db2pq: export PostgreSQL and WRDS data to Parquet

db2pq is an R package for moving data from PostgreSQL into Apache Parquet files. It is designed for both general PostgreSQL sources and the WRDS PostgreSQL service.

What it does

• Export a single PostgreSQL table to Parquet.
• Export all tables in a PostgreSQL schema to Parquet.
• Update WRDS Parquet files only when the source table is newer.
• Read and manage last_modified metadata embedded in Parquet files.
• Archive and restore historical versions of Parquet files.

Installation

# install.packages("pak")
pak::pak("iangow/db2pqr")

Quickstart

Update a WRDS table

You can pass a WRDS username directly for a first call:

library(db2pq)

wrds_update_pq("dsi", "crsp", wrds_id = "your_wrds_id")

For repeated use, configure the WRDS username and PostgreSQL password outside the call. The authentication article documents the WRDS_ID, .pgpass, and wrds::wrds_set_credentials() paths. The remaining WRDS examples assume that setup is in place.

Force a re-download

wrds_update_pq("dsi", "crsp", force = TRUE)

Use SAS metadata to check for updates

wrds_update_pq("dsi", "crsp", use_sas = TRUE)

SSH setup is only needed for this SAS metadata path. See the WRDS SSH setup article for the key-based setup used by that option.

Update all tables in a schema

wrds_schema_to_pq("crsp")

Export a custom WRDS SQL query

wrds_sql_to_pq(
  "SELECT permno, date, ret FROM crsp.dsf WHERE date >= '2024-01-01'",
  table_name = "dsf_recent",
  schema = "crsp"
)

Export a local PostgreSQL table

db_to_pq(
  table_name = "company",
  schema = "comp",
  keep = c("gvkey", "conm"),
  rename = c(conm = "company_name")
)

Check when local Parquet files were last updated

pq_last_modified(schema = "crsp")

ADBC backend

The stable default transfer path uses DBI/RPostgres. The optional ADBC path can be selected with transfer_method = "adbc" when adbi and a PostgreSQL ADBC driver are installed:

adbc_diagnostics()
wrds_update_pq("dsi", "crsp", transfer_method = "adbc")

If ADBC reports an SSL/libpq error, use transfer_method = "dbi" or install a current SSL-capable adbcpostgresql build.

Parquet layout

Files are organized as:

<DATA_DIR>/<schema>/<table>.parquet

For example:

~/pq_data/crsp/dsi.parquet

The DATA_DIR environment variable sets the root directory. It can also be passed directly as data_dir to any function.

When archive = TRUE, replaced files are moved to:

<DATA_DIR>/<schema>/archive/<table>_<timestamp>.parquet

License

MIT License. See LICENSE.md.