Added new join command

MANIFEST.in

@@ -1,3 +1,5 @@
 recursive-include findatapy/ *.*
 include findatapy/conf/*
-recursive-include findatapy_examples/ *.*
+recursive-include findatapy_examples/ *.*
+
+global-exclude *.py[cod] __pycache__ *.so *.pdf ~$*

README.md

@@ -115,6 +115,7 @@ individual data providers)
 
 # Release Notes
 
+* 0.1.20 - findatapy (11 Feb 2021)
 * 0.1.19 - findatapy (22 Jan 2021)
 * 0.1.18 - findatapy (02 Oct 2020)
 * 0.1.17 - findatapy (01 Oct 2020)
@@ -126,6 +127,12 @@ individual data providers)
 
 # Coding log
 
+* 11 Feb 2021
+  * Fixed timezone issues in Seasonality
+  * Add extra Dukascopy error checking/retry functionality/parameters
+  * Added Parquet to MarketDataRequest
+  * Started to write Numba implementations for join and align
+  * Added fields for downloading eg. FX vol data
 * 22 Jan 2021
   * Fixed caching for tick
 * 14 Jan 2021

findatapy/conf/time_series_tickers_list.csv

@@ -129,6 +129,8 @@ fx,bloomberg,daily,USDSGD,BGN,"close,open,high,low",USDSGD BGN Curncy,Local clos
 fx,bloomberg,daily,USDCNY,BGN,"close,open,high,low",USDCNY BGN Curncy,Local close,,,
 fx,bloomberg,daily,USDCNH,BGN,"close,open,high,low",USDCNH BGN Curncy,Local close,,,
 fx,bloomberg,daily,XBTUSD,BGN,"close,open,high,low",XBTUSD BGN Curncy,Local close,,,
+fx,bloomberg,daily,XAUUSD,BGN,"close,open,high,low",XAUUSD BGN Curncy,Local close,,,
+fx,bloomberg,daily,XAGUSD,BGN,"close,open,high,low",XAGUSD BGN Curncy,Local close,,,
 fx,bloomberg,daily,XBTUSD,BSTP,"close,open,high,low",XBTUSD BSTP Curncy,Local close,,,
 fx,bloomberg,daily,XETUSD,BSTP,"close,open,high,low",XETUSD BSTP Curncy,Local close,,,
 fx,bloomberg,daily,XLCUSD,BSTP,"close,open,high,low",XLCUSD BSTP Curncy,Local close,,,
@@ -163,6 +165,8 @@ fx,bloomberg,daily,USDIDR,NYC,"close,open,high,low",USDIDR CMPN Curncy,5:00pm NY
 fx,bloomberg,daily,USDSGD,NYC,"close,open,high,low",USDSGD CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,daily,USDCNY,NYC,"close,open,high,low",USDCNY CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,daily,USDCNH,NYC,"close,open,high,low",USDCNH CMPN Curncy,5:00pm NYC,,,
+fx,bloomberg,daily,XAUUSD,NYC,"close,open,high,low",XAUUSD CMPN Curncy,5:00pm NYC,,,
+fx,bloomberg,daily,XAGUSD,NYC,"close,open,high,low",XAGUSD CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,daily,EURUSD,TOK,"close,open,high,low",EURUSD CMPT Curncy,8:00pm TOK,,,
 fx,bloomberg,daily,GBPUSD,TOK,"close,open,high,low",GBPUSD CMPT Curncy,8:00pm TOK,,,
 fx,bloomberg,daily,AUDUSD,TOK,"close,open,high,low",AUDUSD CMPT Curncy,8:00pm TOK,,,
@@ -192,6 +196,8 @@ fx,bloomberg,daily,USDIDR,TOK,"close,open,high,low",USDIDR CMPT Curncy,8:00pm TO
 fx,bloomberg,daily,USDSGD,TOK,"close,open,high,low",USDSGD CMPT Curncy,8:00pm TOK,,,
 fx,bloomberg,daily,USDCNY,TOK,"close,open,high,low",USDCNY CMPT Curncy,8:00pm TOK,,,
 fx,bloomberg,daily,USDCNH,TOK,"close,open,high,low",USDCNH CMPT Curncy,8:00pm TOK,,,
+fx,bloomberg,daily,XAUUSD,TOK,"close,open,high,low",XAUUSD CMPT Curncy,8:00pm TOK,,,
+fx,bloomberg,daily,XAGUSD,TOK,"close,open,high,low",XAGUSD CMPT Curncy,8:00pm TOK,,,
