quantlab.dataset.massive.ipos.MassiveIpoDataset#

class quantlab.dataset.massive.ipos.MassiveIpoDataset(config)[source]#

Bases: MassiveRestEventPanel

Daily panel of Massive’s listed IPOs on their listing day, by permaticker.

See the module docstring for the variables and the placement.

Parameters:

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

Examples

With config as in the module example:

ds = MassiveIpoDataset(config).update()
list(ds.panel("2024-01-02", "2024-01-05").data_vars)
# ['ipo_offer_price', 'ipo_offer_size', 'ipo_days_announced']

EARLIEST = datetime.date(2008, 12, 1)#: The latest first day of the endpoints read (MassiveRestPanel.EARLIEST).

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

STORE_NAME = 'massive_ipos_1d'#: The store folder under market/massive (MassiveRestPanel.from_data_root).

STORE_README = '# massive_ipos_1d\n\nMassive\'s IPOs (its REST `/vX/reference/ipos`) as a daily panel on Sharadar\'s permaticker axis\nand SEP\'s trading calendar, the whole market\'s domestic common stock (SEP\'s default category\nfilter). On an IPO\'s listing day only, NaN otherwise: `ipo_offer_price` (final offer price per\nshare, `final_issue_price`), `ipo_offer_size` (total amount raised, `total_offer_size`) and\n`ipo_days_announced` (trading days from the announcement to the listing, 0 on the same day).\nOnly IPOs that listed (`ipo_status` new, history or direct_listing_process) are shown; pending,\nrumoured, postponed and withdrawn IPOs stay in the raw tier. Each IPO is read from its newest\ncopy.\n\nEach IPO is placed on the permaticker the Ticker map gives its ticker on the listing day; one it\ncannot place, or not in USD, is left out and counted in `massive_ipos_1d.zarr.unplaced.json`.\nBuilt by `quantlab.dataset.massive.ipos.MassiveIpoDataset` from `downloads/massive/rest/ipos`,\n`market/massive/massive_ticker_map` and Sharadar\'s SEP and TICKERS, from the Ticker map\'s first\nday; first built by `scripts/massive/ipos.py`, then appended day by day by the daily data\nupdate. docs/user-guide/massive.md, "IPOs". Licensed data: personal use.\n'#: The store folder’s README.md.

VARIABLES = {'ipo_days_announced': {'description': "Trading days from the IPO's announcement to its listing on the day; 0 on the same day.", 'unit': 'trading days'}, 'ipo_offer_price': {'description': 'Final offer price of the IPO listing on the day (final_issue_price).', 'unit': 'USD per share'}, 'ipo_offer_size': {'description': 'Total amount raised by the IPO listing on the day (total_offer_size).', 'unit': 'USD'}}#: The module’s VARIABLES.

config_cls#

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

alias of MassiveIposConfig