Added intraday time series for alpha vantage

Author: addisonlynch

docs/source/remote_data.rst

@@ -114,6 +114,7 @@ Through the
 endpoints, it is possible to obtain historical equities data for individual
 symbols. The following endpoints are available:
 
+* ``av-intraday`` - Intraday Time Series
 * ``av-daily`` - Daily Time Series
 * ``av-daily-adjusted`` - Daily Time Series (Adjusted)
 * ``av-weekly`` - Weekly Time Series

docs/source/whatsnew/v0.8.0.txt

@@ -26,6 +26,7 @@ Enhancements
 ~~~~~~~~~~~~
 
 - Added Tiingo IEX Historical reader.
+- Added support for Alpha Vantage intraday time series prices (:issue: `631`)
 - Up to 15 years of historical prices from IEX with new platform, IEX Cloud
 
 .. _whatsnew_080.api_breaking:

pandas_datareader/av/time_series.py

@@ -35,7 +35,8 @@ class AVTimeSeriesReader(AlphaVantage):
             "TIME_SERIES_WEEKLY": "Weekly Time Series",
             "TIME_SERIES_WEEKLY_ADJUSTED": "Weekly Adjusted Time Series",
             "TIME_SERIES_MONTHLY": "Monthly Time Series",
-            "TIME_SERIES_MONTHLY_ADJUSTED": "Monthly Adjusted Time Series"
+            "TIME_SERIES_MONTHLY_ADJUSTED": "Monthly Adjusted Time Series",
+            "TIME_SERIES_INTRADAY": "Time Series (1min)"
     }
 
     def __init__(self, symbols=None, function="TIME_SERIES_DAILY",
@@ -47,11 +48,11 @@ def __init__(self, symbols=None, function="TIME_SERIES_DAILY",
                                                  pause=pause, session=session,
                                                  api_key=api_key)
 
-        self.func = function
+        self._func = function
 
     @property
     def function(self):
-        return self.func
+        return self._func
 
     @property
     def output_size(self):
@@ -67,12 +68,15 @@ def data_key(self):
 
     @property
     def params(self):
-        return {
+        p = {
             "symbol": self.symbols,
             "function": self.function,
             "apikey": self.api_key,
             "outputsize": self.output_size
         }
+        if self.function == "TIME_SERIES_INTRADAY":
+            p.update({"interval": "1min"})
+        return p
 
     def _read_lines(self, out):
         data = super(AVTimeSeriesReader, self)._read_lines(out)

pandas_datareader/data.py

@@ -298,7 +298,7 @@ def DataReader(name, data_source=None, start=None, end=None,
                        "tiingo", "yahoo-actions", "yahoo-dividends",
                        "av-forex", "av-daily", "av-daily-adjusted",
                        "av-weekly", "av-weekly-adjusted", "av-monthly",
-                       "av-monthly-adjusted", "econdb"]
+                       "av-monthly-adjusted", "av-intraday", "econdb"]
 
     if data_source not in expected_source:
         msg = "data_source=%r is not implemented" % data_source
@@ -444,6 +444,13 @@ def DataReader(name, data_source=None, start=None, end=None,
                                   retry_count=retry_count, pause=pause,
                                   session=session, api_key=access_key).read()
 
+    elif data_source == "av-intraday":
+        return AVTimeSeriesReader(symbols=name,
+                                  function="TIME_SERIES_INTRADAY",
+                                  start=start, end=end,
+                                  retry_count=retry_count, pause=pause,
+                                  session=session, api_key=access_key).read()
+
     elif data_source == "econdb":
         return EcondbReader(symbols=name, start=start, end=end,
                             retry_count=retry_count, pause=pause,

pandas_datareader/tests/av/test_av_time_series.py

@@ -11,6 +11,8 @@
 TEST_API_KEY = None if not TEST_API_KEY else TEST_API_KEY
 
 
+@pytest.mark.skipif(TEST_API_KEY is None,
+                    reason="ALPHAVANTAGE_API_KEY not set")
 class TestAVTimeSeries(object):
 
     @classmethod
@@ -29,15 +31,11 @@ def start(self):
     def end(self):
         return datetime(2017, 5, 24)
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_bad_symbol(self):
         with pytest.raises(ValueError):
             web.DataReader("BADTICKER", "av-daily", start=self.start,
                            end=self.end)
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_daily(self):
         df = web.DataReader("AAPL", "av-daily", start=self.start, end=self.end)
         assert df.columns.equals(self.col_index)
@@ -52,8 +50,6 @@ def test_av_daily(self):
         assert expected2["close"] == 153.34
         assert expected2["high"] == 154.17
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_daily_adjusted(self):
         df = web.DataReader("AAPL", "av-daily-adjusted", start=self.start,
                             end=self.end)
@@ -94,8 +90,6 @@ def _helper_df_weekly_monthly(df, adj=False):
             assert expected2["adjusted close"] == 141.4148
             assert expected2["dividend amount"] == 0.00
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_weekly(self):
         df = web.DataReader("AAPL", "av-weekly", start=self.start,
                             end=self.end)
@@ -106,8 +100,6 @@ def test_av_weekly(self):
         assert df.columns.equals(self.col_index)
         self._helper_df_weekly_monthly(df, adj=False)
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_weekly_adjusted(self):
         df = web.DataReader("AAPL", "av-weekly-adjusted", start=self.start,
                             end=self.end)
@@ -118,8 +110,6 @@ def test_av_weekly_adjusted(self):
         assert df.columns.equals(self.col_index_adj)
         self._helper_df_weekly_monthly(df, adj=True)
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_monthly(self):
         df = web.DataReader("AAPL", "av-monthly", start=self.start,
                             end=self.end)
@@ -130,8 +120,6 @@ def test_av_monthly(self):
         assert df.columns.equals(self.col_index)
         self._helper_df_weekly_monthly(df, adj=False)
 
-    @pytest.mark.skipif(TEST_API_KEY is None,
-                        reason="ALPHAVANTAGE_API_KEY not set")
     def test_av_monthly_adjusted(self):
         df = web.DataReader("AAPL", "av-monthly-adjusted", start=self.start,
                             end=self.end)
@@ -141,3 +129,11 @@ def test_av_monthly_adjusted(self):
         assert df.iloc[0].name == '2015-02-27'
         assert df.iloc[-1].name == '2017-04-28'
         self._helper_df_weekly_monthly(df, adj=True)
+
+    def test_av_intraday(self):
+        # Not much available to test, but ensure close in length
+        df = web.DataReader("AAPL", "av-intraday")
+
+        assert len(df) > 1000
+        assert 'open' in df.columns
+        assert 'close' in df.columns