In this notebook, we'll take a look at EventVestor's Credit Facility dataset, available on the Quantopian Store. This dataset spans January 01, 2007 through the current day, and documents financial events covering new or extended credit facilities.
Before we dig into the data, we want to tell you about how you generally access Quantopian Store data sets. These datasets are available through an API service known as Blaze. Blaze provides the Quantopian user with a convenient interface to access very large datasets.
Blaze provides an important function for accessing these datasets. Some of these sets are many millions of records. Bringing that data directly into Quantopian Research directly just is not viable. So Blaze allows us to provide a simple querying interface and shift the burden over to the server side.
It is common to use Blaze to reduce your dataset in size, convert it over to Pandas and then to use Pandas for further computation, manipulation and visualization.
Helpful links:
Once you've limited the size of your Blaze object, you can convert it to a Pandas DataFrames using:
from odo import odo
odo(expr, pandas.DataFrame)
One other key caveat: we limit the number of results returned from any given expression to 10,000 to protect against runaway memory usage. To be clear, you have access to all the data server side. We are limiting the size of the responses back from Blaze.
There is a free version of this dataset as well as a paid one. The free one includes about three years of historical data, though not up to the current day.
With preamble in place, let's get started:
In [3]:
# import the dataset
from quantopian.interactive.data.eventvestor import credit_facility
# or if you want to import the free dataset, use:
# from quantopian.data.eventvestor import credit_facility_free
# import data operations
from odo import odo
# import other libraries we will use
import pandas as pd
In [4]:
# Let's use blaze to understand the data a bit using Blaze dshape()
credit_facility.dshape
Out[4]:
In [5]:
# And how many rows are there?
# N.B. we're using a Blaze function to do this, not len()
credit_facility.count()
Out[5]:
In [6]:
# Let's see what the data looks like. We'll grab the first three rows.
credit_facility[:3]
Out[6]:
Let's go over the columns:
We've done much of the data processing for you. Fields like timestamp and sid are standardized across all our Store Datasets, so the datasets are easy to combine. We have standardized the sid across all our equity databases.
We can select columns and rows with ease. Below, we'll fetch all events in which \$ 200M of credit was availed.
In [7]:
twohundreds = credit_facility[(credit_facility.credit_amount==200) & (credit_facility.credit_units=="$M")]
# When displaying a Blaze Data Object, the printout is automatically truncated to ten rows.
twohundreds.sort('timestamp')
Out[7]:
Finally, suppose we want a DataFrame of that data, but we only want the symbol, timestamp, and event headline:
In [8]:
twohundred_df = odo(twohundreds, pd.DataFrame)
reduced = twohundred_df[['symbol','event_headline','timestamp']]
# When printed: pandas DataFrames display the head(30) and tail(30) rows, and truncate the middle.
reduced
Out[8]:
In [ ]: