AHL Research Versioned TimeSeries and Tick store
Project description
# [![arctic](logo/arctic_50.png)](https://github.com/man-group/arctic) [Arctic TimeSeries and Tick store](https://github.com/man-group/arctic)
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Arctic is a high performance datastore for numeric data. It supports [Pandas](http://pandas.pydata.org/), [numpy](http://www.numpy.org/) arrays and pickled objects out-of-the-box, with pluggable support for other data types and optional versioning.
Arctic can query millions of rows per second per client, achieves ~10x compression on network bandwidth, ~10x compression on disk, and scales to hundreds of millions of rows per second per [MongoDB](https://www.mongodb.org/) instance.
Arctic has been under active development at [Man AHL](https://www.man.com/ahl) since 2012.
Stable Version 1.79.3
Beta Version 1.80.3
## Quickstart
### Install Arctic
`` pip install git+https://github.com/man-group/arctic.git ``
### Run a MongoDB
`` mongod –dbpath <path/to/db_directory> ``
## Using VersionStore `` from arctic import Arctic import quandl `` ### Connect to Local MONGODB `` store = Arctic(‘localhost’) ``
### Create the library - defaults to VersionStore `` store.initialize_library(‘NASDAQ’) ``
### Access the library `` library = store[‘NASDAQ’] ``
### Load some data - maybe from Quandl `` aapl = quandl.get(“WIKI/AAPL”, authtoken=”your token here”) ``
### Store the data in the library `` library.write(‘AAPL’, aapl, metadata={‘source’: ‘Quandl’}) ``
### Reading the data `` item = library.read(‘AAPL’) aapl = item.data metadata = item.metadata ``
VersionStore supports much more: [See the HowTo](howtos/how_to_use_arctic.py)!
### Adding your own storage engine
Plugging a custom class in as a library type is straightforward. [This example shows how.](howtos/how_to_custom_arctic_library.py)
## Documentation
You can find complete documentation at [Arctic docs](https://arctic.readthedocs.io/en/latest/)
## Concepts
### Libraries
Arctic provides namespaced libraries of data. These libraries allow bucketing data by source, user or some other metric (for example frequency: End-Of-Day; Minute Bars; etc.).
Arctic supports multiple data libraries per user. A user (or namespace) maps to a MongoDB database (the granularity of mongo authentication). The library itself is composed of a number of collections within the database. Libraries look like:
user.EOD
user.ONEMINUTE
A library is mapped to a Python class. All library databases in MongoDB are prefixed with ‘arctic_’
### Storage Engines
Arctic includes three storage engines:
- [VersionStore](arctic/store/version_store.py): a key-value versioned TimeSeries store. It supports:
Pandas data types (other Python types pickled)
Multiple versions of each data item. Can easily read previous versions.
Create point-in-time snapshots across symbols in a library
Soft quota support
Hooks for persisting other data types
Audited writes: API for saving metadata and data before and after a write.
a wide range of TimeSeries data frequencies: End-Of-Day to Minute bars
[See the HowTo](howtos/how_to_use_arctic.py)
[Documentation](docs/versionstore.md)
[TickStore](arctic/tickstore/tickstore.py): Column oriented tick database. Supports dynamic fields, chunks aren’t versioned. Designed for large continuously ticking data.
[Chunkstore](https://github.com/man-group/arctic/wiki/Chunkstore): A storage type that allows data to be stored in customizable chunk sizes. Chunks aren’t versioned, and can be appended to and updated in place. * [Documentation](docs/chunkstore.md)
Arctic storage implementations are pluggable. VersionStore is the default.
## Requirements
Arctic currently works with:
Python 3.6, 3.7
pymongo 3.6.0 thru 3.11.0
Pandas 0.22.0 thru 1.0.3
MongoDB >= 2.4.x
- Operating Systems:
Linux
macOS
Windows 10
## Acknowledgements
Arctic has been under active development at [Man AHL](https://www.man.com/ahl) since 2012.
