quantlab.dataset.config.PermatickerTradeBarsConfig#

class quantlab.dataset.config.PermatickerTradeBarsConfig(*, trade_bars, ticker_map, resample_freq=None, resample_how=None, name=None)[source]#

Bases: FrozenConfig

Config of the Trade bars read on the permaticker axis through the Ticker map.

The view holds no store of its own; trade_bars and ticker_map keep their own configs, both component fields. resample_freq and resample_how are set by PermatickerTradeBarDataset.resample.

Examples

With trade_bars a MassiveTradeBarDataset and ticker_map a TickerMap:

>>> cfg = PermatickerTradeBarsConfig(trade_bars=trade_bars, ticker_map=ticker_map)
>>> sorted(cfg.to_dict())
['name', 'resample_freq', 'resample_how', 'ticker_map', 'trade_bars']

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 Trade bars’ defaults.

ticker_map#: The map from each day’s Massive ticker to its permaticker.

trade_bars#: The Trade bar store on the Massive ticker axis.