zipline-polygon-bundle

zipline-polygon-bundle is a zipline-reloaded (https://github.com/stefan-jansen/zipline-reloaded) data ingestion bundle for Polygon.io.

GitHub

https://github.com/fovi-llc/zipline-polygon-bundle

Resources

Get a subscription to https://polygon.io/ for an API key and access to flat files.

https://polygon.io/knowledge-base/article/how-to-get-started-with-s3

Quantopian's Zipline backtester revived by Stefan Jansen: https://github.com/stefan-jansen/zipline-reloaded

Stefan's excellent book Machine Learning for Algorithmic Trading: https://ml4trading.io/

Trading Evolved by Andreas Clenow is a gentler introduction to Zipline Reloaded: https://www.followingthetrend.com/trading-evolved/

Code from Trading Evolved with some small updates for convenience: https://github.com/fovi-llc/trading_evolved

One of the modifications I've made to that code is so that some of the notebooks can be run on Colab with a minimum of fuss: https://github.com/fovi-llc/trading_evolved/blob/main/Chapter%207%20-%20Backtesting%20Trading%20Strategies/First%20Zipline%20Backtest.ipynb

Ingest data from Polygon.io into Zipline

Set up your rclone (https://rclone.org/) configuration

export POLYGON_FILE_ENDPOINT=https://files.polygon.io/
rclone config create s3polygon s3 env_auth=false endpoint=$POLYGON_FILE_ENDPOINT \
  access_key_id=$POLYGON_S3_Access_ID secret_access_key=$POLYGON_Secret_Access_Key

Get flat files (*.csv.gz) for US Stock daily aggregates.

The default asset dir is us_stock_sip but that can be overriden with the POLYGON_ASSET_SUBDIR environment variable if/when Polygon.io adds other markets to flat files.

export POLYGON_DATA_DIR=`pwd`/data/files.polygon.io
for year in 2024 2023 2022 2021; do \
    rclone copy -P s3polygon:flatfiles/us_stocks_sip/day_aggs_v1/$year \
    $POLYGON_DATA_DIR/flatfiles/us_stocks_sip/day_aggs_v1/$year; \
done

extension.py

from zipline_polygon_bundle import register_polygon_equities_bundle

# All tickers (>20K) are ingested.  Filtering is TBD.
# `start_session` and `end_session` can be set to ingest a range of dates (which must be market days).
register_polygon_equities_bundle(
    "polygon",
    calendar_name="XNYS",
    agg_time="day"
)

Install the Zipline Polygon.io Bundle PyPi package and check that it works.

Listing bundles will show if everything is working correctly.

pip install zipline_polygon_bundle
zipline -e extension.py bundles

stdout:

csvdir <no ingestions>
polygon <no ingestions>
polygon-minute <no ingestions>
quandl <no ingestions>
quantopian-quandl <no ingestions>

Ingest the Polygon.io data. The API key is needed for the split and dividend data.

Note that ingest currently stores cached API data and shuffled agg data in the POLYGON_DATA_DIR directory (flatfiles/us_stocks_sip/api_cache and flatfiles/us_stocks_sip/day_by_ticker_v1 respectively) so write access is needed at this stage. After ingestion the data in POLYGON_DATA_DIR is not accessed.

export POLYGON_API_KEY=<your API key here>
zipline -e extension.py ingest -b polygon

Cleaning up bad ingests

After a while you may wind up with old (or empty because of an error during ingestion) bundles cluttering up the list and could waste space (although old bundles may be useful for rerunning old backtests). To remove all but the last ingest (say after your first successful ingest after a number of false starts) you could use:

zipline -e extension.py clean -b polygon --keep-last 1

Using minute aggregate flat files.

Minute aggs work too but everything takes more space and a lot longer to do.

export POLYGON_DATA_DIR=`pwd`/data/files.polygon.io
for year in 2024 2023 2022 2021; do \
    rclone copy -P s3polygon:flatfiles/us_stocks_sip/minute_aggs_v1/$year \
    $POLYGON_DATA_DIR/flatfiles/us_stocks_sip/minute_aggs_v1/$year; \
done

If you set the ZIPLINE_ROOT environment variable (recommended and likely necessary because the default of ~/.zipline is probably not what you'll want) and copy your extension.py config there then you don't need to put -e extension.py on the zipline command line.

This ingestion for 10 years of minute bars took around 10 hours on my Mac using an external hard drive (not SSD). A big chunk of that was copying from the default tmp dir to the Zipline root (6.3million files for 47GB actual, 63GB used). I plan to change that shutil.copy2 to use shutil.move and to use a tmp dir in Zipline root for temporary files instead of the default which should save an hour or two. Also the ingestion process is single threaded and could be sped up with some concurrency.

zipline ingest -b polygon-minute

License is Affero General Public License v3 (AGPL v3)

The content of this project is Copyright (C) 2024 Fovi LLC and authored by James P. White (https://www.linkedin.com/in/jamespaulwhite/). It is distributed under the terms of the GNU AFFERO GENERAL PUBLIC LICENSE (AGPL) Version 3 (See LICENSE file).

The AGPL doesn't put any restrictions on personal use but people using this in a service for others have obligations. If you have commerical purposes and those distribution requirements don't work for you, feel free to contact me (mailto:[email protected]) about other licensing terms.