 fx,bloomberg,daily,EURUSD,LDN,"close,open,high,low",EURUSD CMPL Curncy,6:00pm LDN,,,
 fx,bloomberg,daily,GBPUSD,LDN,"close,open,high,low",GBPUSD CMPL Curncy,6:00pm LDN,,,
 fx,bloomberg,daily,AUDUSD,LDN,"close,open,high,low",AUDUSD CMPL Curncy,6:00pm LDN,,,
@@ -221,6 +227,8 @@ fx,bloomberg,daily,USDIDR,LDN,"close,open,high,low",USDIDR CMPL Curncy,6:00pm LD
 fx,bloomberg,daily,USDSGD,LDN,"close,open,high,low",USDSGD CMPL Curncy,6:00pm LDN,,,
 fx,bloomberg,daily,USDCNY,LDN,"close,open,high,low",USDCNY CMPL Curncy,6:00pm LDN,,,
 fx,bloomberg,daily,USDCNH,LDN,"close,open,high,low",USDCNH CMPL Curncy,6:00pm LDN,,,
+fx,bloomberg,daily,XAUUSD,LDN,"close,open,high,low",XAUUSD CMPT Curncy,6:00pm LDN,,,
+fx,bloomberg,daily,XAGUSD,LDN,"close,open,high,low",XAGUSD CMPT Curncy,6:00pm LDN,,,
 fx,bloomberg,daily,EURUSD,10AM,"close,open,high,low",EURUSD F100 Curncy,10:00am NYC,,,
 fx,bloomberg,daily,GBPUSD,10AM,"close,open,high,low",GBPUSD F100 Curncy,10:00am NYC,,,
 fx,bloomberg,daily,AUDUSD,10AM,"close,open,high,low",AUDUSD F100 Curncy,10:00am NYC,,,
@@ -250,6 +258,8 @@ fx,bloomberg,daily,USDIDR,10AM,"close,open,high,low",USDIDR F100 Curncy,10:00am
 fx,bloomberg,daily,USDSGD,10AM,"close,open,high,low",USDSGD F100 Curncy,10:00am NYC,,,
 fx,bloomberg,daily,USDCNY,10AM,"close,open,high,low",USDCNY F100 Curncy,10:00am NYC,,,
 fx,bloomberg,daily,USDCNH,10AM,"close,open,high,low",USDCNH F100 Curncy,10:00am NYC,,,
+fx,bloomberg,daily,XAUUSD,10AM,"close,open,high,low",XAUUSD F100 Curncy,10:00am NYC,,,
+fx,bloomberg,daily,XAGUSD,10AM,"close,open,high,low",XAGUSD F100 Curncy,10:00am NYC,,,
 fx-tot,bloomberg,daily,EURUSD,NYC,"close,open,high,low",EURUSDCR CMPN Curncy,5:00pm NYC,,,
 fx-tot,bloomberg,daily,GBPUSD,NYC,"close,open,high,low",GBPUSDCR CMPN Curncy,5:00pm NYC,,,
 fx-tot,bloomberg,daily,AUDUSD,NYC,"close,open,high,low",AUDUSDCR CMPN Curncy,5:00pm NYC,,,
@@ -328,6 +338,7 @@ fx,bloomberg,intraday,USDZAR,NYC,"close,open,high,low",USDZAR CMPN Curncy,5:00pm
 fx,bloomberg,intraday,USDRUB,NYC,"close,open,high,low",USDRUB CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,intraday,USDMXN,NYC,"close,open,high,low",USDMXN CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,intraday,USDSGD,NYC,"close,open,high,low",USDSGD CMPN Curncy,5:00pm NYC,,,
+fx,bloomberg,intraday,USDCNH,NYC,"close,open,high,low",USDCNH CMPN Curncy,5:00pm NYC,,,
 fx,bloomberg,intraday,XBTUSD,NYC,"close,open,high,low",XBTUSD BGN Curncy,5:00pm NYC,,,
 fx,bloomberg,intraday,XBTUSD,BSTP,"close,open,high,low",XBTUSD BSTP Curncy,Local close,,,
 fx,bloomberg,intraday,XETUSD,BSTP,"close,open,high,low",XETUSD BSTP Curncy,Local close,,,

findatapy/market/datavendorbbg.py

@@ -500,7 +500,7 @@ def event_loop(self, session):
         if data_frame_cols == [] and data_frame_list != []:  # intraday case
             data_frame = pandas.concat(data_frame_list)
         else:  # daily frequencies
-            data_frame = Calculations().pandas_outer_join(data_frame_list)
+            data_frame = Calculations().join(data_frame_list, how='outer')
 
         # make sure we do not have any duplicates in the time series
         if data_frame is not None: