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Python toolkit for quantitative finance

github.com

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Re: Python toolkit for quantitative finance

#61

Post by ironSkillet »

curiousgal wrote: post #56
kingkongjaffa wrote: post #11

The only utility here is to study the design. Access to anything useful is behind GS specific data APIs via https://developer.gs.com/docs/gsquant/authentication/gs-sess...

How could one study said design? By generating class diagrams or what?

By reading through the code, understanding how they've laid out their abstractions and user interfaces. I am in the field, and in my experience, the most impactful design decisions for libraries like this are related to how researchers will actually interact with the tool.

Re: Python toolkit for quantitative finance

#62

Post by drexlspivey »

jgalt212 wrote: post #45
openrisk wrote: post #44

The financial industry never considered a serious open source strategy to be aligned with their interests and that has painted the sector in increasingly narrower corners. Think eg. the comparison with the acumen of the adtech sector, which supports (among countless other things) the most used open source mobile OS, the most used open source web browser, the most sophisticated open source suites for machine learning…

The problem is that the models (closed sourced or open source) only get you part of the way. For example, (to name just a few items) a stock option pricing model is useless without - holiday calendars - ex dividend dates - interest rate curves - real-time stock prices - corporate actions database Are there open source and free sources of the above? For the first two, sort of, for the remainder, no. And I'm sure I'm f…

Yes the US treasury has an open API to get the yield curve from and yahoo finance has a free stock price API

Re: Python toolkit for quantitative finance

#63

Post by brewmarche »

drexlspivey wrote: post #62
jgalt212 wrote: post #45

Earlier quoted context omitted.

The problem is that the models (closed sourced or open source) only get you part of the way. For example, (to name just a few items) a stock option pricing model is useless without - holiday calendars - ex dividend dates - interest rate curves - real-time stock prices - corporate actions database Are there open source and free sources of the above? For the first two, sort of, for the remainder, no. And I'm sure I'm f…

Yes the US treasury has an open API to get the yield curve from and yahoo finance has a free stock price API

That’s not the correct curve to use for pricing in general. You’d infer discount factors from overnight indexed swaps (OIS) instead as the overnight rate (ESTR, SOFR, SONIA, etc.) is what is used for collateralisation typically. To create such a discount curve you need OIS swap rates.

Re: Python toolkit for quantitative finance

#64

Post by TacticalCoder »

sexy_year wrote: post #51

You can also check OpenBB, one of the most known projects in this category: https://github.com/OpenBB-finance/OpenBBTerminal Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time. Or you can access "free data" (e.g. yfinance) that relies on projects who actively scrape financial data…

> Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time.

> PS: I'm the main creator behind the OpenBB project on GitHub.

As you point out the GTM of others, can you tell us what your GTM is?

Re: Python toolkit for quantitative finance

#65

Post by financetechbro »

dash2 wrote: post #55
sexy_year wrote: post #51

You can also check OpenBB, one of the most known projects in this category: https://github.com/OpenBB-finance/OpenBBTerminal Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time. Or you can access "free data" (e.g. yfinance) that relies on projects who actively scrape financial data…

Is there a way out of this dilemma? Are there any decent APIs for UK data, by the way?

You can pull public company data straight from SEC / EDGAR. They have a public and free API

Re: Python toolkit for quantitative finance

#66

Post by lizmutton »

fifilura wrote: post #58
lizmutton wrote: post #50

what's the use of epidemiology models in quant finance? https://github.com/goldmansachs/gs-quant/blob/master/gs_quan...

"Copyright 2020 Goldman Sachs." Probably added in panic mode around March 2020?

Aha. Wonder if they ever actually used it xD

Re: Python toolkit for quantitative finance

#68

Post by sexy_year »

TacticalCoder wrote: post #64
sexy_year wrote: post #51

You can also check OpenBB, one of the most known projects in this category: https://github.com/OpenBB-finance/OpenBBTerminal Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time. Or you can access "free data" (e.g. yfinance) that relies on projects who actively scrape financial data…

> Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time. > PS: I'm the main creator behind the OpenBB project on GitHub. As you point out the GTM of others, can you tell us what your GTM is?

Of course.

We have a paid enterprise product: OpenBB Terminal Pro (https://openbb.co/products/pro).

In it, users have access to several datasets that we have redistribution rights for. This enables users to export any dataset but also to access that same financial data through our Excel Add-in.

Most retail financial products only have display rights as it's much cheaper than the redistribution license.

Re: Python toolkit for quantitative finance

#69

Post by sexy_year »

dash2 wrote: post #55
sexy_year wrote: post #51

You can also check OpenBB, one of the most known projects in this category: https://github.com/OpenBB-finance/OpenBBTerminal Most data vendors will require a free API key because that's their GTM. They want you to create an account with them to get a free API key and then expect to be able to upsell you over time. Or you can access "free data" (e.g. yfinance) that relies on projects who actively scrape financial data…

Is there a way out of this dilemma? Are there any decent APIs for UK data, by the way?

Not really.

We have the OpenBB Platform CLI, a command line interface (CLI) that allows users to access a lot of financial data but needs to bring each API key.

The reason why this works is that once you run the CLI, you are running it on your machine and leveraging your own API keys - which, when you subscribe you sign for Terms and Conditions.

And, in it, it usually states that you cannot use the data for any commercial purpose.

This is what most data vendors do. Not only because they are trying to upsell you but because giving you access to data costs them money.

So, most of the APIs that you find that are free and have the rights to distribute that data are usually from governments (e.g. FRED or Companies House https://developer.company-information.service.gov.uk/get-sta...)

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