quantlab.dataset.sharadar.filings#
The shared shape of a Sharadar panel of SEC filings placed at their filing date.
Some Sharadar tables are events, not states: an 8-K (EVENTS) or an insider’s
Form 4 (SF2) is filed on one day and says something about that day only. A
panel of them has a value on the day a filing became public and nothing
in between. FilingPanelDataset is that shape; a subclass says which raw
rows count and how one day’s filings of one security combine.
Each filing is placed at its available date, the first SEP trading day on
or after its filing date, so a weekend or holiday filing lands on the next
trading day and the panel lines up with the price panels bar for bar. Its
symbol axis is the int64 permaticker. A day with no filing holds the
subclass’s empty value (False, 0.0), never NaN: nothing was filed.
A filing made after the close lands on its filing date’s bar, so a signal
formed at a bar’s close should read the panel one bar back.
Classes
Daily panel of one Sharadar filing table, each filing at its available date. |