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Using Accern and Quandl Data in your algorithms

A few months ago, we announced our data partner program. Since then, we’ve doubled the number of data sets available to you through this program. Today we have 42 data sets, include many free data sets through Quandl.

At launch, these partner data sets were only usable in Quantopian Research. Today, that changes!

You can now start using Accern and Quandl data sets in your algorithms: backtesting, paper trading and the Quantopian Open contest.

For each of these vendors, the data can be accessed as part of the pipeline API.

To use this data, go to quantopian.com/data, click into the page for the data set that interests you and hit the appropriate "Get" button to ensure access to the set. Once you've done this, you're ready to use that partner data set in your algo.

Just as you might import pricing data for use in pipeline like:

from quantopian.pipeline.data.builtin import USEquityPricing  

you can access the Accern data for use in pipeline with a similar import:

from quantopian.pipeline.data.accern import alphaone_free as alphaone  

With a premium data set like Accern, the code snippet above is making use of the free sample of the data set. If you want to use the most recent 2 years of data from Accern, you can do so by purchasing a monthly subscription.

Including a data set for Quandl is similar. If, for example, you want to use daily VIX prices, you could import as follows:

from quantopian.pipeline.data.quandl import yahoo_index_vix  

In the case of Quandl, there are 17 data sets, all completely free. If you’d like to import a different data set from the VIX, you can pick another from the listing at Quantopian Data, like unemployment data:

from quantopian.pipeline.data.quandl import fred_ccsa  

Note, these initial data sets from Quandl are typically macroeconomic (interest rates, unemployment rates, etc). They are not cross-sectional, i.e. there is not a separate measurement for each individual stock. Therefore, with non-cross-sectional data, the data in a pipeline is associated to every security.

With those raw data sets loaded, you can use the data with a built-in pipeline factor. Or use it to create your own custom factor. Attached is a template example using Accern.

Be on the lookout for some new shared algorithms using this data - James Christopher has already posted one using VIX data. I look forward to seeing how the community uses this data in algorithms, in the forums and in the contest!

Happy coding,
Josh

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 56795fecc754581170d1366d
There was a runtime error.
Disclaimer

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.

6 responses

I meant to ask a while ago; for the sort of data like news sentiment and earnings announcements, will it be available at the minute granularity level? ie: in handle_data, discover what earnings surprises happened in the last 60 seconds...

Hi Simon,

Getting data into the system intra-day is definitely on the backlog and something we've considered. However currently we're focused on getting the daily frequency working for our data partners.

Thanks
Josh

When will live trading be supported?

Quantopian based paper trading is currently supported today with this data. I am paper trading an algo right now with VIX and the pipeline API.

More generally, the pipeline API has a bit more work required for brokerage integration live trading. This data will be available for trading in brokerages when the pipeline API overall works in that scenario. I don't have a firm timeline for you on that yet as we're researching the work currently.

So to reiterate, you can use this data in the contest today!

Thanks
Josh

how to get the impact_score metrics ? and where is the API documents? Thanks

Here's the documentation on Accern's Alphaone dataset: https://www.quantopian.com/data/accern/alphaone

Disclaimer

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.