sf_quant.data.load_signals

sf_quant.data.load_signals(start: date, end: date, names: list[str] = None) → DataFrame

Load a Polars DataFrame of signals data between two dates.

Parameters

startdatetime.date

Start date (inclusive) of the data frame.

enddatetime.date

End date (inclusive) of the data frame.

nameslist of str, optional

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

Returns

polars.DataFrame

A DataFrame containing signals 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_signals(
...     start=start,
...     end=end,
...     names=["momentum"]
... )
>>> df.head()
shape: (5, 4)
┌────────────┬─────────┬─────────────┬──────────────┐
│ date       ┆ barrid  ┆ signal_name ┆ signal_value │
│ ---        ┆ ---     ┆ ---         ┆ ---          │
│ date       ┆ str     ┆ str         ┆ f64          │
╞════════════╪═════════╪═════════════╪══════════════╡
│ 2022-01-03 ┆ USA3871 ┆ momentum    ┆ 0.226603     │
│ 2022-01-03 ┆ USBDIJ1 ┆ momentum    ┆ 0.63502      │
│ 2022-01-03 ┆ USA91R1 ┆ momentum    ┆ 0.073258     │
│ 2022-01-03 ┆ USBFCZ1 ┆ momentum    ┆ 0.161975     │
│ 2022-01-03 ┆ USAA181 ┆ momentum    ┆ 0.183556     │
└────────────┴─────────┴─────────────┴──────────────┘