Creating A Zipline Data Bundle

1. Get daily OHLCV stock data using Python
   • via YahooFinance, Polygon.io, etc and save as a CSV file
   • Import necessary python modules
   • Set start & end dates manually
   • Run pdr.DataReader
     • spy = pdr.DataReader(‘SPY’, ‘yahoo’, start_date, end_date)
   • Save data to CSV
     • spy.to_csv(‘/Users/bars_adj/spy.csv’)
2. Index dates to Zipline Trading calendar
   • Create trading_days tag in python
     • Start & end dates should use the same dates as step 1
   • Delete any trading days that are (new) holidays, i.e. Dec 5th, 2018
   • Create trading_calendar.csv
3. Format original data into a Zipline ready CSV file
   • Reformat into dataframe & match days to trading day calendar
   • Adjust price values via ratio calculation & set dividend values to 0 if not available
   • Relabel columns with correct names needed to ingest bundle & round values to two decimal places
   • Save as new csv files (each ticker will be an individual file)

Advertisement