Sample data and reorganisation / chunk of data

[femtotrader]

Hello,

We should have a sample data project
(it could be in a separate repository)

I think it will be better to have sample data close to something that can be use in backtesting production.

I think we should split data directory from datasource and into bars, ticks, orderbooks

I also think that we should use "round" date range for data (chunk of data)

A possible organization could be

data
    datasource1
        bars
            D
                2010
                    GOOG.csv
                    another_ticker (to define).csv
                2011
                    GOOG.csv
                    another_ticker (to define).csv
                2012
                    GOOG.csv
                    another_ticker (to define).csv
                2013
                    GOOG.csv
                    another_ticker (to define).csv
                2014
                    GOOG.csv
                    another_ticker (to define).csv
                2015
                    GOOG.csv
                    another_ticker (to define).csv
        ticks
            2015
                2015-02
                    2015-02-01
                        MSFT.csv
                        AMZN.csv
                        GOOG.csv

This kind of organization will urge us to work with chunk of data (especially if we want to deal with tick data)

Kind regards

PS : You might have a look at
mhallsmoore/qstrader#106

[alexandrebrilhante]

Why not leverage MarketData.jl and/or Quandl.jl?