QuantRocket

Import intraday data from other source(s)


#1

Hello,

I would like to use QuantRocket with data acquired from a third party, read: not IB. The data is csv formatted, and was hoping to backtest my own strategies on it. Is this something QR can do or does it absolutely requires IB to properly function? (I understand some features would be missing)


#2

It won’t work out of the box but we’ll be adding another intraday data provider in the next version. Who’s your provider?

The biggest issue with supporting arbitrary third-party data is that QuantRocket depends on a rich securities master database to link everything up, including at minimum an unchanging security ID, the currency, the exchange, etc. Also, with intraday data, good performance depends on a good storage design and on the software optimally using that design, which again makes arbitrary data a bit more challenging. These are solvable problems, though.

If this makes or breaks your purchase decision, email me privately (brian [at] quantrocket [dot] com) and we can explore options.