sf_quant.data.load_assets

sf_quant.data.load_assets(start: date, end: date, columns: list[str], in_universe: bool | None = None) → DataFrame

Load a Polars DataFrame of assets data between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

in_universebool

If True, restrict to assets that are in the universe. If False, include all assets.

columnslist of str

List of column names to include in the result.

Returns

polars.DataFrame

A DataFrame containing asset data between the specified dates, filtered by universe membership if requested, with only the selected columns.

Examples

>>> import sf_quant.data as sfd
>>> import datetime as dt
>>> start = dt.date(2024, 1, 1)
>>> end = dt.date(2024, 12, 31)
>>> columns = ["barrid", "date", "price"]
>>> df = sfd.load_assets(
...     start=start,
...     end=end,
...     in_universe=True,
...     columns=columns
... )
>>> df.head()
shape: (5, 3)
┌────────────┬─────────┬───────┐
│ date       ┆ barrid  ┆ price │
│ ---        ┆ ---     ┆ ---   │
│ date       ┆ str     ┆ f64   │
╞════════════╪═════════╪═══════╡
│ 2024-01-02 ┆ USA06Z1 ┆ 7.87  │
│ 2024-01-03 ┆ USA06Z1 ┆ 7.775 │
│ 2024-01-04 ┆ USA06Z1 ┆ 7.76  │
│ 2024-01-05 ┆ USA06Z1 ┆ 7.8   │
│ 2024-01-08 ┆ USA06Z1 ┆ 8.22  │
└────────────┴─────────┴───────┘