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pydata / pandas-datareader

Extract data from a wide range of Internet sources into a pandas DataFrame.
https://pydata.github.io/pandas-datareader/stable/index.html
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Barchart direct integration #541

Open andreireiand opened 6 years ago

andreireiand commented 6 years ago

or any other reliable source of futures data (such as IQFeed, etc)

addisonlynch commented 6 years ago

I can do barchart. Looking into it.

andreireiand commented 6 years ago

not sure if they do continuous future contracts - pinged them the question, but I guess not. would you also tie individual contracts together to build a longer (than 1 to 3 months) timeline? or isn't simpler to focus on IQFeed?

addisonlynch commented 6 years ago

@andreireiand depends on performance. I built the trivial quotes and historical readers, they're on my fork. Going to give this a try next.

andreireiand commented 6 years ago

I see Barchart has "continuous" futures: Open a dashboard chart - with say, ESM18. Goto Settings -> Adjustments -> Backadjust History w/ Continuous Roll types ... that's neat.

If you plan to look @ IQFeed as well, let me know - I might be able to help.

addisonlynch commented 6 years ago

From what I could see it looks like IQFeed is a paid subscription service. Data sources of this type are not generally integrated into PDR (I believe). I dont have a sub so most likely wont be able to write a wrapper.

addisonlynch commented 6 years ago

Barchart also requires a paid subscription for all endpoints except getQuotes and getHistory. Historical data only available 6 months back. I'll make a pull for the quotes, but I'm not sure if the historical would be even particularly useful given its limited time ranges.