quantlab.dataset.raw.RawMarketDataset#

class quantlab.dataset.raw.RawMarketDataset(config)[source]#

Bases: RawDataset, MarketDataset

Market price bars converted from raw vendor files into a store they own.

RawDataset’s build path with MarketDataset’s market rules and KunQuant export. A subclass implements _raw_data_to_xr, _raw_data_to_xr_window and _to_kunquant.

Parameters:

configDatasetConfig: The dataset config.

Examples

Using the DemoDataset described on BaseDataset:

>>> DemoDataset(config).from_raw_data().save()
>>> DemoDataset(config).panel("2024-01-02", "2024-01-05").sizes["timestamp"]
4