quantlab.dataset.config.SharadarFiscalYearsConfig#

class quantlab.dataset.config.SharadarFiscalYearsConfig(*, zarr_file_path, start_date=None, end_date=None, symbols=None, kwargs=None, resample_freq=None, resample_how=None, name=None, raw_data_dir_path, market='us_equity', frequency='1d', vendor='sharadar', table='sf1', permatickers=None, roster_universe=None, category_filter='default', indicators=('eps', 'sps'), years=5, stale_after_days=548)[source]#

Bases: SharadarDatasetConfig

Config of the point-in-time fiscal-year history panel (SF1 ARY) on the permaticker axis.

On each day the panel shows, per security, the latest years fiscal years whose annual as-reported rows are released by that day, newest first: <indicator>_fy0 is the latest fiscal year, <indicator>_fy1 the one before, and so on. The universe fields work as for a price panel; the default category filter is SF1’s, domestic common stock.

Examples

>>> cfg = SharadarFiscalYearsConfig(
...     zarr_file_path="/data/zarrs/sharadar_sf1_fiscal_years.zarr",
...     raw_data_dir_path="/data/downloads/sharadar",
... )
>>> cfg.table, cfg.indicators, cfg.years, cfg.stale_after_days
('sf1', ('eps', 'sps'), 5, 548)

indicators = ('eps', 'sps')#: SF1 indicators the panel holds, one variable per indicator and slot. The default, basic EPS and sales per share, is what the Growth style factor regresses on time.

stale_after_days = 548#: Days after the release date of the row shown in fy0 (the newest fiscal year’s latest filing) that a security’s whole history stops being shown. None shows it until replaced. The default is about 1.5 times the gap between two annual filings.

table = 'sf1'#: Always SF1, whose ARY rows the panel is built from.

years = 5#: Number of fiscal years shown, the slots fy0 .. fy<years - 1>.