ws and rest indices

polygon/rest/models/common.py

@@ -21,13 +21,15 @@ class Market(Enum):
     CRYPTO = "crypto"
     FX = "fx"
     OTC = "otc"
+    INDICES = "indices"
 
 
 class AssetClass(Enum):
     STOCKS = "stocks"
     OPTIONS = "options"
     CRYPTO = "crypto"
     FX = "fx"
+    INDICES = "indices"
 
 
 class DividendType(Enum):
@@ -72,6 +74,7 @@ class SnapshotMarketType(Enum):
     STOCKS = "stocks"
     FOREX = "forex"
     CRYPTO = "crypto"
+    INDICES = "indices"
 
 
 class Timeframe(Enum):

polygon/rest/models/markets.py

@@ -25,6 +25,24 @@ def from_dict(d):
         return MarketExchanges(**d)
 
 
+@modelclass
+class MarketIndices:
+    "Contains indices market status data."
+    s_and_p: Optional[str] = None
+    societe_generale: Optional[str] = None
+    msci: Optional[str] = None
+    ftse_russell: Optional[str] = None
+    mstar: Optional[str] = None
+    mstarc: Optional[str] = None
+    cccy: Optional[str] = None
+    nasdaq: Optional[str] = None
+    dow_jones: Optional[str] = None
+
+    @staticmethod
+    def from_dict(d):
+        return MarketIndices(**d)
+
+
 @modelclass
 class MarketHoliday:
     "MarketHoliday contains data for upcoming market holidays and their open/close times."
@@ -47,6 +65,7 @@ class MarketStatus:
     currencies: Optional[MarketCurrencies] = None
     early_hours: Optional[bool] = None
     exchanges: Optional[MarketExchanges] = None
+    indicesGroups: Optional[MarketIndices] = None
     market: Optional[str] = None
     server_time: Optional[str] = None
 

polygon/rest/models/snapshot.py

@@ -31,6 +31,49 @@ def from_dict(d):
         )
 
 
+@modelclass
+class IndicesSession:
+    "Contains data for the most recent daily bar in an options contract."
+    change: Optional[float] = None
+    change_percent: Optional[float] = None
+    close: Optional[float] = None
+    high: Optional[float] = None
+    low: Optional[float] = None
+    open: Optional[float] = None
+    previous_close: Optional[float] = None
+
+    @staticmethod
+    def from_dict(d):
+        return IndicesSession(**d)
+
+
+@modelclass
+class IndicesSnapshot:
+    value: Optional[float] = None
+    name: Optional[str] = None
+    type: Optional[str] = None
+    ticker: Optional[str] = None
+    market_status: Optional[str] = None
+    session: Optional[IndicesSession] = None
+    error: Optional[str] = None
+    message: Optional[str] = None
+
+    @staticmethod
+    def from_dict(d):
+        return IndicesSnapshot(
+            value=d.get("value", None),
+            name=d.get("name", None),
+            type=d.get("type", None),
+            ticker=d.get("ticker", None),
+            market_status=d.get("market_status", None),
+            session=None
+            if "session" not in d
+            else IndicesSession.from_dict(d["session"]),
+            error=d.get("error", None),
+            message=d.get("message", None),
+        )
+
+
 @modelclass
 class TickerSnapshot:
     "Contains the most up-to-date market data for all traded ticker symbols."
@@ -132,6 +175,7 @@ class UnderlyingAsset:
     change_to_break_even: Optional[float] = None
     last_updated: Optional[int] = None
     price: Optional[float] = None
+    value: Optional[float] = None
     ticker: Optional[str] = None
     timeframe: Optional[str] = None
 

polygon/rest/models/tickers.py

@@ -64,6 +64,7 @@ class Ticker:
     share_class_figi: Optional[str] = None
     ticker: Optional[str] = None
     type: Optional[str] = None
+    source_feed: Optional[str] = None
 
     @staticmethod
     def from_dict(d):

polygon/rest/snapshot.py

@@ -6,6 +6,7 @@
     OptionContractSnapshot,
     SnapshotMarketType,
     SnapshotTickerFullBook,
+    IndicesSnapshot,
 )
 from urllib3 import HTTPResponse
 
