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Feed additional data into your algorithm from InfluxDB
Patrick Kaeding
posted

I've been experimenting with InfluxDB a bit lately, and it is a very cool product. It allows you to store any sort of timeseries data, which is obviously useful for what we are trying to do here.

It's main interface is over HTTP (though there is a python client, making ad-hoc queries at various points in your algorithm wouldn't be very performant). Quantopian does provide the fetch_csv function, though, to load CSV data over HTTP. The problem is that that InfluxDB doesn't output CSV.

So, I wrote a small proxy app that Quantopian can hit, to repackage the query results as CSV. I have set it up on a free Heroku instance for trying it out, but it is open source if you want to inspect it or host it yourself.

Hope someone finds this useful!

3 responses
John Fawcett

Wow, this is a really slick idea.

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John Fawcett

The auth method is a little problematic - means influxdb creds are known to the proxy. I guess that means you have to run your own proxy, else your data and database are insecure.

Patrick Kaeding

Yeah, I'd advise people run their own instance if they consider the data private. I don't think it is possible to proxy the data without proxying the credentials.

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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.