Algoseek connector

Algoseek-connector is a Python library that enables data retrieval from algoseek datasets by using sql-like queries using method chaining. It provides utilities to:

  • 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.

import algoseek_connector as ac

manager = ac.ResourceManager()
data_source = manager.create_data_source("ArdaDB")
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)

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