In [1]:
import datetime
import pandas as pd
import numpy as np
import vaex
In [ ]:
trade = pd.read_csv('EQY_US_ALL_TRADE_20191007.gz',
                    compression='gzip',
                    sep='|',
                    parse_dates=[0,12],
                    date_parser=lambda date: datetime.datetime.strptime('20191007' + date[:-3], '%Y%m%d%H%M%S%f'))