Index

A

append() (marketflow.hdf5.H5Writer method)

ascii_bytes (marketflow.processing.Sanitizer attribute)

B

base_fname() (marketflow.ITCHbin.ITCHv5 method)

BytesSpec (class in marketflow.raw_taq)

C

check_present_fields() (marketflow.raw_taq.BytesSpec method) chunks() (marketflow.raw_taq.TAQ2Chunks method) conv_to_hdf5() (in module marketflow.hdf5)

convert_dict (marketflow.raw_taq.BytesSpec attribute) convert_dtype (marketflow.raw_taq.BytesSpec attribute)

D

day (marketflow.raw_taq.TAQ2Chunks attribute) DEFAULT_CHUNKSIZE (marketflow.raw_taq.TAQ2Chunks attribute) Downsample() (in module marketflow.processing) drop_dups() (marketflow.clean_dsenames.Permno_Map method) dse_rootsplit() (marketflow.clean_dsenames.Permno_Map method)

dse_subset() (marketflow.clean_dsenames.Permno_Map method) DSF_SIC_Map (class in marketflow.dsf_with_sic) dsf_startdate() (marketflow.dsf_with_sic.DSF_SIC_Map method) dsf_subset() (marketflow.dsf_with_sic.DSF_SIC_Map method)

F

fake_symbol_replace() (marketflow.processing.Sanitizer method) finalize_hdf5() (marketflow.hdf5.H5Writer method) first_line (marketflow.raw_taq.TAQ2Chunks attribute)

fudge_columns (marketflow.processing.Sanitizer attribute) fudge_up() (marketflow.processing.Sanitizer method)

G

get_permno() (marketflow.clean_dsenames.Permno_Map method)

H

H5Writer (class in marketflow.hdf5)

I

initial_dtype_info (marketflow.raw_taq.BytesSpec attribute)

ITCHv5 (class in marketflow.ITCHbin)

J

JoinedChunks() (in module marketflow.processing)

M

main() (in module marketflow.ITCHbin) marketflow (module) marketflow.clean_dsenames (module) marketflow.dsf_with_sic (module) marketflow.hdf5 (module)

marketflow.ITCHbin (module) marketflow.processing (module) marketflow.raw_taq (module) marketflow.utility (module) month (marketflow.raw_taq.TAQ2Chunks attribute)

N

numlines (marketflow.raw_taq.TAQ2Chunks attribute)

P

passthrough_strings (marketflow.raw_taq.BytesSpec attribute) Permno_Map (class in marketflow.clean_dsenames) print_records() (marketflow.ITCHbin.ITCHv5 method)

process() (marketflow.clean_dsenames.Permno_Map method) (marketflow.dsf_with_sic.DSF_SIC_Map method) process_chunk() (marketflow.raw_taq.TAQ2Chunks method) ProcessChunk (class in marketflow.processing)

R

rec_types (marketflow.ITCHbin.ITCHv5 attribute) records() (marketflow.ITCHbin.ITCHv5 method)

return_format() (marketflow.processing.SplitChunks method)

S

Sanitizer (class in marketflow.processing) set_table_type() (marketflow.hdf5.H5Writer method) sic_merge() (marketflow.dsf_with_sic.DSF_SIC_Map method)

SplitChunks (class in marketflow.processing) std_prefix (marketflow.ITCHbin.ITCHv5 attribute) symbol_map (marketflow.processing.Sanitizer attribute)

T

TAQ2Chunks (class in marketflow.raw_taq) taq2h5() (in module marketflow.hdf5) target_dtype (marketflow.raw_taq.BytesSpec attribute) tb_desc (marketflow.hdf5.H5Writer attribute)

timeit() (in module marketflow.utility) to_fixed_width() (marketflow.ITCHbin.ITCHv5 method) to_string() (marketflow.ITCHbin.ITCHv5 method)

Y

year (marketflow.raw_taq.TAQ2Chunks attribute)