[Feature Request] Running SQL Queries on the Pricing Database from the Research Environment?

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[Feature Request] Running SQL Queries on the Pricing Database from the Research Environment?

posted

Feature Request

I don't know what database system Quantopian is using for its pricing data, but if it is an RDBMS it would be interesting to be able to run SQL queries on it directly, rather than having to load everything into memory before processing it.

For example, something as simple as that (returning the total number of daily bars per date) would become possible:

SELECT date, COUNT(*) AS count  
FROM daily_pricing  
GROUP BY date;

Or creating 30-minute bars within the RDBMS instead of having to first get the 1-minute bars and process them in memory, etc.

What is the opinion of Quantopian on this?

1 response

I believe pandas lets you do operations on dataframes using a SQL-like DSL. Dunno if that's supported in Quantopian though.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.