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Hello / Newbie Questions
Tyler Rainey
posted Jan 12, 2014

Hello everyone,

I have been lurking these forums for a couple of weeks now and figured it was time to say hello and to commend you on the amazing work you all are doing here! I have a couple of questions to help get me started that I couldn't seem to find anywhere.

  1. Does the data for backtesting contain any pre or postmarket data?
  2. Is there (or will there ever) be any way to get set_universe to update more often besides quarterly or at a custom time interval?
  3. What types of symbols are present in the data set? Is it a "complete" set of data with all symbols on the US exchange or is it some subset?

I apologize if these questions have been answered somewhere already. Thank you all for helping this wanna-be quant get started. I am elated that I no longer have to write my own backtester =)

Tyler

1 response
John Fawcett
Jan 12, 2014

Hi Tyler,

Welcome to Quantopian, and thanks for the questions.

  1. No, the trading data is only during the official trading session. Perhaps most noticeable is the absence of the after market auctions. We accumulate ticks in the session into minute and day bars, and from time to time you will see a discrepancy between the close of the last data bar and the official close quoted by yahoo or google. We feel this is better for the sake of simulation, but it causes many questions.
  2. Yes, you will be able to create custom defined universes. I don't have a timetable for the feature, but we are working on it.
  3. It is a complete set of all US listed securities, including ETFs. The history is survivorship free, and we make price adjustments historically for splits and mergers to give you a smooth price history. Dividends are treated as events, so you will see price discontinuities offset by a cash change (on divx and pay dates respectively).

We're happy to answer any questions, please don't hesitate to ask.

have fun,
fawce

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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.