get_pricing for a list of days

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get_pricing for a list of days

posted Jul 6, 2017

Hi,

I am looking to get intra-day data for a list of days so I can look at the distribution. Is there a fast way of doing this? From what see get_pricing only allows you to put in a start and end date. The table below is small sample of the days I want.

2007-08-17 00:00:00+00:00 118.871 119.141 116.289 118.266 294489021.0 118.266 True
2007-08-31 00:00:00+00:00 120.644 121.339 119.974 120.497 151048400.0 120.497 True
2007-10-26 00:00:00+00:00 125.657 126.019 124.705 125.978 138820930.0 125.978 True
2007-11-30 00:00:00+00:00 122.365 122.530 120.953 121.865 187399829.0 121.865 True
2007-12-12 00:00:00+00:00 124.410 124.582 120.847 122.456 238506380.0 122.456 True
2007-12-21 00:00:00+00:00 121.630 122.373 121.399 122.307 111234322.0 122.307 True
2008-01-25 00:00:00+00:00 112.650 112.873 109.440 109.753 227690732.0 109.753 True
2008-02-19 00:00:00+00:00 112.815 112.980 111.098 111.453 127492887.0 111.453 True
2008-03-11 00:00:00+00:00 107.888 109.324 106.426 109.266 265063146.0 109.266 True

1 response

The way to get split adjusted data in a notebook is the get_pricing method. It's fast and returns the same data which would be used in pipeline and backtests. See the documentation https://www.quantopian.com/help#quantopian_research_get_pricing

One can get either daily or minute data by setting the 'frequency' parameter. The start and end dates are actually date-time parameters. Include the minutes if desired. Just be aware that the minutes are in UTC while the market hours are either EDT or EST depending upon the time of year (ie UTC -4 or UTC -5).

So code something like this is what you want

# make a list of the securities one wishes to get pricing for  
my_securities = symbols(['AAPL', 'IBM', 'SPY'])

# set the start and stop date-time.  
# note that times are specified in UTC  
start_date = '2013-01-03-15:00'  
end_date = '2013-01-04-16:00'

# run the get_pricing method to pull in actual data  
# the result is a Pandas dataframe  
my_prices = get_pricing(symbols=my_securities,  
                        start_date=start_date,  
                        end_date=end_date,  
                        frequency='minute',  
                        fields='close_price')

See the attached notebook with this code in action.

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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.