quantlab.dataset.sharadar.point_in_time.on_grid#

quantlab.dataset.sharadar.point_in_time.on_grid(days, symbols)[source]#

Return every (timestamp, symbol) cell, day by day, with its row and column index.

Returns:

pl.DataFrame: timestamp, _day, symbol (int64) and _column, sorted by _day then _column: the order to_panel reshapes.

Examples

>>> import polars as pl
>>> days = pl.Series("timestamp", ["2024-01-05", "2024-01-08"]).str.to_datetime(time_unit="ns")
>>> on_grid(days, [101, 202]).get_column("symbol").to_list()
[101, 202, 101, 202]