quantlab.factor.config.MembershipCapWeightConfig#

class quantlab.factor.config.MembershipCapWeightConfig(*, warmup_bars=0, dataset, file_path=None, factor_names=None, kwargs=None, resample_freq=None, resample_how=None, name=None, membership, cap_column='marketcap')[source]#

Bases: BaseFactorConfig

Config of quantlab.factor.predefined.membership_cap_weight.MembershipCapWeight.

dataset holds each symbol’s market cap in cap_column (Sharadar DAILY’s marketcap) and membership the index whose members the weights are spread over; both are component fields. No bar before the requested start is read.

Examples

With daily a dataset of market caps and us3000 a membership:

>>> cfg = MembershipCapWeightConfig(dataset=daily, membership=us3000)
>>> cfg.warmup_bars, cfg.cap_column
(0, 'marketcap')

cap_column = 'marketcap'#: The market-cap variable of dataset.

membership#: The point-in-time membership the weights are spread over.

warmup_bars = 0#: Bars read before the requested start: none, the weights are of the bar.