quantlab.dataset.common_stock#
The common-stock membership: every security of a whole-market price store.
The whole-market Sharadar store (market/sharadar/sharadar_sep_1d) holds,
under its default category_filter, the domestic common stocks: primary
and secondary share classes, no ADRs, Canadian companies or preferred
shares. CommonStockConstituentDataset reads it as a point-in-time index:
a security is a member from its first to its last bar with a finite
close, halted days (no price) included, one interval per security. Its
panel feeds MembershipCapWeight unchanged, giving the market portfolio’s
cap weights.
The panel ends at the store’s last bar and moves on with it: extend the
store, then update() this dataset.
Examples#
>>> from quantlab.dataset.config import ConstituentDatasetConfig
>>> members = CommonStockConstituentDataset(ConstituentDatasetConfig(
... zarr_file_path="/data/quantlab/universe/sharadar/sharadar_common_stock_membership/sharadar_common_stock_membership.zarr",
... cache_dir="/data/quantlab/downloads/sharadar",
... kwargs={"price_store": "/data/quantlab/market/sharadar/sharadar_sep_1d/sharadar_sep_1d.zarr"},
... ))
>>> members.update().panel("2026-10-14", "2026-10-15")["is_member"].sum("symbol").values
array([4661, 4600])
Classes
Membership = every security of a price store, from its first to its last priced bar. |