zipline_polygon_bundle 0.1.7__py3-none-any.whl → 0.1.8__py3-none-any.whl

zipline_polygon_bundle/trades.py

@@ -0,0 +1,707 @@
+from .config import PolygonConfig
+
+from typing import Iterator, Tuple
+
+import pyarrow as pa
+from pyarrow import dataset as pa_ds
+from pyarrow import compute as pa_compute
+from pyarrow import compute as pc
+from pyarrow import parquet as pa_parquet
+from pyarrow import csv as pa_csv
+from pyarrow import fs as pa_fs
+
+from fsspec.implementations.arrow import ArrowFSWrapper
+
+import datetime
+import pandas_market_calendars
+import numpy as np
+import pandas as pd
+
+import pandas_ta as ta
+
+# from concurrent.futures import ThreadPoolExecutor
+# from concurrent.futures import ProcessPoolExecutor
+
+
+def trades_schema(raw: bool = False) -> pa.Schema:
+    # There is some problem reading the timestamps as timestamps so we have to read as integer then change the schema.
+    # Polygon Aggregate flatfile timestamps are in nanoseconds (like trades), not milliseconds as the docs say.
+    # I make the timestamp timezone-aware because that's how Unix timestamps work and it may help avoid mistakes.
+    # timestamp_type = pa.timestamp("ns", tz="UTC")
+    timestamp_type = pa.int64() if raw else pa.timestamp("ns", tz="UTC")
+
+    # Polygon price scale is 4 decimal places (i.e. hundredths of a penny), but we'll use 10 because we have precision to spare.
+    # price_type = pa.decimal128(precision=38, scale=10)
+    # 64bit float a little overkill but avoids any plausible truncation error.
+    price_type = pa.float64()
+
+    return pa.schema(
+            [
+                pa.field("ticker", pa.string(), nullable=False),
+                pa.field("conditions", pa.string(), nullable=False),
+                pa.field("correction", pa.string(), nullable=False),
+                pa.field("exchange", pa.int8(), nullable=False),
+                pa.field("id", pa.string(), nullable=False),
+                pa.field("participant_timestamp", timestamp_type, nullable=False),
+                pa.field("price", price_type, nullable=False),
+                pa.field("sequence_number", pa.int64(), nullable=False),
+                pa.field("sip_timestamp", timestamp_type, nullable=False),
+                pa.field("size", pa.int64(), nullable=False),
+                pa.field("tape", pa.int8(), nullable=False),
+                pa.field("trf_id", pa.int64(), nullable=False),
+                pa.field("trf_timestamp", timestamp_type, nullable=False),
+            ]
+        )
+
+
+def trades_dataset(config: PolygonConfig) -> pa_ds.Dataset:
+    """
+    Create a pyarrow dataset from the trades files.
+    """
+
+    # https://arrow.apache.org/docs/python/filesystems.html#using-arrow-filesystems-with-fsspec
+    # https://filesystem-spec.readthedocs.io/en/latest/_modules/fsspec/spec.html#AbstractFileSystem.glob.
+    fsspec = ArrowFSWrapper(config.filesystem)
+
+    # We sort by path because they have the year and month in the dir names and the date in the filename.
+    paths = sorted(
+        fsspec.glob(os.path.join(config.trades_dir, config.csv_paths_pattern))
+    )
+
+    return pa_ds.FileSystemDataset.from_paths(paths,
+                                              format=pa_ds.CsvFileFormat(),
+                                              schema=trades_schema(raw=True),
+                                              filesystem=config.filesystem)
+
+
+def cast_strings_to_list(string_array, separator=",", default="0", value_type=pa.uint8()):
+    """Cast a PyArrow StringArray of comma-separated numbers to a ListArray of values."""
