Custom data sources
This page introduces the concept of custom data sources and explores the ways in which they can be defined and utilised on the SigTech platform. It shows you how to:
Construct your environment
Query available data sources
Set a data source
Compare data sources
Environment
During the configuration of your research environment, a range of parameters can be used to set and define its features and behaviour.
The following command lists the first ten environment configuration parameters:
Learn more: on configuration parameters, see Environment setup.
Custom data sources can be set by assigning values to the CUSTOM_DATA_SOURCE_CONFIG
parameter.
No custom data sources are set by default. This can be confirmed by running the following command:
View available sources
Whilst custom data sources can be specified for any type of tradable instrument, our example uses FX spot data to demonstrate this functionality.
The following command retrieves an FX pair:
To determine the default data source for this instrument:
To list the data sources available for an instrument, use data_source_all
. The results generated by this command will depend on your current data entitlements. To access additional data, please contact our sales team at sales@sigtech.com.
Change source
Before resetting the data source it is necessary to de-initialize and re-initialize the environment:
The following code block selects objects whose internal id is of the form '[A-Z]{6} CURNCY'
and changes their data source to 'REFINITIV'
:
To confirm this change, retrieve the FX pair and querying its data source:
To display the group to which the object belongs, use the following command:
To tabulate the first five available data points within the instrument’s history, use both the history()
and head()
functions:
We can also compare currencies available from different data sources:
To view currencies available from Refinitiv but unavailable from ICE:
Confirm that AUDJPY is unavailable from ICE by querying the data sources associated with the currency pair:
Reverting to ICE renders this pair unavailable:
Absent a set source, all available sources for an instance are cycled through. Production of a history series will depend on entitlements:
In this case, ICE_SUPER
_
DERIVATIVES
is our data source:
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