quantlab.acquisition.wrds.taq_bars#
Download of NBBO bars resampled on the WRDS server (ADR 0027).
WrdsTaqNbboBarsAcquisition is the nbbo_bars data type of the WRDS
vendor. Like the tick download (quantlab.acquisition.wrds.taq) it splits
the work into pages of one trading day for one batch of symbols, but each
page runs quantlab.acquisition.wrds.nbbo_bars_sql.NbboBarsQuery, which
resamples the day’s NBBO records into bars on the server, so only bars cross
the network. The raw tier holds one row per (ticker, bar), labelled at
the bar’s end, under .../wrds/nbbo_bars/date=.../symbol=.../;
quantlab.dataset.nbbo.bars.NbboBarsDataset converts it into the same
panel the tick path builds.
The bar size, the session window and the quote filters are fixed at
download time. They are recorded in the watermark directory
(quantlab.dataset.nbbo.bars.NbboBarsRequest) before the first page, and
a later run with different settings is refused, so bars built with
different settings are never mixed.
Classes
Download NBBO bars resampled on the WRDS server from the TAQ day tables. |