I am looking to build an algorithm which heavily relies on short interest data that I am retrieving from Quandl. I was able to get the data, but Quantopian apparently only allows 5 csvs to be fetched per algo. I am looking to use short interest on a pipeline of thousands of stocks.
From searching around, it looks like short interest isn't built in to the Quantopian platform yet (?), but there were conversations with a data vendor to get short interest added. Is short interest going to be an available data point?
If not, is there some way for me to somehow pull in short interest data for a lot of stocks simultaneously?