Utilities and information for the signals.numer.ai tournament
Utilities and information for the signals.numer.ai tournament
using eodhistoricaldata.com
eodhistoricaldata.com provides excellent historical price coverage for the signals universe. There are two main challenges with it:
- Ticker mapping from bloomberg to eod tickers
- Lack of coverage for Japan, Czech Republic and New Zealand
Building the ticker map
To build the mapping from bloomberg_ticker to eodhd, use:
python build_eodhd_map.py
This will retrieve:
- live_universe (a small 40 KB file just listing the ~5,340 tickers in current round)
- historical_targets (a large 150 MB file, and extract ~13,370 unique historical tickers)
- the bloomberg to yahoo map courtesy of Liam @ numerai
And follow the conversion logic in the python code and manual overrides in db/eod-overrides.csv