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How to get a security object (or sid) for a data loaded via fetcher

Say I load data via fetcher from yahoo for a stock that quantopian doesn't have, how do I create a security object so I can place an order for it?

6 responses

Unfortunately, you can't do that yet. It's high on my list of features I want to build soon.

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That was quick, thanks. Would be very useful even if the market impact algorithms don't come into play. Actually, is a daily volume figure all that's required for market impact?

@John, I haven't looked at the slippage model closely enough to really comment. But I would guess that volume is a big part of it.

One thing I don't even know if Quantopian is doing with the current slippage model is utilize the bid-ask spread for calculating slippage with low volume securities.

All we need to do trades, really, is price and volume in a time series. We built it at first with just stocks in mind, but then we did Fetcher, and then it was obvious we needed to make the order() command more universal. Very doable, just takes some time. The short explanation is that several parts of Quantopian assume you're trading a known stock, and those parts need to be retrofitted to handle "anything."

Dennis, we do not use bid-ask data, only trade data. There is no doubt that for some low volume securities, the default slippage model will not be sufficient.

is this feature still not possible?

is this feature still not possible for data loaded from local csv by read_csv?
Like this: https://www.quantinsti.com/blog/importing-csv-data-zipline-backtesting/