NSEpy Documentation

Release 1.0

Swapnil Jariwala

Dec 18, 2018

 Contents

1 Quick Start 3
1.1 Installation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2 Quick Hand-On . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

2 Fetching Price History 5

2.1 Stock price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Stock futures price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 Stock options price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.4 Index price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.5 Index futures price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.6 Index options price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.7 India VIX price history . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.8 Missing or zero values in derivative data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

3 Fetching Expiry Dates 9

4 Index P/E Ratio History 11

5 RBI Reference Rates 13

6 Daily Bhav Copy 15

7 Command Line Interface 17

8 Indices and tables 19

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 NSEpy Documentation, Release 1.0

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

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2 Contents
 CHAPTER 1

Quick Start

1.1 Installation

$ pip install nsepy

1.2 Quick Hand-On

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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4 Chapter 1. Quick Start

 CHAPTER 2

Fetching Price History

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

2.1 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))

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

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2015-01-02 0.4249
2015-01-05 0.4208
2015-01-06 0.4844
2015-01-07 0.3743

2.2 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),
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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2.3 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))

2.4 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)

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

2.5 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. refer:ref:get_expiry_date.
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))

2.3. Stock options price history 7

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2.6 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, refer:ref:get_expiry_date.

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))

2.7 India VIX price history

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)

2.8 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.

8 Chapter 2. Fetching Price History

 CHAPTER 3

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))

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10 Chapter 3. Fetching Expiry Dates

 CHAPTER 4

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.

# 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))

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 CHAPTER 5

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))

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 CHAPTER 6

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))

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 CHAPTER 7

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:

-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

Contents:

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 CHAPTER 8

Indices and tables

• genindex
• modindex
• search

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