Tutorials / Documentation

Tutorials

To get a good appreciation of what market_prices offers and how it works it's recommended that the following tutorials are worked through in the order listed.

Introduction

• quickstart.ipynb
  • An introduction to basic usage and a peek beyond.

get

These tutorials covers all aspects of the Prices classes get method which is used to get a prices dataset.

• prices.ipynb
  • Create a prices object from PricesYahoo or PricesCsv.
• intervals.ipynb
  • Define the time interval represented by each row of a prices table.
• periods.ipynb
  • Define the period covered by a prices table.
    • The Golden Rule
    • The Silver Rule
  • Define period from start through end.
  • Define period as a duration bound with start or end.
    • Durations in terms of trading times with minutes and hours.
    • Durations in terms of trading sessions with days.
    • Durations in calendar terms with weeks, months and years.
  • Multiple symbols trading on different exchanges with differing opening times and in different timezones.
    • lead_symbol option to determine the exchange calendar against which to evaluate the period.
  • Timezones (tzin)
  • add_a_row option to include the row prior to period start.
• anchor.ipynb
  • How indices are evaluated.
    • "open" and "workback" anchor
    • force indices to exclude non-trading periods.
    • openend to determine the final indice when the period end is an unaligned session close.
    • Overlapping indices warning.
    • Circumstances in which indices are unable to observe session breaks.
  • Interrogating indices with .pt accessor methods.
• data_availability.ipynb
  • How availabiliy of data at underlying base intervals determines the period over which data is available for any specific interval.
  • PricesIntradayUnavailableError and LastIndiceInaccurateError.
  • Options when a request can only be partially fufilled; strict, priority and composite.
  • Composite calendars.
• other_get_options.ipynb
  • Post-processing options, including tzout, fill, include, exclude, side, close_only and lose_single_symbol.

Other Prices methods

These tutorials cover other methods of Prices classes.

• specific_query_methods
  • Covers the following methods that return a single-row DataFrame giving prices for a specific session, time or period.
    • session_prices
    • close_at
    • price_at
    • price_range
• other_prices_methods
  • Covers the following methods:
    • request_all_prices to request all available prices from the data provider.
    • prices_for_symbols to return a Prices instance for a subset of symbols.

Price table accessor

The .pt accessor opens the door to a wealth of functionality to interrogate and operate on DataFrame returned by get.

• pt_accessor.ipynb
  • Examples of all the properties and methods offered by the price table accessor classes, from reindexing and downsampling to querying and tidying.

Other documentation

Parsing

parsing.md offers a explanation of how the valimp library is used to validate and otherwise parse inputs to public functions.

Typing

typing.md covers:

• Type annotation.
• Custom types of the mptypes.py module.

Method documentation.

method_doc.md explains what to expect from the documentation of public methods.

Issues

See the Issues page for outstanding issues.

Developer

Contributions to market_prices are certainly welcome. If you are looking to contribute, please do have a look through the following developer docs.

serving_data.md :

• The internals around serving price data.
• Data providers.

typing_doc.md :

• typing specifications.
• documentation specifications.

testing.md :

• Tests for PricesBase.
• Data from yahoo API is unreliable for test suite.

releases.md :

• Versioning.
• Draft release notes.
• Release workflow.

other_internals.md :

• Considerations for intervals that are not a factor of (sub)session length.
• daterange.GetterIntraday.daterange_tight