Alpha Vantage

What You're Getting

Alpha Vantage provides time-series data across equities (US + global), forex, cryptocurrency, and a macro economic indicators endpoint. The economic indicators suite covers US series: real GDP, CPI, inflation, Federal Funds Rate, SOFR, unemployment rate, nonfarm payrolls, and retail sales — each as a standalone JSON endpoint. Equity data covers open/high/low/close/volume at daily, weekly, monthly, and intraday intervals. Fundamental data (income statements, balance sheets) on paid plans.

Ingestion Strategy

Simple REST API with a single API key parameter. JSON responses with a Time Series object keyed by date string. Batch pulls not natively supported — iterate series one at a time. For economic indicators, each series is a separate endpoint.

import requests
import pandas as pd

KEY = "your_key"
BASE = "https://www.alphavantage.co/query"

def fetch_av_indicator(function: str) -> pd.DataFrame:
    r = requests.get(BASE, params={"function": function, "apikey": KEY})
    data = r.json()
    records = data.get("data", [])
    return pd.DataFrame(records)

gdp = fetch_av_indicator("REAL_GDP")
print(gdp.head())

def fetch_daily(symbol: str) -> pd.DataFrame:
    r = requests.get(BASE, params={
        "function": "TIME_SERIES_DAILY_ADJUSTED",
        "symbol": symbol,
        "outputsize": "full",
        "apikey": KEY
    })
    ts = r.json()["Time Series (Daily)"]
    df = pd.DataFrame(ts).T
    df.index = pd.to_datetime(df.index)
    return df.sort_index()

Rate Limits & API Details

• Free: 25 requests/day, 5 requests/minute
• Premium: 500 req/min, full intraday history
• Functions: REAL_GDP, CPI, INFLATION, FEDERAL_FUNDS_RATE, UNEMPLOYMENT, NONFARM_PAYROLL, RETAIL_SALES, TIME_SERIES_DAILY_ADJUSTED, FX_DAILY
• CSV output via datatype=csv param

Schema Stability

Very stable. Function names and response keys consistent for years. Economic indicator responses use a data array of {date, value} objects.

Data Quality Gotchas

• Free tier gaps: intraday history limited to last trading day on free tier
• Adjusted prices: always use TIME_SERIES_DAILY_ADJUSTED for split/dividend-adjusted closes
• Economic indicators: sourced from FRED/BLS — same data, slightly delayed vs primary source
• Global equities: coverage outside US is best-effort; some tickers have gaps