Asset Price Dataset Formats

Overview


In general there are two types of data formats, the split and merged formats. For most applications, the merged format is preferred, however, data often comes in split format.

Split Format


In split format, the price for each asset on each period is recorded in a separate record. As an example, consider the following dataset.



The table written out as code would look like:


let prices = [
	{date:'2000-01-01', close:100, id:'IBM'},
	{date:'2000-01-02', close:101, id:'IBM'},
	{date:'2000-01-03', close:100, id:'IBM'},
	{date:'2000-01-01', close:145, id:'MSFT'},
	{date:'2000-01-02', close:144, id:'MSFT'},
  ];
					

Merged Format


In the merged format, the price for each asset is included on the same record for each date.




let prices = [
	{date:'2000-01-01', IBM:100, MSFT:145},
	{date:'2000-01-02', IBM:101, MSFT:144},
  ];
					


Converting Between Formats


The following demonstrate how to convert between the two formats.

  • Merging a Split Dataset
    • Basic Implementation
    • Merging Using the Group API
  • Splitting a Merged Dataset
    • Basic Implementation