USEquityPricing - using minute level data

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USEquityPricing - using minute level data

edited Jan 2, 2017

API Seeking Help

Hi,

I'm new to quantopian and very excited to check this platform out!
I went over the tutorials and some examples and found myself facing a very basic and (maybe) stupid issue:
USEquityPricing - is described as a data-set containing minute-level data on the market.
However, all of its columns contain daily level data only (open, close, etc...).
Therefore all the basic filters are working on a daily basis (I'm more in the day-trading field)

Am I missing something here?
Is there a simply way to call the minute-level data?
Is there any reference simple code to use?

For example:
* Factor that brings the highest price in the last 30m of the day
* Filtering tics (by minutes) according to the trend in the prev 10 tics

Thanks a lot!

3 responses

Pipeline only has daily OHLCV bars. However, you can use history within an algo to access minutely OHLCV bars. See the help page for a description of history.

Thanks Grant!
A small followup question:
"history" contains only basic information (min, max, open, close, vol), is there any way to get more complex data on a minute level data (EMA for exmaple)>

Hello Amir,

At a minutely rate, OHLCV bar data is the only feed, but as you suggest, these data can be transformed. For example, in one of my algos, I am using (where prices is a Python Pandas dataframe):

prices = data.history(context.stocks, 'price', 5*390, '1m').dropna(axis=1)  
context.stocks = list(prices.columns.values)  
prices = prices.ewm(com=390).mean().as_matrix(context.stocks)

See:

http://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.ewm.html

Note also that Quantopian has TA-Lib (https://www.quantopian.com/help#api-talib). There's also been some recent discussion of Kalman filtering on the Quantopian forum. Etc. It all depends on what type of smoothing/averaging/interpolation/extrapolation you need to do.

I'd also note that even though pipeline only supports daily OHLCV bars, you can still use it to generate a point-in-time list of stocks that can serve as your universe for history (e.g. the context.stocks in my example above is derived from pipeline; it is not a fixed list of stocks).

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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.