Skip to content

Latest commit

 

History

History
29 lines (23 loc) · 1.11 KB

TODO.md

File metadata and controls

29 lines (23 loc) · 1.11 KB
Raw

IEX Hist Parser

Overall Objective

Build a small DB with the IEX historical data to perform backtesting of trading strategies.

Program Components to Write

  1. Method to programmatically download past HIST files
  2. Read the binary data
  3. Decide which messages we want to keep
  4. Transform (decode) the data into a Python object format
  5. Design class for storing IEX data
  6. Design DB schema
  7. Select a DB to use
  8. Write data to a DB
  9. Unit tests
  10. Analyze the universe of stocks available through IEX
  11. Analyze how many messages per second are sent vs. how fast I can process through them -- Will I be able to do this in real time?
  12. How can I backtest strategies using this dataset?
  13. What other functionality do I need to add?
  14. Proper packaging and hosting on PyPi
  15. Pick a new cooler name for this project

External Resources

Download page: https://iextrading.com/trading/market-data/#hist-download IEX Transport Protocol documentation: https://iextrading.com/docs/IEX%20Transport%20Specification.pdf IEX TOPS documentation: https://iextrading.com/docs/IEX%20TOPS%20Specification.pdf