quantlab.dataset.massive.raw.read_aggregates#
- quantlab.dataset.massive.raw.read_aggregates(path)[source]#
Read one minute- or day-aggregate file, with
AGGREGATE_COLUMNStypes.- Raises:
- ValueError
If the file’s header is not
AGGREGATE_COLUMNS.
Examples
Needs an aggregate file on disk:
bars = read_aggregates(raw_file("/data/quantlab/downloads/massive", "minute_aggs", date(2016, 11, 25)))