04:00:00209.79000210.39000207.31010208.4700037311725.00000208.91300513937
1172025-06-24 04:00:00212.13500214.34000211.04500212.7700038378757.00000213.11290459901
1182025-06-25 04:00:00214.61500216.03000211.11000211.9900031755698.00000212.80660417565
1192025-06-26 04:00:00213.12000218.03500212.01000217.1200050480814.00000216.09440572822
1202025-06-27 04:00:00219.92000223.30000216.74000223.30000119217138.00000221.72670750603
1212025-06-30 04:00:00223.52000223.82000219.12000219.3900058887780.00000220.63160673189
1222025-07-01 04:00:00219.50000221.87500217.93000220.4600039256830.00000220.15080544150
1232025-07-02 04:00:00219.73000221.60000219.06000219.9200030894178.00000220.21030429633
1242025-07-03 04:00:00221.82000224.01000221.36000223.4100029632353.00000222.88670364422
1252025-07-07 04:00:00223.00000224.29000222.37000223.4700036604139.00000223.41210513469
1262025-07-08 04:00:00223.91500224.00000218.43000219.3600045691987.00000220.48360615447
1272025-07-09 04:00:00221.07000224.29000220.47000222.5400038155121.00000222.45550493756
1282025-07-10 04:00:00221.55000222.79000219.70000222.2600030370591.00000221.70550451223
1292025-07-11 04:00:00223.58000226.67990222.37000225.0200050518307.00000224.89080661385
1302025-07-14 04:00:00225.07000226.66000224.24000225.6900035702597.00000225.61730460428
1312025-07-15 04:00:00226.20000227.27000225.45500226.3500034907294.00000226.49850507705
1322025-07-16 04:00:00225.87500226.10000222.18000223.1900039535926.00000223.78720556155
1332025-07-17 04:00:00223.32000224.50000222.51000223.8800031855831.00000223.69480445580
1342025-07-18 04:00:00225.14000226.40000222.98000226.1300037833807.00000225.29060454003
1352025-07-21 04:00:00225.83500229.69000225.65000229.3000040297556.00000228.32920530328
1362025-07-22 04:00:00229.68000230.00000226.35000227.4700037483702.00000227.86620475209
1372025-07-23 04:00:00228.47000228.79000227.09000228.2900028294852.00000228.17650344504
1382025-07-24 04:00:00229.17000236.00000228.64000232.2300042902266.00000231.80220526287
1392025-07-25 04:00:00232.22000232.48000231.18000231.4400028712095.00000231.78310365765
1402025-07-28 04:00:00233.35000234.29000232.25000232.7900026300138.00000233.09970394809
1412025-07-29 04:00:00234.15000234.72000230.31000231.0100033716220.00000231.48300446598
1422025-07-30 04:00:00231.64000231.80000229.29000230.1900032993273.00000230.92400445462
1432025-07-31 04:00:00235.77000236.53000231.40000234.11000104357263.00000232.410601254660
1442025-08-01 04:00:00217.21000220.43990212.80000214.75000122258801.00000216.297301742475
1452025-08-04 04:00:00217.40000217.44000211.42000211.6500077890146.00000213.131201046525
1462025-08-05 04:00:00213.05000216.30000212.87000213.7500051505121.00000214.51420639055
1472025-08-06 04:00:00214.69500222.65000213.74090222.3100054823045.00000219.42990654274
1482025-08-07 04:00:00221.00000226.22000220.82000223.1300040603513.00000223.13570553279
1492025-08-08 04:00:00223.14000223.80000221.88360222.6900032970477.00000222.66980397504
1502025-08-11 04:00:00221.78000223.05000220.40000221.3000031646222.00000221.38650441975
1512025-08-12 04:00:00222.23000223.50000219.05000221.4700037254707.00000221.41240472607
1522025-08-13 04:00:00222.00000224.91850222.00000224.5600036508335.00000223.98460488194
1532025-08-14 04:00:00227.40000233.11000227.02000230.9800061545824.00000230.50200738785
1542025-08-15 04:00:00232.58000234.08000229.80700231.0300039649244.00000231.38570495351
1552025-08-18 04:00:00230.22500231.91000228.33000231.4900025248890.00000230.57910371228
1562025-08-19 04:00:00230.09000230.52830227.12000228.0100029891012.00000228.34230405021
1572025-08-20 04:00:00227.12000227.27000220.91500223.8100036604319.00000223.67450493752
1582025-08-21 04:00:00222.65000222.78000220.50000221.9500032140459.00000221.67140415019
1592025-08-22 04:00:00222.79000229.14000220.82000228.8400037315341.00000226.88500490974
1602025-08-25 04:00:00227.35000229.60000227.31000227.9400022633695.00000228.43500348656
1612025-08-26 04:00:00227.11000229.00000226.02000228.7100026105373.00000228.17790279949
1622025-08-27 04:00:00228.57000229.87000227.81000229.1200021254479.00000228.99400308882
1632025-08-28 04:00:00229.00500232.71000228.02000231.6000033679585.00000231.33380388917
1642025-08-29 04:00:00231.32000231.81250228.16000229.0000026199170.00000229.17020344698
1652025-09-02 04:00:00223.52000226.17000221.83000225.3400038843883.00000224.54110508912
1662025-09-03 04:00:00225.21000227.16990224.36000225.9900029223134.00000225.87080422629
1672025-09-04 04:00:00231.18500235.77000230.78000235.6800059391779.00000234.06250707968
