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Pre-market data and daily manual symbol selection
Kiran
posted Nov 7, 2015

I trade earning announcements and use pre-market data. My strategy is not fully automated because I need to manually submit 10-15 symbols for long entry and 10-15 for short entry the previous night - so, every day, my strategy trades a different set of symbols. My algo also looks at 30 minutes of pre-market data (9-9:30am).

1) Do you provide pre-market data (ideally minute, but 5-min or 10-min is also fine)? How do i access it?

2) Is there some UI library/code/module to easily enter a symbol list every night for long and short (without having to hack the code in my live algo)? If not, pl advise on the easiest approach - a csv file in dropbox?

3) How do i prevent my algo from trading the same security the 2nd day? Not sure how to code so it only trades the most recent symbol list provided so long as earnings are within 1-2 days?

thanks
Kiran

1 response
Alisa Deychman
Nov 10, 2015

Hi Kiran,

To answer your questions:
1) All data on Quantopian is trade data, from 9:31AM-4:00PM ET; we don't have pre-market or post auction data.

2) Do you already have a pre-compiled list of securities to trade? If so, then Fetcher will be your best option. Otherwise, I strongly suggest to use the Pipeline API to screen and filter securities dynamically in your algo. You can screen through the entire database of 8000 securities and narrow down the results based on your custom criteria.

3) You'll need to keep a list of your orders from yesterday, then check if the securities you want to trade today was ordered yesterday. This will require some code crafting, but it's do-able.

If you're interested in trading on earnings announcements, take a look at our data options. There are several datasets that could be interesting for your algo!

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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.