8/2/2020 NSEpy | NSEpy

NSEpy

NSEpy Documentation

Introduction

Installation

Quick start

Fetching price history

Stock price history

Stock futures price history

Stock options price history

Index price history

Index futures price history

Index options price history

India VIX price history

Missing or zero values in derivative data

Fetching Expiry Dates

Index P/E Ratio History

RBI Reference Rates

Daily Bhav Copy

Command Line Interface

NSEpy Documentation
Introduction
NSEpy is a library to extract historical and realtime data from NSE’s website. This Library aims
to keep the API very simple.

Python is a great tool for data analysis along with the scipy stack and the main objective of
NSEpy is to provide analysis ready data-series for use with scipy stack. NSEpy can seamlessly
integrate with Technical Analysis library (Acronymed TA-Lib, includes 200 indicators like MACD,

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RSI). This library would serve as a basic building block for automatic/semi-automatic algorithm
trading systems or backtesting systems for Indian markets.

Installation
$ pip install nsepy

Quick start
Here’s a simple example to get historical stock data for the month of January 2015.

>>> from nsepy import get_history

>>> from datetime import date
>>> data = get_history(symbol="SBIN", start=date(2015,1,1), end=date(2015,1,31))
>>> data[['Close']].plot()

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Fetching price history

Function get_history fetches the price history of stocks/indices/derivatives and returns a
pandas dataframe.

Stock price history

from datetime import date

from nsepy import get_history
sbin = get_history(symbol='SBIN',
start=date(2015,1,1),
end=date(2015,1,10))
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Executed on ipython console:

In [1]: sbin
Out[1]: Symbol Series Prev Close Open High Low Last Close \
Date
2015-01-01 SBIN EQ 311.85 312.45 315.00 310.70 314.0 314.00
2015-01-02 SBIN EQ 314.00 314.35 318.30 314.35 315.6 315.25
2015-01-05 SBIN EQ 315.25 316.25 316.80 312.10 312.8 312.75
2015-01-06 SBIN EQ 312.75 310.00 311.10 298.70 299.9 299.90
2015-01-07 SBIN EQ 299.90 300.00 302.55 295.15 301.4 300.15

VWAP Volume Turnover Trades Deliverable Volume \

Date
2015-01-01 313.67 6138488 1.925489e+14 58688 1877677
2015-01-02 316.80 9935094 3.147389e+14 79553 4221685
2015-01-05 313.84 9136716 2.867432e+14 88236 3845173
2015-01-06 305.14 15329257 4.677601e+14 169268 7424847
2015-01-07 299.95 15046745 4.513243e+14 147185 5631400

%Deliverble
Date
2015-01-01 0.3059
2015-01-02 0.4249
2015-01-05 0.4208
2015-01-06 0.4844
2015-01-07 0.3743

Stock futures price history

Set futures=True and provide expiry_date of the contract (Refer Fetching Expiry Dates)

from datetime import date

from nsepy import get_history
# Stock options (Similarly for index options, set index = True)
stock_fut = get_history(symbol="SBIN",
start=date(2015,1,1),

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end=date(2015,1,10),
futures=True,
expiry_date=date(2015,1,29))

Please refer to Note on Missing or zero values in derivative data.

When executed the above code on ipython console:

In [38]: stock_opt
Out[38]:
Symbol Expiry Open High Low Close Last \
Date
2015-01-01 SBIN 2015-01-29 315.10 317.95 313.40 316.65 317.00
2015-01-02 SBIN 2015-01-29 317.50 320.95 317.10 317.75 318.30
2015-01-05 SBIN 2015-01-29 318.00 318.75 314.10 315.00 315.05
2015-01-06 SBIN 2015-01-29 312.95 312.95 300.10 301.30 301.10
2015-01-07 SBIN 2015-01-29 301.95 304.55 297.35 302.25 303.50
2015-01-08 SBIN 2015-01-29 306.50 308.40 303.70 306.65 307.00
2015-01-09 SBIN 2015-01-29 306.75 309.25 301.05 304.75 304.15

Settle Price Number of Contracts Turnover Open Interest \

Date
2015-01-01 316.65 14720 5.821172e+09 55480000
2015-01-02 317.75 22525 8.988242e+09 55087500
2015-01-05 315.00 17455 6.898723e+09 55718750
2015-01-06 301.30 29338 1.126715e+10 56701250
2015-01-07 302.25 28489 1.074823e+10 58036250
2015-01-08 306.65 20120 7.702653e+09 57287500
2015-01-09 304.75 18961 7.247211e+09 57035000

Change in OI Underlying
Date
2015-01-01 358750 314.00
2015-01-02 -392500 315.25
2015-01-05 631250 312.75
2015-01-06 982500 299.90
2015-01-07 1335000 300.15
2015-01-08 -748750 304.85
2015-01-09 -252500 303.20
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Stock options price history

For stock options, specify-

option_type as “CE” for call and as “PE” for put option

strike_price - the strike price of the contract

expiry_date - expiry date of the contract, refer:ref:get_expiry_date

# Stock options (Similarly for index options, set index = True)

stock_opt = get_history(symbol="SBIN",
start=date(2015,1,1),
end=date(2015,1,10),
option_type="CE",
strike_price=300,
expiry_date=date(2015,1,29))

Index price history

There are currently 50+ indices maintained by NSE. You can get historical data for all of them.