+
+    # Create a mask to identify empty strings
+    is_empty = pa_compute.equal(pa_compute.utf8_trim_whitespace(string_array), "")
+
+    # Use replace_with_mask to replace empty strings with the default ("0")
+    filled_column = pa_compute.replace_with_mask(string_array, is_empty, pa.scalar(default))
+
+    # Split the strings by comma
+    split_array = pa_compute.split_pattern(filled_column, pattern=separator)
+
+    # Cast each element in the resulting lists to integers
+    int_list_array = pa_compute.cast(split_array, pa.list_(value_type))
+
+    return int_list_array
+
+
+def cast_trades(trades):
+    trades = trades.cast(trades_schema())
+    condition_values = cast_strings_to_list(trades.column("conditions").combine_chunks())
+    return trades.append_column('condition_values', condition_values)
+
+
+def date_to_path(date, ext=".csv.gz"):
+    # return f"{date.year}/{date.month:02}/{date.isoformat()}{ext}"
+    return date.strftime("%Y/%m/%Y-%m-%d") + ext
+
+
+def convert_to_custom_aggs_file(config: PolygonConfig,
+                                overwrite: bool,
+                                timestamp: pd.Timestamp,
+                                start_session: pd.Timestamp,
+                                end_session: pd.Timestamp):
+    date = timestamp.to_pydatetime().date()
+    aggs_date_path = date_to_path(date, ext=".parquet")
+    aggs_path = f"{config.custom_aggs_dir}/{aggs_date_path}"
+    # aggs_by_ticker_path = f"{config.custom_aggs_by_ticker_dir}/{aggs_date_path}"
+    fsspec = ArrowFSWrapper(config.filesystem)
+    if fsspec.exists(aggs_path) or fsspec.exists(aggs_by_ticker_path):
+        if overwrite:
+            if fsspec.exists(aggs_path):
+                config.filesystem.delete_file(aggs_path)
+            if fsspec.exists(aggs_by_ticker_path):
+                config.filesystem.delete_file(aggs_by_ticker_path)
+        else:
+            if fsspec.exists(aggs_path):
+                print(f"SKIPPING: {date=} File exists {aggs_path=}")
+            if fsspec.exists(aggs_by_ticker_path):
+                print(f"SKIPPING: {date=} File exists {aggs_by_ticker_path=}")
+            return
+    fsspec.mkdir(fsspec._parent(aggs_path))
+    fsspec.mkdir(fsspec._parent(aggs_by_ticker_path))
+    trades_path = f"{config.trades_dir}/{date_to_path(date)}"
+    if not fsspec.exists(trades_path):
+        print(f"ERROR: Trades file missing.  Skipping {date=}.  {trades_path=}")
+        return
+    print(f"{trades_path=}")
+    format = pa_ds.CsvFileFormat()
+    trades_ds = pa_ds.FileSystemDataset.from_paths([trades_path], format=format, schema=trades_schema(raw=True), filesystem=config.filesystem)
+    fragments = trades_ds.get_fragments()
+    fragment = next(fragments)
+    try:
+        next(fragments)
+        print("ERROR: More than one fragment for {path=}")
+    except StopIteration:
+        pass
+    trades = fragment.to_table(schema=trades_ds.schema)
+    trades = trades.cast(trades_schema())
+    min_timestamp = pa.compute.min(trades.column('sip_timestamp')).as_py()
+    max_timestamp = pa.compute.max(trades.column('sip_timestamp')).as_py()
+    if min_timestamp < start_session:
+        print(f"ERROR: {min_timestamp=} < {start_session=}")
+    if max_timestamp >= end_session:
+        print(f"ERROR: {max_timestamp=} >= {end_session=}")
+    trades_df = trades.to_pandas()
+    trades_df["window_start"] = trades_df["sip_timestamp"].dt.floor(aggregate_timedelta)
+    aggs_df = trades_df.groupby(["ticker", "window_start"]).agg(
+        open=('price', 'first'),
+        high=('price', 'max'),
+        low=('price', 'min'),
+        close=('price', 'last'),
+        volume=('size', 'sum'),
+    )
+    aggs_df['transactions'] = trades_df.groupby(["ticker", "window_start"]).size()
+    aggs_df.reset_index(inplace=True)
+    aggs_table = pa.Table.from_pandas(aggs_df).select(['ticker', 'volume', 'open', 'close', 'high', 'low', 'window_start', 'transactions'])
+    aggs_table = aggs_table.sort_by([('ticker', 'ascending'), ('window_start', 'ascending')])
+    print(f"{aggs_by_ticker_path=}")
+    pa_parquet.write_table(table=aggs_table,
+                           where=aggs_by_ticker_path, filesystem=to_config.filesystem) 
+    aggs_table = aggs_table.sort_by([('window_start', 'ascending'), ('ticker', 'ascending')])
