quantlab.dataset.sharadar.spells#
Daily panels of per-security values that hold over spells of days, on SEP’s calendar.
A spell is a span of days over which one security holds one value: an
industry code from one SIC change to the next, or the security whose
filings carry a share class’s firm values. SpellPanelDataset turns a
table of spells into a (timestamp, symbol) panel of float variables
(one by default) on SEP’s trading days, NaN outside every spell and outside the security’s
first and last price dates, and gives it the store machinery of a dataset:
the axes of a window, the symbols an update adds, and no OHLCV cleaning.
A subclass says what its spells are (_build_spells) and what the
variable’s attributes are (_variable_attrs); a panel of several
variables names them in VARIABLES and gives each one’s attributes in
_attrs.
The point-in-time industry (quantlab.dataset.sharadar.industry), the
share-class firm (quantlab.dataset.sharadar.share_class) and the listing
panel (quantlab.dataset.sharadar.listing) are built on it.
Classes
Daily panel of per-security values held over spells of days. |