Sample Datasets¶
In this module we provide very small samples of data to help users validate some functions.
The 3 small data sets are:
Tick data (2011/07/31 - 2011/07/31)
Dollar Bars Data Structure (2015/01/01 - 2015/01/29)
ETF Dataset (2008 - 2016)
Tick Data¶
MlFinLab provides a sample (2011/07/31 - 2011/07/31) of tick data for E-Mini S&P 500 futures which can be used to test bar compression algorithms, microstructural features, etc. Tick data sample consists of Timestamp, Price and Volume.
Dollar Bars¶
We also provide a sample (2015/01/01 - 2015/01/29) of dollar bars for E-Mini S&P 500 futures. Data set structure:
Open price (open)
High price (high)
Low price (low)
Close price (close)
Volume (cum_volume)
Dollar volume traded (cum_dollar)
Number of ticks inside of bar (cum_ticks)
Tip
You can find more information on dollar bars and other bar compression algorithms in Data Structures
ETF Prices¶
- The data set consists of close prices for:
EEM, EWG, TIP, EWJ, EFA, IEF, EWQ, EWU, XLB, XLE, XLF, LQD, XLK, XLU, EPP, FXI, VGK, VPL, SPY, TLT, BND, CSJ, DIA
From 2008 till 2016.
It can be used to test and validate portfolio optimization techniques.