+    print(f"{aggs_path=}")
+    pa_parquet.write_table(table=aggs_table,
+                           where=aggs_path, filesystem=to_config.filesystem)
+
+
+# def convert_to_custom_aggs(config: PolygonConfig,
+#                             overwrite: bool,
+#                             timestamp: pd.Timestamp,
+#                             start_session: pd.Timestamp,
+#                             end_session: pd.Timestamp):
+#     date = timestamp.to_pydatetime().date()
+#     aggs_date_path = date_to_path(date, ext=".parquet")
+#     aggs_path = f"{config.custom_aggs_dir}/{aggs_date_path}"
+#     # aggs_by_ticker_path = f"{config.custom_aggs_by_ticker_dir}/{aggs_date_path}"
+#     fsspec = ArrowFSWrapper(config.filesystem)
+#     if fsspec.exists(aggs_path) or fsspec.exists(aggs_by_ticker_path):
+#         if overwrite:
+#             if fsspec.exists(aggs_path):
+#                 config.filesystem.delete_file(aggs_path)
+#             if fsspec.exists(aggs_by_ticker_path):
+#                 config.filesystem.delete_file(aggs_by_ticker_path)
+#         else:
+#             if fsspec.exists(aggs_path):
+#                 print(f"SKIPPING: {date=} File exists {aggs_path=}")
+#             if fsspec.exists(aggs_by_ticker_path):
+#                 print(f"SKIPPING: {date=} File exists {aggs_by_ticker_path=}")
+#             return
+#     fsspec.mkdir(fsspec._parent(aggs_path))
+#     fsspec.mkdir(fsspec._parent(aggs_by_ticker_path))
+#     trades_path = f"{config.trades_dir}/{date_to_path(date)}"
+#     if not fsspec.exists(trades_path):
+#         print(f"ERROR: Trades file missing.  Skipping {date=}.  {trades_path=}")
+#         return
+#     print(f"{trades_path=}")
+#     format = pa_ds.CsvFileFormat()
+#     trades_ds = pa_ds.FileSystemDataset.from_paths([trades_path], format=format, schema=trades_schema(raw=True), filesystem=config.filesystem)
+#     fragments = trades_ds.get_fragments()
+#     fragment = next(fragments)
+#     try:
+#         next(fragments)
+#         print("ERROR: More than one fragment for {path=}")
+#     except StopIteration:
+#         pass
+#     trades = fragment.to_table(schema=trades_ds.schema)
+#     trades = trades.cast(trades_schema())
+#     min_timestamp = pa.compute.min(trades.column('sip_timestamp')).as_py()
+#     max_timestamp = pa.compute.max(trades.column('sip_timestamp')).as_py()
+#     if min_timestamp < start_session:
+#         print(f"ERROR: {min_timestamp=} < {start_session=}")
+#     if max_timestamp >= end_session:
+#         print(f"ERROR: {max_timestamp=} >= {end_session=}")
+#     trades_df = trades.to_pandas()
+#     trades_df["window_start"] = trades_df["sip_timestamp"].dt.floor(aggregate_timedelta)
+#     aggs_df = trades_df.groupby(["ticker", "window_start"]).agg(
+#         open=('price', 'first'),
+#         high=('price', 'max'),
+#         low=('price', 'min'),
+#         close=('price', 'last'),
+#         volume=('size', 'sum'),
+#     )
+#     aggs_df['transactions'] = trades_df.groupby(["ticker", "window_start"]).size()
+#     aggs_df.reset_index(inplace=True)
+#     aggs_table = pa.Table.from_pandas(aggs_df).select(['ticker', 'volume', 'open', 'close', 'high', 'low', 'window_start', 'transactions'])
+#     aggs_table = aggs_table.sort_by([('ticker', 'ascending'), ('window_start', 'ascending')])
+#     print(f"{aggs_by_ticker_path=}")
+#     pa_parquet.write_table(table=aggs_table,
+#                            where=aggs_by_ticker_path, filesystem=to_config.filesystem) 
+#     aggs_table = aggs_table.sort_by([('window_start', 'ascending'), ('ticker', 'ascending')])
+#     print(f"{aggs_path=}")
+#     pa_parquet.write_table(table=aggs_table,
+#                            where=aggs_path, filesystem=to_config.filesystem) 
+#     pa_ds.write_dataset(
+#         generate_batches_from_tables(tables),
+#         schema=schema,
+#         base_dir=by_ticker_aggs_arrow_dir,
+#         partitioning=partitioning,
+#         format="parquet",
+#         existing_data_behavior="overwrite_or_ignore",
+#     )
+
+
+# def generate_csv_trades_tables(
+#     config: PolygonConfig,
+# ) -> Tuple[datetime.date, Iterator[pa.Table]]:
+#     """Generator for trades tables from flatfile CSVs."""
+#     # Use pandas_market_calendars so we can get extended hours.
+#     # NYSE and NASDAQ have extended hours but XNYS does not.