1682025-09-05 04:00:00235.19000236.00000231.93000232.3300036721802.00000233.45160493587
1692025-09-08 04:00:00234.94000237.60000233.75000235.8400033947104.00000235.91620489481
1702025-09-09 04:00:00236.35500238.85000235.08000238.2400027033778.00000237.35240391877
1712025-09-10 04:00:00237.51500237.68000229.09620230.3300060907714.00000231.86090806586
1722025-09-11 04:00:00231.49000231.53000229.33770229.9500037485598.00000230.50740465912
1732025-09-12 04:00:00230.35000230.79000226.29000228.1500038496218.00000228.43490534413
1742025-09-15 04:00:00230.62500233.73000230.32000231.4300033243328.00000231.68480488104
1752025-09-16 04:00:00232.93500235.90000232.23000234.0500038203912.00000234.40880497761
1762025-09-17 04:00:00233.77000234.30000228.71000231.6200042815230.00000231.14290528520
1772025-09-18 04:00:00232.50000233.48000228.79000231.2300037931738.00000231.52120477593
1782025-09-19 04:00:00232.37000234.16000229.70000231.4800097943172.00000231.95660477965
1792025-09-22 04:00:00230.56000230.56500227.51000227.6300045914506.00000228.54920637304
1802025-09-23 04:00:00227.83000227.86000220.07000220.7100070956193.00000222.20620975072
1812025-09-24 04:00:00224.15000224.56000219.45000220.2100049509033.00000221.00590695256
1822025-09-25 04:00:00220.06000220.67000216.47000218.1500052226328.00000218.71490721783
1832025-09-26 04:00:00219.08000221.05000218.02000219.7800041650098.00000219.73700551565
1842025-09-29 04:00:00220.08000222.60000219.30000222.1700044259177.00000221.53600520136
1852025-09-30 04:00:00222.03000222.24000217.89000219.5700048396369.00000219.40040609847
1862025-10-01 04:00:00217.36000222.15000216.61000220.6300043933834.00000220.24920586098
1872025-10-02 04:00:00221.01000222.81000218.94500222.4100041258586.00000221.31820589620
1882025-10-03 04:00:00223.44000224.20000219.34000219.5100043639033.00000221.31910605202
1892025-10-06 04:00:00221.00000221.73000216.03000220.9000043690876.00000219.70950690825
1902025-10-07 04:00:00220.88000222.89000220.17000221.7800031194678.00000221.38080500797
1912025-10-08 04:00:00222.92000226.73000221.19000225.2200046685985.00000224.52340624651
1922025-10-09 04:00:00224.99500228.21000221.75000227.7400046412122.00000225.06130660516
1932025-10-10 04:00:00226.21000228.25000216.00000216.3700072367511.00000220.257701095476
1942025-10-13 04:00:00217.70000220.68000217.04000220.0700037809650.00000219.73840590235
1952025-10-14 04:00:00215.55500219.32000212.60000216.3900045665580.00000216.41530713414
1962025-10-15 04:00:00216.62000217.71000212.66000215.5700045909469.00000215.58160727130
1972025-10-16 04:00:00215.67000218.59000212.81010214.4700042414591.00000215.51000681784
1982025-10-17 04:00:00214.56000214.80000211.03000213.0400045986944.00000213.01650671699
1992025-10-20 04:00:00213.88000216.69000213.59000216.4800038882819.00000215.59850561944
2002025-10-21 04:00:00218.43000223.32000217.99000222.0300050494565.00000221.51540722930
2012025-10-22 04:00:00219.30000220.00500216.52000217.9500044308538.00000218.11640608630
2022025-10-23 04:00:00219.00000221.30000218.18000221.0900031539699.00000220.39800455056
2032025-10-24 04:00:00221.97000225.40000221.90000224.2100038684853.00000224.04810547597
2042025-10-27 04:00:00227.66000228.40000225.54000226.9700038266995.00000227.23260577811
2052025-10-28 04:00:00228.21500231.48500226.21000229.2500047099924.00000228.83510682226
2062025-10-29 04:00:00231.67200232.82000227.76000230.3000052035936.00000230.03650782147
2072025-10-30 04:00:00227.06000228.44000222.75000222.86000102252888.00000231.314401399467
2082025-10-31 04:00:00250.10000250.50000243.98000244.22000166340683.00000247.391201873179
2092025-11-03 05:00:00255.36000258.60000252.90000254.0000095997714.00000255.418801284945
2102025-11-04 05:00:00250.38000257.01000248.66000249.3200051546311.00000250.96710777708
2112025-11-05 05:00:00249.03000251.00000246.16000250.2000040610602.00000249.26070598483
2122025-11-06 05:00:00249.15500250.38000242.17000243.0400046004201.00000244.82420697593
2132025-11-07 05:00:00242.90000244.90000238.49000244.4100046374294.00000241.84930667465
2142025-11-10 05:00:00248.34000251.75000245.59000248.4000036476474.00000248.34500591047
2152025-11-11 05:00:00248.41000249.74990247.23000249.1000023563960.00000248.64500378251
2162025-11-12 05:00:00250.23500250.37000243.75000244.2000031190063.00000245.57220489440
2172025-11-13 05:00:00243.05000243.75000236.50000237.5800041401638.00000239.23370614028
2182025-11-14 05:00:00235.06000238.73000232.89000234.6900038956619.00000235.71950630487
2192025-11-17 05:00:00233.25000234.60000229.19000232.8700059918908.00000231.89100893852

