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This took way longer than I expected but finally have published a bundle that works with Polygon.io flat files, both day and minute aggregates (but currently just US Stocks), which ingests the entire market of tickers. Also uses the API to get the split and dividend adjustments and does resampling to get daily prices from minute. Very early release with much left to desire (e.g. ticker filter, metadata, test ticker filter, sid correction for corporate actions) but pushing this out there in case anyone else is interested in giving it a whirl.
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This took way longer than I expected but finally have published a bundle that works with Polygon.io flat files, both day and minute aggregates (but currently just US Stocks), which ingests the entire market of tickers. Also uses the API to get the split and dividend adjustments and does resampling to get daily prices from minute. Very early release with much left to desire (e.g. ticker filter, metadata, test ticker filter,
sidcorrection for corporate actions) but pushing this out there in case anyone else is interested in giving it a whirl.https://pypi.org/project/zipline-polygon-bundle/
https://github.com/fovi-llc/zipline-polygon-bundle
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