It wouldn’t be possible without the work of the AHL Data Engineering Team including:
[Richard Bounds](https://github.com/richardbounds)
[James Blackburn](https://github.com/jamesblackburn)
[Vlad Mereuta](https://github.com/vmereuta)
[Tom Taylor](https://github.com/TomTaylorLondon)
Tope Olukemi
[Drake Siard](https://github.com/drakesiard)
[Slavi Marinov](https://github.com/slavi)
[Wilfred Hughes](https://github.com/wilfred)
[Edward Easton](https://github.com/eeaston)
[Bryant Moscon](https://github.com/bmoscon)
[Dimosthenis Pediaditakis](https://github.com/dimosped)
[Shashank Khare](https://github.com/shashank88)
[Duncan Kerr](https://github.com/dunckerr)
… and many others …
Contributions welcome!
## License
Arctic is licensed under the GNU LGPL v2.1. A copy of which is included in [LICENSE](LICENSE)
## Changelog
- ### 1.80.3 (2022-01-20)
Feature: #941 use named index for VersionStore to avoid 127 max fully qualified index name
Bugfix: #935, #936 fixed README.md rendering which was preventing pypi upload
- ### 1.80.2 (2022-01-10)
Bugfix: #932 revert serialization-optimization (#909, #910)
- ### 1.80.1 (2021-12-09)
Bugfix: #855 use IXSCAN for list_symbols which speeds up snapshotting (actually #856)
Bugfix: #926 avoid pathologically slow count_documents() call with pymongo > 3.6.0
- ### 1.80.0 (2021-10-28)
Feature: #919 Add CircleCI badge to README.md
Feature: #917 Add CircleCI build
Bugfix: #910 Fix column subsetting bug
Bugfix: #909 Speedup FrameToArray serialiser for ChunkStore by removing intermediate DataFrame construction
Bugfix: #902 Chunkstore-read-speedup
Bugfix: #872 Do not spam if not permissioned on cache db
Bugfix: #874 Pickle protocol 5 not supported in 3.7 and below
Bugfix: Handle uninitialized cache object
Feature: #897 Pin numpy 1.18.4
Feature: #897 Pin pandas 1.0.3
Bugfix: #881 Fix for issue #815
Bugfix: #875 Fix flake8 errors
- ### 1.79.4 (2020-12-01)
Bugfix: Update code to work with latest version of pandas
Bugfix: Fix missing column handling in numpy serializer
- ### 1.79.3 (2019-12-6)
Bugfix: #832 Bytes to unicode for pd.Series
Feature: #825 Max BSON size configurable
Bugfix: #823 Don’t retry bulk write errors
Feature: #802 kwargs passed through to iterators in chunkstore
- ### 1.79.2 (2019-05-21)
Feature: Allow list_library caching to be tunable via a settings collection.
Bugfix: #777: Handle empty columns in dataframes
- ### 1.79.1 (2019-05-03)
Bugfix: Pandas convert multiindexes to unicode if flag set.
- ### 1.79 (2019-05-02)
Bugfix: #765 Pandas data columns require encoding to convert to unicode.
- ### 1.78 (2019-05-02)
Bugfix: Use the default encoding (ascii) instead of bytes for unpickling.
- ### 1.77 (2019-05-01)
Bugfix: pypandoc not rendering README correctly for PYPI
Bugfix: #744 get_info on an empty dataframe raises an exception
Bugfix: #751 Handle unpickling py2 datetime and other object types with latin1
Bugfix: #598 Add an option to convert py2 str to py3 str (unicode type) on read.
- ### 1.74 (2019-02-28)
Bugfix: #712 Pandas deprecation warning in chunkstore serializer
BugFix: #670 Lots of pycodestyle fixes
BugFix: #691 Fix arrays_to_mgr for pandas 0.23.4+
BugFix: #698 Fix no handler in logging warning
BugFix: #705 Use sort_index instead of sortlevel_
BugFix: #710: Initialize SEGMENT_SHA in versions for writes and appends
Feature: #669 Experimental initial implementation of async arctic
Feature: #704 Do not enable sharding by default in BSONStore.
