LiquidityIndicators

class sigtech.framework.equities.liquidity_indicators.LiquidityIndicators

Collection of liquidity indicators used to rank and select stocks.

static rolling_dollar_vol(tickers: list[str], dt: date, rolling_window: int, min_periods_ratio: float) → dict

Compute the median of rolling dollar volume for a set of stocks and return a dict with tickers and their values for the rolling dollar volume.

Parameters:

• tickers – List of stock tickers.

• dt – Date used to compare the metric among the stocks.

• rolling_window – Rolling window value.

• min_periods_ratio – Minimum number of observations in window required to have a value, as percentage of rolling_window (e.g. 0.75 for 75%).

Returns:

dict.