Hi, I would like to build an algorithm on top of data from the Israeli stock market. The Israeli stock market data (as local data from other countries) is not accessible via Yahoo but via local sites.
Is there a way to use such data within Quantopian, algorithm. Maybe some mechanism for me to supply my user defined data source for tickers information? (e.g. using a CSV file? or web server with specific API?)
Thanks a lot
Joe
Hello Joe,
You can use 'fetch' to import a CSV. Daniel has probably done more than most so have a look at https://quantopian.com/posts/fetcher-problems but most of his efforts are quite hard to find via the site's 'Search' feature.
P.
Hi,
If I understood correctly, the fetcher does not create an SID, so I can't actually use the imported data as symbols data for back testing. Just as a supporting data for the algorithm. Is this correct? Is there a way to back test my user defined symbols?
Thanks a lot
Joe
Hello Joe,
Hopefully some know a lot more than me. I had a play with 'fetch' in the attached backtest. I thought having
data['MyData']['MyValue'] was a step in the right direction but I can't recall.
P.
This plots the value of your 'MyData' symbol. However in order to use it in an algorithm backtest you need to be able to order('MyData') it. But the order function requires an sid number, which 'MyData' does not have. Maybe there is some workaround ??
J
Hello Joe,
I think you could simulate within the Quantopian simulation i.e. read in a CSV of closing prices then simulate a Bid/Ask spread (fixed or randomly variable within a range) and then keep track of your simulated position based on those prices. You lose many Quantopian features like order handling, the slippage model and the portfolio stats. but you retain others like the event driven model, the benchmarking and the record feature. If you import code from zipline you should be able to use a library of technical indicators on your data as well. I'm thinking aloud here, really.
P.
Unfortunately, we don't yet support buying and selling of non-US securities in the backtester. You can import any data you'd like and use it as a signal, but the only buy/sell is in the US data.
I really want to change that ;) Haven't yet.
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