Rebalance Ep 23: Alpha Sentiment

Rebalance is a weekly flash briefing of new features and updates for you, our QC community. In our 23rd episode we’re happy to share:

  1. A new feature was added to the FutureMarginModel to provide access to margin requirements that change with time. The feature exposes the current margin requirements that can be used to compute the number of futures contracts.
  2. Alternative data was made easier to use! String filtering and normalization of Trading Economics calendar events was implemented for data cleanliness. Additionally, Smart Insider transaction data date format parsing bugs were fixed.
  3. An update in LEAN was made to reflect changes in the Coinbase API. Users of CoinbasePro Brokerage should submit market orders again for previously rejected orders with invalid price errors.
  4. The Alpha Model Insight.Price() constructor using the expiry function has been updated to require a weight field to make algorithm submission to Alpha Streams more streamlined. Insight weight is an optional argument that is now in all Insight constructor helper methods. Additionally, a new property CreatedTime has been added to Insight JSON output to provide standardization to insight emission.
  5. A new Boot Camp video tutorial! It walks through using Tiingo News Data to trade Apple and Nike stock based on news article sentiments. You’ll request alternative data sources, calculate sentiment scores for text, and emit signals based on those scores. Watch the tutorial and code-along in Boot Camp here.
Sherry Yang

By: Sherry Yang

30.01.2020
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