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https://github.com/man-group/arctic

High performance datastore for time series and tick data
https://github.com/man-group/arctic

arctic database mongodb pandas python tickstore timeseries timeseries-database

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High performance datastore for time series and tick data

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README

        

[![Documentation Status](https://readthedocs.org/projects/arctic/badge/?version=latest)](https://arctic.readthedocs.io/en/latest/?badge=latest)
[![CircleCI](https://circleci.com/gh/man-group/arctic/tree/master.svg?style=shield)](https://app.circleci.com/pipelines/github/man-group/arctic?branch=master)
[![PyPI](https://img.shields.io/pypi/v/arctic)](https://pypi.org/project/arctic)
[![Python](https://img.shields.io/badge/Python-3.6|3.7|3.8-green.svg)](https://github.com/man-group/arctic)

## Quickstart

### Install Arctic

``
pip install git+https://github.com/man-group/arctic.git
``

### Run a MongoDB

``
mongod --dbpath
``

## 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, 3.8
* pymongo >= 3.6.0 <= 3.11.0
* pandas >= 0.22.0 < 2
* MongoDB >= 2.4.x <= 4.4.18

Operating Systems:
* Linux
* macOS
* Windows 10

## Acknowledgements

Arctic has been under active development at [Man Group](https://www.man.com/) since 2012.

It wouldn't be possible without the work of the Man 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)