quantlab.dataset.stock#
US-equity bars read from one vendor’s hive-partitioned parquet tree.
A hive-partitioned tree stores data in directories named
<key>=<value> (for example month=2024-01/part.pqt), so a reader can
skip whole directories that fall outside a query. A panel is an
xarray.Dataset indexed by timestamp and symbol, the format every
quantlab layer exchanges.
StockDataset reads the raw files written by the acquisition layer under
downloads/{market}/{frequency}/{subdir}/{vendor}/<key>=<value>/*.pqt. It
filters on the date window inside the parquet scan, so only the partitions it
needs are opened, and returns the panel. It is the US-equity counterpart of
quantlab.dataset.spot, and its window-by-window conversion keeps memory
bounded by the size of one window.
Classes
US-equity dataset over a single vendor's hive-partitioned raw tree. |