quantlab.dataset.config.MassiveDayBarsDatasetConfig#

class quantlab.dataset.config.MassiveDayBarsDatasetConfig(*, zarr_file_path, start_date=None, end_date=None, symbols=None, kwargs=None, resample_freq=None, resample_how=None, name=None, raw_data_dir_path, market='us_equity', frequency='1d', vendor='massive')[source]#

Bases: DatasetConfig

Config of the Day aggregate panel built from Massive’s day_aggs files (#352, ADR 0031).

The panel’s symbol axis is the Massive ticker, exactly as the files spell it; every ticker of every file is kept. The inherited symbols field is refused by the dataset. end_date=None takes every day of the raw tier, so the daily update extends the store from the same config.

Examples

>>> cfg = MassiveDayBarsDatasetConfig(
...     zarr_file_path="/data/zarrs/massive_day_bars_1d.zarr",
...     raw_data_dir_path="/data/downloads/massive",
...     start_date="2016-10-10",
... )
>>> cfg.frequency, cfg.vendor
('1d', 'massive')

frequency = '1d'#: One bar per trading day.

market = 'us_equity'#: Always US equity for this vendor.

vendor = 'massive'#: Always Massive for this dataset.