Source code for mlfinpy.dataset.load_datasets

"""
The module implementing various functions loading tick, dollar, stock data sets which can be used as sandbox data.
"""

import os

import pandas as pd




[docs]
def load_stock_prices() -> pd.DataFrame:
    """
    Loads stock prices data sets consisting of EEM, EWG, TIP, EWJ, EFA, IEF, EWQ,
    EWU, XLB, XLE, XLF, LQD, XLK, XLU, EPP, FXI, VGK, VPL, SPY, TLT, BND, CSJ, DIA
    starting from 2008 till 2016.

    Returns
    -------
    pd.DataFrame
        The stock_prices data frame.
    """

    project_path = os.path.dirname(__file__)
    prices_df = pd.read_csv(
        os.path.join(project_path, "data/stock_prices.csv"),
        index_col=0,
        parse_dates=[0],
    )
    return prices_df






[docs]
def load_tick_sample() -> pd.DataFrame:
    """
    Loads E-Mini S&P 500 futures tick data sample.

    Returns
    -------
    pd.DataFrame
        The tick data frame with tick data sample.
    """

    project_path = os.path.dirname(__file__)
    tick_df = pd.read_csv(os.path.join(project_path, "data/tick_data.csv"), index_col=0, parse_dates=[0])
    return tick_df






[docs]
def load_dollar_bar_sample() -> pd.DataFrame:
    """
    Loads E-Mini S&P 500 futures dollar bars data sample.

    Returns
    -------
    pd.DataFrame
        The dollar bar data frame with dollar bar data sample.
    """

    project_path = os.path.dirname(__file__)
    bars_df = pd.read_csv(
        os.path.join(project_path, "data/dollar_bar_sample.csv"),
        index_col=0,
        parse_dates=[0],
    )
    return bars_df