Utilities and information for the signals.numer.ai tournament
eodhistoricaldata.com provides excellent historical price coverage for the signals universe. There are two main challenges with it:
- Ticker mapping from bloomberg to eod tickers
- Lack of coverage for Japan, Czech Republic and New Zealand
Building the ticker map
To build the mapping from bloomberg_ticker to eodhd, use:
This will retrieve:
- live_universe (a small 40 KB file just listing the ~5,340 tickers in current round)
- historical_targets (a large 150 MB file, and extract ~13,370 unique historical tickers)
- the bloomberg to yahoo map courtesy of Liam @ numerai
And follow the conversion logic in the python code and manual overrides in
db/eod-overrides.csv to build
eodhd-map.csv in the following format:
Download quotes from the correct data_provider
EODHD_TOKEN = "put_your_token_here" in the
download_quotes.py file and insert your eodhd api token. Then running:
will download each quote from the appropriate source (eodhd or yahoo) saving each ticker to a separate pickle file under ./data/ticker_bin. As of October 2021, this results in 10,900+ ticker histories.
How you can help
- Some amount of experimentation is needed with Korean tickers (KO vs KQ extension) to get better fills for ~50 tickers.
- Bloomberg Singapore ticker prefixes are very different than the yahoo or eodhd tickers. We are extracting the live universe prefixes from numerai yahoo map, but historical Singapore tickers would need to be manually mapped if anyone is up for the challenge.
- The rest of the tickers seem to work well — all feedback and advice is appreciated.