Feature: #688 Remove Chunkstore check for issue #422
Feature: #717 Add a best effort cache for list_libraries
Bugfix: #722 Exception while reading a column from chunkstore with a column missing in the chunk
- ### 1.73 (2018-11-27)
Bugfix: #658 Write/append errors for Panel objects from older pandas versions
Feature: #653 Add version meta-info in arctic module
Feature: #663 Include arctic numerical version in the metadata of the version document
Feature: #650 Implemented forward pointers for chunks in VersionStore (modes: enabled/disabled/hybrid)
- ### 1.72 (2018-11-06)
Feature: #577 Added implementation for incremental serializer for numpy records
Bugfix: #648 Fix issue with Timezone aware Pandas types, which don’t contain hasobject attribute
- ### 1.71 (2018-11-05)
Bugfix: #645 Fix write errors for Pandas DataFrame that has mixed object/string types in multi-index column
- ### 1.70 (2018-10-30)
Bugfix: #157 Assure that serialized dataframes remain value-equivalent (e.g. avoid NaN –> ‘nan’ in mixed string columns)
Bugfix: #608 Ensure Arctic performs well with MongoDB 3.6 (sorting)
Bugfix: #629 Column kwarg no longer modified
Bugfix: #641 DateRange.intersection open/closed range fix
Feature: #493 Can pass kwargs when calling MongoClient, e.g. for ssl
Feature: #590 Faster write handler selection for DataFrames with objects
Feature: #604 Improved handling handling for pickling serialization decidions
- ### 1.69 (2018-09-12)
Docs: VersionStore documentation
Bugfix: Issue #612 ThreadPool should be created by process using it
Feature: Upsert option on appends in ChunkStore
- ### 1.68 (2018-08-17)
Feature: #553 Compatibility with both the new and old LZ4 API
Feature: #571 Removed the Cython LZ4 code, use the latest python-lz4
Feature: #557 Threadpool based compression. Speed imrpovement and tuning benchmarks.
Bugfix: fix tickstore unicode handling, support both unicode and utf-8 arrays
Bugfix: #591 Fix tickstore reads not returning index with localized timezone
Feature: #595 add host attribute to VersionedItem.
Bugfix: #594 Enable sharding on chunkstore
- ### 1.67.1 (2018-07-11)
Bugfix: #579 Fix symbol corruption due to restore_version and append
Bugfix: #584 Fix list_versions for a snapshot after deleting symbols in later versions
- ### 1.67 (2018-05-24)
Bugfix: #561 Fix PickleStore read corruption after write_metadata
- ### 1.66 (2018-05-21)
Bugfix: #168 Do not allow empty string as a column name
Bugfix: #483 Remove potential floating point error from datetime_to_ms
Bugfix: #271 Log when library doesnt exist on delete
Feature: MetaDataStore: added list_symbols with regexp, as_of and metadata fields matching filters
Feature: Support for serialization of DataFrames in Pandas 0.23.x
- ### 1.65 (2018-04-16)
- Bugfix: #534 VersionStore: overwriting a symbol with different dtype (but same data format) does not
raise exceptions anymore
Bugfix: #531 arctic_prune_versions: clean broken snapshot references before pruning
Bugfix: setup.py develop in a conda environment on Mac
Feature: #490 add support to numpy 1.14
- ### 1.63 (2018-04-06)
Bugfix: #521 Clang 6.0 compiler support on macOS
Feature: #510 VersionStore: support multi column in pandas DataFrames
- ### 1.62 (2018-3-14)
Bugfix: #517 VersionStore: append does not duplicate data in certain corner cases
Bugfix: #519 VersionStore: list_symbols speed improvement and fix for memory limit exceed
- ### 1.61 (2018-3-2)
Feature: #288 Mapping reads and writes over chunks in chunkstore
Bugfix: #508 VersionStore: list_symbols and read now always returns latest version
Bugfix: #512 Improved performance for list_versions
Bugfix: #515 VersionStore: _prune_previous_versions now retries the cleanup operation
- ### 1.60 (2018-2-13)
Bugfix: #503 ChunkStore: speedup check for -1 segments
Feature: #504 Increasing number of libraries in Arctic to 5000.
