Data for the Canadian equities, along with other global markets, can be fetched via pipeline. Currently, only US equities can be backtested in the IDE though. Other global equities are not currently supported in algos. However, one can fetch and look at daily price and volume data along with fundamentals in the notebook environment via pipeline.
The key issue with fetching data for specific global equities is one must look up that data using the asset's SID. One cannot directly filter by ticker. Getting a reference to a Canadian, or other non-US equity is therefore a two step process. One must first lookup the company name or ticker in the pipeline output to find the SID. Then, second use this SID to filter the pipeline. There is an explanation of the process, and several notebook examples, in this post which you may find helpful. Also note the symbols
method only supports using the integer SID, and not the ticker for non-US equities. One can use the symbols
method in a notebook to get a non-US equity object but enter the equity SID as an integer without quotes.
Also, currently pipelines can only be run on a single domain. The main reason for this is each market has their own trading calendars and therefore the dates won't always line up. If one wants data from several global markets, first run each pipeline separately then concatenate the resulting dataframes into one. When doing this do be aware the dates may not always match and be especially careful that the currencies probably won't match (eg market cap in US markets will be denominated in US dollars while it's denominated in Canadian dollars for the Canadian market). If combining different markets it's helpful to normalize all the values into a common currency. One can use the currency conversion method .fx
for this. There is a post on how to concatenate pipeline outputs here and a post explaining how to do currency conversion here.
A lot of references to other posts but those should get you headed in the right direction.
If you need anything else just reply.
Disclaimer
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.