sf_quant.data.load_composite_alphas

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

Load a Polars DataFrame of composite alpha data between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

Returns

polars.DataFrame

A DataFrame containing alpha data between the specified dates.

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_composite_alphas(
...     start=start,
...     end=end,
... )
>>> df.head()
shape: (5, 3)
┌────────────┬─────────┬─────────────┐
│ date       ┆ barrid  ┆ alpha       │
│ ---        ┆ ---     ┆ ---         │
│ date       ┆ str     ┆ f64         │
╞════════════╪═════════╪═════════════╡
│ 2023-01-03 ┆ USA06Z1 ┆ -17.611814  │
│ 2023-01-03 ┆ USA06Z2 ┆ 1.55668     │
│ 2023-01-04 ┆ USA06Z1 ┆ -18.676612  │
│ 2023-01-04 ┆ USA06Z2 ┆ 3.775271    │
│ 2023-01-05 ┆ USA06Z1 ┆ -17.06099   │
└────────────┴─────────┴─────────────┘