alpacahq / alpacahq/Alpaca-API

Support market-wide Snapshots and Aggregates

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#256 1 comentario 0 reacciones 0 asignados Ver en GitHub
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Descripción

**Is your feature request related to a problem? Please describe.**
A big gap in the market data API is the lack of getting "market wide" snapshot and aggregate data. You can specify a list of symbols, but there's an upper bound per request and you first need to retrieve all Assets. Having market-wide snapshots is needed for scanners / screeners.

**Describe the solution you'd like**
- Make a single API call to get snapshots for every active symbol today.
- Make a single API call to get daily aggregates for every active symbol for a given date.

**Describe alternatives you've considered**
- Send multiple requests, covering every symbol in the market (requires retrieving all Assets first)
- Paying for Polygon.io (see [here](https://polygon.io/docs/stocks/get_v2_aggs_grouped_locale_us_market_stocks__date) and [here](https://polygon.io/docs/stocks/get_v2_snapshot_locale_us_markets_stocks_tickers))

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