Does Quantopian offer order flow data or the opportunity to pick up order flow in the algorithms.
Hi Don, could you clarify what you mean by order flow? Are you looking for order-level data? If so, we don't have this available natively (we have minutely trade bars), but you can import it using Fetcher to your algorithm. Take a look at: https://www.quantopian.com/help#overview-fetcher
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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.
No, what I meant is equivalent to tape reading. Such as, each transaction, shares bought, price. So that we could see odd lots versus big lots.
Hello Don & Alisa,
Sounds like there might be a way to estimate order flow using the native Quantopian minute bars. Some links:
http://epchan.blogspot.com/2013/10/how-useful-is-order-flow-and-vpin.html
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695596
https://www.stern.nyu.edu/sites/default/files/assets/documents/con_035928.pdf
Grant
Much of the value of traditional tape reading has become obscured by smart order routers.
http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/fof2014/programme/maureen_ohara.pdf is a good overview
That said, I don't think Quantopian is ever going to expose tick data, let alone book data. It's just too much to handle in regular python.
Grant, I think you are talking about 'bulk volume classification'. I coded a version of it while back, but have no idea how to apply it.
Thanks David,
I don't have time to dig into it, but I think that's the basic idea.
One interesting point here is whether Quantopian could provide greater access to the tic data that are used to compute the minute bars? For live trading, Quantopian (or their vendor) must be computing the bars on-the-fly, so in theory, users could be given control over the reduced data that are delivered to the algorithm every minute under live trading. In other words, the algo would still get minute bars, plus additional data computed from the tic stream.
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.