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ML4T Data
ML4T Data Documentation
Unified market data acquisition from 19+ providers
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Migrate compatibility names

Names preserved through the 0.x series

The package preserves two former QLDM names during the 0.x release series. Their use emits DeprecationWarning. They will not be removed before version 1.0.

Data root

Replace:

export QLDM_DATA_ROOT=/srv/market-data

with:

export ML4T_DATA_PATH=/srv/market-data

Base exception

Replace:

from ml4t.data.core.exceptions import QldmError

with:

from ml4t.data.core.exceptions import ML4TDataError

The former exception name resolves to the same class during the migration period. Code that treats deprecation warnings as errors should migrate before upgrading.

Changes for version 0.2

Version 0.2 removes three compatibility interfaces that emitted DeprecationWarning in the 0.1 series. Update callers and saved configuration before upgrading.

Massive provider name

Replace PolygonProvider imports and the polygon registry name with MassiveProvider and massive:

from ml4t.data.providers import MassiveProvider

provider = MassiveProvider()

The service account can still use POLYGON_API_KEY; new environments should set MASSIVE_API_KEY.

Negative-price validation

Replace check_negative_prices=True with negative_price_policy="forbid", and replace check_negative_prices=False with negative_price_policy="allow". Apply the same substitution in saved ValidationRuleConfig YAML.

Use negative_price_policy="warn" when negative prices should produce validation warnings without failing validation.

Synthetic GARCH configuration

Remove the garch_omega argument from SyntheticProvider. The provider derives the per-period constant from annual_volatility, the requested frequency, garch_alpha, and garch_beta so the configured unconditional variance is preserved.