ezyquant.creator.SETSignalCreator.screen_universe

SETSignalCreator.screen_universe(df: DataFrame, mask_value=nan) → DataFrame

Mask Non universe or Banned symbol with given value.

Parameters:

• df (pd.DataFrame) – Dataframe to mask.

• mask_value (Any) – Value to mask with. Default is nan.

Returns:

Masked dataframe.

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", "THAI"],
... )
>>> df = pd.DataFrame(
...     [[1.0, 2.0, 3.0], [4.0, 5.0, 6.0], [7.0, 8.0, 9.0]],
...     columns=["COM7", "MALEE", "THAI"],
...     index=pd.DatetimeIndex(["2022-01-04", "2022-01-05", "2022-01-06"]),
... )
>>> ssc.screen_universe(df)
            COM7  MALEE  THAI
2022-01-04   1.0    2.0   NaN
2022-01-05   4.0    5.0   NaN
2022-01-06   7.0    8.0   NaN