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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

Last synced: 7 days ago
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High performance datastore for time series and tick data

Host: GitHub
URL: https://github.com/man-group/arctic
Owner: man-group
License: lgpl-2.1
Created: 2015-05-29T13:37:30.000Z (over 9 years ago)
Default Branch: master
Last Pushed: 2024-04-08T16:35:28.000Z (7 months ago)
Last Synced: 2024-10-29T14:51:31.326Z (10 days ago)
Topics: arctic, database, mongodb, pandas, python, tickstore, timeseries, timeseries-database
Language: Python
Homepage: https://arctic.readthedocs.io/en/latest/
Size: 2.21 MB
Stars: 3,053
Watchers: 172
Forks: 584
Open Issues: 96
Metadata Files:
- Readme: README-arctic.md
- Changelog: CHANGES.md
- Contributing: docs/contributing.md
- License: LICENSE

Awesome Lists containing this project

awesome-systematic-trading - Arctic (Man Group) - commit/man-group/arctic/master) | `Python` | - High performance datastore for time series and tick data (Databases / TimeSeries Analysis)
awesome-python-machine-learning-resources - GitHub - 14% open · ⏱️ 02.03.2022): (数据容器和结构)

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)