Quantopian Data Sources

When writing an algorithm on Quantopian, you have access to free minute bar historical pricing and volume data for US equities (covered in this tutorial) as well as free Morningstar fundamentals data, and third-party datasets such as news sentiment, and earnings calendars.

Morningstar fundamental-data
https://www.quantopian.com/help#fundamental-data

3rd party data set
https://www.quantopian.com/data
Quantopian provides a large set of financial data for free. The free data includes corporate fundamental data and minutely trade price and volume data from 2002 to present day for all major US exchanges. You can work with this data immediately.
Quantopian provides 26 premium sets by subscription. These premium data sets provide a free evaluation portion for you to explore in your research and use in your algorithms. These samples exclude the last 1 or 2 years worth of data, varying by set.

Free Data Set

https://www.quantopian.com/data?type=free
StockTwits Trader Mood from PsychSignal – The mood of traders posting messages on Twitter with Retweets and StockTwits
VIX S&P500 Volatility from Quandl – VIX, created by the CBOE, is a popular measure of the implied volatility of S&P 500 index options.
CBOE VXV Index from Quandl – CBOE VXV is a constant measure of 3-month implied volatility of the S&P 500 Index options
VIX S&P 500 Volatility Index from Quandl – VIX is an index created by the CBOE. This set, updated daily, is provided by Quandl via their data base of Yahoo sourced prices.
CBOE VVIX Index from Quandl – The VVIX Index is an indicator of the expected volatility of the 30-day forward price of the VIX. Calculated by CBOE, provided by Quandl
CBOE VXD Index from Quandl – CBOE VXD uses 30-day DJIA options to reflect investors’ consensus view of future (30-day) expected stock market volatility
Gold Price (USD) from Quandl – The price of gold from the Deutsche Bundesbank Data Repository
CBOE VXN Index from Quandl – CBOE VXN measures market expectations of near-term volatility conveyed by NASDAQ-100 Index option prices
Overnight LIBOR, based on US Dollar from Quandl – The average interest rate at which leading banks borrow funds of a sizeable amount from other banks in the London market.
CBOE VXMT Index from Quandl – The CBOE Mid-Term Volatility Index is a measure of the expected volatility of the S&P 500 Index over a 6-month time horizon. Calculated by CBOE, provided by Quandl
CBOE SKEW Index from Quandl – The CBOE SKEW Index is derived from the price of S&P 500 tail risk.
10 Year Swap from Quandl – Rate paid by fixed-rate payer on an interest rate swap with maturity of ten years
ADP National Employment Report from Quandl – Monthly snapshot of US private sector employment from ADP.
US vs. EUR Exchange Rate from Quandl – US Dollar to European Euro exchange rate
Civilian Unemployment Rate from Quandl – The number of unemployed as a percentage of the labor force via FRED.
US Gross Domestic Product (FRED) from Quandl – The Gross Domestic Product (GDP) of the United States, sourced from the Federal Reserve and provided by Quandl.
Continued Insured Unemployment Claims from Quandl – Seasonally adjusted, the number of people receiving unemployment benefits
Twitter Trader Mood (All Fields, with Retweets) from PsychSignal – The mood of traders posting messages on Twitter with Retweets and StockTwits
Gross National Product (GNP) for the U.S. from Quandl – Gross National Product for the U.S. from FRED
Gross Domestic Product: Implicit Price Deflator from Quandl – GDP of the U.S. with implicit price deflator, from FRED
CBOE VXFXI Index from Quandl – CBOE VXFI is the China ETF Volatility Index which reflects the implied volatility of the FXI ETF
CBOE VXXLE Index from Quandl – VXXLE is the CBOE Energy Sector ETF Volatility Index, reflecting the implied volatility of the XLE ETF
US Equity Pricing from Quantopian – Minute-level US equity pricing and volume data.
US Unemployment, Initial Claims from Quandl – Initial unemployment claims for the US, provided by FRED, the Federal Reserve Economic Data initiative.
U.S. Inflation (GDP Deflator) from Quandl – Inflation as measured by the annual growth rate of the GDP implicit deflator shows the rate of price change in the economy as a whole.
Real GDP per Capita of the U.S. from Quandl – Annual real GDP per capita of the U.S.
U.S. Inflation Rate from Quandl – Inflation rate for the U.S. as a percentage of the Consumer Price Index
Fundamental Data from Morningstar – Corporate fundamental data for over 8000 US equities.
CBOE RVX Index from Quandl – The CBOE Russell 2000 Volatility Index (RVX) is a measure of market expectations of near-term volatility conveyed by Russell 2000 stock index option prices. Calculated by CBOE, provided by Quandl
Twitter and StockTwits Trader Mood (All fields, with Retweets) from PsychSignal – The mood of traders posting messages on Twitter with Retweets and StockTwits
Twitter Trader Mood (All Fields, no Retweets) from PsychSignal – The mood of traders posting messages on Twitter without Retweets