Polygon Pull Data

This script uses the above function to perform the following:

  1. Attempt to read an existing pickle data file
  2. If a data file exists, then pull updated data
  3. Otherwise, pull all historical data available for that asset for the past 2 years (using the free tier from Polygon)
  4. Store pickle and/or excel files of the data in the specified directories

Here’s the docstring with the parameters/variables:

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    """
    Read existing data file, download price data from Polygon, and export data.

    Parameters:
    -----------
    base_directory : any
        Root path to store downloaded data.
    ticker : str
        Ticker symbol to download.
    source : str
        Name of the data source (e.g., 'Polygon').
    asset_class : str
        Asset class name (e.g., 'Equities').
    start_date : datetime
        Start date for the data in datetime format.
    timespan : str
        Time span for the data (e.g., "minute", "hour", "day", "week", "month", "quarter", "year").
    multiplier : int
        Multiplier for the time span (e.g., 1 for daily data).
    adjusted : bool
        If True, return adjusted data; if False, return raw data.
    force_existing_check : bool
        If True, force a complete check of the existing data file to verify that there are not any gaps in the data.
    free_tier : bool
        If True, then pause to avoid API limits.
    verbose : bool
        If True, print detailed information about the data being processed.
    excel_export : bool
        If True, export data to Excel format.
    pickle_export : bool
        If True, export data to Pickle format.
    output_confirmation : bool
        If True, print confirmation message.

