quantlab.dataset.config#
The configs of the dataset layer.
Every dataset is constructed from one of these and exposes it as self.config.
They are frozen: a field cannot be assigned after creation, and a changed config
is a new one made with dataclasses.replace. The dataset’s config setter
normalises the config it is given into a new one, filling in derived values such
as open-ended dates and the name field (the owning class’s dotted import path,
so the dataset can be rebuilt from the serialised dict; see
quantlab.core.component).
Several configs describe US-equity data from WRDS (Wharton Research Data Services, a university data platform). CRSP (the Center for Research in Security Prices) supplies daily stock data keyed by PERMNO, a permanent integer id that stays with a security when its ticker changes. TAQ (Trade and Quote) supplies intraday quotes, and the NBBO (National Best Bid and Offer) is the best bid and ask across all US exchanges at each moment.
Fields are documented with #: comments so the meaning of each one sits beside
its definition.
Classes
Config of a merged dataset whose bad prints are masked (#223). |
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Fields every dataset shares, whatever it holds. |
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Config of an index-membership panel (a boolean mask over time and symbol). |
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Config of the CRSP Stock v2 daily panel. |
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Config of a market data panel built from a raw download tree. |
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Config of a dataset held in memory, built from a caller's frame or panel. |
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Config of a single-symbol panel of one FRED interest-rate series. |
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Config of the Day aggregates mapped onto permatickers, adjusted and kept in a store (#353, #354). |
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Config of the Trade bars mapped onto permatickers and kept in a store of their own. |
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Config of the Day aggregate panel built from Massive's |
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Config of the Massive 8-K disclosure panel on the permaticker axis (#358). |
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Config of the Massive dividend panel on the permaticker axis (#351). |
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Config of the Massive IPO panel on the permaticker axis (#359). |
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Config of the Massive news count and sentiment panel on the permaticker axis (#357). |
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Config shared by the Massive REST panels on the permaticker axis. |
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Config of the Massive short interest panel on the permaticker axis (#355). |
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Config of the Massive short volume panel on the permaticker axis (#356). |
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Config of the 10-K text-change panel on the permaticker axis. |
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Config of the Trade bar panel built from Massive's daily trade files (ADRs 0030, 0031). |
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Config of a merged dataset: the datasets it merges, in order. |
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Config of the NBBO bar panel built from bars resampled on the WRDS server. |
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Config of the intraday bar panel built from WRDS TAQ NBBO quotes. |
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Config of the Day aggregates read on the permaticker axis through the Ticker map (#353). |
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Config of the Trade bars read on the permaticker axis through the Ticker map. |
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Config of a roster dataset: a dataset read on another dataset's symbols. |
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Config of the Sharadar corporate-actions panel (ACTIONS) on the permaticker axis. |
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Config of the Sharadar DAILY valuation panel (market cap, EV, PE, PB, PS) on the permaticker axis. |
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Config of a Sharadar daily price panel on the permaticker axis. |
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Config of the Sharadar 8-K events panel (EVENTS) on the permaticker axis. |
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Config of the point-in-time fiscal-year history panel (SF1 ARY) on the permaticker axis. |
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Config of a point-in-time panel of Sharadar fundamentals (SF1) on the permaticker axis. |
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Config of the Sharadar 13F institutional-ownership panel (SF3A) on the permaticker axis. |
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Config of the point-in-time Fama-French 48 industry panel on the permaticker axis. |
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Config of the Sharadar insider-transactions panel (SF2) on the permaticker axis. |
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Config of the point-in-time listing panel (SIC series and exchange) on the permaticker axis. |
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Config of the share-class firm panel on the permaticker axis. |
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Config of the Ticker map: each day's Massive ticker to its permaticker (ADR 0031). |