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[SPT-1407] Add last_updated/timeframe to IndicesSnapshot and list_snapshot_indices (#1038)
- Adds `last_updated` and `timeframe` to `IndicesSnapshot`. The API returns them, but the model was missing them. - Adds `list_snapshot_indices`, which paginates. `get_snapshot_indices` only ever returns the first page (250 indices) and is unchanged. No breaking changes. Tests, docs and an example are included.
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‎docs/source/Snapshot.rst‎

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@@ -60,6 +60,16 @@ Get crypto L2 book snapshot
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.. automethod:: massive.RESTClient.get_snapshot_crypto_book
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=================================
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Get indices snapshot
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=================================
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- `Indices snapshot`_
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.. automethod:: massive.RESTClient.list_snapshot_indices
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.. automethod:: massive.RESTClient.get_snapshot_indices
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.. _Stocks snapshot all tickers: https://massive.com/docs/stocks/get_v3_snapshot
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.. _Options snapshot all tickers: https://massive.com/docs/options/get_v3_snapshot
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.. _Forex snapshot all tickers: https://massive.com/docs/forex/get_v3_snapshot
@@ -75,4 +85,5 @@ Get crypto L2 book snapshot
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.. _Forex snapshot ticker: https://massive.com/docs/forex/get_v2_snapshot_locale_global_markets_forex_tickers__ticker
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.. _Crypto snapshot ticker: https://massive.com/docs/crypto/get_v2_snapshot_locale_global_markets_crypto_tickers__ticker
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.. _Options snapshot option contract: https://massive.com/docs/options/get_v3_snapshot_options__underlyingasset___optioncontract
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.. _Crypto snapshot ticker full book (L2): https://massive.com/docs/crypto/get_v2_snapshot_locale_global_markets_crypto_tickers__ticker__book
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.. _Crypto snapshot ticker full book (L2): https://massive.com/docs/crypto/get_v2_snapshot_locale_global_markets_crypto_tickers__ticker__book
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.. _Indices snapshot: https://massive.com/docs/indices/get_v3_snapshot_indices

‎examples/rest/indices-snapshots_list.py‎

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@@ -0,0 +1,16 @@
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from massive import RESTClient
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# docs
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# https://massive.com/docs/indices/get_v3_snapshot_indices
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# https://github.com/massive-com/client-python/blob/master/massive/rest/snapshot.py#
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# client = RESTClient("XXXXXX") # hardcoded api_key is used
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client = RESTClient() # MASSIVE_API_KEY environment variable is used
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# list_snapshot_indices follows pagination, so this iterates over every index
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snapshots = []
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for s in client.list_snapshot_indices(limit=250):
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snapshots.append(s)
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print(len(snapshots))
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print(snapshots[0])

‎massive/rest/models/snapshot.py‎

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@@ -67,6 +67,8 @@ class IndicesSnapshot:
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session: Optional[IndicesSession] = None
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error: Optional[str] = None
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message: Optional[str] = None
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last_updated: Optional[int] = None
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timeframe: Optional[str] = None
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@staticmethod
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def from_dict(d):
@@ -81,6 +83,8 @@ def from_dict(d):
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),
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error=d.get("error", None),
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message=d.get("message", None),
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last_updated=d.get("last_updated", None),
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timeframe=d.get("timeframe", None),
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)
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‎massive/rest/snapshot.py‎

