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Alpha Vantage data source

Bring-your-own-key sync via pomelo-alpha-vantage / yuzu-cli av-sync (epic #209).

The engine never calls Alpha Vantage. This crate writes the same data-layout tree as FMP/EODHD. Stance, block comparison, and assemble recipes: data-sources.md.

Not a commitment that Alpha Vantage numbers match FMP or EODHD. Definitions and coverage differ. No pricing advice — only data gaps and backtest impact.

CLI cheat sheet

Section titled “CLI cheat sheet”
Terminal window
export ALPHA_VANTAGE_API_KEY=…   # or ALPHAVANTAGE_API_KEY / --api-key


# Prices only
yuzu-cli av-sync --out ./mydata --symbols AAPL,MSFT \
  --from 20200101 --to 20251231


# Prices + fundies + industry + snapshot factors
yuzu-cli av-sync --out ./mydata --symbols-file ./u.txt \
  --from 20200101 --to 20251231 \
  --include-fundamentals --include-industry --include-snapshot-factors


# Delisted union (survivorship)
yuzu-cli av-sync --out ./mydata --symbols AAPL --include-delisted


# Active listing → symbol file (not a market-cap screener; no index PIT)
yuzu-cli av-symbols --out ./u.txt --exchange NASDAQ --asset-type Stock --limit 500

--out accepts a local path or s3://bucket[/prefix] (same credentials as fmp-sync / eodhd-sync).

There is no --index. Alpha Vantage does not provide historical index constituents; we do not invent panels/in_sp500.csv.gz.

What each flag writes

Section titled “What each flag writes”
Flag / mode Layout output
(default) prices/{SYM}.csv.gz — adj OHLC via adjusted_close/close scale (TIME_SERIES_DAILY_ADJUSTED, outputsize=full)
--include-fundamentals fundamentals/{SYM}.csv.gz — annual IS/BS densify + report_event on fiscal period-end
--include-industry tracked/universe.csv.gz — OVERVIEW Sector + market cap
--include-delisted unions LISTING_STATUS&state=delisted into the symbol list before price fetch
--include-snapshot-factors panels/analyst_upside_pct, consensus_rating, fcf_yield, pe_industry_pctile
av-symbols text symbol list from LISTING_STATUS&state=active (+ exchange/assetType filters)

Gaps vs FMP / honesty notes

Section titled “Gaps vs FMP / honesty notes”
Topic Alpha Vantage behavior
Adj OHLC Raw OHLC scaled by adjusted_close/close (same policy as EODHD)
Full history Needs a key that serves outputsize=full on daily adjusted
pe / ps / pb / market_cap in fundies CSV NaN historically (statement densify only)
report_event / PIT Period-end only — AV statements have no filing_date (optimistic)
eps_growth Proxy = net income YoY
Snapshot factors Current-as-of last bar; OVERVIEW + latest CF free cash flow
piotroski / altman Not written
consensus_rating Weighted mean of AnalystRating* counts (StrongBuy=1 … StrongSell=5)
pe_industry_pctile Cohort = this run’s symbols only (need ≥5 in industry)
Index PIT Not available — no historical constituents API
Universe helper Active listing CSV, not cap-sorted screener
Numbers vs FMP Not bit-identical

For which lemon ops need which panels, see fmp-data-source.md — panel requirements are vendor-agnostic.

Architecture

Section titled “Architecture”
yuzu-cli av-sync      →  pomelo-alpha-vantage::sync_into  →  ObjectSink (local / S3)
yuzu-cli av-symbols   →  LISTING_STATUS active → symbol file
yuzu-core / lemon     →  only panels on disk
  • Crate: crates/pomelo-alpha-vantage
  • Mapping research: data-sources.md § Alpha Vantage
  • Parent epic: #209
Section titled “Related”