    Returns:
    --------
    None
    """

Through the base_directory, source, and asset_class variables the script knows where in the local filesystem to look for an existing pickle file and the store the resulting updated pickle and/or excel files:

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current_year = datetime.now().year
current_month = datetime.now().month
current_day = datetime.now().day

# Example usage - daily
df = polygon_pull_data(
    base_directory=DATA_DIR,
    ticker="AMZN",
    source="Polygon",
    asset_class="Equities",
    start_date=datetime(current_year - 2, current_month, current_day),
    timespan="day",
    multiplier=1,
    adjusted=True,
    force_existing_check=True,
    free_tier=True,
    verbose=True,
    excel_export=True,
    pickle_export=True,
    output_confirmation=True,
)

Here’s the output from above:

Dateopenhighlowclosevolumevwaptransactionsotc
02023-07-28 04:00:00129.69000133.01000129.33000132.2100046269781.00000131.88370413438
12023-07-31 04:00:00133.20000133.87000132.38000133.6800041901516.00000133.34100406644
22023-08-01 04:00:00133.55000133.69000131.61990131.6900042250989.00000132.24700385743
32023-08-02 04:00:00130.15400130.23000126.82000128.2100050988614.00000128.39730532942
42023-08-03 04:00:00127.48000129.84000126.41000128.9100090855736.00000131.49410746639
52023-08-04 04:00:00141.06000143.63000139.32000139.57000153091370.00000141.389901366815
62023-08-07 04:00:00140.99000142.54000138.95000142.2200071213112.00000141.00450659134
72023-08-08 04:00:00140.62000140.84000138.42000139.9400051706497.00000139.59360509773
82023-08-09 04:00:00139.97000140.32000137.10000137.8500049910149.00000138.32720428760
92023-08-10 04:00:00139.07500140.41000137.49000138.5600058804832.00000138.87650460780
102023-08-11 04:00:00137.40000139.33000137.00000138.4100042905833.00000138.36280394897
112023-08-14 04:00:00138.30000140.59000137.75000140.5700047148699.00000139.64260404084
122023-08-15 04:00:00140.05000141.27780137.23000137.6700042781521.00000138.36800409077
132023-08-16 04:00:00137.19000137.27000135.01000135.0700041675903.00000136.02730403275
142023-08-17 04:00:00135.46000136.08500133.53000133.9800048354085.00000134.68560414339
152023-08-18 04:00:00131.62000134.06500131.15000133.2200048497595.00000132.78960431787
162023-08-21 04:00:00133.74000135.18500132.71000134.6800041442483.00000134.14160348372
172023-08-22 04:00:00135.08000135.65000133.73000134.2500032935104.00000134.58030328047
182023-08-23 04:00:00134.50000135.95000133.22000135.5200042786043.00000134.98180382201
192023-08-24 04:00:00136.40000136.77500131.83000131.8400043646250.00000133.16210406488
202023-08-25 04:00:00132.47000133.87000130.58000133.2600044147451.00000132.52070405801
212023-08-28 04:00:00133.78000133.95000131.85000133.1400033956210.00000132.71640333029
222023-08-29 04:00:00133.38000135.14000133.25000134.9100038646093.00000134.46520361304
232023-08-30 04:00:00134.93000135.68000133.92000135.0700036130015.00000134.99160325589
242023-08-31 04:00:00135.06000138.78850135.00000138.0100058431314.00000137.79060466038
252023-09-01 04:00:00139.45500139.96000136.87500138.1200040986536.00000137.97690398729
262023-09-05 04:00:00137.73000137.80000135.82000137.2700040636738.00000136.87070363848
272023-09-06 04:00:00136.32000137.45000134.61000135.3600041785507.00000135.64830399464
282023-09-07 04:00:00133.90000138.03000133.16000137.8500048498912.00000136.56710426888
292023-09-08 04:00:00136.86000138.85190136.75000138.2300038365929.00000138.07260351930
302023-09-11 04:00:00138.75000143.62000138.64000143.1000056764525.00000141.83040546830
312023-09-12 04:00:00142.32000143.00000140.61000141.2300042668452.00000141.65690395583
