quantlab.acquisition.wrds.rebuild#
Rebuild a CRSP daily store from the raw and reference files already on disk.
CRSP (the Center for Research in Security Prices) is a US stock database
sold through WRDS (Wharton Research Data Services). A CRSP store is the
Zarr directory holding the converted daily price panel. Sidecars are the
small JSON files written next to it (<store>.zarr.<suffix>).
CrspStoreRebuilder fills in the CRSP-specific parts of
quantlab.dataset._support.rebuild.BaseStoreRebuilder: it lists the sidecar files a
CRSP store owns, says which converter writes the store, and computes a few
quality counts once the store is written. The order of operations (check
inputs, back up, clear, convert, measure) and every refusal live in
BaseStoreRebuilder.
A rebuild is offline. It reads the raw parquet files and the downloaded reference tables and writes the Zarr store. Nothing here uses a vendor client, a network endpoint or a credential, so it needs no WRDS account.
Classes
Re-convert one CRSP store from the raw files and measure the result. |