Example of working with those h5 files

h5example.py

import pandas as pd
import numpy as np
from bsm_implieds import implied_fut,implied_futs

def is_kospi(symbol_list):
    s = pd.Series(symbol_list)
    is_call = s.str[2:6]=='4201'
    is_put = s.str[2:6]=='4301'
    is_fut = s.str[2:6]=='4101'
    return np.logical_or(is_call,np.logical_or(is_put,is_fut))

def kospi_types_from_symbols(symbol_list):
    res = np.zeros(len(symbol_list))
    is_call = pd.Series(symbol_list).str[2:4]=='42'
    is_put = pd.Series(symbol_list).str[2:4]=='43'
    res[is_call] = 1
    res[is_put] = -1
    return res

def kospi_strikes_from_symbols(symbol_list):
    strikes = pd.Series(symbol_list).str[8:11].astype(float)
    strikes[strikes%5 != 0 ] += .5
    return (strikes * 100).values

fn = '/Users/green/2013-09-25T08:00:00_2013-09-25T15:15:00.h5'
string_date = fn.split('/')[-1].split('T')[0]
store = pd.HDFStore(fn)
start_time = pd.Timestamp(string_date+'T09:00:00').value
end_time = pd.Timestamp(string_date+'T15:05:0').value

dat = store.select('pcap_data',[pd.Term('index','>=',start_time),pd.Term('index','<=',end_time)])
supp = store.select('supplementary',[pd.Term('index','>=',start_time),pd.Term('index','<=',end_time)])
recombined_dat = (dat.join(supp,how='outer'))
recombined_dat = recombined_dat[is_kospi(dat.symbol).values]
expiries = recombined_dat.symbol.str[6:8]
recombined_dat = recombined_dat[expiries.isin(store['dtes'].index).values]
recombined_dat['tte'] = recombined_dat.symbol.str[6:8].replace(store['dtes'].to_dict()[0]).astype(float) / 260.
recombined_dat['strike'] = kospi_strikes_from_symbols(recombined_dat.symbol.values)
recombined_dat['type'] = kospi_types_from_symbols(recombined_dat.symbol.values)
recombined_dat['implied_bid'] = implied_futs(recombined_dat.bid1.astype(double),recombined_dat.strike.astype(double),recombined_dat.vols,recombined_dat.tte,recombined_dat.type.astype(long),.03,26410) - recombined_dat.basis
recombined_dat['implied_ask'] = implied_futs(recombined_dat.ask1.astype(double),recombined_dat.strike.astype(double),recombined_dat.vols,recombined_dat.tte,recombined_dat.type.astype(long),.03,26410) - recombined_dat.basis

brief = ['symbol','bid1','ask1','vols','basis','fut_bid','fut_ask','tte','strike','type','implied_bid','implied_ask']

print 'Some random (semi-illustrative) slice: '
print recombined_dat.ix[1380099784890515000:1380099784900515000,brief]
print 'Note that put/call stuff needs to be reversed...too lazy righ now'
del dat
del supp
store.close()