322023-09-13 04:00:00140.95000144.98000140.86500144.8500060465175.00000143.89220520766
332023-09-14 04:00:00145.08000145.86000142.95000144.7200064033607.00000144.81350511529
342023-09-15 04:00:00142.69000143.57000140.09000140.39000102909327.00000141.01020563980
352023-09-18 04:00:00140.48000141.75000139.22000139.9800042823480.00000140.07550346514
362023-09-19 04:00:00138.70000138.84000135.56000137.6300061482470.00000136.97780488183
372023-09-20 04:00:00138.55000139.37000135.20000135.2900046263716.00000136.91680402932
382023-09-21 04:00:00131.94000132.24000129.31000129.3300070343342.00000130.54300643638
392023-09-22 04:00:00131.11000132.03000128.52000129.1200059904348.00000130.15680486108
402023-09-25 04:00:00129.36000131.78000128.77000131.2700046017825.00000130.85240412022
412023-09-26 04:00:00130.12000130.39000125.28000125.9800073048207.00000126.94680619791
422023-09-27 04:00:00125.76000127.48000124.13000125.9800066553449.00000125.42480553871
432023-09-28 04:00:00124.04000126.58010123.04000125.9800054554968.00000125.08320493974
442023-09-29 04:00:00128.20000129.15000126.32000127.1200062411730.00000127.57520439844
452023-10-02 04:00:00127.28000130.47000126.54000129.4600048029744.00000128.93320436813
462023-10-03 04:00:00128.06000128.52000124.25440124.7200051564991.00000125.47440479691
472023-10-04 04:00:00126.06000127.36000125.68000127.0000044203870.00000126.58440407400
482023-10-05 04:00:00126.71000126.73000124.33000125.9600039660643.00000125.61780356274
492023-10-06 04:00:00124.16000128.45000124.13000127.9600046836698.00000126.72060410287
502023-10-09 04:00:00126.22000128.79000124.76000128.2600038773738.00000126.99320347740
512023-10-10 04:00:00128.82000130.74000128.05000129.4800042178619.00000129.65710369849
522023-10-11 04:00:00129.74000132.05000129.61000131.8300040741842.00000130.78030364559
532023-10-12 04:00:00132.17000134.48000131.23000132.3300055528581.00000132.84110475931
542023-10-13 04:00:00132.98000133.31450128.95000129.7900045824685.00000130.60940387721
552023-10-16 04:00:00130.69000133.07000130.42500132.5500042832918.00000132.11670395337
562023-10-17 04:00:00130.39000132.58000128.71000131.4700049344550.00000131.01780400903
572023-10-18 04:00:00129.90000130.66990127.51000128.1300042699479.00000128.94400404633
582023-10-19 04:00:00130.56500132.24000127.47000128.4000060961355.00000129.83770538133
592023-10-20 04:00:00128.05000128.17000124.97000125.1700056406410.00000125.94020489134
602023-10-23 04:00:00124.63000127.88000123.98000126.5600048259953.00000126.30330423355
612023-10-24 04:00:00127.74000128.80000126.34000128.5600046477355.00000127.88930399787
622023-10-25 04:00:00126.04000126.34000120.79000121.3900074577544.00000122.73900738252
632023-10-26 04:00:00120.63000121.63930118.35000119.57000100419516.00000120.57660866563
642023-10-27 04:00:00126.20000130.02000125.52000127.74000125309313.00000128.128501056045
652023-10-30 04:00:00129.72000133.00000128.56000132.7100072485542.00000131.71620616257
662023-10-31 04:00:00132.75000133.57000131.71000133.0900051589380.00000132.76070432954
672023-11-01 04:00:00133.96000137.35000133.71000137.0000061529409.00000135.77890552684
682023-11-02 04:00:00138.73000138.81000136.47000138.0700052236693.00000137.69960464074
692023-11-03 04:00:00138.99000139.49000137.45000138.6000044059805.00000138.59210406045
702023-11-06 05:00:00138.76000140.73000138.36000139.7400044970417.00000139.69530392505
712023-11-07 05:00:00140.55000143.37000140.50000142.7100053553537.00000142.50430469255
722023-11-08 05:00:00142.97000143.12000141.21830142.0800044521658.00000142.03970375299
732023-11-09 05:00:00142.02000142.65000139.84000140.6000036235367.00000141.23940338545
742023-11-10 05:00:00140.46000143.65000139.91000143.5600049349937.00000142.37800410268
