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Data Package

The @meridianalgo/data package provides adapters for various financial data providers and a unified DataManager to handle fetching and caching.

Data Manager

The DataManager acts as a central hub for multiple data sources.

import { DataManager, YahooAdapter, PolygonAdapter } from '@meridianalgo/data';

const manager = new DataManager(new Map([
  ['yahoo', new YahooAdapter()],
  ['polygon', new PolygonAdapter({ apiKey: 'YOUR_API_KEY' })]
]));

const bars = await manager.fetch('yahoo', 'AAPL', {
  start: '2023-01-01',
  interval: '1d'
});

Supported Adapters

Yahoo Finance (YahooAdapter)

Free, limited data for stocks and ETFs. Use yahoo-finance2 under the hood.

Polygon.io (PolygonAdapter)

Professional-grade data for stocks, options, and forex.

Alpaca (AlpacaAdapter)

Stock and crypto data, integration with Alpaca trading API.

Binance (BinanceAdapter)

Real-time and historical crypto data from Binance.

Custom Adapters

You can implement your own adapter by following the DataAdapter interface.

export interface DataAdapter {
  id: string;
  ohlcv(symbol: string, options: DataOptions): Promise<Bar[]>;
  quotes?(symbol: string, options: DataOptions): Promise<Quote[]>;
  trades?(symbol: string, options: DataOptions): Promise<Trade[]>;
}

Data Types

  • Bar: OHLCV (Open, High, Low, Close, Volume) data.
  • Quote: Bid/Ask data.
  • Trade: Execution data.
  • Interval: Support for '1m', '5m', '15m', '1h', '1d', '1wk'.