Importing market data into a Zipline/PyFolio backtesting system

Backtesting depends on us having an extensive market data database.

Zipline introduces two market data-specific terms – bundle and ingest:

• A bundle is an interface for incrementally importing market data into Zipline's proprietary database from a custom source.
• An ingest is the actual process of incrementally importing the custom source market data into Zipline's proprietary database; the data ingest is not automatically updated. Each time you need fresh data, you must re-ingest the bundle.

By default, Zipline supports these bundles:

• Historical Quandl bundle (complimentary daily data for US equities up to 2018)
• .csv files bundle

We will now learn how to import these two bundles in more detail.

Importing data from the historical Quandl bundle

First, in the activated zipline_env environment, set the QUANDL_API_KEY environment variable to your free (or paid)...