sf_quant.data.load_alphas_by_date

sf_quant.data.load_alphas_by_date(date_: date, names: list[str] = None) → DataFrame

Load a Polars DataFrame of alphas data for a single date.

Parameters

date_datetime.date

Date of the data frame.

nameslist of str, optional

List of signal names to filter the data frame by. If None (default), all alpha names are included.

Returns

polars.DataFrame

A DataFrame containing alphas data on the specified date.

Examples

>>> import sf_quant as sf
>>> import datetime as dt
>>> date_ = dt.date(2024, 1, 3)
>>> df = sf.data.load_alphas_by_date(
...     date_=date_,
...     names=["momentum", "reversal"]
... )
>>> df.head()
shape: (5, 4)
┌────────────┬─────────┬─────────────┬─────────────┐
│ date       ┆ barrid  ┆ signal_name ┆ alpha_value │
│ ---        ┆ ---     ┆ ---         ┆ ---         │
│ date       ┆ str     ┆ str         ┆ f64         │
╞════════════╪═════════╪═════════════╪═════════════╡
│ 2023-01-03 ┆ USA06Z1 ┆ momentum    ┆ -17.611814  │
│ 2023-01-03 ┆ USA06Z1 ┆ reversal    ┆ 1.55668     │
│ 2023-01-03 ┆ USA06Z1 ┆ momentum    ┆ -18.676612  │
│ 2023-01-03 ┆ USA06Z1 ┆ reversal    ┆ 3.775271    │
│ 2023-01-03 ┆ USA06Z1 ┆ momentum    ┆ -17.06099   │
└────────────┴─────────┴─────────────┴─────────────┘