NSEpy Documentation #
Introduction #
NSEpy is a library to extract historical and realtime data from NSE’s website. This Library aims to keep the API very simple.
Python is a great tool for data analysis along with the scipy stack and the main objective of NSEpy is to provide analysis ready data-series for use with scipy stack. NSEpy can seamlessly integrate with Technical Analysis library (Acronymed TA-Lib, includes 200 indicators like MACD, RSI). This library would serve as a basic building block for automatic/semi-automatic algorithm trading systems or backtesting systems for Indian markets.
NSE is migrating to new website, while old website is still operational, much of the NSEpy functionality continues to work. The new website is still not completely functional. The migration of the library will start once major functionalities have been implemented in new website.
Installation #
$ pip install nsepy
Quick start #
Here’s a simple example to get historical stock data for the month of January 2015.
>>> from nsepy import get_history
>>> from datetime import date
>>> data = get_history(symbol="SBIN", start=date(2015,1,1), end=date(2015,1,31))
>>> data[['Close']].plot()
Fetching price history #
Function get_history fetches the price history of stocks/indices/derivatives and returns a pandas dataframe.
Stock price history #
from datetime import date
from nsepy import get_history
sbin = get_history(symbol='SBIN',
start=date(2015,1,1),
end=date(2015,1,10))
Executed on ipython console:
In [1]: sbin
Out[1]: Symbol Series Prev Close Open High Low Last Close \
Date
2015-01-01 SBIN EQ 311.85 312.45 315.00 310.70 314.0 314.00
2015-01-02 SBIN EQ 314.00 314.35 318.30 314.35 315.6 315.25
2015-01-05 SBIN EQ 315.25 316.25 316.80 312.10 312.8 312.75
2015-01-06 SBIN EQ 312.75 310.00 311.10 298.70 299.9 299.90
2015-01-07 SBIN EQ 299.90 300.00 302.55 295.15 301.4 300.15
VWAP Volume Turnover Trades Deliverable Volume \
Date
2015-01-01 313.67 6138488 1.925489e+14 58688 1877677
2015-01-02 316.80 9935094 3.147389e+14 79553 4221685
2015-01-05 313.84 9136716 2.867432e+14 88236 3845173
2015-01-06 305.14 15329257 4.677601e+14 169268 7424847
2015-01-07 299.95 15046745 4.513243e+14 147185 5631400
%Deliverble
Date
2015-01-01 0.3059
2015-01-02 0.4249
2015-01-05 0.4208
2015-01-06 0.4844
2015-01-07 0.3743
Stock futures price history #
Set futures=True and provide expiry_date of the contract (Refer Fetching Expiry Dates)
from datetime import date
from nsepy import get_history
# Stock futures (Similarly for index futures, set index = True)
stock_fut = get_history(symbol="SBIN",
start=date(2015,1,1),
end=date(2015,1,10),
futures=True,
expiry_date=date(2015,1,29))
Please refer to Note on Missing or zero values in derivative data.
When executed the above code on ipython console:
In [38]: stock_opt
Out[38]:
Symbol Expiry Open High Low Close Last \
Date
2015-01-01 SBIN 2015-01-29 315.10 317.95 313.40 316.65 317.00
2015-01-02 SBIN 2015-01-29 317.50 320.95 317.10 317.75 318.30
2015-01-05 SBIN 2015-01-29 318.00 318.75 314.10 315.00 315.05
2015-01-06 SBIN 2015-01-29 312.95 312.95 300.10 301.30 301.10
2015-01-07 SBIN 2015-01-29 301.95 304.55 297.35 302.25 303.50
2015-01-08 SBIN 2015-01-29 306.50 308.40 303.70 306.65 307.00
2015-01-09 SBIN 2015-01-29 306.75 309.25 301.05 304.75 304.15
Settle Price Number of Contracts Turnover Open Interest \
Date
2015-01-01 316.65 14720 5.821172e+09 55480000
2015-01-02 317.75 22525 8.988242e+09 55087500
2015-01-05 315.00 17455 6.898723e+09 55718750
2015-01-06 301.30 29338 1.126715e+10 56701250
2015-01-07 302.25 28489 1.074823e+10 58036250
2015-01-08 306.65 20120 7.702653e+09 57287500
2015-01-09 304.75 18961 7.247211e+09 57035000
Change in OI Underlying
Date
2015-01-01 358750 314.00
2015-01-02 -392500 315.25
2015-01-05 631250 312.75
2015-01-06 982500 299.90
2015-01-07 1335000 300.15
2015-01-08 -748750 304.85
2015-01-09 -252500 303.20
Stock options price history #
For stock options, specify-
-
option_type as “CE” for call and as “PE” for put option
-
strike_price - the strike price of the contract
-
expiry_date - expiry date of the contract, refer:ref:get_expiry_date
# Stock options (Similarly for index options, set index = True)
stock_opt = get_history(symbol="SBIN",
start=date(2015,1,1),
end=date(2015,1,10),
option_type="CE",
strike_price=300,
expiry_date=date(2015,1,29))
Index price history #
There are currently 50+ indices maintained by NSE. You can get historical data for all of them.