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@@ -244,6 +244,17 @@ def get_snapshot_indices(
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raw: bool = False,
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options: Optional[RequestOptionBuilder] = None,
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) -> Union[List[IndicesSnapshot], HTTPResponse]:
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"""
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Get snapshots for indices. Returns a single page of results; use
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list_snapshot_indices to paginate through all of them.
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- https://massive.com/docs/indices/get_v3_snapshot_indices
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:param ticker_any_of: Comma-separated list of tickers, up to a maximum of 250.
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:param params: Any additional query params
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:param raw: returns the raw HTTP response if true, else the response is deserialized into a structured object
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:param options: request options
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:return: list of IndicesSnapshot
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"""
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url = f"/v3/snapshot/indices"
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return self._get(
@@ -254,3 +265,47 @@ def get_snapshot_indices(
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result_key="results",
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options=options,
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)
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def list_snapshot_indices(
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self,
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ticker: Optional[str] = None,
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ticker_any_of: Optional[Union[str, List[str]]] = None,
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ticker_lt: Optional[str] = None,
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ticker_lte: Optional[str] = None,
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ticker_gt: Optional[str] = None,
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ticker_gte: Optional[str] = None,
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order: Optional[Union[str, Order]] = None,
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limit: Optional[int] = None,
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sort: Optional[str] = None,
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params: Optional[Dict[str, Any]] = None,
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raw: bool = False,
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options: Optional[RequestOptionBuilder] = None,
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) -> Union[Iterator[IndicesSnapshot], HTTPResponse]:
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"""
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Get snapshots for indices, following pagination.
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- https://massive.com/docs/indices/get_v3_snapshot_indices
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:param ticker: A single index ticker, e.g. I:SPX.
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:param ticker_any_of: Comma-separated list of tickers, up to a maximum of 250. If no tickers are passed then all
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results will be returned in a paginated manner.
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:param ticker_lt: search for tickers less than
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:param ticker_lte: search for tickers less than or equal to
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:param ticker_gt: search for tickers greater than
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:param ticker_gte: search for tickers greater than or equal to
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:param order: Order results based on the sort field.
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:param limit: Limit the size of the response per-page, max is 250.
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:param sort: Sort field used for ordering. Default is ticker.
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:param params: Any additional query params
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:param raw: returns the raw HTTP response if true, else the response is deserialized into a structured object
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:param options: request options
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:return: iterator of IndicesSnapshot
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"""
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url = f"/v3/snapshot/indices"
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return self._paginate(
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path=url,
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params=self._get_params(self.list_snapshot_indices, locals()),
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result_key="results",
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deserializer=IndicesSnapshot.from_dict,
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raw=raw,
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options=options,
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)

‎test_rest/mocks/v3/snapshot/indices&cursor=bGltaXQ9MTAmc29ydD10aWNrZXImdGlja2VyLmd0PUklM0FVWUdJViZ0aWNrZXIubHRlPQ.json‎

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{
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"results": [
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{
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"value": 28.685000000000002,
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"last_updated": 1792081393146000000,
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"timeframe": "REAL-TIME",
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"name": "PROSHARES ULTRA BASIC MATERIALS ETF",
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"ticker": "I:UYMIV",
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"market_status": "regular_trading",
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"type": "indices",
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"session": {
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"change": 0.924,
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"change_percent": 3.328,
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"close": 28.6859,
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"high": 29.0102,
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"low": 27.8834,
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"open": 27.8855,
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"previous_close": 27.761200000000002
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}
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},
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{
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"value": 19.25,
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"last_updated": 1792008000219000000,
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"timeframe": "REAL-TIME",
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"name": "Cboe VIX Jan Futures 4pm EST Mark Index",
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"ticker": "I:UZF",
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"market_status": "regular_trading",
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"type": "indices",
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"session": {
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"change": 0,
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"change_percent": 0,
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"close": 19.25,
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"high": 19.25,
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"low": 19.25,
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"open": 19.25,
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"previous_close": 19.25
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}
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}
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],
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"status": "OK",
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"request_id": "0ade2056b75a64c1bbf1fe9fca8f20ed"
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}

