mlfinlab.datasets.load_datasets

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

Module Contents

Functions

load_stock_prices(→ pandas.DataFrame)	Loads stock prices data sets consisting of
load_tick_sample(→ pandas.DataFrame)	Loads E-Mini S&P 500 futures tick data sample.
load_dollar_bar_sample(→ pandas.DataFrame)	Loads E-Mini S&P 500 futures dollar bars data sample.

load_stock_prices() → pandas.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.

load_tick_sample() → pandas.DataFrame

Loads E-Mini S&P 500 futures tick data sample.

Returns:

(pd.DataFrame) Frame with tick data sample.

load_dollar_bar_sample() → pandas.DataFrame

Loads E-Mini S&P 500 futures dollar bars data sample.

Returns:

(pd.DataFrame) Frame with dollar bar data sample.