Fetcher is invoked once during the initialize method. In live trading, I assume the initialize method is invoked once per day before market opens. If I have a live outside minute based data source that I would like to use in my algorithm, then it seems like that fetcher API would not be the right one to use. Are there alternative ways to pull outside data source more than once per day? Thank you very much for your help.
I would love to hear an answer from Quantopian on this issue. This would limit the type of algorithms we can currently implement on this platform. Thank you very much for your help.
Hello Jimmy,
As far as I know, the answer is "no" and I've heard of no plans to allow user/third-party minutely data streams.
Grant
Hi Jimmy,
I understand the use case here and have this enhancement in our backlog. That said, we currently prioritize delivering a diversity of data sources on a daily basis higher. These decisions are constantly be reevaluated and I'm happy to listen for more input on this topic.
Thanks
Josh
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Josh,
Sounds kinda challenging. How far down in the backlog is it? My interpretation of the request (which has been requested before) was to be able to insert a generic feed, that would be synchronous with the Nanex feed, so that every minute, both bar data and the custom feed data would be available to the algo, without adding latency and at the same level of reliability. And each user would be able to provide his own, custom live streams. Just seems like a really challenging enhancement to implement, so I'm wondering if it would bubble up to the top any time soon?
--Grant
Hi Josh,
Is my understanding correct then that if I want to use a live "signal" - say the VIX - in paper / live trading then this will not be possible? Even for strategies that are not too time sensitive, e.g trading once per day near the close, it would be useful to have a simple method to pull in external prices.
Steve
Hi Steven,
The Quantopian live feed comes from Nanex Nxcore. So the question is what would it take for Quantopian to add an index feed from them? And also have it available for backtesting. My sense is that they'll be able to pull it off, but it is a "shorter putt" to first do daily feeds before the market opens.
Grant
Hi Steven,
The Quantopian live feed comes from Nanex Nxcore. So the question is what would it take for Quantopian to add an index feed from them? And also have it available for backtesting. My sense is that they'll be able to pull it off, but it is a "shorter putt" to first do daily feeds before the market opens.
Grant
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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.