+#     calendar = pandas_market_calendars.get_calendar(config.calendar_name)
+#     schedule = calendar.schedule(start_date=config.start_timestamp, end_date=config.end_timestamp, start="pre", end="post")
+#     for timestamp, session in schedule.iterrows():
+#         date = timestamp.to_pydatetime().date()
+#         trades_csv_path = f"{config.trades_dir}/{date_to_path(date)}"
+#         format = pa_ds.CsvFileFormat()
+#         trades_ds = pa_ds.FileSystemDataset.from_paths([trades_csv_path], format=format, schema=trades_schema(raw=True), filesystem=config.filesystem)
+#         fragments = trades_ds.get_fragments()
+#         fragment = next(fragments)
+#         try:
+#             next(fragments)
+#             print("ERROR: More than one fragment for {path=}")
+#         except StopIteration:
+#             pass
+#         trades = fragment.to_table(schema=trades_ds.schema)
+#         trades = trades.cast(trades_schema())
+#         min_timestamp = pa.compute.min(trades.column('sip_timestamp')).as_py()
+#         max_timestamp = pa.compute.max(trades.column('sip_timestamp')).as_py()
+#         start_session = session['pre']
+#         end_session = session['post']
+#         # print(f"{start_session=} {end_session=}")
+#         # print(f"{min_timestamp=} {max_timestamp=}")
+#         if min_timestamp < start_session:
+#             print(f"ERROR: {min_timestamp=} < {start_session=}")
+#         # The end_session is supposed to be a limit but there are many with trades at that second.
+#         if max_timestamp >= (end_session + pd.Timedelta(seconds=1)):
+#             # print(f"ERROR: {max_timestamp=} >= {end_session=}")
+#             print(f"ERROR: {max_timestamp=} > {end_session+pd.Timedelta(seconds=1)=}")
+#         yield date, trades
+#         del fragment
+#         del fragments
+#         del trades_ds
+
+
+def custom_aggs_schema(raw: bool = False) -> pa.Schema:
+    timestamp_type = pa.int64() if raw else pa.timestamp("ns", tz="UTC")
+    price_type = pa.float64()
+    return pa.schema(
+            [
+                pa.field("ticker", pa.string(), nullable=False),
+                pa.field("volume", pa.int64(), nullable=False),
+                pa.field("open", price_type, nullable=False),
+                pa.field("close", price_type, nullable=False),
+                pa.field("high", price_type, nullable=False),
+                pa.field("low", price_type, nullable=False),
+                pa.field("window_start", timestamp_type, nullable=False),
+                pa.field("transactions", pa.int64(), nullable=False),
+                pa.field("date", pa.date32(), nullable=False),
+                pa.field("year", pa.uint16(), nullable=False),
+                pa.field("month", pa.uint8(), nullable=False),
+            ]
+        )
+
+
+def custom_aggs_partitioning() -> pa.Schema:
+    return pa_ds.partitioning(
+        pa.schema([('year', pa.uint16()), ('month', pa.uint8()), ('date', pa.date32())]), flavor="hive"
+    )
+
+
+def get_custom_aggs_dates(config: PolygonConfig) -> set[datetime.date]:
+    file_info = config.filesystem.get_file_info(config.custom_aggs_dir)
+    if file_info.type == pa_fs.FileType.NotFound:
+        return set()
+    aggs_ds = pa_ds.dataset(config.custom_aggs_dir,
+                            format="parquet",
+                            schema=custom_aggs_schema(),
+                            partitioning=custom_aggs_partitioning())
+    return set([pa_ds.get_partition_keys(fragment.partition_expression).get("date") for fragment in aggs_ds.get_fragments()])
+
+
+def generate_csv_trades_tables(
+    config: PolygonConfig, overwrite: bool = False
+) -> Tuple[datetime.date, Iterator[pa.Table]]:
+    """Generator for trades tables from flatfile CSVs."""
+    custom_aggs_dates = set()
+    if not overwrite:
+        custom_aggs_dates = get_custom_aggs_dates(config)
+    # Use pandas_market_calendars so we can get extended hours.
+    # NYSE and NASDAQ have extended hours but XNYS does not.
+    calendar = pandas_market_calendars.get_calendar(config.calendar_name)
+    schedule = calendar.schedule(start_date=config.start_timestamp, end_date=config.end_timestamp, start="pre", end="post")
+    for timestamp, session in schedule.iterrows():
+        date = timestamp.to_pydatetime().date()
+        if date in custom_aggs_dates:
+            continue
+        trades_csv_path = f"{config.trades_dir}/{date_to_path(date)}"
+        convert_options = pa_csv.ConvertOptions(column_types=trades_schema(raw=True))
+        trades = pa_csv.read_csv(trades_csv_path, convert_options=convert_options)
+        trades = trades.cast(trades_schema())
+        # min_timestamp = pa.compute.min(trades.column('sip_timestamp')).as_py()
+        # max_timestamp = pa.compute.max(trades.column('sip_timestamp')).as_py()
+        # start_session = session['pre']
+        # end_session = session['post']
+        # # print(f"{start_session=} {end_session=}")
+        # # print(f"{min_timestamp=} {max_timestamp=}")
+        # if min_timestamp < start_session:
+        #     print(f"ERROR: {min_timestamp=} < {start_session=}")
+        # # The end_session is supposed to be a limit but there are many with trades at that second.
