quantlab.dataset.massive.short_interest.MassiveShortInterestDataset#

class quantlab.dataset.massive.short_interest.MassiveShortInterestDataset(config)[source]#

Bases: MassiveRestEventPanel

Daily release panel of Massive’s short interest, by permaticker.

See the module docstring for the variables and the release rule.

Parameters:

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

Examples

With config as in the module example:

ds = MassiveShortInterestDataset(config).update()
list(ds.panel("2024-01-02", "2024-01-05").data_vars)
# ['short_interest', 'short_avg_daily_volume', 'days_to_cover']

EARLIEST = datetime.date(2017, 12, 1)#: The latest first day of the endpoints read (MassiveRestPanel.EARLIEST).

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

STORE_NAME = 'massive_short_interest_1d'#: The store folder under market/massive (MassiveRestPanel.from_data_root).

STORE_README = '# massive_short_interest_1d\n\nMassive\'s short interest (its REST `/stocks/v1/short-interest`, FINRA\'s figures settled twice a\nmonth from 2017-12) as a daily release panel on Sharadar\'s permaticker axis and SEP\'s trading\ncalendar, the whole market\'s domestic common stock (SEP\'s default category filter). Variables:\n`short_interest` (shares short at the settlement date), `short_avg_daily_volume` (Massive\'s\n`avg_daily_volume`) and `days_to_cover` (Massive\'s own ratio). A release is visible from the 8th\ntrading day after its settlement date and shown until the next release is visible; a security\nthe visible release does not carry is NaN.\n\nEach record is placed on the permaticker the Ticker map gives its ticker on the settlement date;\na record it cannot place is left out and counted in\n`massive_short_interest_1d.zarr.unplaced.json`. Built by\n`quantlab.dataset.massive.short_interest.MassiveShortInterestDataset` from\n`downloads/massive/rest/short_interest`, `market/massive/massive_ticker_map` and Sharadar\'s SEP\nand TICKERS, from the Ticker map\'s first day; first built by\n`scripts/massive/short_interest.py`, then appended day by day by the daily data update.\ndocs/user-guide/massive.md, "Short interest". Licensed data: personal use.\n'#: The store folder’s README.md.

VARIABLES = {'days_to_cover': {'description': 'short_interest / avg_daily_volume of the visible release, as Massive gives it.', 'unit': 'days'}, 'short_avg_daily_volume': {'description': "Massive's average daily volume over the visible release's settlement period.", 'unit': 'shares'}, 'short_interest': {'description': 'Shares sold short and not yet covered at the settlement date of the visible release.', 'unit': 'shares'}}#: The module’s VARIABLES.

config_cls#

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

alias of MassiveShortInterestConfig