- ### 1.59 (2018-2-6)
Bugfix: Increase performance of invalid segment check in chunkstore
Bugfix: #501 Fix the spurious data integrity exceptions at write path, due to moving chunks form the balancer
- ### 1.58 (2018-1-15)
Bugfix: #491 roll back the use of frombuffer to fromstring, fixes the read-only ndarray issue
- ### 1.57 (2018-1-11)
Feature: #206 String support for tickstore
Bugfix: #486 improve mongo_retry robustness with failures for version store write/append
- ### 1.56 (2017-12-21)
Bugfix: #468 Re-adding compatibility for pandas 0.20.x
Bugfix: #476 Ensure we re-auth when a new MongoClient is created after fork
- ### 1.55 (2017-12-14)
Bugfix: #439 fix cursor timeouts in chunkstore iterator
Bugfix: #450 fix error in chunkstore delete when chunk range produces empty df
Bugfix: #442 fix incorrect segment values in multi segment chunks in chunkstore
Feature: #457 enchances fix for #442 via segment_id_repair tool
Bugfix: #385 exceptions during quota statistics no longer kill a write
Feature: PR#161 TickStore.max_date now returns a datetime in the ‘local’ timezone
Feature: #425 user defined metadata for tickstore
Feature: #464 performance improvement by avoiding unnecessary re-authentication
Bugfix: #250 Added multiprocessing safety, check for initialized MongoClient after fork.
Feature: #465 Added fast operations for write only metadata and restore symbol to a version
- ### 1.54 (2017-10-18)
Bugfix: #440 Fix read empty MultiIndex+tz Series
- ### 1.53 (2017-10-06)
Perf: #408 Improve memory performance of version store’s serializer
Bugfix #394 Multi symbol read in chunkstore
Bugfix: #407 Fix segment issue on appends in chunkstore
Bugfix: Inconsistent returns on MetadataStore.append
Bugfix: #412 pandas deprecation and #289 improve exception report in numpy record serializer
Bugfix: #420 chunkstore ignoring open interval date ranges
Bugfix: #427 chunkstore metadata not being correctly replaced during symbol overwrite
Bugfix: #431 chunkstore iterators do not handle multi segment chunks correctly
- ### 1.51 (2017-08-21)
Bugfix: #397 Remove calls to deprecated methods in pymongo
Bugfix: #402 Append to empty DF fails in VersionStore
- ### 1.50 (2017-08-18)
Feature: #396 MetadataStore.read now supports as_of argument
Bugfix: #397 Pin pymongo==3.4.0
- ### 1.49 (2017-08-02)
Feature: #392 MetadataStore
Bugfix: #384 sentinels missing time data on chunk start/ends in ChunkStore
Bugfix: #382 Remove dependency on cython being pre-installed
Bugfix: #343 Renaming libraries/collections within a namespace/database
- ### 1.48 (2017-06-26)
BugFix: Rollback #363, as it breaks multi-index dataframe
Bugfix: #372 OSX build improvements
- ### 1.47 (2017-06-19)
Feature: Re-introduce #363 concat flag, essentially undo-ing 1.45
BugFix: #377 Fix broken replace_one on BSONStore and add bulk_write
- ### 1.46 (2017-06-13)
Feature: #374 Shard BSONStore on _id rather than symbol
- ### 1.45 (2017-06-09)
BugFix: Rollback #363, which can cause ordering issues on append
- ### 1.44 (2017-06-08)
Feature: #364 Expose compressHC from internal arctic LZ4 and remove external LZ4 dependency
- Feature: #363 Appending older data (compare to what’s exist in library) will raise. Use concat=True to append only the
new bits
Feature: #371 Expose more functionality in BSONStore
- ### 1.43 (2017-05-30)
Bugfix: #350 remove deprecated pandas calls
Bugfix: #360 version incorrect in empty append in VersionStore
Feature: #365 add generic BSON store
- ### 1.42 (2017-05-12)
Bugfix: #346 fixed daterange subsetting error on very large dateframes in version store
Bugfix: #351 $size queries can’t use indexes, use alternative queries
- ### 1.41 (2017-04-20)
Bugfix: #334 Chunk range param with pandas object fails in chunkstore.get_chunk_ranges
Bugfix: #339 Depending on lz4<=0.8.2 to fix build errors
Bugfix: #342 fixed compilation errors on Mac OSX
Bugfix: #344 fixed data corruption problem with concurrent appends
- ### 1.40 (2017-03-03)