+        # if max_timestamp >= (end_session + pd.Timedelta(seconds=1)):
+        #     # print(f"ERROR: {max_timestamp=} >= {end_session=}")
+        #     print(f"ERROR: {max_timestamp=} > {end_session+pd.Timedelta(seconds=1)=}")
+        yield date, trades
+        del trades
+
+
+def trades_to_custom_aggs(config: PolygonConfig, date: datetime.date, table: pa.Table, include_trf: bool = False) -> pa.Table:
+    print(f"{datetime.datetime.now()=} {date=} {pa.default_memory_pool()=}")
+    # print(f"{resource.getrusage(resource.RUSAGE_SELF).ru_maxrss=}")
+    table = table.filter(pa_compute.greater(table["size"], 0))
+    table = table.filter(pa_compute.equal(table["correction"], "0"))
+    if not include_trf:
+        table = table.filter(pa_compute.not_equal(table["exchange"], 4))
+    table = table.append_column("price_total", pa_compute.multiply(table["price"], table["size"]))
+    table = table.append_column("window_start", 
+                                pa_compute.floor_temporal(table["sip_timestamp"],
+                                                          multiple=config.agg_timedelta.seconds, unit="second"))
+    # TODO: Calculate VWAP.
+    table = table.group_by(["ticker", "window_start"], use_threads=False).aggregate([
+        ('price', 'first'),
+        ('price', 'max'),
+        ('price', 'min'),
+        ('price', 'last'),
+        ('price_total', 'sum'),
+        ('size', 'sum'),
+        ([], "count_all")
+    ])
+    table = table.rename_columns({
+        'price_first': 'open',
+        'price_max': 'high',
+        'price_min': 'low',
+        'price_last': 'close',
+        'size_sum': 'volume',
+        'price_total_sum': 'total',
+        'count_all': 'transactions'})
+    table = table.append_column("vwap", pa_compute.divide(table['total'], table['volume']))
+    # table.append_column('date', pa.array([date] * len(table), type=pa.date32()))
+    # table.append_column('year', pa.array([date.year] * len(table), type=pa.uint16()))
+    # table.append_column('month', pa.array([date.month] * len(table), type=pa.uint8()))
+    table = table.append_column('date', pa.array(np.full(len(table), date)))
+    table = table.append_column('year', pa.array(np.full(len(table), date.year), type=pa.uint16()))
+    table = table.append_column('month', pa.array(np.full(len(table), date.month), type=pa.uint8()))
+    table = table.sort_by([('window_start', 'ascending'), ('ticker', 'ascending')])
+    return table
+
+
+def generate_custom_agg_batches_from_tables(config: PolygonConfig) -> pa.RecordBatch:
+    for date, trades_table in generate_csv_trades_tables(config):
+        for batch in trades_to_custom_aggs(config, date, trades_table).to_batches():
+            yield batch
+        del trades_table
+
+
+def generate_custom_agg_tables(config: PolygonConfig) -> pa.Table:
+    for date, trades_table in generate_csv_trades_tables(config):
+        yield trades_to_custom_aggs(config, date, trades_table)
+
+
+def configure_write_custom_aggs_to_dataset(config: PolygonConfig):
+    def write_custom_aggs_to_dataset(args: Tuple[datetime.date, pa.Table]):
+        date, table = args
+        pa_ds.write_dataset(
+            trades_to_custom_aggs(config, date, table),
+            filesystem=config.filesystem,
+            base_dir=config.custom_aggs_dir,
+            partitioning=custom_aggs_partitioning(),
+            format="parquet",
+            existing_data_behavior="overwrite_or_ignore",
+        )
+    return write_custom_aggs_to_dataset
+
+
+def file_visitor(written_file):
+    print(f"{written_file.path=}")
+
+
+def convert_all_to_custom_aggs(
+    config: PolygonConfig, overwrite: bool = False
+) -> str:
+    if overwrite:
+        print("WARNING: overwrite not implemented/ignored.")