@@ -184,3 +185,21 @@ def get_snapshot_crypto_book(
             raw=raw,
             options=options,
         )
+
+    def get_snapshot_indices(
+        self,
+        ticker_any_of: Optional[Union[str, List[str]]] = None,
+        params: Optional[Dict[str, Any]] = None,
+        raw: bool = False,
+        options: Optional[RequestOptionBuilder] = None,
+    ) -> Union[List[IndicesSnapshot], HTTPResponse]:
+        url = f"/v3/snapshot/indices"
+
+        return self._get(
+            path=url,
+            params=self._get_params(self.get_snapshot_indices, locals()),
+            deserializer=IndicesSnapshot.from_dict,
+            raw=raw,
+            result_key="results",
+            options=options,
+        )

polygon/websocket/models/common.py

@@ -15,6 +15,7 @@ class Market(Enum):
     Options = "options"
     Forex = "forex"
     Crypto = "crypto"
+    Indices = "indices"
 
 
 class EventType(Enum):
@@ -30,3 +31,4 @@ class EventType(Enum):
     Imbalances = "NOI"
     LimitUpLimitDown = "LULD"
     CryptoL2 = "XL2"
+    Value = "V"

polygon/websocket/models/models.py

@@ -5,7 +5,8 @@
 
 @modelclass
 class EquityAgg:
-    "EquityAgg contains aggregate data for either stock tickers or option contracts."
+    """EquityAgg contains aggregate data for either stock tickers, option contracts or index tickers."""
+
     event_type: Optional[Union[str, EventType]] = None
     symbol: Optional[str] = None
     volume: Optional[float] = None
@@ -307,6 +308,21 @@ def from_dict(d):
         )
 
 
+@modelclass
+class IndexValue:
+    event_type: Optional[Union[str, EventType]] = None
+    value: Optional[float] = None
+    ticker: Optional[str] = None
+    timestamp: Optional[str] = None
+
+    @staticmethod
+    def from_dict(d):
+        d.get("ev", None),
+        d.get("val", None),
+        d.get("T", None),
+        d.get("t", None)
+
+
 WebSocketMessage = NewType(
     "WebSocketMessage",
     List[
@@ -321,6 +337,7 @@ def from_dict(d):
             Imbalance,
             LimitUpLimitDown,
             Level2Book,
+            IndexValue,
         ]
     ],
 )

test_rest/mocks/v3/snapshot/indices&ticker.any_of=SPX%2CAPx%2CAPy.json

@@ -0,0 +1,30 @@
+{
+  "results": [
+    {
+      "value": 3822.39,
+      "name": "S&P 500",
+      "ticker": "SPX",
+      "type": "indices",
+      "market_status": "closed",
+      "session": {
+        "change": -50.01,
+        "change_percent": -1.45,
+        "close": 3822.39,
+        "high": 3834.41,
+        "low": 38217.11,
+        "open": 3827.38,
+        "previous_close": 3812.19
+      }
+    },
+    {
+      "ticker": "APx",
+      "error": "NOT_FOUND",
+      "message": "Ticker not found."
+    },
+    {
+      "ticker": "APy",
+      "error": "NOT_ENTITLED",
+      "message": "Not entitled to this ticker."
+    }
+  ]
+}

test_rest/test_snapshots.py

@@ -12,6 +12,8 @@
     Greeks,
     OptionDetails,
     DayOptionContractSnapshot,
+    IndicesSnapshot,
+    IndicesSession,
 )
 from base import BaseTest
 
@@ -283,3 +285,36 @@ def test_get_snapshot_crypto_book(self):
             updated=1605295074162,
         )
         self.assertEqual(snapshots, expected)
+
+    def test_get_snapshot_indices(self):
+        ticker_any_of = ["SPX", "APx", "APy"]
+        summary_results = self.c.get_snapshot_indices(ticker_any_of)
+        expected = [
+            IndicesSnapshot(
+                value=3822.39,
+                name="S&P 500",
+                type="indices",
+                ticker="SPX",
+                market_status="closed",
+                session=IndicesSession(
+                    change=-50.01,
+                    change_percent=-1.45,
+                    close=3822.39,
+                    high=3834.41,
+                    low=38217.11,
+                    open=3827.38,
+                    previous_close=3812.19,
+                ),
+            ),
+            IndicesSnapshot(
+                ticker="APx",
+                message="Ticker not found.",
+                error="NOT_FOUND",
+            ),
+            IndicesSnapshot(
+                ticker="APy",
+                error="NOT_ENTITLED",
+                message="Not entitled to this ticker.",
+            ),
+        ]
+        self.assertEqual(summary_results, expected)