Creating a Database with an API (Stock Price Data)

Typically it’s difficult to get high fidelity stock price and volume data via API. Most of the time the stock data services offer daily, weekly, monthly, and/or annual information for stocks. For example, in a previous post, I created a wrapper around the Yahoo Finance data download functionality to create an API that downloads daily, weekly, and monthly data. For some applications more granular data, such as one-, three-, and five-minute intervals, is useful, e.g. developing high-frequency trading algorithms or complex time-series forecasting research, but it’s often the case the end-user has to pay a monthly fee to access data at these frequencies.

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