quantlab.dataset.massive.disclosures.MassiveDisclosureDataset#

class quantlab.dataset.massive.disclosures.MassiveDisclosureDataset(config)[source]#

Bases: MassiveRestPanel, FilingPanelDataset

Daily panel of Massive’s 8-K disclosure categories, one flag per primary category, by permaticker.

See the module docstring for the variables and the placement.

Parameters:

dataset_configMassiveDisclosuresConfig: Sharadar’s raw tier (calendar, universe), Massive’s raw tier and the Ticker map.

Examples

With config as in the module example:

ds = MassiveDisclosureDataset(config).update()
list(ds.panel("2024-01-02", "2024-01-05").data_vars)
# ['capital_markets', 'financial_results', 'leadership_and_governance', ...]

EARLIEST = datetime.date(2020, 1, 1)#: The latest first day of the endpoints read (MassiveRestPanel.EARLIEST).

REST_ENDPOINTS = ('8k_disclosures',)#: The REST endpoints read (MassiveRestPanel).

STORE_NAME = 'massive_disclosures_1d'#: The store folder under market/massive (MassiveRestPanel.from_data_root).

STORE_README = '# massive_disclosures_1d\n\nMassive\'s 8-K disclosure categories (its REST `/stocks/filings/8-K/vX/disclosures`, classified\nby `/stocks/taxonomies/vX/disclosures`) as a daily panel on Sharadar\'s permaticker axis and\nSEP\'s trading calendar, the whole market\'s domestic common stock (SEP\'s default category\nfilter). One boolean per primary category of the taxonomy, named as the taxonomy spells it (for\nexample `financial_results`, `leadership_and_governance`) and described by the secondary and\ntertiary categories under it: true on the first trading day after the filing date of an 8-K with\na disclosure in that category (a Friday filing shows on Monday), false otherwise. Secondary and\ntertiary categories stay raw.\n\nA filing is placed once for each ticker it names, on the permaticker the Ticker map gives that\nticker on the day it shows; a ticker the map cannot place, or a filing naming none, is left out\nand counted in `massive_disclosures_1d.zarr.unplaced.json`. A primary category the taxonomy does\nnot list refuses the build. Built by\n`quantlab.dataset.massive.disclosures.MassiveDisclosureDataset` from\n`downloads/massive/rest/8k_disclosures`, `downloads/massive/rest/disclosure_taxonomy`,\n`market/massive/massive_ticker_map` and Sharadar\'s SEP and TICKERS, from the later of the Ticker\nmap\'s first day and 2020-01-01 (Massive\'s disclosures start in 2020-01); first built by\n`scripts/massive/disclosures.py`, then appended day by day by the daily data update.\ndocs/user-guide/massive.md, "8-K disclosures". Licensed data: personal use.\n'#: The store folder’s README.md.

TABLE = 'sep'#: The table of the config: SEP gives the calendar and the universe.

config_cls#

The config class used to rebuild this dataset from a saved config.

alias of MassiveDisclosuresConfig