+
+    # MAX_FILES_OPEN = 8
+    # MIN_ROWS_PER_GROUP = 100_000
+
+    print(f"{config.custom_aggs_dir=}")
+
+    # pa.set_memory_pool()
+
+    # pa_ds.write_dataset(
+    #     generate_custom_agg_batches_from_tables(config),
+    #     schema=custom_aggs_schema(),
+    #     filesystem=config.filesystem,
+    #     base_dir=config.custom_aggs_dir,
+    #     partitioning=custom_aggs_partitioning(),
+    #     format="parquet",
+    #     existing_data_behavior="overwrite_or_ignore",
+    #     max_open_files = MAX_FILES_OPEN,
+    #     min_rows_per_group = MIN_ROWS_PER_GROUP,
+    # )
+
+    for date, trades_table in generate_csv_trades_tables(config):
+        aggs_table = trades_to_custom_aggs(config, date, trades_table)
+        pa_ds.write_dataset(
+            aggs_table,
+            # schema=custom_aggs_schema(),
+            filesystem=config.filesystem,
+            base_dir=config.custom_aggs_dir,
+            partitioning=custom_aggs_partitioning(),
+            format="parquet",
+            existing_data_behavior="overwrite_or_ignore",
+            file_visitor=file_visitor,
+            # max_open_files=MAX_FILES_OPEN,
+            # min_rows_per_group=MIN_ROWS_PER_GROUP,
+        )
+        del aggs_table
+        del trades_table
+
+    # with ProcessPoolExecutor(max_workers=1) as executor:
+    #     executor.map(
+    #         configure_write_custom_aggs_to_dataset(config),
+    #         generate_csv_trades_tables(config),
+    #     )
+
+    print(f"Generated aggregates to {config.custom_aggs_dir=}")
+    return config.custom_aggs_dir
+
+
+# https://github.com/twopirllc/pandas-ta/issues/731#issuecomment-1766786952
+
+# def calculate_mfi(high, low, close, volume, period):
+#     typical_price = (high + low + close) / 3
+#     money_flow = typical_price * volume
+#     mf_sign = np.where(typical_price > np.roll(typical_price, shift=1), 1, -1)
+#     signed_mf = money_flow * mf_sign
+
+#     # Calculate gain and loss using vectorized operations
+#     positive_mf = np.maximum(signed_mf, 0)
+#     negative_mf = np.maximum(-signed_mf, 0)
+
+#     mf_avg_gain = np.convolve(positive_mf, np.ones(period), mode='full')[:len(positive_mf)] / period
+#     mf_avg_loss = np.convolve(negative_mf, np.ones(period), mode='full')[:len(negative_mf)] / period
+
+#     epsilon = 1e-10  # Small epsilon value to avoid division by zero
+#     mfi = 100 - 100 / (1 + mf_avg_gain / (mf_avg_loss + epsilon))
+#     return mfi
+
+def calculate_mfi(typical_price: pd.Series, money_flow: pd.Series, period: int):
+    mf_sign = np.where(typical_price > np.roll(typical_price, shift=1), 1, -1)
+    signed_mf = money_flow * mf_sign
+
+    # Calculate gain and loss using vectorized operations
+    positive_mf = np.maximum(signed_mf, 0)
+    negative_mf = np.maximum(-signed_mf, 0)
+
+    mf_avg_gain = np.convolve(positive_mf, np.ones(period), mode='full')[:len(positive_mf)] / period
+    mf_avg_loss = np.convolve(negative_mf, np.ones(period), mode='full')[:len(negative_mf)] / period
+
+    epsilon = 1e-10  # Small epsilon value to avoid division by zero
+    mfi = 100 - (100 / (1 + mf_avg_gain / (mf_avg_loss + epsilon)))
+    return mfi
+
+
+# https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/momentum/stoch.py
+# https://github.com/twopirllc/pandas-ta/blob/development/pandas_ta/momentum/stoch.py
+# `k` vs `fast_k` arg names.
