Python for high-frequency data

High-frequency data is referred to as second-by-second or millisecond-by-millisecond transaction and quotation data. The New York Stock Exchange's Trade and Quotation (TAQ) database is a typical example ( The following program can be used to retrieve high-frequency data from Google Finance:

import tempfile import re, string import pandas as pd ticker='AAPL' # input a ticker f1="c:/temp/ttt.txt" # ttt will be replace with above sticker f2=f1.replace("ttt",ticker) outfile=open(f2,"w") #path=",o, h,l,c,v" path=",o,%20h,l,c,v" path2=path.replace("ttt",ticker) ...

Get Python for Finance - Second Edition now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.