752023-11-13 05:00:00142.08000143.23000140.67000142.5900035680570.00000142.37690339006
762023-11-14 05:00:00145.00000147.26000144.68000145.8000056674551.00000146.14300508013
772023-11-15 05:00:00147.06000147.29000142.59000143.2000063875720.00000143.95700550008
782023-11-16 05:00:00140.91000143.32000139.52000142.8300049653512.00000142.08020444059
792023-11-17 05:00:00142.66000145.23000142.54500145.1800049678437.00000144.35820381169
802023-11-20 05:00:00145.13000146.63000144.72500146.1300041978766.00000145.93680380926
812023-11-21 05:00:00143.91000144.05000141.50000143.9000071225992.00000143.04300566880
822023-11-22 05:00:00144.57000147.74000144.57000146.7100045700002.00000146.79290428449
832023-11-24 05:00:00146.70000147.20000145.32000146.7400022378379.00000146.37180217521
842023-11-27 05:00:00147.53000149.26000146.88000147.7300053762428.00000148.28730465572
852023-11-28 05:00:00146.98000147.59990145.53000147.0300042711682.00000146.83460383221
862023-11-29 05:00:00147.85000148.54000145.97000146.3200040610907.00000146.86330358306
872023-11-30 05:00:00144.76000146.93000144.33200146.0900065814022.00000145.75850460829
882023-12-01 05:00:00146.00000147.24500145.55000147.0300039951833.00000146.69090361363
892023-12-04 05:00:00145.25000145.35000142.81000144.8400048294244.00000144.45210462624
902023-12-05 05:00:00143.55000148.57000143.13000146.8800046822411.00000146.64810446158
912023-12-06 05:00:00147.58000147.85000144.28000144.5200039678960.00000145.50340365815
922023-12-07 05:00:00146.15000147.92000145.34000146.8800052352830.00000146.71790382097
932023-12-08 05:00:00145.48000147.84000145.40000147.4200041905965.00000146.94050343829
942023-12-11 05:00:00145.66000146.19000143.64000145.8900050907288.00000145.30010435150
952023-12-12 05:00:00145.52000147.50000145.30000147.4800044944264.00000146.74660338593
962023-12-13 05:00:00148.12000149.46000146.82000148.8400052766196.00000148.26080438472
972023-12-14 05:00:00149.93000150.54000145.52000147.4200058400848.00000147.86870532121
982023-12-15 05:00:00148.38000150.57000147.88000149.97000110089342.00000149.53490492773
992023-12-18 05:00:00150.56000154.85500150.05000154.0700062512828.00000153.40710511128
1002023-12-19 05:00:00154.40000155.12000152.69000153.7900043171292.00000153.72170384137
1012023-12-20 05:00:00152.90000155.63000151.56000152.1200050322106.00000153.68760461445
1022023-12-21 05:00:00153.30000153.97000152.10000153.8400036305733.00000153.10910350098
1032023-12-22 05:00:00153.77000154.35000152.71000153.4200029514093.00000153.54440310942
1042023-12-26 05:00:00153.56000153.97500153.03000153.4100025067222.00000153.40820282620
1052023-12-27 05:00:00153.56000154.78000153.12000153.3400031434733.00000153.64380311463
1062023-12-28 05:00:00153.72000154.08000152.95000153.3800027057002.00000153.52690301925
1072023-12-29 05:00:00153.10000153.89000151.03000151.9400039823204.00000152.32750353441
1082024-01-02 05:00:00151.54000152.38000148.39000149.9300047339424.00000149.85270476433
1092024-01-03 05:00:00149.20000151.05000148.33000148.4700049425495.00000149.40580416955
1102024-01-04 05:00:00145.59000147.38000144.05000144.5700056039807.00000145.41600541342
1112024-01-05 05:00:00144.69000146.59000144.53000145.2400045153147.00000145.45130380386
1122024-01-08 05:00:00146.74000149.40000146.15000149.1000046757053.00000148.32380410733
1132024-01-09 05:00:00148.33000151.71000148.21000151.3700043812567.00000150.63110403026
1142024-01-10 05:00:00152.06000154.42000151.88100153.7300044421830.00000153.45230430517
1152024-01-11 05:00:00155.04000157.17000153.12000155.1800049072691.00000155.01810468131
1162024-01-12 05:00:00155.39000156.20000154.01000154.6200040484155.00000154.82380351914