Usage-
-
symbol - Name of the index in capital (Refer this page for list of indices)
-
index - Set this True for all index related operations
# NIFTY Next 50 index
nifty_next50 = get_history(symbol="NIFTY NEXT 50",
start=date(2015,1,1),
end=date(2015,1,10),
index=True)
# NIFTY50 Equal wight index (random index from the list)
nifty_eq_wt = get_history(symbol="NIFTY50 EQUAL WEIGHT",
start=date(2017,6,1),
end=date(2017,6,10),
index=True)
You will observe a lot of NaN values for many indeces like ‘NIFTY50 Equal wight index’, In those cases just use ‘Close’ values
Index futures price history #
Out of the 60+ indices, only 7 indeces are available for derivative. (List available here.) Usage-
-
index - Set True
-
futures - Set True
-
expiry_date - Expiry date of the contract
nifty_fut = get_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10),
index=True,
futures=True,
expiry_date=date(2015,1,29))
Index options price history #
Usage-
-
index - Set True
-
option_type as “CE” for call and as “PE” for put option
-
strike_price - the strike price of the contract
-
expiry_date - expiry date of the contract
nifty_opt = get_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10),
index=True,
option_type='CE',
strike_price=8200,
expiry_date=date(2015,1,29))
India VIX price history #
India VIX is a volatility index which gives a measurement of market volatility based on NIFTY options contract. This servers as important parameter in option pricing.
vix = get_history(symbol="INDIAVIX",
start=date(2015,1,1),
end=date(2015,1,10),
index=True)
Missing or zero values in derivative data #
Although NSE specifies a trading cycle of three months, most stock futures will not be traded for whole three months, rather they will be active only in the month of expiry, So you may get 0 values for days when no contracts were traded. Please deal with this situation carefully in your logic.
Fetching Expiry Dates #
Fetch expiry date of all derivative contracts for a perticular month and year. Usage-
-
month - Month of contract expiry starting from 1 for January and 12 for December
-
year - Year of the contract expiry
from nsepy.derivatives import get_expiry_date
expiry = get_expiry_date(year=2015, month=1)
Use this function with get_history:
stock_opt = get_history(symbol="SBIN",
start=date(2015,1,1),
end=date(2015,1,10),
futures=True,
expiry_date=get_expiry_date(2015,1))
Index P/E Ratio History #
P/E ratio of a security helps to estimate if the security is over-priced or under-priced. NSE offers historical P/E ratio for 30+ thematic and sectoral indices, we can use this data to determine which sectors are over-priced or under-priced and further make investment decisions.
# Index P/E ratio history
from nsepy import get_index_pe_history
nifty_pe = get_index_pe_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10))
RBI Reference Rates #
USD, GBP, EURO, YEN to INR rbi reference rates:
from nsepy import get_rbi_ref_history
rbi_ref = get_rbi_ref_history(date(2015,1,1), date(2015,1,10))
Daily Bhav Copy #
Download daily bhav copy, which is nothing but OHLC prices of all the traded stocks on a particular day:
from nsepy.history import get_price_list
prices = get_price_list(dt=date(2015,1,1))
Command Line Interface #
NSEpy offers a simple to use, easy to remember command line interface, This method is useful when you just want the data for further processed in Excel, R or any other tool which supports CSV format. Basic Use, Fetch stock price history
$ nsecli history --symbol SBIN -s 2017-01-01 -e 2017-01-31 -o output.csv
This will save price history of State Bank of India for the month of January 2017 as csv file with name output.csv. Lets see the complete functionality using –help option.:
$ nsecli --help
Usage: nsecli history [OPTIONS]
Options:
-S, --symbol TEXT Security code
-s, --start TEXT Start date in yyyy-mm-dd format
-e, --end TEXT End date in yyyy-mm-dd format
-o, --file TEXT Output file name
--series TEXT Default series - EQ
--index / --no-index --index if security is index else --no-index
--help Show this message and exit.
Similar to stocks you can get Index data, just by adding –index flag -
$ nsecli history --symbol "NIFTY 100" -s 2017-07-01 -e 2017-07-27 -o output.csv --index