UniverseFilterTs

class sigtech.framework.equities.universe.UniverseFilterTs

A class implementing a universe filter timeseries.

filtered_universe_ts()

Return the filtered universe timeseries.

property universe

Return the universe.

property bool_df

Return a boolean DataFrame with non-missing values mapped to True.

market_cap(top_n)

Return the single stocks with highest market cap.

Parameters

top_n – Number of single stocks returned.

Returns

pandas DataFrame.

price(min_price)

Return the single stocks with price greater than a threshold value.

Parameters

min_price – Price threshold.

Returns

pandas DataFrame.

sector(code)

Return the single stocks with a given TRBC code.

Parameters

code – TRBC code.

Returns

pandas DataFrame.

price_history_length(window)

Return the single stocks with history length greater than the given window.

Parameters

window – Input window.

Returns

pandas DataFrame.

adv(min_adv, window)

Return the single stocks with average daily volume (ADV) higher than a given threshold.

Parameters

• min_adv – ADV threshold.

• window – Input window.

Returns

pandas DataFrame.

ticker_filter(name)

Return the single stocks filtered by ticker identifier.

Parameters

name – Ticker identifier.

Returns

pandas DataFrame.

m_a_targets()

Return the list of single stocks after applying the filter group 'm_a_targets'.

surplus()

Return the list of single stocks after applying the filter group 'surplus'.

rights_issues()

Return the list of single stocks after applying the filter group 'rights_issues'.

compliance()

Return the list of single stocks after applying the filter group 'compliance'.

internal()

Return the list of single stocks after applying the filter group 'internal'.