sf_quant.data.load_benchmark#

sf_quant.data.load_benchmark(start: date, end: date) → DataFrame#

Load benchmark data between two dates.

This function queries the benchmark view for data within the given date range, sorts the result by barrid and date, and returns it as a Polars DataFrame.

Parameters#

startdatetime.date: Start date (inclusive).
enddatetime.date: End date (inclusive).

Returns#

pl.DataFrame

A Polars DataFrame containing benchmark data with at least the following columns:

barrid : str, asset identifier for the benchmark.
date : datetime, observation date.
weight: float, benchmark weight (market cap weighted).

Examples#

>>> import sf_quant.data as sfd
>>> import datetime as dt
>>> start = dt.date(2024, 1, 1)
>>> end = dt.date(2024, 12, 31)
>>> df = sfd.load_benchmark(
...     start=start,
...     end=end
... )
>>> df.head()
shape: (5, 3)
┌────────────┬─────────┬──────────┐
│ date       ┆ barrid  ┆ weight   │
│ ---        ┆ ---     ┆ ---      │
│ date       ┆ str     ┆ f64      │
╞════════════╪═════════╪══════════╡
│ 2024-01-02 ┆ USA06Z1 ┆ 0.000019 │
│ 2024-01-03 ┆ USA06Z1 ┆ 0.000019 │
│ 2024-01-04 ┆ USA06Z1 ┆ 0.000019 │
│ 2024-01-05 ┆ USA06Z1 ┆ 0.000019 │
│ 2024-01-08 ┆ USA06Z1 ┆ 0.00002  │
└────────────┴─────────┴──────────┘