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Quantonomics
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

1. Request Limit
2020-05-20 14:16:22,460: API request failed: ERROR: You are limited to 200 requests per hour. Please wait until 1:57 PM (41 minutes from now) before making additional requests.

I thought it was increased to 5k per month? My ID is 37.

2. Universe


Seems like you have to write the full universe name now, it doesn't recognize just the symbol anymore.

3. Usage
Also I'm not sure if the number of requests are calculated correctly. I says I made a usage of 224 units. Can you explain how these are calculated? 1 backtest of 10 deciles = 10 units? 1 backtest of 4 quartiles = 4 units? Shouldn't it be 1 backtest = 1 unit? Otherwise it will increase super fast to the limit.

Thanks!

May 20, 2020 1:18:06 PM       
Edit 3 times, last edit by Quantonomics at May 20, 2020 1:27:31 PM
Jrinne
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Had been using Python with Selenium to extract Rank data on the Buy and Sell dates for positions in some of my Simulations. Yesterday I transitioned to using the new API which seems much simpler, quicker, and cleaner to use, but I have run up against Request Quota today. What is the current Request Quota limit? Do I just need to revert back to using my old method?


So, I did not want to bring this up but P123 already knows this or should now. I thought I might clarify what dnevin123 is saying.

This data is not limited by the data provider and there are more than a few who are already getting this data using Web Scraping.

There are already people running Deep Nets and Random Forests off of P123 data. I helped develop one of the deep nets (but the data had already been scraped) so this is just a fact.

I do not have an economics degree but it seems P123 would have to make a relatively easy method available at a modest price-point to get a large market.

For example, there may be a limit to what dnevin123 is willing to pay for what he can get for free. But he looks interested in what could end up being an easier method with substantial data. Please, clarify if I am missing something.

From P123’s point of view it should consider extracting some revenue from the data it is already making available. And even attract those who do not want to Web Scrape (like me). I have already mentioned a label and a row index could help with regard to the last.

There seems to be pretty good interest judging form this thread.

Best,

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

May 20, 2020 1:24:15 PM       
Edit 12 times, last edit by Jrinne at May 20, 2020 2:12:46 PM
marco
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

We are in the process of figuring this out At the moment there are two limits in play. They were added *quickly* to get API out asap, and protect the resources. They are : 1) a hard limit of 5K API requests/mo and 2) the existing "quant engine request/hour" that depends on your membership (ex. 200/h for Ultimate).

When you do a request on the website, like a rank, it only counts towards "quant engine request/hour". When you do an API requests it checks both, the total per month and the "quant engine request/hour".

The goal is to separate the limits for website and API. Also running the API should not interfere with your website requests (right now it does).

The "quant engine request/hour" was introduced long time ago to protect the website from too much scripting. It is however becoming an issue again with noticeable website slowdowns at times . So we expect to reduce the "quant engine request/hour" to further to protect the responsiveness of the website.

For scripters there will be a number of API requests included in your memberships for "normal" use, and two add-on plans for heavy use, and ludicrous use. Some of the numbers we kicked around is 500 requests/mo included, 5000/mo for heavy use , and 50000/mo ludicrous. We have not decided on costs for heavy & ludicrous. Another option is to have a time limit since some requests can take 5 min , others a few seconds.

Let us know your thoughts. Thanks

Portfolio123 Staff.

May 20, 2020 10:33:49 PM       
Edit 1 times, last edit by marco at May 20, 2020 10:37:55 PM
philjoe
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

I don't see a use for the API unless its >50k per month (if not more). Anything less than 50k datapoints can be easily handled with excel, no need to get complicated.

May 21, 2020 7:36:48 AM       
Jrinne
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

I don't see a use for the API unless its >50k per month (if not more). Anything less than 50k datapoints can be easily handled with excel, no need to get complicated.

Philip knows at ton more than I do about this. So if I say something that differs I need to go back to my O’Reilly books and learn about Programming/Python. I appreciate any corrections and maybe I can refresh my memory on the difference between append and concatenate. Does Python use a zero indexing?