BugFix: #330 Make Arctic._lock reentrant
- ### 1.39 (2017-03-03)
Feature: #329 Add reset() method to Arctic
- ### 1.38 (2017-02-22)
Bugfix: #324 Datetime indexes must be sorted in chunkstore
Feature: #290 improve performance of tickstore column reads
- ### 1.37 (2017-1-31)
Bugfix: #300 to_datetime deprecated in pandas, use to_pydatetime instead
Bugfix: #309 formatting change for DateRange `__str__`
Feature: #313 set and read user specified metadata in chunkstore
Feature: #319 Audit log support in ChunkStor
Bugfix: #216 Tickstore write fails with named index column
### 1.36 (2016-12-13)
Feature: Default to hashed based sharding
Bugfix: retry socket errors during VersionStore snapshot operations
### 1.35 (2016-11-29)
Bugfix: #296 Cannot compress/decompress empty string
### 1.34 (2016-11-29)
Feature: #294 Move per-chunk metadata for chunkstore to a separate collection
Bugfix: #292 Account for metadata size during size chunking in ChunkStore
Feature: #283 Support for all pandas frequency strings in ChunkStore DateChunker
Feature: #286 Add has_symbol to ChunkStore and support for partial symbol matching in list_symbols
### 1.33 (2016-11-07)
Feature: #275 Tuple range object support in DateChunker
Bugfix: #273 Duplicate columns breaking serializer
Feature: #267 Tickstore.delete returns deleted data
Dependency: #266 Remove pytest-dbfixtures in favor of pytest-server-fixtures
### 1.32 (2016-10-25)
Feature: #260 quota support on Chunkstore
Bugfix: #259 prevent write of unnamed columns/indexes
Bugfix: #252 pandas 0.19.0 compatibility fixes
Bugfix: #249 open ended range reads on data without index fail
Bugfix: #262 VersionStore.append must check data is written correctly during repack
Bugfix: #263 Quota: Improve the error message when near soft-quota limit
Perf: #265 VersionStore.write / append don’t aggressively add indexes on each write
### 1.31 (2016-09-29)
Bugfix: #247 segmentation read fix in chunkstore
Feature: #243 add get_library_type method
Bugfix: more cython changes to handle LZ4 errors properly
Feature: #239 improve chunkstore’s get_info method
### 1.30 (2016-09-26)
Feature: #235 method to return chunk ranges on a symbol in ChunkStore
Feature: #234 Iterator access to ChunkStore
Bugfix: #236 Cython not handling errors from LZ4 function calls
### 1.29 (2016-09-20)
Bugfix: #228 Mongo fail-over during append can leave a Version in an inconsistent state
Feature: #193 Support for different Chunkers and Serializers by symbol in ChunkStore
Feature: #220 Raise exception if older version of arctic attempts to read unsupported pickled data
Feature: #219 and #220 Support for pickling large data (>2GB)
Feature: #204 Add support for library renaming
Feature: #209 Upsert capability in ChunkStore’s update method
Feature: #207 Support DatetimeIndexes in DateRange chunker
Bugfix: #232 Don’t raise during VersionStore #append(…) if the previous append failed
### 1.28 (2016-08-16)
Bugfix: #195 Top level tickstore write with list of dicts now works with timezone aware datetimes
### 1.27 (2016-08-05)
Bugfix: #187 Compatibility with latest version of pytest-dbfixtures
Feature: #182 Improve ChunkStore read/write performance
Feature: #162 Rename API for ChunkStore
Feature: #186 chunk_range on update
Bugfix: #189 range delete does not update symbol metadata
### 1.26 (2016-07-20)
Bugfix: Faster TickStore querying for multiple symbols simultaneously
Bugfix: TickStore.read now respects allow_secondary=True
Bugfix: #147 Add get_info method to ChunkStore
Bugfix: Periodically re-cache the library.quota to pick up any changes
Bugfix: #166 Add index on SHA for ChunkStore
Bugfix: #169 Dtype mismatch in chunkstore updates
Feature: #171 allow deleting of values within a date range in ChunkStore
Bugfix: #172 Fix date range bug when querying dates in the middle of chunks
Bugfix: #176 Fix overwrite failures in Chunkstore
Bugfix: #178 - Change how start/end dates are populated in the DB, also fix append so it works as expected.