Usage-

symbol - Name of the index in capital (Refer this page for list of indices)

index - Set this True for all index related operations

# NIFTY Next 50 index

nifty_next50 = get_history(symbol="NIFTY NEXT 50",
start=date(2015,1,1),
end=date(2015,1,10),
index=True)
# NIFTY50 Equal wight index (random index from the list)
nifty_eq_wt = get_history(symbol="NIFTY50 EQUAL WEIGHT",
start=date(2017,6,1),
end=date(2017,6,10),
index=True)

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You will observe a lot of NaN values for many indeces like ‘NIFTY50 Equal wight index’, In those
cases just use ‘Close’ values

Index futures price history

Out of the 60+ indices, only 7 indeces are available for derivative. (List available here.) Usage-

index - Set True

futures - Set True

expiry_date - Expiry date of the contract

nifty_fut = get_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10),
index=True,
futures=True,
expiry_date=date(2015,1,29))

Index options price history

Usage-

index - Set True

option_type as “CE” for call and as “PE” for put option

strike_price - the strike price of the contract

expiry_date - expiry date of the contract

nifty_opt = get_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10),
index=True,
option_type='CE',
strike_price=8200,
expiry_date=date(2015,1,29))

India VIX price history

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India VIX is a volatility index which gives a measurement of market volatility based on NIFTY
options contract. This servers as important parameter in option pricing.

vix = get_history(symbol="INDIAVIX",
start=date(2015,1,1),
end=date(2015,1,10),
index=True)

Missing or zero values in derivative data

Although NSE specifies a trading cycle of three months, most stock futures will not be traded
for whole three months, rather they will be active only in the month of expiry, So you may get 0
values for days when no contracts were traded. Please deal with this situation carefully in your
logic.

Fetching Expiry Dates

Fetch expiry date of all derivative contracts for a perticular month and year. Usage-

month - Month of contract expiry starting from 1 for January and 12 for December

year - Year of the contract expiry

from nsepy.derivatives import get_expiry_date

expiry = get_expiry_date(year=2015, month=1)

Use this function with get_history:

stock_opt = get_history(symbol="SBIN",
start=date(2015,1,1),
end=date(2015,1,10),
futures=True,
expiry_date=get_expiry_date(2015,1))

Index P/E Ratio History

P/E ratio of a security helps to estimate if the security is over-priced or under-priced. NSE offers
historical P/E ratio for 30+ thematic and sectoral indices, we can use this data to determine
which sectors are over-priced or under-priced and further make investment decisions.
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# Index P/E ratio history

from nsepy import get_index_pe_history
nifty_pe = get_index_pe_history(symbol="NIFTY",
start=date(2015,1,1),
end=date(2015,1,10))

RBI Reference Rates

USD, GBP, EURO, YEN to INR rbi reference rates:

from nsepy import get_rbi_ref_history

rbi_ref = get_rbi_ref_history(date(2015,1,1), date(2015,1,10))

Daily Bhav Copy

Download daily bhav copy, which is nothing but OHLC prices of all the traded stocks on a
particular day:

from nsepy.history import get_price_list

prices = get_price_list(dt=date(2015,1,1))

Command Line Interface

NSEpy offers a simple to use, easy to remember command line interface, This method is useful
when you just want the data for further processed in Excel, R or any other tool which supports
CSV format. Basic Use, Fetch stock price history

$ nsecli history --symbol SBIN -s 2017-01-01 -e 2017-01-31 -o output.csv

This will save price history of State Bank of India for the month of January 2017 as csv file with
name output.csv. Lets see the complete functionality using –help option.:

$ nsecli --help
Usage: nsecli history [OPTIONS]

Options:

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-S, --symbol TEXT Security code

-s, --start TEXT Start date in yyyy-mm-dd format

-e, --end TEXT End date in yyyy-mm-dd format

-o, --file TEXT Output file name

--series TEXT Default series - EQ

--index / --no-index --index if security is index else --no-index

--help Show this message and exit.

Similar to stocks you can get Index data, just by adding –index flag -

$ nsecli history --symbol "NIFTY 100" -s 2017-07-01 -e 2017-07-27 -o output.csv

--index

Disclaimer: nsepy.xyz is a participant in the Amazon Associates Program, an affiliate advertising program designed to
provide a means for sites to earn advertising fees by advertising and linking to amazon.in.

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