Ways to fetch financial data for algo trading

https://github.com/rbhatia46/Fetching-Financial-Data

by rbhatia46 • 6 years ago

43 12 6 years ago

bko3• 6 years ago

Shameless plug to a free service I made, https://stox.dev

It's essentially a stock screener. It lets you write arbitrary queries on over 300 fields and ratios from the firm's accounting statements. Its the opposite of algorithmic, but helps you narrow down the field of stocks you may find interesting (eg. Low PE, high book value, certain industries, etc)

I would love some feedback

wittenator• 6 years ago

Missed opportunity to call it stonks.dev , but looks pretty cool!

djbebs• 6 years ago

This looks exactly what I've been looking for! Thanks

hbcondo714• 6 years ago

Cool site, thank you for sharing. Do you use the same resources for pricing as listed on this post's github? I ask b/c some companies display NULL such as Alcoa (AA) for Price Earnings.

Also, the Balance Sheet, Income and Cashflow Statements all link to the same quarterly report web page. As a shameless plug for myself, I built https://Last10K.com that allow users to access individual financial statements & disclosures buried within lengthy 10-K/Q filings. We have an API too; maybe stox.dev can link to Last10K.com for this info?

bko3• 6 years ago

I use financial modeling prep [0] for both real time quotes and the quarterly statements and Trading View for charts. The nice thing about it is it has everything parsed from the statements such that you can compare apples to apples. No need to hunt around in the documents for net income for instance. It also links back to the original documents as well. They also have a very well documented api.

Only thing I'm not happy about is that when I checked a few times, it took them a few days before they had earnings available. That and their screener is limited (which is essentially what I built).

Yours looks like it has similar features. How do your features compare? I couldn't find the API docs. Does your premium package allow for commercial use?

[0] https://financialmodelingprep.com/developer/docs/

[1] https://www.tradingview.com/

nilram3• 6 years ago

This is very cool. I’m sending the link off to an investor friend who is programming-savvy, and to some others who aren’t.

I can deal with the auto-complete. A list of fields would help whet the appetite of my less-programming savvy friends. Having a manual or tutorial would help, too. A good number of potential users are retired and might have more of that learning-style.

It would be useful to be able to get a list of the industries in your db so a user could deal with the inconsistencies of that naming data. For example, EIN, for instance, matches to profile.industry == "UtilitiesRegulated Electric" but the detailed info displays "Utilities Regulated Electric”. Others, like DUK, match to the latter. Both of these are on NYSE.

I was doing some simple queries, but now it’s not returning data. Maybe you're getting too much attention from hacker news.

Any thought or intention of adding historical data? And allowing for backtesting of screens?

bko3• 6 years ago

Thanks or the feedback.

Regarding manual or tutorial, I agree that its difficult to manage the fields. I namespace the fields into profile, income statement, balance sheet and quotes so ideally you only have to search [incomeStatement...] and see some fields. But I'll try to list them all out.

Regarding the enums, I thought about that before and wanted to implement auto-complete enums in the language grammar but so it was bit complicated so I decided to kick the can, but I'll circle back around to it. There are only a few string fields and I put in regex matching so you can just do contains `contains "electric"`

What queries didn't return? It's a static site, it shouldn't be affected by the traffic.

The historical data is tough because reporting periods aren't all the same. I don't have a back tester either. I did have a feature before where you can plot any attribute historically, but I didn't find it that useful.

fractionalhare• 6 years ago

OP you should consider writing something similar for finding and using alternative data, given that you work at Rakuten. That could also help you pivot from sell-side to buy-side if that's your eventual goal.

Personally I wouldn't recommend Yahoo Finance price data for trading strategies, but the 10Q and 10K data is good. There are semi-professional and entry-level professional sources like IQFeed which are higher quality and more flexible. You tend to get what you pay for when it comes to financial data (and alternative data as well).

KasianFranks• 6 years ago

Related to datasets for clustering pharmaceutical stocks: Dexamethasone Announcement Could Have Made Hedge Funds A Fortune — Alpha Week

https://medium.com/@492727ZED/dexamethasone-announcement-cou...

nilram3• 6 years ago

I'm learning Python for exactly this purpose (well, and for manipulating the data). Thanks, you've given me a leg up.

rbhatia46• 6 years ago

After doing some scraping, next is time for some action and implementing an investment strategy using Python with the data we scraped, here is an implementation of the amazing magic formula by Joel Greenblatt, which is known to generate amazing returns in the long term, find below the implementation in python - https://github.com/rbhatia46/Greenblatt-Magic-Formula-Value-...

Ways to fetch financial data for algo trading

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