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Does QuantConnect support the pandas_datareader library? If not, is there any way to request for it?
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John Fogel
Given that I would like to extract Fama French 3 factor data using pandas data reader, if this library is not available, are there any other methods that will allow me to do so?
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Shile Wen
Hi Ethan,
According to the supported libraries page, pandas_datareader is not supported. For reference, to request a library, users can email support@quantconnect.com and the library will be added to the queue. However, since this data queries external sites for data, we likely won't approve this package, and the data needed for the Fama-French model can be replicated using QuantConnect data. For a few examples of Fama-French algorithms, please see (1) (2) (3) (4).
Best,
Shile Wen
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
John Fogel
Dear Shile,
thank you for the suggestion. I've taken a look at the examples that you provided and I am just not very sure how it works exactly. Given that I would like to have the fama french 3 factors fed into my algorithm monthly automatically as it is updated, will the above methods suffice? Could you perhaps help me understand a bit more about the process of uploading the ff factors csv file onto github and then using the custom data format i.e. with the subscription? Thank you
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Shile Wen
Hi John,
This video is a great guide to using Custom Data in QuantConnect. Furthermore, I took the code from this Fama French algo and reduced it to the bare bones Fama French data of ours if that helps makes it easier to see how to use the data.
Best,
Shile Wen
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Shile Wen
Hi John,
This video is a great guide to using Custom Data in QuantConnect. Furthermore, I took the code from this Fama French algo and reduced it to the bare bones Fama French data of ours if that helps make it easier to see how to use the data.
Best,
Shile Wen
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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