+# https://github.com/twopirllc/pandas-ta/issues/726
+# Results affected by values outside range
+# https://github.com/twopirllc/pandas-ta/issues/535
+
+def calculate_stoch(high: pd.Series, low: pd.Series, close: pd.Series, k: int = 14, d: int = 3, smooth_k: int = 3, mamode:str = "sma"):
+    """Indicator: Stochastic Oscillator (STOCH)"""
+    lowest_low = low.rolling(k).min()
+    highest_high = high.rolling(k).max()
+
+    stoch = 100 * (close - lowest_low)
+    stoch /= ta.utils.non_zero_range(highest_high, lowest_low)
+
+    stoch_k = ta.overlap.ma(mamode, stoch.loc[stoch.first_valid_index():,], length=smooth_k)
+    stoch_d = ta.overlap.ma(mamode, stoch_k.loc[stoch_k.first_valid_index():,], length=d) if stoch_k is not None else None
+    # Histogram
+    stoch_h = stoch_k - stoch_d if stoch_d is not None else None
+
+    return stoch_k, stoch_d, stoch_h
+
+
+def compute_per_ticker_signals(df: pd.DataFrame, period: int = 14) -> pd.DataFrame:
+    df = df.set_index('window_start').sort_index()
+    session_index = pd.date_range(start=df.index[0],
+                                  end=df.index[-1],
+                                  freq=pd.Timedelta(seconds=60))
+    df = df.reindex(session_index)
+    df.index.rename('window_start', inplace=True)
+
+    # df["minute_of_day"] = (df.index.hour * 60) + df.index.minute
+    # df["day_of_week"] = df.index.day_of_week
+
+    df.transactions = df.transactions.fillna(0)
+    df.volume = df.volume.fillna(0)
+    df.total = df.total.fillna(0)
+    df.close = df.close.ffill()
+    close = df.close
+    df.vwap = df.vwap.fillna(close)
+    df.high = df.high.fillna(close)
+    df.low = df.low.fillna(close)
+    df.open = df.open.fillna(close)
+    price_open = df.open
+    high = df.high
+    low = df.low
+    vwap = df.vwap
+    # volume = df.volume
+    total = df.total
+    next_close = close.shift()
+
+    # TODO: Odometer rollover signal.  Relative difference to nearest power of 10.
+    # Something about log10 being a whole number?  When is $50 the rollover vs $100 or $10?
+
+    # "True (Typical?) Price" which I think is an approximation of VWAP.
+    # Trouble with both is that if there are no trades in a bar we get NaN.
+    # That then means we get NaN for averages for the next period-1 bars too.
+    # Question is whether to ffill the price for these calculations.
+    df["TP"] = (high + low + close) / 3
+
+    # Gain/loss in this bar.
+    df["ret1bar"] = close.div(price_open).sub(1)
+
+    for t in range(2, period):
+        df[f'ret{t}bar'] = close.div(price_open.shift(t-1)).sub(1)
+
+    # Average True Range (ATR)
+    true_range = pd.concat([high.sub(low),
+                            high.sub(next_close).abs(),
+                            low.sub(next_close).abs()], axis=1).max(1)
+    # Normalized ATR (NATR) or Average of Normalized TR.
+    # Choice of NATR operations ordering discussion: https://www.macroption.com/normalized-atr/
+    # He doesn't talk about VWAP but I think that is a better normalizing price for a bar.
+    # atr = true_range.ewm(span=period).mean()
+    # df["natr_c"] = atr / close
+    # df["antr_c"] = (true_range / close).ewm(span=period).mean()
+    # df["natr_v"] = atr / vwap
+    # df["antr_v"] = (true_range / vwap).ewm(span=period).mean()
+    df["NATR"] = (true_range / vwap).ewm(span=period).mean()
+
+    # True Price as HLC average VS VWAP.
+    # VWAP is better I think but is quite different than standard CCI.
+    # Three ways to compute CCI, all give the same value using TP.
+    # tp = (high + low + close) / 3
+    # df['SMA'] = ta.sma(tp, length=period)
+    # df['sma_r'] = tp.rolling(period).mean()
+    # df['MAD'] = ta.mad(tp, length=period)
+    # # Series.mad deprecated. mad = (s - s.mean()).abs().mean()
+    # df['mad_r'] = tp.rolling(period).apply(lambda x: (pd.Series(x) - pd.Series(x).mean()).abs().mean())
+
+    # df['cci_r'] = (tp - df['sma_r']) / (0.015 * df['mad_r'])
+    # df['CCI'] = (tp - df['SMA']) / (0.015 * df['MAD'])
+    # df['cci_ta'] = ta.cci(high=high, low=low, close=close, length=period)
+
+    df['taCCI'] = ta.cci(high=high, low=low, close=close, length=period)
+
+    # https://gist.github.com/quantra-go-algo/1b37bfb74d69148f0dfbdb5a2c7bdb25
+    # https://medium.com/@huzaifazahoor654/how-to-calculate-cci-in-python-a-step-by-step-guide-9a3f61698be6
+    sma = pd.Series(ta.sma(vwap, length=period))
+    mad = pd.Series(ta.mad(vwap, length=period))
+    df['CCI'] = (vwap - sma) / (0.015 * mad)
+
+    # df['MFI'] = calculate_mfi(high=high, low=low, close=close, volume=volume, period=period)
+    df['MFI'] = calculate_mfi(typical_price=vwap, money_flow=total, period=period)
+
+    # We use Stochastic (rather than MACD because we need a ticker independent indicator.
