quantlab.dataset.sharadar.tickers.ticker_sidecar_payload#

quantlab.dataset.sharadar.tickers.ticker_sidecar_payload(vendor_root, code, permatickers, previous=None)[source]#

Return the ticker sidecar of permatickers from the raw TICKERS and ACTIONS tables.

The sidecar is also what a later conversion maps an old raw file’s tickers with (quantlab.dataset.sharadar.permatickers), so what an earlier sidecar knew is carried forward rather than lost when TICKERS forgets it: a permaticker TICKERS no longer lists keeps its earlier spans, and a ticker the vendor renamed away without an ACTIONS row (a reused ticker’s old holder gets a suffixed one) is kept under former.

Parameters:

vendor_rootstr or Path: <download-dir>/sharadar, holding TICKERS and ACTIONS.
codestr: The store’s price table ("sep" or "sfp"), whose TICKERS rows map tickers to permatickers.
permatickersiterable of int: The store’s symbols. A permaticker without a TICKERS row of the table and without spans in previous is left out of the sidecar, and reads as its id.
previousdict, optional: The sidecar this one replaces, as read from its file.

Returns:

dict: {"table": code, "intervals": {permaticker: [span, ...]}, "former": {permaticker: [span, ...]}}, each span {"start", "ticker", "company"}: the first day the ticker was in use (None for the first span, or when unknown), the ticker and the company (None when the tables record none; an earlier ticker’s company is the contraname of its change). Spans are in date order and permatickers in numeric order. former lists tickers an earlier sidecar gave a permaticker that its current spans no longer name; the lookup does not show them.

Examples

>>> payload = ticker_sidecar_payload("/data/downloads/sharadar", "sep", [194817])
>>> [span["ticker"] for span in payload["intervals"]["194817"]]
['FB', 'META']