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Feature Request: Online Data Loading #155
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Short answer is yes, it can be done relatively easy. Long answer is that it may create problems down the line, and limits the flexibility of the system. First you need to implement your data loading mechanism, like a query to your database table, in a subclass of For saving incremental results, you should subclass Now, the negatives. Some might be debatable, but are my opinion at least. You lose multiprocessing. You probably lose reproducibility unless you are very careful to make sure the tables you refer to aren't modified. It's harder to debug, since potentially faulty operations like DB queries are done down in the internals. |
Features requests are well-received but will probably be answered with a
suggestion that you develop them and contribute.
Specifications
Description
In cvxportfolio, for now it seems to require loading the pandas dataframe before the optimization and backtesting. This could be a issue to have huge universe with a large set of factors and require a huge memory usage for a exploration on a long history.
If there have already been base classes available to implement these features in cvx-portfolio, could you provide some suggestions? If not, can you add these features? Thank you so much.
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