Column-based datastore for historical timeseries
Column-based datastore for historical timeseries data. Corintick is designed mainly to store pandas DataFrames that represent timeseries.
In order to use Corintick you need MongoDB. See installation instructions here.
Corintick itself can be installed with pip:
$ pip install corintick
from corintick import Corintick corin = Corintick()
Now we need a DataFrame to insert into Corintick. For demonstration purposes, we will get data from Quandl:
import quandl df1 = quandl.get('TSE/7203')
Here, df1 looks like this:
Open High Low Close Volume Date 2012-08-23 3240.0 3270.0 3220.0 3260.0 4652200.0 2012-08-24 3225.0 3245.0 3210.0 3235.0 3659600.0 2012-08-27 3250.0 3280.0 3215.0 3220.0 3614600.0 2012-08-28 3235.0 3260.0 3150.0 3180.0 6759100.0 2012-08-29 3180.0 3195.0 3160.0 3175.0 2614800.0 2012-08-30 3180.0 3190.0 3160.0 3170.0 3291700.0 2012-08-31 3135.0 3155.0 3095.0 3095.0 5663800.0 ...
Inserting df1 into Corintick is simple:
corin.write('7203.T', df1, source='Quandl', country='Japan')
The first argument passed to corintick.write is an UID (universal identifier) and must be unique for each timeseries inserted in a given collection. The second argument is the dataframe to be inserted. The remaining keyword arguments are optional metadata tags that can be attached to the dataframe/document for querying.
Reading from Corintick is also straightforward:
df2 = corin.read('7203.T')
You can also specify start and end as ISO-8601 datetime string…
df2 = corin.read('7203.T', start='2014-01-01', end='2014-12-31')
Open High Low Close Volume 2014-01-06 6360.0 6400.0 6280.0 6300.0 12249300.0 2014-01-07 6270.0 6340.0 6260.0 6270.0 7891400.0 2014-01-08 6310.0 6320.0 6260.0 6300.0 7184100.0 2014-01-09 6310.0 6340.0 6260.0 6270.0 8653000.0 2014-01-10 6260.0 6310.0 6250.0 6290.0 7815900.0 ... 2014-12-24 7645.0 7687.0 7639.0 7657.0 9287900.0 2014-12-25 7600.0 7655.0 7597.0 7611.0 5362700.0 2014-12-26 7629.0 7700.0 7615.0 7696.0 6069100.0 2014-12-29 7740.0 7746.0 7565.0 7662.0 9942800.0 2014-12-30 7652.0 7674.0 7558.0 7558.0 7821200.0
…and which columns you want retrieved:
df2 = corin.read('7203.T', columns=['Close', 'Volume'], start='2017-05-10')
Close Volume 2017-05-10 6081.0 7823700.0 2017-05-11 6123.0 13511900.0 2017-05-12 6047.0 8216600.0 2017-05-15 6009.0 5925200.0 2017-05-16 6093.0 6449300.0 ...
By default, Corintick tries to use a MongoDB instance running at localhost:27017. This can be changed through the host and port arguments of the Corintick initializer. Similarly, the database to be used by Corintick defaults to corintick and can also be changed using the db parameter. All the data in the db database is assumed to be Corintick data. Avoid having any other process/application reading/writing data to that database.
In case your MongoDB setup requires authentication, you can use the username and password arguments.
See Corintick.__init__ for details.
Corintick can use multiple collections to better organize data. A Corintick collection is the same as a MongoDB collection. In each collection, only a single dataframe/document can exist for a given UID for a given time period.
In case you need to store two different types of data for a same UID over an overlapping time frame (i.e. trade data and order book data for a given stock), you should separate the two different types of data into different collections.
By default, data is written to the corintick collection. This default collection can be changed by assigning a string to Corintick.default_collection.
>>> corin.collection = 'another_collection'
Collections can also be specified on a method call basis:
df = corin.read('7203.T', collection='orderbook')
During writing, Corintick does the following:
- Takes the input DataFrame and splits into columns
- Serializes/compresses each using the LZ4 compression algorithm
- Generates a MongoDB document containing the binary blobs corresponding to each column and other metadata
During reading, the opposite takes places:
- Documents are fetched
- Data is decompressed and converted back to numpy arrays
- DataFrame is reconstructed and returned to the user
Corintick was inspired by and aims to be a simplified version of Man AHL’s Arctic.
Differences from Arctic
Corintick has a single storage engine, which is column-based and not versioned, similar to Arctic’s TickStore. However, differently from TickStore, it does support non-numerical object dtype columns by parsing them into MessagePack string objects
Corintick aimed from the beginning to be a column-based data storage. “Corintick” is a blend of “Corinthan” (style of Roman columns) and “tick”.
- vs InfluxDB
- vs vanila MongoDB
- vs MySQL
- vs KDB+ (32-bit)
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