quantlab.dataset.config.MassiveRestPanelConfig#

class quantlab.dataset.config.MassiveRestPanelConfig(*, 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', table='sep', permatickers=None, roster_universe=None, category_filter='default', massive_dir, ticker_map_path)[source]#

Bases: SharadarDatasetConfig

Config shared by the Massive REST panels on the permaticker axis.

Massive’s records (the REST raw tier under massive_dir) are placed on permatickers through the Ticker map at ticker_map_path, on SEP’s trading calendar. raw_data_dir_path is Sharadar’s raw tier: SEP’s dates are the calendar and SEP’s TICKERS rows the universe, whose fields work as for a price panel (the default is domestic common stock). Each panel has its own subclass, which a saved config names.

Examples

>>> cfg = MassiveDividendsConfig(
...     zarr_file_path="/data/zarrs/massive_dividends_1d.zarr",
...     raw_data_dir_path="/data/downloads/sharadar",
...     massive_dir="/data/downloads/massive",
...     ticker_map_path="/data/market/massive/massive_ticker_map/massive_ticker_map",
... )
>>> isinstance(cfg, MassiveRestPanelConfig), cfg.vendor, cfg.table
(True, 'massive', 'sep')

massive_dir#: Massive’s raw tier (<download-dir>/massive), holding the REST pulls the panel reads and the day aggregates the Ticker map reads.

table = 'sep'#: Always SEP: its TICKERS rows give the universe, its dates the calendar.

ticker_map_path#: The Ticker map’s directory (TickerMapConfig.path).

vendor = 'massive'#: Massive’s records; the calendar and the universe are Sharadar’s.