‎test_rest/mocks/v3/snapshot/indices&ticker.gte=I%3ASPX.json‎

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{
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"results": [
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{
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"value": 7717.17,
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"last_updated": 1792081393031000000,
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"timeframe": "REAL-TIME",
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"name": "Standard & Poor's 500",
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"ticker": "I:SPX",
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"market_status": "regular_trading",
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"type": "indices",
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"session": {
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"change": -1.77,
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"change_percent": -0.0229,
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"close": 7718.56,
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"high": 7738.21,
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"low": 7669.66,
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"open": 7687.31,
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"previous_close": 7718.9400000000005
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}
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},
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{
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"value": 82.5721,
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"last_updated": 1792081393415000000,
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"timeframe": "REAL-TIME",
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"name": "PROSHARES S&P 500 EX-ENERGY ETF",
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"ticker": "I:SPXEIV",
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"market_status": "regular_trading",
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"type": "indices",
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"session": {
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"change": 0.0058,
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"change_percent": 0.00702,
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"close": 82.583,
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"high": 82.8018,
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"low": 81.96520000000001,
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"open": 81.96520000000001,
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"previous_close": 82.5663
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}
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}
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],
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"status": "OK",
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"request_id": "62a572d0d04de8a7001f3c01a6d861ad",
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"next_url": "https://api.massive.com/v3/snapshot/indices?cursor=bGltaXQ9MTAmc29ydD10aWNrZXImdGlja2VyLmd0PUklM0FVWUdJViZ0aWNrZXIubHRlPQ"
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}

‎test_rest/test_snapshots.py‎

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@@ -426,6 +426,88 @@ def test_get_snapshot_crypto_book(self):
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)
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self.assertEqual(snapshots, expected)
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def test_list_snapshot_indices(self):
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# two pages: the first page's next_url points at the second
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snapshots = [s for s in self.c.list_snapshot_indices(ticker_gte="I:SPX")]
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expected = [
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IndicesSnapshot(
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value=7717.17,
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name="Standard & Poor's 500",
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type="indices",
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ticker="I:SPX",
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market_status="regular_trading",
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session=IndicesSession(
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change=-1.77,
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change_percent=-0.0229,
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close=7718.56,
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high=7738.21,
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low=7669.66,
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open=7687.31,
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previous_close=7718.9400000000005,
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),
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last_updated=1792081393031000000,
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timeframe="REAL-TIME",
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),
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IndicesSnapshot(
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value=82.5721,
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name="PROSHARES S&P 500 EX-ENERGY ETF",
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type="indices",
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ticker="I:SPXEIV",
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market_status="regular_trading",
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session=IndicesSession(
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change=0.0058,
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change_percent=0.00702,
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close=82.583,
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high=82.8018,
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low=81.96520000000001,
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open=81.96520000000001,
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previous_close=82.5663,
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),
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last_updated=1792081393415000000,
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timeframe="REAL-TIME",
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),
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IndicesSnapshot(
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value=28.685000000000002,
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name="PROSHARES ULTRA BASIC MATERIALS ETF",
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type="indices",
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ticker="I:UYMIV",
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market_status="regular_trading",
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session=IndicesSession(
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change=0.924,
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change_percent=3.328,
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close=28.6859,
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high=29.0102,
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low=27.8834,
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open=27.8855,
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previous_close=27.761200000000002,
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),
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last_updated=1792081393146000000,
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timeframe="REAL-TIME",
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),
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IndicesSnapshot(
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value=19.25,
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name="Cboe VIX Jan Futures 4pm EST Mark Index",
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type="indices",
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ticker="I:UZF",
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market_status="regular_trading",
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session=IndicesSession(
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change=0,
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change_percent=0,
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close=19.25,
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high=19.25,
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low=19.25,
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open=19.25,
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previous_close=19.25,
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),
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last_updated=1792008000219000000,
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timeframe="REAL-TIME",
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),
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]
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self.assertEqual(snapshots, expected)
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# modelclass drops unknown kwargs, so check the fields exist explicitly
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self.assertEqual(snapshots[0].last_updated, 1792081393031000000)
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self.assertEqual(snapshots[0].timeframe, "REAL-TIME")
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def test_get_snapshot_indices(self):
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ticker_any_of = ["SPX", "APx", "APy"]
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summary_results = self.c.get_snapshot_indices(ticker_any_of)

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