fetch_csv doesn't work for by-minute signals ?

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fetch_csv doesn't work for by-minute signals ?

Iurii Perepelytsia

posted

I try to create intraday trading system and load some custom indicators / external data by per-minute basis. I try to use fetch_csv function for that purpose but without success. Based on source code here it looks like Zipline / Quantopian logic prevent us from intraday decisions and allow just to wait until end of the day / next day for some reaction on reality :

            # Since we know this df only contains a single sid, we can safely  
            # de-dupe by the index (dt). If minute granularity, will take the  
            # last data point on any given day  
            df = df.groupby(level=0).last()

But I hope I am wrong. Do you guys have any experience in usage fetch_csv to load and use by-minute data ? If so, do you remember some non-widely-mentioned tricks to make it works ?

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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.