Python function: getOHLCV()
| Specification | Value |
|---|
| Delivery Frequency | continuous |
| Data Frequency | daily, intraday (min/hour) |
| Reporting Lag | Real-time during market hours |
| Coverage | Major U.S. indices (S&P 500, DJIA, NASDAQ, Russell, VIX, sector indices) |
| History | Since 2003-01-02 |
| Availability | Free |
Product Overview
Overview
Index OHLCV provides standardized Open, High, Low, Close, and Volume bars for major market indices. Tickers use the I: prefix convention (e.g., I:SPX for the S&P 500, I:DJI for the Dow Jones Industrial Average). The legacy ^ prefix (e.g., ^SPX) is also accepted.
Index values are computed from their constituent securities and disseminated by the index provider or exchange. Scalar Field aggregates tick-level index values into OHLCV bars at the requested granularity.
Data Pipeline
Index data is sourced from consolidated exchange feeds that disseminate real-time index values:
- Tick-level collection: Raw index values are captured at tick granularity as they are published by the exchanges.
- Bar aggregation: Tick data is aggregated into OHLCV bars at the requested timeframe (daily, hourly, or minute). Each bar captures the open (first tick), high (maximum), low (minimum), close (last tick), and a transaction count where applicable.
- Snapshot data: Real-time snapshots provide the current index value, session high/low, open/close, and change metrics.
Coverage
- Major U.S. indices: S&P 500 (
I:SPX), Dow Jones Industrial Average (I:DJI), NASDAQ Composite (I:COMP), Russell 2000 (I:RUT), VIX (I:VIX), and many more.
- Sector and thematic indices: Technology, healthcare, energy, and other sector-specific indices.
- Daily history: Extensive historical data varying by index.
- Intraday: Minute and hourly bars available during market hours.
Supported Modes
| Mode | Trigger | Notes |
|---|
| Daily historical | start/end as 'YYYY-MM-DD' | Timeframe defaults to 'day'. |
| Intraday historical | start/end as 'YYYY-MM-DDTHH:MM:SS' | Timeframe defaults to 'min'; can set 'hour'. |
Ticker Convention
Indices use the I: prefix. Legacy ^ prefix is also accepted and automatically translated.
| Ticker | Index |
|---|
I:SPX | S&P 500 |
I:DJI | Dow Jones Industrial Average |
I:COMP | NASDAQ Composite |
I:RUT | Russell 2000 |
I:VIX | CBOE Volatility Index (VIX) |
I:NDX | NASDAQ-100 |
Querying the Data
Basic Usage
from scalarlib import getOHLCV
# Daily S&P 500 bars
data = getOHLCV(tickers=['I:SPX'], start='2025-01-01', end='2025-12-31')
spx_df = data['I:SPX']
# Multiple indices
data = getOHLCV(tickers=['I:SPX', 'I:DJI', 'I:VIX'], start='2025-01-01', end='2025-06-30')
# Intraday minute bars
data = getOHLCV(tickers=['I:SPX'], start='2026-03-24T09:30:00', end='2026-03-24T16:00:00')
# Hourly bars
data = getOHLCV(tickers=['I:VIX'], start='2026-03-20', end='2026-03-24', timeframe='hour')
Parameters
| Parameter | Type | Required | Description |
|---|
tickers | list of str | Yes | Index tickers with I: prefix (e.g., ['I:SPX', 'I:VIX']). |
start | str | Yes | Start date ('YYYY-MM-DD') or datetime ('YYYY-MM-DDTHH:MM:SS'). |
end | str | Yes | End date or datetime (same format as start). |
timeframe | str | No | 'day', 'min', or 'hour'. Default: inferred from date format. |
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 | Index ticker (e.g., I:SPX). |
open | float64 | Opening index value of the bar. |
high | float64 | Highest index value during the bar. |
low | float64 | Lowest index value during the bar. |
close | float64 | Closing index value of the bar. |
volume | float64 | Transaction count or notional volume (where available; may be 0 for pure index calculations). |
