quantlab.dataset.massive.raw.read_trades#

quantlab.dataset.massive.raw.read_trades(path, columns=('ticker', 'conditions', 'correction', 'price', 'sequence_number', 'sip_timestamp', 'size', 'trf_id', 'exchange'))[source]#

Read the given columns of one trade file, with TRADE_COLUMNS types.

The header must be the vendor’s verbatim: a file whose columns differ is refused rather than read by position.

Raises:

ValueError: If the file’s header is not TRADE_COLUMNS.

Examples

Needs a trade file on disk; the default columns are TRADE_BAR_INPUTS:

trades = read_trades(raw_file("/data/quantlab/downloads/massive", "trades", date(2024, 11, 29)))