ezyquant.creator.SETSignalCreator.get_data#

SETSignalCreator.get_data(field: str, timeframe: str, value_by: str = 'stock', method: str = 'constant', method_args: tuple | None = None, method_kwargs: dict | None = None, period: int = 1, shift: int = 0) → DataFrame#

Return DataFrame which columns are symbols and index is the trading date start from start_date to end_date.

OHLCV fillna with prior value.

Parameters:

  • field (str) – Name of data field depends on timeframe and value_by.

  • timeframe (str) –

    • daily

    • quarterly

    • yearly

    • ttm

    • ytd

  • value_by (str = "stock") –

    • stock

    • industry

    • sector

  • method (str = "constant") – Name of Dataframe rolling window functions. See <https://pandas.pydata.org/docs/reference/window.html#rolling-window-functions> for details. - constant - count - sum - mean - median - var - std - min - max - corr - cov - skew - kurt - apply - aggregate - quantile - sem - rank

  • method_args (Optional[tuple] = None) – Arguments for method.

  • method_kwargs (Optional[dict] = None) – Keyword arguments for method.

  • period (int = 1) – Number of periods for rolling Dataframe. Period must be greater than 0.

  • shift (int = 0) – Number of periods to shift Dataframe. Shift must be greater than or equal to 0.

Returns:

  • symbol : str as column

  • trade date : date as index

Return type:

pd.DataFrame

Examples

>>> from ezyquant import SETSignalCreator
>>> ssc = SETSignalCreator(
...     start_date="2022-01-01",
...     end_date="2022-01-10",
...     index_list=[],
...     symbol_list=["COM7", "MALEE"],
... )
>>> ssc.get_data(
...     field="close",
...     timeframe="daily",
...     value_by="stock",
...     method="constant",
...     period=1,
...     shift=0,
... )
              COM7  MALEE
2022-01-04  41.875   6.55
2022-01-05  41.625   6.50
2022-01-06  41.500   6.50
2022-01-07  41.000   6.40
2022-01-10  40.875   6.30
...            ...    ...
2022-03-28  42.750   5.75
2022-03-29  41.500   5.75
2022-03-30  42.250   5.70
2022-03-31  43.000   5.70
2022-04-01  42.500   5.70

>>> ssc.get_data(
...     field="cash",
...     timeframe="quarterly",
...     value_by="stock",
...     method="constant",
...     period=1,
...     shift=0,
... )
                  COM7     MALEE
2022-01-04         NaN       NaN
2022-01-05         NaN       NaN
2022-01-06         NaN       NaN
2022-01-07         NaN       NaN
2022-01-10         NaN       NaN
...                ...       ...
2022-03-28  1656882.22  80321.08
2022-03-29  1656882.22  80321.08
2022-03-30  1656882.22  80321.08
2022-03-31  1656882.22  80321.08
2022-04-01  1656882.22  80321.08