quantlab.dataset.config.MappedDayBarsConfig#

class quantlab.dataset.config.MappedDayBarsConfig(*, source, zarr_file_path, sep=None, check_tolerance=0.0001, resample_freq=None, resample_how=None, name=None)[source]#

Bases: FrozenConfig

Config of the Day aggregates mapped onto permatickers, adjusted and kept in a store (#353, #354).

source is the permaticker view the store is written from (its own bars, not resampled); zarr_file_path is the store. The adjusted prices are chained from Massive’s split and dividend pulls in the raw tier of source’s Day aggregates (ADR 0048). sep, when given, is SEP’s store the adjusted returns are checked against, within check_tolerance.

Examples

With bars a PermatickerDayBarDataset and sep a SharadarStockDataset:

cfg = MappedDayBarsConfig(source=bars, sep=sep, zarr_file_path="/data/massive_permaticker_day_bars_1d.zarr")
sorted(cfg.to_dict())
# ['check_tolerance', 'name', 'resample_freq', 'resample_how', 'sep', 'source', 'zarr_file_path']

check_tolerance = 0.0001#: The largest difference of two daily adjusted returns that is not a disagreement, on top of what SEP’s rounding of its closes to 0.001 allows.

name = None#: Dotted import path of the dataset class; filled by the config setter.

resample_freq = None#: The coarser bars the panel is resampled to; None for the store’s bars.

resample_how = None#: {variable: method} of the resample; None for the Day aggregates’ defaults.

sep = None#: SEP’s store, whose adjusted returns the store’s are checked against; None checks nothing.

source#: The permaticker view the store is written from.

zarr_file_path#: The store of the mapped bars.