Lean: Lean Class

In MislavSag/findata: Collect data fro trading and financial ML

Lean Class

Description

Help functions for transforming raw market data to Quantconnect data.

Super class

findata::DataAbstract -> Lean

Methods

Public methods

• Lean$new()

• Lean$equity_daily_from_fmpcloud()

• Lean$equity_hour_from_fmpcloud()

• Lean$equity_minute_from_fmpcloud()

• Lean$adjusted_qc_data()

• Lean$clone()

---

Method new()

Create a new Lean object.

Usage

Lean$new(azure_storage_endpoint = NULL, context_with_config = NULL)

Arguments

azure_storage_endpoint

Azure storate endpont

context_with_config

AWS S3 Tiledb config

Returns

A new 'Lean' object.

---

Method equity_daily_from_fmpcloud()

Convert FMP Cloud daily data to Quantconnect daily data.

Usage

Lean$equity_daily_from_fmpcloud(
  lean_data_path = "D:/lean/data/equity/usa/daily",
  uri = "D:/equity-usa-daily-fmp",
  fast = TRUE
)

Arguments

lean_data_path

Quantconnect data equity minute folder path.

uri

TileDB uri argument.

fast

If TRUE, all daily data is readed in RAM. You should have at least 32 GB RAM to use this option for all US.

Returns

No value returned.

---

Method equity_hour_from_fmpcloud()

Convert FMP Cloud hour data to Quantconnect hour data.

Usage

Lean$equity_hour_from_fmpcloud(
  save_path = "D:/lean_projects/data/equity/usa/hour"
)

Arguments

save_path

Quantconnect data equity hour folder path.

Returns

No valuie returned.

---

Method equity_minute_from_fmpcloud()

Convert FMP Cloud minute data to Quantconnect minute data.

Usage

Lean$equity_minute_from_fmpcloud(
  lean_data_path = "D:/lean_projects/data/equity/usa/minute",
  uri = "D:/equity-usa-minute-fmpcloud",
  uri_factor_files = "s3://equity-usa-factor-files"
)

Arguments

lean_data_path

Quantconnect data equity minute folder path.

uri

TileDB uri argument.

uri_factor_files

TileDB uri argument for factor files.

Returns

No value returned.

---

Method adjusted_qc_data()

Adjust bough QuantConnect. Use map_files and factor_files to adjust OHLCV data.

Usage

Lean$adjusted_qc_data(path_market_data, path_map_files, path_factor_files)

Arguments

path_market_data

Path to daily / hourly data.

path_map_files

Path to map files.

path_factor_files

Path to factor files.

Returns

Data table with adjusted QC data.

---

Method clone()

The objects of this class are cloneable with this method.

Usage

Lean$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

MislavSag/findata documentation built on June 2, 2025, 12:34 p.m.