PolygonFileWrapper

Basic wrapper around Polygon's flat file API.

Install

pip install "polygon_wrapper @ git+ssh://git@github.com/sharpetwo/PolygonFileWrapper"

Usage

You will need a Polygion.io account and an access key and secret key from Polygon's Dashboard.

There are 2 main ways to use this package:

As a Python library, as part of a larger system to download flat files from Polygon, using PolygonFileWrapper directly. Credentials can either be passed in when instantiating PolygonFileWrapper or will be read from the environment variables.
As a command line script to do a one-off download of flat files by date range.

Examples

For brevity, we will assume ACCESS_KEY and SECRET_KEY are defined in the environment.

Example code that downloads options trades for 2 days and returns a Polars DataFrame:

from polygon_wrapper import PolygonFileWrapper, PolygonEndpoint

wrapper = PolygonFileWrapper()

start_date = dt.date(2024, 2, 1)
end_date = dt.date(2024, 2, 2)
df = wrapper.download_options(PolygonEndpoint.TRADES, start_date, end_date)

Example command to do the same as above, but save the files as parquet into a options_trades folder:

polygon_download --endpoint trades --market options --start_date 20240201 --end_date 20240202 --output_dir options_trades/

Download options daily bars for entire February 2024:

polygon_download --endpoint day --market options --start_date 20240201 --end_date 20240229 --output_dir testdir

Available data

Define two env variables POLYGON_MARKET and POLYGON_ENDPOINT depending on the use cases:

POLYGON_MARKET -> OPTIONS, STOCKS, CRYPTO, FOREX, INDEX
POLYGON_ENDPOINT -> DAY, MINUTES, TRADES, QUOTES

Dev setup

Install dependencies with pip install -r requirements.txt

If new dependencies are added, requirements.txt can be regenerated with pip-compile from pip-tools package:

pip-compile -o requirements.txt pyproject.toml

Run tests

ACCESS_KEY=... SECRET_KEY=... POLYGON_MARKET=OPTIONS  POLYGON_ENDPOINT=MINUTES pytest test.py