quantlab.dataset.config.SharadarShareClassConfig#

class quantlab.dataset.config.SharadarShareClassConfig(*, 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='sep', permatickers=None, roster_universe=None, category_filter='default')[source]#

Bases: SharadarDatasetConfig

Config of the share-class firm panel on the permaticker axis.

Each SEP security’s firm is the permaticker whose DAILY and SF1 rows hold its firm’s values: itself, or for a secondary share class the SF1 security with the same SEC CIK priced on the day. The universe fields work as for a price panel, on SEP’s TICKERS rows; the default category filter is domestic common stock, secondary classes included.

Examples

>>> cfg = SharadarShareClassConfig(
...     zarr_file_path="/data/zarrs/sharadar_share_class_1d.zarr",
...     raw_data_dir_path="/data/downloads/sharadar",
... )
>>> cfg.table
'sep'

table = 'sep'#: Always SEP: its TICKERS rows give the categories and CIKs, its dates the calendar.