I am using get_pricing() to get intraday quotes, and I notice that this is the performance bottleneck in my code. I am interested in getting the price at a specific time of day, eg: 2:30 PM EST. I am currently using get_pricing(..., frequency='minute', ...) to get all 390 intraday prices per day, then using at_time('14:30') to filter down to the single price I'm interested in. In the interest of improving performance, is there a way to retrieve just the '14:30' quote each day using get_pricing()?
Can I get get a single intraday price at a specific time using get_pricing()?
The current price methods only return a range of datetimes and not a specific time across several dates. Using the pandas at_time method, as you did, is probably your best approach.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.