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ENH: Add writer for minute bcolz format.

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Implement a writer for minute data into a format comprised of multiple
ctables, one for each individual asset, with a common 'index' shared by
all ctables where a given a dt maps to the same array index for all
equities and fields.

This format is pulled from the lazy-mainline/Q2.0 branch, with some
changes to the interface.

Add basic retrieval of values at a given dt to reader. Not yet used by
Zipline simulations, but added to support unit tests.

Also, rename stubbed out us_equity_minutes to minute_bars, since the
writer can be agnostic to asset type.
This commit is contained in:
Eddie Hebert
2016-01-21 10:54:27 -05:00
parent 3b76981270
commit d5c3b5a15c
4 changed files with 866 additions and 93 deletions
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docs/source/appendix.rst
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@@ -105,3 +105,9 @@ Asset Metadata
.. autoclass:: zipline.assets.assets.AssetConvertible
:members:
Data API
~~~~
.. autoclass:: zipline.data.minute_bars.BcolzMinuteBarWriter
:members: