History() using Tiingo Daily Data?

Being pretty new at working with this code, I'm not so familiar with the internals. After some probing, it seems clear that the interface for Tiingo data does not support History(). In order to support algorithms that require historical lookback, I wrote the following class that agreggates price data from slices. Not beautiful or necessarily efficient, but it works. If you like it, feel free to improve it and post back here.

class DataAggregator:
'''
A class for aggregating one field from a slice from external data source
It collect a rolling window of n points
tickers: List of tickers to extract
field: String defining which field to extract
n: number of points to keep
'''
def __init__(self, tickers, field, n):
self.tickers = tickers
self.field = field
self.n = n
self.i = 0
self.data= pd.DataFrame(index=range(self.n), columns=self.tickers)

def agg(self, slice):
if (self.i < self.n):
for t in self.tickers:
self.data.iloc[self.i][t] = getattr(slice[t], self.field)
self.i += 1
else:
self.data = self.data.shift(-1,)
for t in self.tickers:
self.data.iloc[-1][t] = getattr(slice[t], self.field)

To use, put something like this in your Initialize() method:

self.tickers = ['SPY', 'TLT']
self.history = DataAggregator(self.tickers, 'AdjustedClose', 200)

 Then, in OnData(), put:

self.history.agg(slice)

I did not try to replicate the full functionality of History(), but this simple hack should serve for most simple use cases.

Greg

Quick update: I cleaned this up a bit. I looked at using RollingWindow(), but it seemed overly complicated and I did not like it's asyncronous approach. I prefer using pd.DataFrame(), so I stuck with that. The code below is simpler than above and now includes a DatetimeIndex rather than in an integer index. Only tested (so far) on Tiingo dailly data.

Hi GregasMaximus  this is exactly what I was looking for. 

I almost threw the towel on Quantconnect. Thank you for this post. 

And I have a question:  but I am curious, don't you need to authincate your access to TIINGO? how did you do this?

Hi Jared Broad, I know this post is old and I have the question above (which I am hoping Gregas can answer if he still works with TIINGO data), I hope you can assist me with any pointer on how to work with TIINGO data as I could not find any documentation on it (other than this post). thank you.

Hi I Malak,

See the Tiingo News Feeds docs.

Best,
Derek Melchin

… and by the way even the example straight from the documentation (link below) does not work. all data requests failed. I am welling to spend a bit more time on this but I have to say it's a bit frustrating. 

Hi A Leo,

We couldn't reproduce the issue. Note that a dataset subscription is required to request Tiingo News Feed data.

Best,
Derek Melchin