sample_pricing: Sample security pricing data for examples and testing

Description Usage Format Details

Description

A dataset containing sample security pricing data for 492 securities and 65 weekdays, from 2020-06-01 to 2020-08-31. This data was downloaded using the Tiingo Stock API and is redistributed with permission.

Usage

1

Format

A data frame with 31980 rows and 8 variables:

date

Pricing date.

id

Security identifier.

price_unadj

The unadjusted price of the security.

prior_close_unadj

The unadjusted prior closing price of the security.

dividend_unadj

The dividend for the security on an unadjusted basis, if any.

distribution_unadj

The distribution (e.g., spin-off) for the security on an unadjusted basis (note that there is no spin-off information in this dataset, so all values are zero).

volume

Trading volume for the security, in shares.

adjustment_ratio

The adjustment ratio for the security. For example, AAPL has an adjustment ratio of 0.25 to account for its 4:1 split on 2020-08-31.

Details

Full code for reconstructing the dataset can be found in the pystrand repository.


strand documentation built on Nov. 20, 2020, 1:08 a.m.