quantlab.dataset.sharadar.insiders#

Sharadar insider transactions (SF2) as a daily panel of net shares and value per transaction code, keyed by permaticker.

SF2 holds one row per security line of an insider’s Form 3, 4 or 5. Its date is the SEC filing date, the day the transaction became public; transactiondate is earlier (two days at the median). A line is a non-derivative transaction (securityadcode NA acquired or ND disposed), a derivative one (DA, DD), or a holding with no transaction (no transactioncode, N/D), which never counts.

SharadarInsidersDataset places each line at the first SEP trading day on or after its filing date (never its transaction date) and sums a day’s lines per security (quantlab.dataset.sharadar.filings.FilingPanelDataset):

  • net_shares, net_value: open-market trades in the stock, shares and USD bought (P) minus sold (S) on a non-derivative line. The vendor’s transactionvalue is unsigned USD (INDICATORS calls it USD millions, but it equals shares times price), so a sale counts negative.

  • net_shares_<code>, net_value_<code>: the non-derivative lines of one transaction code, P, S, A (grant), M (exercise or conversion), F (tax or exercise price paid in stock), G (gift), D (disposed to the issuer), and other for every remaining code. P and S keep their own sign, as in net_shares; every other code counts positive when acquired (NA) and negative when disposed (ND). A line without a price adds nothing to the value.

  • net_shares_derivative: derivative units (options, units, warrants) acquired minus disposed, every code together.

  • insiders_buying, insiders_selling: the distinct owners (ownername) with a non-derivative P or S line on the day.

A day without a transaction is 0. A transaction is counted on the first filing that shows it. When an amendment (4/A) restates a filing, it repeats the lines; a later line repeating one exactly (same insider, transaction date, code, shares and price, TRADE_KEY, on the same side of the derivative split) is not counted again. The vendor also relabels the superseded original RESTATED - <form>, but only once the amendment arrives, so the label is ignored: a live update, which saw the original as a plain form on its filing date, and a rebuild of the same days give the same panel. An amendment that changes a line’s shares or price does not repeat it, and is counted again on its own filing date.

TICKERS has rows of SF2 (table SF2), so its tickers are mapped through them. SF2 has no lastupdated; it is refreshed by trailing date windows (SharadarClient.window_table), and update() appends the new trading days.

Examples#

Build the store and read the net buying of a quarter:

config = SharadarInsidersConfig(
    zarr_file_path="/data/quantlab/market/sharadar/sharadar_insiders_1d/sharadar_insiders_1d.zarr",
    raw_data_dir_path="/data/quantlab/downloads/sharadar",
)
SharadarInsidersDataset(config).update()
panel = SharadarInsidersDataset(config).panel("2024-01-02", "2024-03-28")
panel["net_value"].attrs["unit"]  # 'USD'
panel["net_shares_M"].attrs["unit"]  # 'shares'

Classes

SharadarInsidersDataset

Daily panel of insiders' transactions per code, on each filing's available date.
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