UtilsData: UtilsData Class

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

UtilsData Class

Description

Various help data.

Super class

findata::DataAbstract -> UtilsData

Methods

Public methods

• UtilsData$new()

• UtilsData$get_ticker_data()

• UtilsData$get_split_factor()

• UtilsData$adjust_fm_tiledb()

• UtilsData$sp500_history()

• UtilsData$get_market_data()

• UtilsData$adjust_market_data()

• UtilsData$get_map_files_tiledb()

• UtilsData$get_map_files_qc()

• UtilsData$get_factor_files_qc()

• UtilsData$adjust_fmp()

• UtilsData$sync()

• UtilsData$fundamnetals_agg()

• UtilsData$clone()

---

Method new()

Create a new UtilsData object.

Usage

UtilsData$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 'UtilsData' object.

---

Method get_ticker_data()

Get tick data from finam source using QuantTools.

Usage

UtilsData$get_ticker_data(symbol)

Arguments

symbol

Equity symbol

Returns

Get investing com ea data.

---

Method get_split_factor()

Get split data from the web and calculate split factors.

Usage

UtilsData$get_split_factor(ticker)

Arguments

ticker

Stock ticker

Returns

Stock splits

---

Method adjust_fm_tiledb()

Adjusted instraday data for splits and dividends

Usage

UtilsData$adjust_fm_tiledb(
  save_uri = "D:/equity-usa-minute-fmpcloud-adjusted",
  minute_uri = "D:/equity-usa-minute-fmpcloud"
)

Arguments

save_uri

TileDB uri for saving

minute_uri

TileDB uri with unadjusted minute data.

Returns

Adjusted data saved to AWS S3 bucket

---

Method sp500_history()

Get SP500 stocks for every date.

Usage

UtilsData$sp500_history(qc_spy_path)

Arguments

qc_spy_path

to spy constitues

Returns

Data table of Sp500 tickers

---

Method get_market_data()

Help function to import clean data from Azureblob.

Usage

UtilsData$get_market_data(symbols = c("aapl", "aal"), frequency = "hour")

Arguments

symbols

Symbols

frequency

Frequency can be hour and minute.

Returns

Data table with market prices

---

Method adjust_market_data()

adjust market data for splits and/or dividends

Usage

UtilsData$adjust_market_data(
  market_data,
  factor_files,
  type = c("all", "dividends", "splits"),
  cols_adjust = c("o", "h", "l", "c")
)

Arguments

market_data

Market data of OHLCV type.

factor_files

Factor files must contain columns: - symbol - date - price_factor - split_factor

type

Type of adjustment.

cols_adjust

Columns to adjust.

Returns

Data table with adjusted market prices.

---

Method get_map_files_tiledb()

Help function to get map files.

Usage

UtilsData$get_map_files_tiledb(
  save_uri = "s3://equity-usa-mapfiles",
  symbol_uri = "https://en.wikipedia.org/wiki/S%26P_100"
)

Arguments

save_uri

TileDB uri.

symbol_uri

TileDB uri for saved files

Returns

Maped files.

---

Method get_map_files_qc()

Get map files from Quantconnect map_files folder

Usage

UtilsData$get_map_files_qc(symbols, path_map_files)

Arguments

symbols

Symbols

path_map_files

Path to map_files directory

Returns

Data table with mapped symbols.

---

Method get_factor_files_qc()

Get factor files from Quantconnect factor_files folder

Usage

UtilsData$get_factor_files_qc(symbols, path_factor_files)

Arguments

symbols

Symbols

path_factor_files

Path to factor_files directory

Returns

Data table with factor files data for symbol.

---

Method adjust_fmp()

Adjust FMP market data

Usage

UtilsData$adjust_fmp(
  file_path,
  file_path_save,
  path_map_files,
  path_factor_files,
  trading_hours = TRUE,
  parallel = FALSE
)

Arguments

file_path

File path to parquet file that contains market data.

file_path_save

Path to which save the data.

path_map_files

Path to map files directory

path_factor_files

Path to factor files directory

trading_hours

Should we keep only trading hours in output DT.

parallel

should we use parallle package. If yes set plan.

Returns

Data table adjusted market data.

---

Method sync()

NAS sync

Usage

UtilsData$sync(local_dir, nas_dir, direction = "upload")

Arguments

local_dir

File path to parquet file that contains market data.

nas_dir

Path to which save the data.

direction

downlaod or upload.

Returns

Nothin to return

---

Method fundamnetals_agg()

Merged Fundamental data

Usage

UtilsData$fundamnetals_agg(
  balance_sheet,
  income_statement,
  cash_flow,
  financial_growth,
  financial_metrics,
  financial_ratios
)

Arguments

balance_sheet

file to balance sheet csv's.

income_statement

file to income statement csv's.

cash_flow

file to cash flow csv's.

financial_growth

file to financial growth csv's.

financial_metrics

file to financial metrics csv's.

financial_ratios

file to financial ratios csv's.

Returns

Nothin to return

---

Method clone()

The objects of this class are cloneable with this method.

Usage

UtilsData$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

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