PythonでAphaVantage APIを扱う

絹田真也

こんにちは！エンジニアの絹田です。今回はPythonでAphaVantage APIを扱う方法について紹介します。

AlphaVantageとは

AlphaVantageはAlpha Vantageは2017年に創立された米国ボストンの会社で、エンタープライズグレードの金融市場データを提供しています。従来の資産クラス（株式やETFなど）から経済シグナル、外国為替レートから暗号通貨、基本データから技術指標まで幅広く提供していることに加えて、JSONフォーマットでの提供など開発者にわかりやすいことに定評があります。ExcelやGoogleスプレッドシートとの連携がしやすいです。

以前はOandaやGoogle Finance、Yahoo Financeなどが有力候補でしたが、サービスの終了や超大幅値上げなどにより、今後はAlpha Vantageへの移行がいいと思います。

ドキュメント

公式ドキュメント

https://www.alphavantage.co/documentation/

非公式ドキュメント

https://tec.tecotec.co.jp/entry/2020/12/23/000000

APIキーの取得

下記のページからメールアドレスを入力するとAPIキーが発行できます。

https://www.alphavantage.co/support/#api-key

ソースコード

USD/JPYのリアルタイムデータを取得

import json
import requests
import pandas as pd

'''
read API key from secret.json
secret.json
{
	"API_KEY": "NXXXXXXXXXXXXXX"
}
'''
with open('secret.json') as f:
    secret = json.load(f)
API_KEY = secret['API_KEY']


def main():

    '''
    最新のデータを取得
    {
    "Realtime Currency Exchange Rate": {
        "1. From_Currency Code": "EUR",
        "2. From_Currency Name": "Euro",
        "3. To_Currency Code": "USD",
        "4. To_Currency Name": "United States Dollar",
        "5. Exchange Rate": "1.09805640",
        "6. Last Refreshed": "2022-03-16 02:33:01",
        "7. Time Zone": "UTC",
        "8. Bid Price": "1.09805640",
        "9. Ask Price": "1.09805640"
    }
    }
    '''
    url = f'https://www.alphavantage.co/query?function=CURRENCY_EXCHANGE_RATE&from_currency=USD&to_currency=JPY&apikey={API_KEY}'

    r = requests.get(url)
    data = r.json()
    print(json.dumps(data, indent=2))


if __name__ == '__main__':
    main()

main関数の最後にprint(json.dumps(data, indent=2))していますが、そちらにはこのようなデータが格納されます。

{
  "Realtime Currency Exchange Rate": {
    "1. From_Currency Code": "USD",
    "2. From_Currency Name": "United States Dollar",
    "3. To_Currency Code": "JPY",
    "4. To_Currency Name": "Japanese Yen",
    "5. Exchange Rate": "118.23600000",
    "6. Last Refreshed": "2022-03-16 02:19:22",
    "7. Time Zone": "UTC",
    "8. Bid Price": "118.23600000",
    "9. Ask Price": "118.23600000"
  }
}

タイムゾーンはUTCですので、9時間プラスすると日本時間になります。

ヒストリカルデータを取得する

import json
import requests
import pandas as pd

'''
read API key from secret.json
secret.json
{
	"API_KEY": "NXXXXXXXXXXXXXX"
}
'''
with open('secret.json') as f:
    secret = json.load(f)
API_KEY = secret['API_KEY']


def main():
    '''
    # ヒストリカルデータを取得
{
  "Meta Data": {
    "1. Information": "Intraday (5min) open, high, low, close prices and volume",
    "2. Symbol": "USDJPY",
    "3. Last Refreshed": "2022-03-15 22:30:00",
    "4. Interval": "5min",
    "5. Output Size": "Compact",
    "6. Time Zone": "US/Eastern"
  },
  "Time Series (5min)": {
    "2022-03-15 22:30:00": {
      "1. open": "118.2500",
      "2. high": "118.2570",
      "3. low": "118.2100",
      "4. close": "118.2470",
      "5. volume": "0"
    },
    "2022-03-15 22:25:00": {
      "1. open": "118.2330",
      "2. high": "118.2620",
      "3. low": "118.2100",
      "4. close": "118.2500",
      "5. volume": "0"
    },
}
    '''
    url = f'https://www.alphavantage.co/query?function=TIME_SERIES_INTRADAY&symbol=USDJPY&interval=5min&apikey={API_KEY}'

    r = requests.get(url)
    data = r.json()
    print(json.dumps(data, indent=2))


if __name__ == '__main__':
    main()

