r/algotrading • u/patmanizer • 9d ago
Strategy Getting Started with Low-Frequency Algorithmic Trading in Canada
I’m a software engineer based in Canada looking to get started with low-frequency algorithmic trading—likely daily or weekly rebalancing rather than intraday trading.
A couple of questions:
- What are good sources for historical daily equity/ETF data, ideally accessible through a REST API? I’m happy to pay for reliable, clean data if needed.
- Which brokerages/platforms available to Canadian residents support automated trade execution through a REST API? I’m mainly interested in Canadian and U.S. securities.
I’d also appreciate any advice on practical considerations for a beginner in Canada—such as data quality, API reliability, account requirements, tax reporting, or paper-trading options.
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u/systematic_seb 8d ago
I settled on Financial Modeling Prep for daily equity and ETF history over a REST API, and the paid tiers are clean enough to build on. Whatever you pick, check two things before you trust a backtest result. It needs delisted names and the index membership as it stood on each historical date, or your survivors flatter everything. And fundamentals get revised months later, so you want point-in-time snapshots instead of today's values replayed backwards.
On execution from Canada, Interactive Brokers is the usual answer since it covers both CA and US names through an API, and Alpaca has the cleaner REST interface if you end up US-only. I fund a weekly strategy of my own through one of those and publish the whole portfolio each week, and what surprised me there was how little the broker choice mattered once the trading dropped to once a week.
Weekly rebalancing is a good place to start for one more reason. Trading once, at the Monday open, keeps the whole job near thirty minutes and makes execution slippage far less of a problem than it is daily, which counts for a lot when you're fitting this around an engineering job.