Alpaca Data Bundle

Out of the box, I support Alpaca as a data source for data ingestion.
If you haven’t created an account, start with that: Alpaca Signup.
Why? You could get price data for free using the Alpaca data API. Free data is hard to get.
Any other vendor could be added and you are not obligated to use that.

How To Use It

Please don’t use the old method of zipline ingestion. It doesn’t work for this bundle, and it will be abandoned. So DON’T DO THIS:
zipline ingest -b alpaca_api
DO THIS INSTEAD:
*I currently only support daily data but free minute data will soon follow.
To ingest daily data bundle using the alpaca api, you need to follow these steps:

  • The bundle is defined in this file: zipline/data/bundles/alpaca_api.py

  • There is a method called initialize_client(), it relies on the fact that you define your alpaca credentials in a file called alpaca.yaml in your root directory. it should look like this:

    key_id: "<YOUR-KEY>"
secret: "<YOUR-SECRET>"
base_url: https://paper-api.alpaca.markets

  • you need to define your zipline root in an environment variable (This is where the ingested data will be stored). It should be something like this:

    ZIPLINE_ROOT=~/.zipline
    It means you could basically put it anywhere you want as long as you always use that as your zipline root.
    It also means that different bundles could have different locations.

  • By defauilt the bundle ingests 30 days backwards, but you can change that under the __main__ section of zipline/data/bundles/alpaca_api.py.

The ingestion process for daily data using Alpaca is extremely fast due to the Alpaca API allowing to query 200 equities in one api call.

Notes

  • You are ready to research, backtest or paper trade using the pipeline functionality.

  • You should repeat this process daily since every day you will have new price data.

  • This data doesn’t include Fundamental data, only price data so we’ll need to handle it separately.