quantlab.dataset.estu#
Index membership from a BarraStyle store’s estimation universe (estu).
BarraStyle (quantlab.factor.predefined.barra) writes, beside its
styles, the estimation universe it standardises them over: estu on
(timestamp, symbol), positive where a security is among the largest
domestic common stocks by the previous bar’s market cap (the 3,000 largest
for the Sharadar build). EstuConstituentDataset reads that variable as a
point-in-time index, the “us3000” universe of the Sharadar research.
estu at bar t uses the cap of t-1, so the membership of t is known at t.
The panel ends at the store’s last bar and moves on with it: extend the
BarraStyle store (Factor.extend), then update() this dataset.
Examples#
>>> from quantlab.dataset.config import ConstituentDatasetConfig
>>> members = EstuConstituentDataset(ConstituentDatasetConfig(
... zarr_file_path="/data/universe/us3000/membership_estu/membership_estu.zarr",
... start_date="2010-01-01",
... kwargs={"barra_store": "/data/factors/market/barra_style/barra_style.zarr"},
... ))
>>> members.update().panel("2026-10-01", "2026-10-02")["is_member"].sum("symbol").values
array([3000, 3000])
Classes
Membership = the |