Whatever language one uses wouldn’t you always convert it to a CSV file and upload it? Who wants to always use Python on a windows machine?

Who likes C ++? I know many do. I am amazed by this but there are a lot of true experts in machine learning who use Macs. Probably the preferred. The administrator for the second best Machine learning method in the world (XGBoost second to TensorFlow) uses a MacBook Pro: https://discuss.xgboost.ai

And of course Mac or Windows some still like R.

But why run it on your own machine? I like Colab for TensorFlow. How do I upload it to that? How do I upload it with ANY of the above methods?

Excel.csv file. Honestly (probably because I am not a programmer) I do not get it.

Maybe Philip can explain it to me if he does not agree. If I am not saying what he just said.

I do get that it is really cool to Web Scrape it and then put it into a csv file without telling anyone you are doing it. That I truly get without kidding. It's like you are a white-hat hacker or something. But I think it could get old when I really just need the csv file.

Best,

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

May 21, 2020 8:06:15 AM       
Edit 8 times, last edit by Jrinne at May 21, 2020 8:39:09 AM
Quantonomics
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

I don't see a use for the API unless its >50k per month (if not more). Anything less than 50k datapoints can be easily handled with excel, no need to get complicated.


1 factor = iteration of 21 backtests of 20 buckets (default) + 1 benchmark = 21 requests

23 factors < 500 requests
238 factors < 5000 requests
2380 factors < 50,000 requests

I don't know if you guys remember DanParquette's file where he compiled backtests for many factors 10 years ago.
IIRC he was using 50 buckets. Back then there were no limits or the limits were much higher than they are right now.

1 factor = iteration of 51 backtests of 50 buckets (default) + 1 benchmark = 51 requests

9 factors < 500 requests
98 factors < 5000 requests
980 factors < 50,000 requests

---

My conclusion from this is to avoid using too many buckets with limited amount of requests. Maybe 10 buckets max.
I kinda agree that Data Miner should allow much higher requests than on the website or it defeats its purpose IMHO.
I hope the plans for Ludicrous are available ASAP before we lose access to S&P data to compare outputs with FactSet.

---

Other points I want to bring
1) Is the output saved anywhere as the Data Miner is working? What if it crashes or computer reboots, is the output lost?

2) Also allow some extra requests to "forgive" wrong setups or errors from the Data Miner if it fails / error out.

May 21, 2020 8:27:22 AM       
Edit 4 times, last edit by Quantonomics at May 21, 2020 8:39:29 AM
philjoe
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Is ithe data request cap due to a bottleneck in hardware? Or is S&P in the background placing caps?

May 21, 2020 8:36:07 AM       
Edit 1 times, last edit by philjoe at May 21, 2020 8:36:21 AM
marco
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

It's not 50k "datapoints", it's 50k API endpoint requests. So for example a bucket backtest is one request. We came up with 50k using the median time we see in current operations from the website which is 1min. So 50K 1min requests is basically 30+ days of uninterrupted use. But I think the API will be more used for simple , single or dual factor tests that are much faster (5-10sec) so 50k is not enough.

Also, S&P has been doing deals at around $10K. Not a crazy amount if you are doing a data mining project. They will continue to supply us data to service users that have license for at least 1 more year. That's what they said two weeks ago, and are working on the contract. But they have changed their mind in the past. If they get more requests for licenses it will help finalize the deal.

Portfolio123 Staff.

May 21, 2020 8:44:11 AM       
marco
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

philjoe, neither at this point. We always have caps when we launch something.

We once had "unlimited # simulations" and one user filled up our database.

Portfolio123 Staff.

May 21, 2020 8:46:33 AM       
philjoe
Re: NEW: Data Miner App & P123 API -- v1.0 (beta)

Ahhh OK I see, perhaps you can differentiate between back tests based on how many factors.

Just to clarify, S&P will offer the 10k licenses for one more year and then thats it? Also, are you referring to a CapitalIQ license?

I'm still learning about how all of this works, do you store the API output on your database after we output it?

May 21, 2020 9:03:49 AM       
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