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Looking for how to get Interest Rates with API
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Looking for how to get Interest Rates with API

  #1 (permalink)
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Looking for how to get Interest Rates with API

I am looking for a website/webservice from where I could programmatically get the information about current (possibly past?) interest rates to calculate Rollover Interest/Carry Trade fees.

I would rather avoid web scraping if possible so a webservice with nice API would be the best.

Any suggestions?

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Have you checked quandl?

https://futures.io/vendors-product-reviews/29501-quandl-www-quandl-com.html

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  #4 (permalink)
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Thanks Mike,

I haven't checked Quandl for that as I was looking for something kept more up to date (that would inform me if the interest rate changed). Quandl may be good for the past interest part though, although I can't verify this since my free trial expired and this seems to be Premium Data:
https://www.quandl.com/c/economics/interest-rate-sge-by-country
Can someone with premium access verify if the above includes historical interest rates data?

In the meantime still looking...

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If I am mistaken about Quandl not being up to date (actively updated), please let me know.

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gregid View Post
If I am mistaken about Quandl not being up to date (actively updated), please let me know.

Quandl I'm sure is updated regularly but the pricing is just laughable IMO.

If you are not using the quandl API I would think your only real option for free interest rate data would be to scrape the wall street journal site. Bloomberg obviously would be able to do this but I don't drive a Ferrari.

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Darthtrader4beta View Post
Quandl I'm sure is updated regularly but the pricing is just laughable IMO.

If you are not using the quandl API I would think your only real option for free interest rate data would be to scrape the wall street journal site. Bloomberg obviously would be able to do this but I don't drive a Ferrari.

Yeah, had the same conclusion - paying 175$ for just interest rate would be an overkill.

I'll probably end up scraping http://www.dailyfx.com/ for that info.

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Just out of curiosity, have you worked out the storage ?

I 'm at the point that i have my data collection, i need to store the data now
I know that @Big Mike has 3 databases : tick, minute, day

I guess i will probably end up doing the same..

Any thoughts, advice on that ?

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I'm not sure it's very useful to have different databases, different tables are enough IMHO.
The good question is more: what would be the tables structure.
On my side I'm working on something similar with a single database and a table per bar type (tick/minute/day). I'm not sure it's the best option on performance point of view, as the tick table is going to be very very large, but on a "logical" point of view I don't like the idea of having a distinct table per symbol.


rleplae View Post
Just out of curiosity, have you worked out the storage ?

I 'm at the point that i have my data collection, i need to store the data now
I know that @Big Mike has 3 databases : tick, minute, day

I guess i will probably end up doing the same..

Any thoughts, advice on that ?


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gregid View Post
If I am mistaken about Quandl not being up to date (actively updated), please let me know.

True for many datasets on Quandl. On the left side there is a section "validate" with a link to the dataset source. Many times the source may have their own API you can tap directly or scrape the page if no API is provided. That way you can update on your terms. I think the value of Quandl is that they provide a single source for normalized datasets and their API is really easy to use, so you can save a lot of time testing ideas out.

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