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February 27, 2025/
When working with financial data, efficiency matters. Traders, analysts, and data scientists rely on various storage formats—CSV, Parquet, and SQLite—for…
You can leverage websockets and stream data for stocks, crypto, and options using Alpaca.
Below, I’ll show the stock websocket example in full and then show the different code to use for crypto and websockets. The main difference between each is the uri used and the symbols. Copies to each py file can be found on my GitHub.
In later posts/videos, I’ll build upon these examples and show trading bots.
import asyncio
import websockets
import json
api_key = 'ENTER API KEY'
api_secret ='ENTER API SECRET'
async def connect_to_websocket():
uri = "wss://stream.data.alpaca.markets/v2/iex"
async with websockets.connect(uri) as websocket:
auth_data = {
"action": "auth",
"key": api_key,
"secret": api_secret
}
await websocket.send(json.dumps(auth_data))
subscribe_data = {
"action": "subscribe",
"trades": ["SPY"],
"quotes": ["AAPL", "AMZN"],
"bars": ["TSLA"]
}
await websocket.send(json.dumps(subscribe_data))
async for message in websocket:
print(message)
asyncio.run(connect_to_websocket())
async def connect_to_websocket():
uri = "wss://stream.data.alpaca.markets/v1beta3/crypto/us"
async with websockets.connect(uri) as websocket:
auth_data = {
"action": "auth",
"key": api_key,
"secret": api_secret
}
await websocket.send(json.dumps(auth_data))
subscribe_data = {
"action": "subscribe",
"trades": ["BTC/USD"],
"quotes": ["LTC/USD", "ETH/USD"],
"bars": ["BCH/USD"]
}
await websocket.send(json.dumps(subscribe_data))
async for message in websocket:
print(message)
asyncio.run(connect_to_websocket())async def connect_to_websocket():
uri = "wss://stream.data.alpaca.markets/v1beta1/indicative"
async with websockets.connect(uri) as websocket:
auth_data = {
"action": "auth",
"key": api_key,
"secret": api_secret
}
await websocket.send(msgpack.packb(auth_data))
subscribe_data = {
"action": "subscribe",
"quotes": ["TSLA240621C00185000", "AAPL240621C00195000"],
"trades": ["AAPL240621C00190000"]
}
await websocket.send(msgpack.packb(subscribe_data))
async for message in websocket:
msg = msgpack.unpackb(message)
print(msg)
asyncio.run(connect_to_websocket())When working with financial data, efficiency matters. Traders, analysts, and data scientists rely on various storage formats—CSV, Parquet, and SQLite—for…
I wanted to show how you could create a python screener using yahoo finance data with TA-Lib. A link to…
This is a continuation in a series to show working examples of trading bots using Alpaca. A link to the…
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