1172024-01-16 05:00:00153.53000154.99000152.15000153.1600041384636.00000153.13430396071
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5032025-07-31 04:00:00235.77000236.53000231.40000234.11000104357263.00000232.410601254660
5042025-08-01 04:00:00217.21000220.43990212.80000214.75000122258801.00000216.297301742475
5052025-08-04 04:00:00217.40000217.44000211.42000211.6500077890146.00000213.131201046525
5062025-08-05 04:00:00213.05000216.30000212.87000213.7500051505121.00000214.51420639055
5072025-08-06 04:00:00214.69500222.65000213.74090222.3100054823045.00000219.42990654274
5082025-08-07 04:00:00221.00000226.22000220.82000223.1300040603513.00000223.13570553279
5092025-08-08 04:00:00223.14000223.80000221.88360222.6900032970477.00000222.66980397504
5102025-08-11 04:00:00221.78000223.05000220.40000221.3000031646222.00000221.38650441975
5112025-08-12 04:00:00222.23000223.50000219.05000221.4700037254707.00000221.41240472607
5122025-08-13 04:00:00222.00000224.91850222.00000224.5600036508335.00000223.98460488194
5132025-08-14 04:00:00227.40000233.11000227.02000230.9800061545824.00000230.50200738785
5142025-08-15 04:00:00232.58000234.08000229.80700231.0300039649244.00000231.38570495351
5152025-08-18 04:00:00230.22500231.91000228.33000231.4900025248890.00000230.57910371228
5162025-08-19 04:00:00230.09000230.52830227.12000228.0100029891012.00000228.34230405021
5172025-08-20 04:00:00227.12000227.27000220.91500223.8100036604319.00000223.67450493752
5182025-08-21 04:00:00222.65000222.78000220.50000221.9500032140459.00000221.67140415019
5192025-08-22 04:00:00222.79000229.14000220.82000228.8400037315341.00000226.88500490974
5202025-08-25 04:00:00227.35000229.60000227.31000227.9400022633695.00000228.43500348656
5212025-08-26 04:00:00227.11000229.00000226.02000228.7100026105373.00000228.17790279949
5222025-08-27 04:00:00228.57000229.87000227.81000229.1200021254479.00000228.99400308882
5232025-08-28 04:00:00229.00500232.71000228.02000231.6000033679585.00000231.33380388917
5242025-08-29 04:00:00231.32000231.81250228.16000229.0000026199170.00000229.17020344698
5252025-09-02 04:00:00223.52000226.17000221.83000225.3400038843883.00000224.54110508912
5262025-09-03 04:00:00225.21000227.16990224.36000225.9900029223134.00000225.87080422629
5272025-09-04 04:00:00231.18500235.77000230.78000235.6800059391779.00000234.06250707968
5282025-09-05 04:00:00235.19000236.00000231.93000232.3300036721802.00000233.45160493587
5292025-09-08 04:00:00234.94000237.60000233.75000235.8400033947104.00000235.91620489481
5302025-09-09 04:00:00236.35500238.85000235.08000238.2400027033778.00000237.35240391877
5312025-09-10 04:00:00237.51500237.68000229.09620230.3300060907714.00000231.86090806586
5322025-09-11 04:00:00231.49000231.53000229.33770229.9500037485598.00000230.50740465912
5332025-09-12 04:00:00230.35000230.79000226.29000228.1500038496218.00000228.43490534413
5342025-09-15 04:00:00230.62500233.73000230.32000231.4300033243328.00000231.68480488104
5352025-09-16 04:00:00232.93500235.90000232.23000234.0500038203912.00000234.40880497761
5362025-09-17 04:00:00233.77000234.30000228.71000231.6200042815230.00000231.14290528520
5372025-09-18 04:00:00232.50000233.48000228.79000231.2300037931738.00000231.52120477593
5382025-09-19 04:00:00232.37000234.16000229.70000231.4800097943172.00000231.95660477965
5392025-09-22 04:00:00230.56000230.56500227.51000227.6300045914506.00000228.54920637304
5402025-09-23 04:00:00227.83000227.86000220.07000220.7100070956193.00000222.20620975072
5412025-09-24 04:00:00224.15000224.56000219.45000220.2100049509033.00000221.00590695256
5422025-09-25 04:00:00220.06000220.67000216.47000218.1500052226328.00000218.71490721783
5432025-09-26 04:00:00219.08000221.05000218.02000219.7800041650098.00000219.73700551565
