Polygon.io data server. Downloading data from Western exchanges.
We will learn how to connect OsEngine to Polygon.io. This is an international service specializing in selling historical trading data.
1. Available data for download from Polygon.io
A total of over 40,000 securities are available.
Available classes of securities:
It is important to remember that there are both free and paid plans from this data provider.
Free:
1. 5 requests per minute. This means downloading will be slow.
2. History depth – 2 years maximum.
3. Trade tape – not available.
4. Candles below one minute – not available.
Paid (Maximum plan):
1. Unlimited number of requests per minute.
2. History depth – maximum.
3. Trade tape – available for download.
4. Candles below one minute – available for download.
2. Accessing the Dashboard and copying the API key.
If you need access to paid features, go to the Subscription section and choose the plan with the features you need and pay for it.
Below is a list of plans with their capabilities.
3. Setting up OsEngine to download data from Polygon.io
In the main menu, go to Data:
Next, select the connector “Polygon”:
A window will open for connecting to Polygon:
1. Enter the API key.
2. Select True if you need to download the list of securities from the server when connecting. This is necessary for the first connection to ensure the securities are saved to a file. For subsequent connections, you can choose False, and the securities will be loaded from the file.
It should be noted that the total number of securities is about 43,500, with 11,600 in stocks. The server returns a list of 1,000 securities for each request. If you are using a free key, there is a limit on the number of requests to the server of 5 times per minute.
3. Select which types of securities you want to download from the server.
4. Choose True if you need trading results with adjusted values when a Split occurs for a security.
5. Click the “Connect” button!
If you chose to download securities from the server, wait until it is finished.
Adding a data set for download, click the “Add new data set” button:
A settings window for the data set will open:
1. Enter the name of the data set.
2. Choose the server.
3. Select the securities.
4. Choose the time frame.
5. Select the time interval.
6. Choose “On” to start downloading data.
7. Click “Accept”
Good luck with your algorithms!