Historical data access

zm902585

My main question is: does this site have a document that spells out the historical data available and how to get it. For example, can I get daily/minute prices going back 10 years of 100 ETF's? Is there a template for the procedure and the code how to do that?

td753764

You can see the data that is in the 1 minute bar data at: https://app.cloudquant.com/#/glossary/134

As for the etf list you can get a list of most ETFs as they existed on the backtest day. Check out https://app.cloudquant.com/#/glossary/366

Here is a sample code that you can use to pull the list:

def is_symbol_qualified(cls, symbol, md, service, account):
        # Return handle object for ETFs using its GUID. GUIDs for different 
        etf_list = service.symbol_list.get_handle("9389dd95-ca7e-4fe2-b2a6-329ce7de4665")
        return service.symbol_list.in_list(etf_list,symbol)

zm902585

Thanks for your comment, but I don't think you answered my question. I understand that there are some pieces of code that can get some data if it exists. Let me rephrase my question: " "Can I get minute prices going back 10 years of 100 specific ETF's?" It is kind of yes/no question that one ideally should have been able to answer before doing any programming. Am I wrong? Are you saying that the only way to answer this question is to go ETF by ETF, run a program and see what the results are? Does it make sense what I am asking? Maybe I fundamentally don't understand the way things are set up here. Like if I go to Yahoo, click on some ETF, I know right away when it started, when it ended, what kind of data they have. If you don't have it here, can somebody ran the program once for all the symbols and make a table, if running the template is that easy? I couldn't find by the way description how the data treats splits and dividends. Do you have adjusted prices? How are they adjusted? I am also surprised that nobody seemed to have asked these basic questions before.

td753764

You can get minute data on ETFs going back to Jan 2011.

zm902585

I appreciate it. If you didn't answer me, where on this site would I have been able to find this answer?

[Deleted User]

Hi, the data returned from the api callback is by default corporate action adjusted - price adjustment factors are calculated based on the type of the corporate action including splits, reverse splits, dividends, etc. For minute bars, you can load up to 2 years of corporate action adjusted data for each symbol in your universe for a specific backtest date you specify (on-the-fly adjustment). There is also an option to get as-traded prices but I think you might need the adjusted prices. If you would like to know about the history of a specific name, just like you mentioned, I think running a simple is_symbol_qualified() and screen through the universe of the backtest date to see if the ETF exists would help. Unfortunately, CloudQuant is a backtest platform and it does not have the same property as common data vendors including Yahoo and Google. We do have some constraints on data redistribution. Let us know if you have any other question. Thanks for asking and help us improve CloudQuant community!

zm902585

Thank you.

pf975684

Another question, where does this data come from? Is it 3rd party, from SIP etc.?