Premium Data set

https://www.quantopian.com/data?type=premium
Yes! A subset of each dataset is available at no charge. The volume of free sample data is different from dataset to dataset. More recent time periods require a monthly fee but you can typically access the free data by appending ‘_free’ to the name of a data set. More >>
Pipeline Data Bundle from Quantopian – Get access to all premium data feeds available through Pipeline and Research.
Mergers and Acquisitions from EventVestor – With this dataset, targets of mergers or acquisitions can be identified through pipeline.
Zacks Earnings Surprises from Zacks -Updated daily, this data set chronicles historical estimated and actual earnings and surprise calculations for 6,000 US and Canadian listed companies covering the last ten years.
Buyback Authorizations from EventVestor – Dataset of stock buyback announcements for over 4,000 listed companies.
Broker Ratings Revision History from Zacks – A history of sell-side analyst recommendations and ratings, updated monthly.
CEO Changes from EventVestor – Dataset of CEO transitions including reasons for change and source of the new CEO.
13-D Filings from EventVestor – Dataset of 13D Filings with SEC by activist shareholders disclosing a beneficial ownership of 5% or more.
Credit Facility from EventVestor – Dataset of key financial events covering new or extended credit facilities
Clinical Trials from EventVestor – Dataset of key phases of clinical trials announcements by biotech and pharmaceutical companies.
Estimize Analyst-by-Analyst Estimates from Estimize – Dataset of crowd-sourced earnings estimates. Every single individual Estimize estimate. Nearly 70% more accurate than Wall Street. This dataset is only available in Research through the Interactive namespace.
Spin-Offs from EventVestor – Dataset of events covering corporate spin-offs.
Contract Win from EventVestor – Dataset of major contract wins by companies.
Issue Debt from EventVestor – Dataset of events and announcements covering new debt issues by companies.
Shareholder Meetings from EventVestor – Dataset of annual and special shareholder meetings calendar.
Issue Equity from EventVestor – Dataset of events and announcements covering secondary equity issues by companies.
Impairments and Charges from EventVestor – Dataset of key goodwill impairments and other one time charges reported by companies.
Index Changes from EventVestor – Dataset of index additions and deletions to major S&P, Russell, and Nasdaq 100 indexes.
Share Repurchases from EventVestor – Dataset of actual share repurchase announcements by companies.
Legal and Regulatory from EventVestor – Dataset of major legal and regulatory events affecting stock prices.
Sentdex Sentiment Analysis from Sentdex – Assesses the sentiment of companies by pulling from over 20 sources such as Wall Street Journal, CNBC, Forbes, Business Insider, and Yahoo Finance
Stock Splits from EventVestor – Dataset of stock splits and reverse stock splits.
Dividends from EventVestor – Dataset of cash dividend announcements including special dividends.
Earnings Releases from EventVestor – Dataset of quarterly earnings releases.
Accern Alphaone News Sentiment from Accern – Actionable sentiment scores derived from 20 million public news and blog sources.
Earnings Calendar from EventVestor – Dataset of quarterly earnings releases calendar indicating date and time of reporting.
Earnings Guidance from EventVestor – Dataset of comprehensive forward looking earnings guidance provided by companies.

The data is available for use both in algorithms (through the pipeline API) and the Quantopian research environment (both through the pipeline API and the interactive API).

“””
This is a template algorithm on Quantopian for you to adapt and fill in.
“””
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import AverageDollarVolume
from quantopian.pipeline.filters.morningstar import Q500US
”’

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Author: Zac

Think & Do

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