quantlab.dataset.merged#
Several datasets merged into one panel.
A merge combines panels with the same bar spacing into one: each input is
renamed to the shared variable names with its own COLUMN_MAP, then the
inputs are outer-joined on timestamp and symbol, NaN where an input
has no value. It covers inputs with the same variables over different
symbols (an index store and an ETF store) and inputs with the same symbols
and different variables (prices and quotes), across dataset classes. A cell
holding a value in more than one input is an error, never resolved by input
order, and so are inputs with different bar spacing.
MergedDataset is itself a MarketDataset, so any consumer of a dataset
accepts it. A factor config given a list of datasets builds one.
Classes
A read-only view merging several datasets into one panel. |