+    # IOW a percentage price oscillator (PPO) rather than absolute price oscillator (APO).
+    # https://www.alpharithms.com/moving-average-convergence-divergence-macd-031217/
+    # We're using 14/3 currently rather than the usual 26/12 popular for MACD though.
+    stoch_k, stoch_d, stoch_h = calculate_stoch(high, low, close, k=period)
+    df["STOCHk"] = stoch_k
+    df["STOCHd"] = stoch_d
+    df["STOCHh"] = stoch_h
+
+    return df
+
+
+def iterate_all_aggs_tables(config: PolygonConfig, valid_tickers: pa.Array, start_session: str = "pre", end_session: str = "market_open"):
+    calendar = pandas_market_calendars.get_calendar(config.calendar_name)
+    schedule = calendar.schedule(start_date=config.start_date,
+                                 end_date=config.end_date,
+                                 start="pre",
+                                 end="post")
+    for date, sessions in schedule.iterrows():
+        # print(f"{date=} {sessions=}")
+        start_dt = sessions[start_session]
+        end_dt = sessions[end_session]
+        # print(f"{date=} {start_dt=} {end_dt=}")
+        aggs_ds = pa_ds.dataset(config.custom_aggs_dir,
+                                format="parquet",
+                                schema=custom_aggs_schema(),
+                                partitioning=custom_aggs_partitioning())
+        date_filter_expr = ((pc.field('year') == date.year)
+                            & (pc.field('month') == date.month)
+                            & (pc.field('date') == date.to_pydatetime().date()))
+        # print(f"{date_filter_expr=}")
+        for fragment in aggs_ds.get_fragments(filter=date_filter_expr):
+            session_filter = ((pc.field('window_start') >= start_dt)
+                              & (pc.field('window_start') < end_dt)
+                              & pc.is_in(pc.field('ticker'), valid_tickers)
+                             )
+            # Sorting table doesn't seem to avoid needing to sort the df.  Maybe use_threads=False on to_pandas would help?
+            # table = fragment.to_table(filter=session_filter).sort_by([('ticker', 'ascending'), ('window_start', 'descending')])
+            table = fragment.to_table(filter=session_filter)
+            if table.num_rows > 0:
+                metadata = dict(table.schema.metadata) if table.schema.metadata else dict()
+                metadata["date"] = date.date().isoformat()
+                table = table.replace_schema_metadata(metadata)
+                yield table
+
+
+def iterate_all_aggs_with_signals(config: PolygonConfig):
+    for table in iterate_all_aggs_tables(config):
+        df = table.to_pandas()
+        df = df.groupby("ticker").apply(compute_per_ticker_signals, include_groups=False)
+        yield pa.Table.from_pandas(df)
+
+
+def compute_signals_for_all_custom_aggs(
+    from_config: PolygonConfig, to_config: PolygonConfig, valid_tickers: pa.Array, overwrite: bool = False
+) -> str:
+    if overwrite:
+        print("WARNING: overwrite not implemented/ignored.")
+
+    print(f"{to_config.custom_aggs_dir=}")
+
+    for aggs_table in iterate_all_aggs_tables(from_config, valid_tickers):
+        metadata = aggs_table.schema.metadata
+        date = datetime.date.fromisoformat(metadata[b'date'].decode('utf-8'))
+        print(f"{date=}")
+        df = aggs_table.to_pandas()
+        df = df.groupby("ticker").apply(compute_per_ticker_signals, include_groups=False)
+        table = pa.Table.from_pandas(df)
+        if table.num_rows > 0:
+            table = table.replace_schema_metadata(metadata)
+            table = table.append_column('date', pa.array(np.full(len(table), date)))
+            table = table.append_column('year', pa.array(np.full(len(table), date.year), type=pa.uint16()))
+            table = table.append_column('month', pa.array(np.full(len(table), date.month), type=pa.uint8()))
+            table = table.sort_by([('ticker', 'ascending'), ('window_start', 'ascending')])
+            pa_ds.write_dataset(
+                table,
+                filesystem=to_config.filesystem,
+                base_dir=to_config.custom_aggs_dir,
+                partitioning=custom_aggs_partitioning(),
+                format="parquet",
+                existing_data_behavior="overwrite_or_ignore",
+                file_visitor=file_visitor,
+            )
+    return to_config.custom_aggs_dir