5442025-09-29 04:00:00220.08000222.60000219.30000222.1700044259177.00000221.53600520136
5452025-09-30 04:00:00222.03000222.24000217.89000219.5700048396369.00000219.40040609847
5462025-10-01 04:00:00217.36000222.15000216.61000220.6300043933834.00000220.24920586098
5472025-10-02 04:00:00221.01000222.81000218.94500222.4100041258586.00000221.31820589620
5482025-10-03 04:00:00223.44000224.20000219.34000219.5100043639033.00000221.31910605202
5492025-10-06 04:00:00221.00000221.73000216.03000220.9000043690876.00000219.70950690825
5502025-10-07 04:00:00220.88000222.89000220.17000221.7800031194678.00000221.38080500797
5512025-10-08 04:00:00222.92000226.73000221.19000225.2200046685985.00000224.52340624651
5522025-10-09 04:00:00224.99500228.21000221.75000227.7400046412122.00000225.06130660516
5532025-10-10 04:00:00226.21000228.25000216.00000216.3700072367511.00000220.257701095476
5542025-10-13 04:00:00217.70000220.68000217.04000220.0700037809650.00000219.73840590235
5552025-10-14 04:00:00215.55500219.32000212.60000216.3900045665580.00000216.41530713414
5562025-10-15 04:00:00216.62000217.71000212.66000215.5700045909469.00000215.58160727130
5572025-10-16 04:00:00215.67000218.59000212.81010214.4700042414591.00000215.51000681784
5582025-10-17 04:00:00214.56000214.80000211.03000213.0400045986944.00000213.01650671699
5592025-10-20 04:00:00213.88000216.69000213.59000216.4800038882819.00000215.59850561944
5602025-10-21 04:00:00218.43000223.32000217.99000222.0300050494565.00000221.51540722930
5612025-10-22 04:00:00219.30000220.00500216.52000217.9500044308538.00000218.11640608630
5622025-10-23 04:00:00219.00000221.30000218.18000221.0900031539699.00000220.39800455056
5632025-10-24 04:00:00221.97000225.40000221.90000224.2100038684853.00000224.04810547597
5642025-10-27 04:00:00227.66000228.40000225.54000226.9700038266995.00000227.23260577811
5652025-10-28 04:00:00228.21500231.48500226.21000229.2500047099924.00000228.83510682226
5662025-10-29 04:00:00231.67200232.82000227.76000230.3000052035936.00000230.03650782147
5672025-10-30 04:00:00227.06000228.44000222.75000222.86000102252888.00000231.314401399467
5682025-10-31 04:00:00250.10000250.50000243.98000244.22000166340683.00000247.391201873179
5692025-11-03 05:00:00255.36000258.60000252.90000254.0000095997714.00000255.418801284945
5702025-11-04 05:00:00250.38000257.01000248.66000249.3200051546311.00000250.96710777708
5712025-11-05 05:00:00249.03000251.00000246.16000250.2000040610602.00000249.26070598483
5722025-11-06 05:00:00249.15500250.38000242.17000243.0400046004201.00000244.82420697593
5732025-11-07 05:00:00242.90000244.90000238.49000244.4100046374294.00000241.84930667465
5742025-11-10 05:00:00248.34000251.75000245.59000248.4000036476474.00000248.34500591047
5752025-11-11 05:00:00248.41000249.74990247.23000249.1000023563960.00000248.64500378251
5762025-11-12 05:00:00250.23500250.37000243.75000244.2000031190063.00000245.57220489440
5772025-11-13 05:00:00243.05000243.75000236.50000237.5800041401638.00000239.23370614028
5782025-11-14 05:00:00235.06000238.73000232.89000234.6900038956619.00000235.71950630487
5792025-11-17 05:00:00233.25000234.60000229.19000232.8700059918908.00000231.89100893852

We can see that the index is not continuous - but this is not an issue because use of the data would likely need to re-index the data or simply set the date column as the index.

References

  1. https://polygon.io/
  2. https://polygon.io/docs/rest/quickstart

Code

The jupyter notebook with the functions and all other code is available here.
The html export of the jupyter notebook is available here.
The pdf export of the jupyter notebook is available here.

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