Bugfix: #43 - Remove dependency on hardcoded Linux timezone files
### 1.25 (2016-05-23)
Bugfix: Ensure that Tickstore.write doesn’t allow out of order messages
Bugfix: VersionStore.write now allows writing ‘None’ as a value
### 1.24 (2016-05-10)
Bugfix: Backwards compatibility reading/writing documents with previous versions of Arctic
### 1.22 (2016-05-09)
Bugfix: #109 Ensure stable sort during Arctic read
Feature: New benchmark suite using ASV
Bugfix: #129 Fixed an issue where some chunks could get skipped during a multiple-symbol TickStore read
Bugfix: #135 Fix issue with different datatype returned from pymongo in python3
Feature: #130 New Chunkstore storage type
### 1.21 (2016-03-08)
Bugfix: #106 Fix Pandas Panel storage for panels with different dimensions
### 1.20 (2016-02-03)
Feature: #98 Add initial_image as optional parameter on tickstore write()
Bugfix: #100 Write error on end field when writing with pandas dataframes
### 1.19 (2016-01-29)
Feature: Add python 3.3/3.4 support
Bugfix: #95 Fix raising NoDataFoundException across multiple low level libraries
### 1.18 (2016-01-05)
Bugfix: #81 Fix broken read of multi-index DataFrame written by old version of Arctic
Bugfix: #49 Fix strifying tickstore
### 1.17 (2015-12-24)
Feature: Add timezone suppport to store multi-index dataframes
Bugfix: Fixed broken sdist releases
### 1.16 (2015-12-15)
Feature: ArticTransaction now supports non-audited ‘transactions’: audit=False
` with ArcticTransaction(Arctic('hostname')['some_library'], 'symbol', audit=False) as at: ... `
This is useful for batch jobs which read-modify-write and don’t want to clash with concurrent writers, and which don’t require keeping all versions of a symbol.
### 1.15 (2015-11-25)
Feature: get_info API added to version_store.
### 1.14 (2015-11-25) ### 1.12 (2015-11-12)
Bugfix: correct version detection for Pandas >= 0.18.
Bugfix: retrying connection initialisation in case of an AutoReconnect failure.
### 1.11 (2015-10-29)
Bugfix: Improve performance of saving multi-index Pandas DataFrames by 9x
Bugfix: authenticate should propagate non-OperationFailure exceptions (e.g. ConnectionFailure) as this might be indicative of socket failures
Bugfix: return ‘deleted’ state in VersionStore.list_versions() so that callers can pick up on the head version being the delete-sentinel.
### 1.10 (2015-10-28)
Bugfix: VersionStore.read(date_range=…) could do the wrong thing with TimeZones (which aren’t yet supported for date_range slicing.).
### 1.9 (2015-10-06)
Bugfix: fix authentication race condition when sharing an Arctic instance between multiple threads.
### 1.8 (2015-09-29)
Bugfix: compatibility with both 3.0 and pre-3.0 MongoDB for querying current authentications
### 1.7 (2015-09-18)
Feature: Add support for reading a subset of a pandas DataFrame in VersionStore.read by passing in an arctic.date.DateRange
Bugfix: Reauth against admin if not auth’d against a library a specific library’s DB. Sometimes we appear to miss admin DB auths. This is to workaround that until we work out what the issue is.
### 1.6 (2015-09-16)
Feature: Add support for multi-index Bitemporal DataFrame storage. This allows persisting data and changes within the DataFrame making it easier to see how old data has been revised over time.
Bugfix: Ensure we call the error logging hook when exceptions occur
### 1.5 (2015-09-02)
Always use the primary cluster node for ‘has_symbol()’, it’s safer
### 1.4 (2015-08-19)
Bugfixes for timezone handling, now ensures use of non-naive datetimes
Bugfix for tickstore read missing images
### 1.3 (2015-08-011)
Improvements to command-line control scripts for users and libraries
Bugfix for pickling top-level Arctic object
### 1.2 (2015-06-29)
Allow snapshotting a range of versions in the VersionStore, and snapshot all versions by default.
### 1.1 (2015-06-16)
Bugfix for backwards-compatible unpickling of bson-encoded data
Added switch for enabling parallel lz4 compression
### 1.0 (2015-06-14)
Initial public release
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