sf_quant.data.load_crsp_daily

sf_quant.data.load_crsp_daily(start: date, end: date, columns: list[str]) → DataFrame

Load a Polars DataFrame of CRSP daily data between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

columnslist of str

List of column names to include in the result.

Returns

polars.DataFrame

A DataFrame containing CRSP daily data between the specified dates, sorted by permno and date, 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, 1, 31)
>>> columns = ["permno", "date", "ret"]
>>> df = sfd.load_crsp_daily(
...     start=start,
...     end=end,
...     columns=columns
... )
>>> df.head()
shape: (5, 3)
┌────────────┬────────┬───────┐
│ date       ┆ permno ┆ ret   │
│ ---        ┆ ---    ┆ ---   │
│ date       ┆ i64    ┆ f64   │
╞════════════╪════════╪═══════╡
│ 2024-01-02 ┆ 10001  ┆ 0.002 │
│ 2024-01-03 ┆ 10001  ┆ -0.001│
│ 2024-01-04 ┆ 10001  ┆ 0.003 │
│ 2024-01-05 ┆ 10001  ┆ 0.000 │
│ 2024-01-08 ┆ 10001  ┆ -0.004│
└────────────┴────────┴───────┘