Hello fellow quants, I'm new here.
I am trying to find ways of searching for volume changes on a minute to minute scale. Some of the retail scanners out there do not have that level of granularity and so I was hoping if there are ideas out there.
Regards,
Christoph
@Christoph Sevill First off, welcome to Quantopian. There are two general ways to fetch data on Quantopian. The pipeline method is the most ubiquitous and can be used in both the research and IDE (ie algo) environment. Moreover, it supports fetching data for global equities from over 40 countries. One limitation with pipelines however is they only fetch daily data. This works well for fundamental and stock meta-data. The second method is get_pricing, volumes and several other functions which can be used in research, and data.history which is used in the IDE. They can fetch price and volume data only and can return either minute or daily frequency. The limitation with these is they fetch only US equity data.
Here is one approach to fetch volume data in a notebook
# specify a list of symbols
my_stocks = symbols(['AAPL', 'IBM', 'SPY'])
# use `get_pricing` as the most general way to specify the fields
my_minute_data = get_pricing(my_stocks,
fields=['close_price', 'volume'],
start_date='1-1-2018',
end_date='1-1-2019',
frequency='minute'
)
The attached notebook has an example. Good luck.
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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.