Welcome to algoseek-connector’s documentation!¶
Algoseek-connector is a Python library that enables data retrieval from datasets by creating sql-like queries using method chaining:
import algoseek_connector as ac
manager = ac.ResourceManager()
data_source = manager.create_data_source("clickhouse")
group = data_source.groups.USEquityMarketData.fetch()
dataset = group.datasets.TradeOnlyMinuteBar.fetch()
stmt = (
dataset.select()
.where(dataset.TradeDate > "2015-01-01").
.order_by(dataset.Volume)
.limit(1000000)
)
df = dataset.fetch_dataframe(stmt)
Features:
Selecting columns and arbitrary expressions based on columns
Filtering by column value/column expression
Grouping by column(s).
Sorting by column(s).
All common arithmetic, logical operations on dataset columns and function application.
Fetching query results as native Python types or as pandas DataFrames.
Streaming query results.