quantlab.dataset.nbbo.panel#
Shared base of the NBBO bar panels, whatever builds their bars.
An NBBO bar panel is the dense (timestamp, symbol) panel of the
NBBO_PANEL_VARIABLES on the session grid of the NYSE (XNYS) calendar,
with the integer PERMNO as its symbol axis. NbboPanelBase owns every
part of building one that does not depend on where the bars come from: the
session calendar and its bounds, the CRSP symbology that maps each raw
(date, ticker) directory to its PERMNO, the unmapped-ticker warning, the
axes, the ticker and filter-stats sidecars, densifying the bars onto the
grid, and cleaning. A subclass supplies the bars of one window through
_read_bars: quantlab.dataset.nbbo.NbboPanelDataset resamples tick
records there.
Classes
Dense NBBO bar panel on the PERMNO axis, from bars a subclass supplies. |