main関数の最後にprint(json.dumps(data, indent=2))していますが、そちらにはこのようなデータが格納されます。

{
  "Meta Data": {
    "1. Information": "Intraday (5min) open, high, low, close prices and volume",
    "2. Symbol": "USDJPY",
    "3. Last Refreshed": "2022-03-15 22:45:00",
    "4. Interval": "5min",
    "5. Output Size": "Compact",
    "6. Time Zone": "US/Eastern"
  },
  "Time Series (5min)": {
    "2022-03-15 22:45:00": {
      "1. open": "118.2460",
      "2. high": "118.2550",
      "3. low": "118.2200",
      "4. close": "118.2530",
      "5. volume": "0"
    },
    "2022-03-15 22:40:00": {
      "1. open": "118.2310",
      "2. high": "118.2540",
      "3. low": "118.1900",
      "4. close": "118.2500",
      "5. volume": "0"
    },

こちらはタイムゾーンが東部標準時ですので、夏時間では13時間プラスすると日本時間になります。

東部標準時は、アラスカ州・ハワイ州を除いた）アメリカ合衆国本土にある4つの時間帯のうち一番先行する時間帯で、首都ワシントンD.C.やニューヨーク市のほか、東海岸の諸都市がこの時間帯に属する。カナダでは首都オタワ、モントリオール、トロントなど主要都市部がこの時間帯に属する。

夏時間は日本の方が13時間進んでいて、それ以外だと日本の方が14時間進んでいます。

Required: function

The time series of your choice. In this case, function=TIME_SERIES_INTRADAY

❚ Required: symbol

The name of the equity of your choice. For example: symbol=IBM

❚ Required: interval

Time interval between two consecutive data points in the time series. The following values are supported: 1min, 5min, 15min, 30min, 60min

❚ Optional: adjusted

By default, adjusted=true and the output time series is adjusted by historical split and dividend events. Set adjusted=false to query raw (as-traded) intraday values.

❚ Optional: outputsize

By default, outputsize=compact. Strings compact and full are accepted with the following specifications: compact returns only the latest 100 data points in the intraday time series; full returns the full-length intraday time series. The “compact” option is recommended if you would like to reduce the data size of each API call.

❚ Optional: datatype

By default, datatype=json. Strings json and csv are accepted with the following specifications: json returns the intraday time series in JSON format; csv returns the time series as a CSV (comma separated value) file.

❚ Required: apikey

Your API key. Claim your free API key here.

ソースコードまとめ

import json
import requests
import pandas as pd

'''
read API key from secret.json
secret.json
{
	"API_KEY": "NXXXXXXXXXXXXXX"
}
'''
with open('secret.json') as f:
    secret = json.load(f)
API_KEY = secret['API_KEY']


def main():

    '''
    最新のデータを取得
    {
    "Realtime Currency Exchange Rate": {
        "1. From_Currency Code": "EUR",
        "2. From_Currency Name": "Euro",
        "3. To_Currency Code": "USD",
        "4. To_Currency Name": "United States Dollar",
        "5. Exchange Rate": "1.09805640",
        "6. Last Refreshed": "2022-03-16 02:33:01",
        "7. Time Zone": "UTC",
        "8. Bid Price": "1.09805640",
        "9. Ask Price": "1.09805640"
    }
    }
    '''
    url = f'https://www.alphavantage.co/query?function=CURRENCY_EXCHANGE_RATE&from_currency=USD&to_currency=JPY&apikey={API_KEY}'
    
    '''
    # ヒストリカルデータを取得
{
  "Meta Data": {
    "1. Information": "Intraday (5min) open, high, low, close prices and volume",
    "2. Symbol": "USDJPY",
    "3. Last Refreshed": "2022-03-15 22:30:00",
    "4. Interval": "5min",
    "5. Output Size": "Compact",
    "6. Time Zone": "US/Eastern"
  },
  "Time Series (5min)": {
    "2022-03-15 22:30:00": {
      "1. open": "118.2500",
      "2. high": "118.2570",
      "3. low": "118.2100",
      "4. close": "118.2470",
      "5. volume": "0"
    },
    "2022-03-15 22:25:00": {
      "1. open": "118.2330",
      "2. high": "118.2620",
      "3. low": "118.2100",
      "4. close": "118.2500",
      "5. volume": "0"
    },
}
    '''
    #url = f'https://www.alphavantage.co/query?function=TIME_SERIES_INTRADAY&symbol=USDJPY&interval=5min&apikey={API_KEY}'

    r = requests.get(url)
    data = r.json()
    print(json.dumps(data, indent=2))


if __name__ == '__main__':
    main()