MAINT: Modifies minute bars to use a dict of OHLC ratios #1428
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| @@ -265,7 +274,8 @@ def read(cls, rootdir): | |||
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| def __init__( | |||
| self, | |||
| ohlc_ratio, | |||
| default_ohlc_ratio, | |||
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Not 100% sure we need to put the prefix of default here, but not going to block on it.
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Was trying to make the distinction from ohlc_ratios_per_sid clear in the naming, but if it's overkill I'd be happy to simplify it.
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For scaling up pricing data before writing to bolz, the writer now accepts a dict mapping each sid to the ratio to use. It still accepts a single ratio as default_ohlc_ratio, which is used as a fallback if no mapping exists for a given sid. The default is OHLC_RATIO (1000). This allows better handling of futures pricing data, where the required precision across root symbols is not consistent.
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…1428) For scaling up pricing data before writing to bcolz, the writer now accepts a dict mapping each sid to the ratio to use. It still accepts a single ratio as default_ohlc_ratio, which is used as a fallback if no mapping exists for a given sid. The default is OHLC_RATIO (1000). This allows better handling of futures pricing data, where the required precision across root symbols is not consistent.
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Instead of using a single ratio to scale up pricing for each sid before writing for bcolz, the writer now accepts a dict mapping each sid to the ratio to use. This arg is still optional, and we use the existing
OHLC_RATIO(1000) for every sid if no dict is passed.This allows better handling of futures pricing data, where the required precision across root symbols is not consistent.