quantlab.dataset.massive.trade_bars.ConvertedTradeDay#

class quantlab.dataset.massive.trade_bars.ConvertedTradeDay(day, bars, stats)[source]#

Bases: object

One converted trading day: its bars on the Massive ticker axis and its statistics.

Returned by MassiveTradeBarDataset.convert_day; picklable, so a worker process can convert a day and send it to the process that appends it.

Attributes:
daydate

The trading day.

barspl.DataFrame

The day’s bars, symbol being the Massive ticker.

statsdict

The day’s statistics, as recorded in the sidecar.