Algo trading part 1 - how to receive price data

A common task in algo trading is to scan 1000 and more stocks and do some magic with the price data. But how can we get the price data?

How can we get the price data?

There are tons of projects on github to get price data and my favorite is yfinance.

The following example shows how to receive Microsoft stock prices:

import yfinance as yf
msft = yf.Ticker("MSFT")
# get stock info
msft.info
# get historical market data
hist = msft.history(period="max")

The lib needs a ticker symbol to download historical market data so we need a database with all important stock symbols.

How can we get the stock symbols?

I wrote a lib by myself for this problem. The name is pytickersymbols and is completely open for everyone.

The syntax is quite simple:

import yfinance as yf
from pytickersymbols import PyTickerSymbols

stock_data = PyTickerSymbols()

sp100_yahoo = stock_data.get_sp_100_nyc_yahoo_tickers()
sp500_google = stock_data.get_sp_500_nyc_yahoo_tickers()
dow_yahoo = stock_data.get_dow_jones_nyc_yahoo_tickers()

us_stocks = sp100_yahoo + sp500_google + dow_yahoo

for us_stock in us_stocks:
   stock_data = yf.Ticker(us_stock)
   data = stock_data.history(period="max")
   # save data for analysis purposes
   data.to_csv(f'{us_stock}.csv', sep='\t', encoding='utf-8')
   # do magic stuff wit price data
   data['SMA(5)'] = data.open.rolling(5).mean()
   data['SMA(15)'] = data.open.rolling(15).mean()
   df['Buy'] = df['SMA(5)'].ge(df['SMA(15)'])
   data.to_csv(f'{us_stock}.csv', sep='\t', encoding='utf-8')

With the script above we are able to download price data from 640 different stocks and can generate buy signals with the simple SMA algo. Wow :D