zipline_bundle_polygon

A zipline-reloaded (https://github.com/stefan-jansen/zipline-reloaded) data provider bundle for Polygon.io.

License is Affero General Public License v3 (AGPL v3)

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 the distribution requirements don't work for you, feel free to contact me about other licensing terms.

Ingest data from Polygon into Zipline

TODO: complete example commands. These are missing the configuration that needs to done.

git clone https://github.com/fovi-llc/zipline_polygon_bundle.git
cd zipline_polygon_bundle
pip install -e .
# Download Polygon flatfiles.  See download_flat_files.sh for how.
# Concatenate daily CSV files into Arrow Hive dataset.
python -m zipline_polygon_bundle concat_all_aggs.py
# Edit the extension.py to set your start/end session and calendar.
# Install the extension:
# cp extension.py ~/.zipline
# zipline ingest -b polygon
# or just use it from command (you don't need it except to ingest):
zipline -e extension.py ingest -b polygon