Eddie Hebert d7d2214756 ENH: Add a reader writer pair for HDF5 minute bar updates. ...

This format is intended for storing data for all sids of an asset type,
e.g. equities or futures for a session. bcolz is not used to avoid the overhead
of creating the directories and files for each asset (which numbers around ~8000
for active equities) can be removed since the update is meant to be read at
once, instead of supporting the random access pattern needed by the simulation.

This patch only adds the reader/writer pair, with the management of finding the
paths to delta files and the application of the updates to the bcolz write left
to internal loader code.

Also, the update reader interface is intentionally constrained to the data for
an entire session to allow for an implementation that allows for mid-session updates.

2017-01-04 12:09:10 -05:00

..

bundles

MAINT: Updates from Joe's PR feedback.

2016-09-07 20:42:19 -04:00

__init__.py

MAINT: Move equity data formats out of loader.

2015-10-09 17:20:19 -04:00

test_dispatch_bar_reader.py

MAINT: Add a reader which dispatches on asset type

2016-08-25 16:29:45 -04:00

test_minute_bars.py

ENH: Add a reader writer pair for HDF5 minute bar updates.

2017-01-04 12:09:10 -05:00

test_resample.py

BUG: Fix session from minute reader's last traded.

2016-10-24 13:58:58 -04:00

test_us_equity_pricing.py

MAINT: Return nan from daily bcolz get_value.

2016-10-25 11:25:09 -04:00