Does anyone have experience with modifying Zipline for less than minute bar resolution. I don't need ticks, but some multiple of seconds bars resolution? Or do you know of any open source code that might help. Thanks!
Thanks Luca. I'm looking there too, but was exploring ways to do in Quantopian. Have you tried, and based on the effort, switched to QuantConnect?
I don't know if someone has ever modified Zipline so that it works with frequencies less than a minute, but the official Zipline doesn't support it so I would use a software that works with your requirements by default.
I tried QuantConnect long time ago but I preferred Quantopian technology. At that time QuantConnect didn't have the Research environment either, a big limitation.
I will try QuantConnect again soon though, because I need to port my live algorithms there as Quantopian is phasing out brokerage integration.
I forgot to add that one thing you might like about QuantConnect is that their business focus on live trading so you might find their service more advanced in this regard. You will miss many other things from Quantopian (training, lectures, emphasys on research, pyfolio, alphalens, tools based on python scientific stack) but if live trading is your only concern you should be fine there.
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