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).

Getting Started

Trading

Trading Venues

Market Data

Usage & Pricing

Index OHLCV

Product Overview

Overview

Data Pipeline

Coverage

Supported Modes

Ticker Convention

Querying the Data

Basic Usage

Parameters

Column Definitions

OHLCV Schema

​Product Overview

​Overview

​Data Pipeline

​Coverage

​Supported Modes

​Ticker Convention

​Querying the Data

​Basic Usage

​Parameters

​Column Definitions

​OHLCV Schema

Product Overview

Overview

Data Pipeline

Coverage

Supported Modes

Ticker Convention

Querying the Data

Basic Usage

Parameters

Column Definitions

OHLCV Schema