factor_agent.session.SessionColumns

class SessionColumns(dataset, graphs, classes, njobs=1, granularity=None)

Bases: Provider

The session columns of intraday graphs, filled for a daily factor from an intraday dataset.

graphs maps each session column to its intraday graph (Graph.to_json(), by the names stages.split gives them) and classes gives the class path of every operator they record (Vocabulary.class_paths). fill computes them with SessionFactor on dataset, the intraday dataset, over the days of the daily axes, and puts each session’s value on its day: a session’s label is its date, and a symbol is matched by its label as text, so the permatickers of an integer axis find the symbols of a text one. A day without a session (before the intraday data begins, say) and a symbol the intraday dataset does not hold are NaN. It reads no column of the daily dataset and needs no warm-up: an intraday graph sees its own session only.

The graphs run as one SessionFactor, so a subtree several of them hold is computed once, and in chunks of whole sessions through quantlab’s ChunkedBuilder: only one chunk’s bars are in memory at a time, beside the daily values. granularity is the chunks’ calendar period ("month", "day"…); None computes the days whole when they fit in the memory available (SessionFactor.cell_bytes) and otherwise in the coarsest period whose chunks do. The values do not depend on it. The dataset must read a store (stored_symbols), as a campaign’s intraday dataset does.

Inherited methods and attributes are documented on the base classes linked above.

Methods

SessionColumns.compile	Compile the session columns' graphs as fill does, without reading the dataset.
SessionColumns.fill	The arrays of columns, on the axes of arrays (timestamps by symbols).