polygon.io

rtd.pub plugin for the polygon.io websocket API.

Usage

Third-party subscription required. We are in no way affiliated with polygon.io but anecdotally, their service was a breeze to integrate with. We will open source (Apache licence) this plugin shortly.

Ensure you read their T&Cs to ensure your use of their platform is compliant, particularly around the individual/business pricing models. You need access to their websocket stocks API with at least a Stocks developer account.

Example configuration

rtdpub:
  flushMs: 500
  plugins:
    path: ./
    connectors:
      stocks:
        uses: polygon-io-stocks
        properties:
          # optional, can also be set in environment
          POLYGON_IO_KEY: "hello"

Usage

• Install and sign up to rtd.pub (you'll have to join the wait list for now)

• Sign up to polygon.io and create an API key

• Add a section under connectors: in rtdpub.yaml as below

• Also add the API key as the connector property POLYGON_IO_KEY, or set it as an environment variable

• In a sheet:

  • =rtdpub.Sub("stocks", "AAPL", "s", "vw") will show the (vw)ap value for the ticker AAPL using the seconds aggregate

  • =rtdpub.Sub("stocks", "TSLA", "m") will show the last ((c)lose of aggregate window) value for the ticker TSLA using the (m)inutes aggregate

  • Consult the polygon.io docs for further properties

Caveats

• Only supports delayed feeds, minor fix to address

• Waits for the next tick to arrive for a given symbol rather than fetching last value so cells appear as #VALUE! until a value arrives

• Addition of custom function metadata for ease of use, for example =polygonio.StocksVWAP("TSLA", "s")