market-data

A Rust lib to fetch & enhance historical time-series stock market data.

Default is the Sync version that is using ureq http client. An Async version using reqwest http client can be enabled using the "use-async" feature.

To enable async feature:

market-data = { version = "*", features = ["use-async"] }

Usage

Check the Examples folder for examples per publisher.

// Select a Publisher from the available ones
let mut site = Twelvedata::new(TOKEN.to_string());

// configure to retrieve Daily, Weekly or Intraday series, check the available methods for each publisher
// output_size is mandatory for Twelvedata - and supports values in the range from 1 to 5000 , default is 30.
// multiple requests can be added
site.weekly_series("GOOGL", 40);
site.intraday_series("MSFT", 40, Interval::Hour2)?;

// create the MarketClient
let mut client = MarketClient::new(site);

// creates the query URL & download the raw data
client = client.create_endpoint()?.get_data()?;
// transform into MarketSeries, that can be used for further processing
let data = client.transform_data();

// prints the data
data.iter().for_each(|output| match output {
    Ok(data) => println!("{}\n\n", data),
    Err(err) => println!("{}", err),
});

// the client can be reused for additional series
client.site.daily_series("GOOGL", 300);

// the consuming the client pattern, the client can't be reused for configuring new series
let data2 = client.create_endpoint()?.get_data()?.transform_data();

// the data can be enhanced with the calculation of a number of  market indicators
let enhanced_data: Vec<EnhancedMarketSeries> = data2
    .into_iter()
    .filter_map(|series| series.ok())
    .map(|series| {
        series
            .enhance_data()
            .with_sma(10)
            .with_ema(20)
            .with_rsi(14)
            .with_macd(12, 26, 9)
            .calculate()
    })
    .collect();

enhanced_data
    .into_iter()
    .for_each(|enhanced_series| println!("{}", enhanced_series));

// Print example of the Enhanced Series on GOOGL Daily - with SMA 10, EMA 20, RSI 14, MACD (12, 26, 9):

Date: 2023-12-27, Open: 141.59, Close: 140.37, High: 142.08, Low: 139.89, Volume: 19628600.00, SMA 10: 137.17, EMA 20: 136.40, RSI 14: 62.03, MACD (12, 26, 9): 1.87, 1.03, 0.84, ,

Date: 2023-12-28, Open: 140.78, Close: 140.23, High: 141.14, Low: 139.75, Volume: 16045700.00, SMA 10: 137.94, EMA 20: 136.77, RSI 14: 61.58, MACD (12, 26, 9): 1.93, 1.21, 0.72, ,

Date: 2023-12-29, Open: 139.63, Close: 139.69, High: 140.36, Low: 138.78, Volume: 18727200.00, SMA 10: 138.71, EMA 20: 137.05, RSI 14: 59.79, MACD (12, 26, 9): 1.92, 1.35, 0.57, ,

Date: 2024-01-02, Open: 138.55, Close: 138.17, High: 139.45, Low: 136.48, Volume: 23711200.00, SMA 10: 139.27, EMA 20: 137.15, RSI 14: 54.93, MACD (12, 26, 9): 1.76, 1.43, 0.33, ,

Date: 2024-01-03, Open: 137.25, Close: 138.92, High: 139.63, Low: 137.08, Volume: 24212100.00, SMA 10: 139.58, EMA 20: 137.32, RSI 14: 56.79, MACD (12, 26, 9): 1.68, 1.48, 0.20, ,

Date: 2024-01-04, Open: 138.42, Close: 136.39, High: 139.16, Low: 136.35, Volume: 27137700.00, SMA 10: 139.55, EMA 20: 137.23, RSI 14: 49.37, MACD (12, 26, 9): 1.40, 1.47, -0.07, ,

Date: 2024-01-05, Open: 136.75, Close: 135.73, High: 137.16, Low: 135.15, Volume: 22506000.00, SMA 10: 139.29, EMA 20: 137.09, RSI 14: 47.62, MACD (12, 26, 9): 1.11, 1.39, -0.29, ,

Supported Publishers

Implementation is available for several sites that offer also Free Tier, besides the paid subscriptions. Additional details can be found in Publishers.md file.

So far the following are supported:

• Alpha Vantage
• Twelvedata
• Polygon.io
• Yahoo Finance
• Iex cloud - may not work unless a paid subscribtions is used

New Publishers can be added (as Nasdaq Data Link - WIKIP, Marketstack and others).

Contribution is welcome, if you need other Publishers(source sites) raise a PR or create an issue.

Supported Market Technical Indicators

• Simple Moving Average (SMA)
• Exponential Moving Averages (EMA)
• Relative Strength Index (RSI)
• Stochastic Oscillator
• Moving Average Convergence/Divergence (MACD)

Contribution is welcome, if you need other indicators raise a PR or create an issue.

For development

Export the API Keys, as: export Publisher_TOKEN=<your_toke_here>

Default feature in Cargo.toml is use-sync, if working on async version change the default to use-async.

Run the examples:

cargo run --example example_name

// for async
cargo run --example async_example_name --features="use-async" --no-default-features