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EquityInstrument

EquityInstrument#

class sigtech.framework.instruments.equities.EquityInstrument

Baseclasses: TradableInstrument

Subclasses: SingleStock, ExchangeTradedFund

A class representing an equity instrument.

bbg_unique_id: Optional[str]
company_id: Optional[str]
company_name: Optional[str]
composite_bbg_ticker: Optional[str]
composite_us_bbg_ticker: Optional[str]
corporate_actions_override: Optional[list]
country: Optional[str]
currency: Optional[str]
currency_multiplier: Optional[int]
cusip: Optional[str]
db_history_end_date: Optional[date]
delist_date: Optional[date]
eq_identifier: str
property expiry_date

date contract expires, or last date on which we can trade

property full_adjusted_activity_history

Adjusted volume history for validation.

property full_adjusted_price_history

Cash adjusted history for validation.

property fundamental_fields: dict[str, list[str]]

Fundamental fields available for this underlying.

Returns:

dict of fundamental field to list of possible frequencies.

fungible_id: Optional[str]
isin: Optional[str]
issuer: Optional[str]
liquid_date: Optional[date]
market_impact: Optional[float]
primary_bbg_ticker: Optional[str]
primary_us_bbg_ticker: Optional[str]
region_code: Optional[str]
sec_code: Optional[str]
sec_master_id: Optional[int]
us_ric: Optional[str]
adjusted_activity_history(start=None, end=None)

Adjusted volume history for validation.

Parameters:

  • start – Input start date (optional).

  • end – Input end date (optional).

Returns:

Adjusted volume history.

adjusted_activity_history_cached(start=None, end=None)

Cached adjusted volume history for validation.

Parameters:

  • start – Input start date (optional).

  • end – Input end date (optional).

Returns:

Cached adjusted volume history.

adjusted_price_history(adjust_regular_cash, adjust_special_cash, start=None, end=None, field=None, adj_withholding_tax=False)

Get single stock adjusted price which removes the impact caused by cash/dividend, split/reverse split, etc.

Parameters:

  • adjust_regular_cash – Bool type, choose to adjust regular cash payment or not.

  • adjust_special_cash – Bool type, choose to adjust special cash payment or not.

  • start – Start date.

  • end – End date.

  • field – Field used in the history call.

  • adj_withholding_tax – Bool type, if True include withholding tax in the dividend price adjustment

Returns:

adjusted_price_history_cached(adjust_regular_cash, adjust_special_cash, start=None, end=None, field=None)

Get single stock adjusted cached price which removes the impact caused by cash/dividend, split/reverse split, etc.

Parameters:

  • adjust_regular_cash – Bool type, choose to adjust regular cash payment or not.

  • adjust_special_cash – Bool type, choose to adjust special cash payment or not.

  • start – Start date.

  • end – End date.

  • field – Field used in the history call.

Returns:

adjustment_factors(adjust_regular_cash, adj_abnormal_cash, adj_capital, adj_spinoff, prefer_source_spinoff_factors=True, start=None, end=None, adj_withholding_tax=False)

calculates and caches all adjustment factors once per adjustment configuration

adjustment_factors_full(adjust_regular_cash, adj_abnormal_cash, adj_capital, adj_spinoff, start, end, adj_withholding_tax=False)

Creates a time-series of adjustment factors for date range and adjustment configuration.

analyst_estimate_series(field, metric, period_end_date=None, historical_period_index='FY1')

Return an analyst estimate series available for the equity instrument.

Example:

stock = sig.obj.get('1000045.SINGLE_STOCK.TRADABLE')
stock.analyst_estimate_series('Net Sales or Revenues', 'mean_est', '2021-09-30')
Parameters:

  • field – Field name, e.g. 'Price/Earnings Ratio'.

  • metric – Metric name, e.g. 'std_dev', 'high_est', 'low_est', 'mean_est', 'median_est'.

  • period_end_date – Date for which the estimate is being made (if None, the entire history is returned).

  • historical_period_index – Identifier of the historical period index (default is ‘FY1’).

Returns:

pandas Series.

static batch_load(names: Sequence[Union[str, Identifier]], symbology: Optional[Symbology] = None, history_fields: Optional[Sequence[str]] = ('LastPrice',), load_corporate_actions: bool = True, load_fundamentals: bool = True)

Does a bulk load of EquityInstruments

Parameters:

  • names – object names/identifiers

  • symbology –

    • symbology (e.g. SIG, CSI, etc.)

  • history_fields – list of field names to load. If None, no history is loaded.

  • load_corporate_actions – if True, bulk load corporate actions for these instruments

  • load_fundamentals – if True, bulk load fundamentals data for these instruments

Returns:

tuple of list[EquityInstrument] and a dictionary of instrument name to list of exceptions caught during corporate action loading/parsing

corporate_actions(effective_start_date=None, effective_end_date=None)

List all the corporate actions during the period.

Parameters:

  • effective_start_date –

  • effective_end_date –

Returns:

dividend_withholding_tax_ts()

Construct the timeseries of dividend withholding taxes.

Returns:

pandas series.

estimate_summaries()

Raw dataframe of estimate summaries data

Returns:

pandas dataframe

fundamental_series(field, frequency, raw=False, data_as_of=None, include_restatements=True, restatements_as_of=None, split_adjusted=True)

Return a fundamental series available to the equity instrument.

Parameters:

  • field – Field name, e.g. 'Price/Earnings Ratio'.

  • raw – Bool, if True just return raw quarterly/annual data, if False interpolate to daily.

  • frequency – Frequency, e.g. 'Annual', 'Quarterly', 'Quarterly - Cumulative'.

  • data_as_of – As of date/datetime of the data to be used. Defaults to environment as of date.

  • include_restatements – Bool, if True include restatements in the fundamental data to be used.

  • restatements_as_of – As of date/datetime of restatements to be used. Defaults to environment as of date.

  • split_adjusted – Adjust for splits, defaults to True.

Returns:

pandas Series.

fundamentals()

Raw dataframe of fundamental data

Returns:

pandas dataframe

holidays()

List of holiday calendars for this instrument.

liquid_start_date()

First date shares are offered to public.

realign_history(series)

Overwrite this method as we would like to ignore the unexpected check.

sizing_price(sizing_dt, ccy=None, execution_dt=None)

Price on valuation date, adjusted for corporate actions till execution date.