Python function: getOHLCV()

Specification	Value
Delivery Frequency	continuous
Data Frequency	daily, intraday (min/hour)
Reporting Lag	Daily bars on market close; intraday bars in near-real-time
Coverage	10,000+ U.S. equities and ETFs (NYSE, NASDAQ, AMEX, BATS)
History	Since 2003-01-02
Availability	Free

Product Overview

Overview

Equity & ETF OHLCV provides standardized Open, High, Low, Close, and Volume price bars for U.S.-listed equities and exchange-traded funds. The dataset supports daily, hourly, and minute-level granularity, enabling everything from long-horizon backtesting to intraday signal research. Daily bars are maintained in an internal repository that is continuously updated and automatically backfilled from exchange-consolidated trade feeds. Intraday bars (minute and hourly) are sourced from real-time aggregated exchange data.

Data Pipeline

Daily Bars

Scalar Field maintains a repository of daily OHLCV bars sourced from consolidated exchange feeds:

Continuous updates: New daily bars are appended as they become available after market close.
Automatic backfill: If gaps are detected for any ticker, the system automatically backfills from the upstream exchange-consolidated data provider.
Corporate actions: Prices are adjusted for splits and dividends to produce a continuous adjusted price series.

Intraday Bars

Minute and hourly bars are constructed from real-time trade data:

Trade-level aggregation: OHLCV bars are built from tick-level trade data. Each trade carries “sale condition” flags that determine which OHLCV components it updates — for example, certain off-exchange trade conditions may update volume but not the high/low prices. This follows Securities Information Processor (SIP) consolidated processing guidelines.
Granularity: 1-minute bars are the base unit; hourly bars are aggregated from minute bars.
Timestamps: All intraday timestamps are in New York (Eastern) time.

Coverage

Universe: 10,000+ U.S.-listed equities and ETFs (NYSE, NASDAQ, AMEX, BATS, and other lit venues).
Daily history: Back to 2003 for most liquid names; varies by listing date for newer securities.
Intraday history: Approximately 2 years of minute and hourly bars.
Update frequency: Daily bars updated on market close; intraday bars available in near-real-time during market hours (typically 10–20 minutes after open, ending 10–20 minutes before close).

Supported Modes

Mode	Trigger	Notes
Daily historical	`start`/`end` as `'YYYY-MM-DD'`	Timeframe defaults to `'day'`. Stale parquet data is automatically backfilled.
Intraday historical	`start`/`end` as `'YYYY-MM-DDTHH:MM:SS'`	Timeframe defaults to `'min'`; can set `'hour'`. New York timezone.
Near-real-time	Set `start`/`end` to recent datetimes	Returns 1-minute bars for the requested window.

Querying the Data

Basic Usage

from scalarlib import getOHLCV

# Daily bars for multiple equities
data = getOHLCV(tickers=['AAPL', 'MSFT', 'NVDA'], start='2025-01-01', end='2025-12-31')
aapl_df = data['AAPL']

# Intraday minute bars
data = getOHLCV(tickers=['AAPL'], start='2026-03-24T09:30:00', end='2026-03-24T16:00:00')

# Hourly bars with explicit timeframe
data = getOHLCV(tickers=['SPY'], start='2025-06-16', end='2025-06-18', timeframe='hour')

# Near-real-time: last 30 minutes
from datetime import datetime, timedelta
now = datetime.now()
data = getOHLCV(
    tickers=['AAPL'],
    start=(now - timedelta(minutes=30)).strftime('%Y-%m-%dT%H:%M:%S'),
    end=now.strftime('%Y-%m-%dT%H:%M:%S')
)

Parameters

Parameter	Type	Required	Description
`tickers`	list of str	Yes	Equity/ETF ticker symbols (e.g., `['AAPL', 'SPY']`).
`start`	str	Yes	Start date (`'YYYY-MM-DD'`) or datetime (`'YYYY-MM-DDTHH:MM:SS'`, New York time).
`end`	str	Yes	End date or datetime (same format as `start`).
`timeframe`	str	No	`'day'`, `'min'`, or `'hour'`. Default: inferred from date format — date-only defaults to daily, datetime defaults to minute.

Column Definitions

OHLCV Schema

Column	Type	Description
`ts_recv`	datetime64[ns]	Bar timestamp. For daily bars, the trading date. For intraday, the bar’s start time in New York time.
`ticker`	string	Ticker symbol (e.g., `AAPL`, `SPY`).
`open`	float64	Opening price of the bar.
`high`	float64	Highest traded price during the bar.
`low`	float64	Lowest traded price during the bar.
`close`	float64	Closing price of the bar.
`volume`	int64	Number of shares traded during the bar.

​Product Overview

​Overview

​Data Pipeline

​Daily Bars

​Intraday Bars

​Coverage

​Supported Modes

​Querying the Data

​Basic Usage

​Parameters

​Column Definitions

​OHLCV Schema

Product Overview

Overview

Data Pipeline

Daily Bars

Intraday Bars

Coverage

Supported Modes

Querying the Data

Basic Usage

Parameters

Column Definitions

OHLCV Schema