quantlab.dataset.massive.day_bar_events#
Massive’s own splits and dividends as the events of its Day aggregates on permatickers (ADR 0048).
The permaticker Day aggregate store (MappedDayBarDataset,
quantlab.dataset.massive.mapped_bars) chains its adjusted prices from
Massive’s /stocks/v1 splits and dividends, as the REST pull keeps them
in the raw tier, never from Sharadar’s ACTIONS and never from the vendor’s
historical_adjustment_factor. day_bar_events turns those records
into the chain’s two event variables on the store’s own bars:
divCash: thecash_amountper share of every USD dividend going ex that day, summed (the amount as declared, which is cash per share held on the ex-date);splitFactor:split_to / split_fromof every split executed that day, multiplied.
A vendor date that is not one of the store’s sessions rolls onto the next
one. Each record is placed on the permaticker the Ticker map gives its
ticker on that session (quantlab.dataset.massive.placement.TickerPlacement),
so a reused ticker sends each event to the security that held it that day.
Where two tickers map to one permaticker on a day, the column holds the
busier one’s bar (PermatickerDataset.columns), and only that ticker’s
events are the column’s. A record left out (unplaced, another currency, no
positive split ratio, another ticker’s bar) is counted in
<store>.unplaced.json, never guessed.
Examples#
With view the permaticker view of the Day aggregate store and
sessions the store’s days:
events = day_bar_events(view, sessions, owner="MappedDayBarDataset", report_path=store_path)
events.columns # ['timestamp', 'symbol', 'divCash', 'splitFactor']
Functions
Return Massive's split and dividend events on the permaticker columns of |
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Return the dates of a store's bar timestamps, in order. |