class Estimates(DataSet):
event_date = Column(dtype=datetime64ns_dtype)
fiscal_quarter = Column(dtype=float64_dtype)
fiscal_year = Column(dtype=float64_dtype)
estimate = Column(dtype=float64_dtype)
class SomeDataSet(DataSet):
a = Column(dtype=float64_dtype)
b = Column(dtype=float64_dtype)
class Child(Parent):
column_2 = Column('O')
column_3 = Column('i8', -1)
class Loader1DataSet2(DataSet):
col1 = Column(float32)
col2 = Column(float32)
class Loader2DataSet(DataSet):
col1 = Column(float32)
col2 = Column(float32)
class SubDataSetNewCol(SomeDataSet):
qux = Column(float64_dtype)
class Estimates(DataSetFamily):
"""
DataSetFamily representing Reuters estimates and actuals. In order to use
the data in a pipeline, it must first be sliced to generate a regular
pipeline DataSet.
Estimates can be sliced along three dimensions:
- `period_type` : the choices are 'Q' for quarterly or 'A' for annual or
'S' for semi-annual.
- `field` : the choices are 'Actual', 'Mean', 'High', 'Low', 'Median', 'NumOfEst',
or 'StdDev'. All fields except Actual refer to estimates.
- `period_offset` : must be set to 0. In the future this dimension will
allow requesting data from earlier periods.
Attributes
----------
BVPS : float
Book Value Per Share
CAPEX : float
Capital Expenditure
CPS : float
Cash Flow Per Share
DPS : float
Dividend Per Share
EBIT : float
Earnings Before Interest and Tax
EBITDA : float
Earnings Before Interest, Taxes, Depreciation and Amortization
EPS : float
Earnings Per Share Excluding Exceptional Items
EPSEBG : float
Earnings Per Share Before Goodwill
EPSREP : float
Earnings Per Share Reported
FFO : float
Funds From Operations Per Share
NAV : float
Net Asset Value Per Share
NDEBT : float
Net Debt
NPROFIT : float
Net Profit Excluding Exceptional Items
NPROFITEBG : float
Net Profit Before Goodwill
NPROFITREP : float
Net Profit Reported
OPROFIT : float
Operating Profit
PPROFIT : float
Pre-Tax Profit Excluding Exceptional Items
PPROFITEBG : float
Pre-Tax Profit Before Goodwill
PPROFITREP : float
Pre-Tax Profit Reported
REVENUE : float
Revenue
ROA : float
Return On Assets
ROE : float
Return On Equity
Examples
--------
Select stocks with high book values, using quarterly actuals:
>>> have_high_bvps = reuters.Estimates.slice(period_type="Q", field="Actual", period_offset=0).BVPS.latest.percentile_between(80, 100)
"""
extra_dims = [
('period_type', {'Q', 'A', 'S'}),
('field',
{'Actual', 'Mean', 'High', 'Low', 'Median', 'NumOfEst', 'StdDev'}),
('period_offset', {0}),
]
BVPS = Column(float64_dtype) # Book Value Per Share
CAPEX = Column(float64_dtype) # Capital Expenditure
CPS = Column(float64_dtype) # Cash Flow Per Share
DPS = Column(float64_dtype) # Dividend Per Share
EBIT = Column(float64_dtype) # Earnings Before Interest and Tax
EBITDA = Column(
float64_dtype
) # Earnings Before Interest, Taxes, Depreciation and Amortization
EPS = Column(
float64_dtype) # Earnings Per Share Excluding Exceptional Items
EPSEBG = Column(float64_dtype) # Earnings Per Share Before Goodwill
EPSREP = Column(float64_dtype) # Earnings Per Share Reported
FFO = Column(float64_dtype) # Funds From Operations Per Share
NAV = Column(float64_dtype) # Net Asset Value Per Share
NDEBT = Column(float64_dtype) # Net Debt
NPROFIT = Column(float64_dtype) # Net Profit Excluding Exceptional Items
NPROFITEBG = Column(float64_dtype) # Net Profit Before Goodwill
NPROFITREP = Column(float64_dtype) # Net Profit Reported
OPROFIT = Column(float64_dtype) # Operating Profit
PPROFIT = Column(
float64_dtype) # Pre-Tax Profit Excluding Exceptional Items
PPROFITEBG = Column(float64_dtype) # Pre-Tax Profit Before Goodwill
PPROFITREP = Column(float64_dtype) # Pre-Tax Profit Reported
REVENUE = Column(float64_dtype) # Revenue
ROA = Column(float64_dtype) # Return On Assets
ROE = Column(float64_dtype) # Return On Equity
class EventDataSet(DataSet):
previous_announcement = Column(datetime64ns_dtype)
class D(DataSet):
c = Column(bool)
class D(DataSet):
c1 = Column(float)
c2 = Column(bool)
c3 = Column(object)
class Child(Parent):
column_2 = Column("O")
column_3 = Column("i8", -1)
class MyDataSubclass(MyData):
col2 = Column(dtype=float)
class MyData(DataSet):
domain = domain_param
col1 = Column(dtype=float)
class MyData(DataSet):
col1 = Column(dtype=float)
col2 = Column(dtype=int, missing_value=100)
col3 = Column(dtype=object, missing_value="")
class EventDataSet(DataSet):
previous_event_date = Column(dtype=datetime64ns_dtype)
next_event_date = Column(dtype=datetime64ns_dtype)
previous_float = Column(dtype=float64_dtype)
next_float = Column(dtype=float64_dtype)
previous_datetime = Column(dtype=datetime64ns_dtype)
next_datetime = Column(dtype=datetime64ns_dtype)
previous_int = Column(dtype=int64_dtype, missing_value=-1)
next_int = Column(dtype=int64_dtype, missing_value=-1)
previous_string = Column(dtype=categorical_dtype, missing_value=None)
next_string = Column(dtype=categorical_dtype, missing_value=None)
previous_string_custom_missing = Column(
dtype=categorical_dtype,
missing_value=u"<<NULL>>",
)
next_string_custom_missing = Column(
dtype=categorical_dtype,
missing_value=u"<<NULL>>",
)
class D(DataSet):
c = Column(float)
class SomeDataSet(DataSet):
foo = Column(float64_dtype)
bar = Column(float64_dtype)
buzz = Column(float64_dtype)
class D(DataSet):
c = Column(float)
b = Column(bool)
class BadDataSet(DataSet):
bad_column = Column(dtype=int64_dtype)
float_column = Column(dtype=float64_dtype)
int_column = Column(dtype=int64_dtype, missing_value=3)
class Financials(DataSetFamily):
"""
DataSetFamily representing Reuters financials. In order to use
the data in a pipeline, it must first be sliced to generate a regular
pipeline DataSet.
Financials can be sliced along two dimensions:
- `interim` : True for interim financials and False for annual financials.
- `period_offset` : must be set to 0. In the future this dimension will
allow requesting data from earlier periods.
Attributes
----------
AACR : float
Accounts Receivable - Trade, Net
ACAE : float
Cash & Equivalents
ACSH : float
Cash
ADEP : float
Accumulated Depreciation, Total
AGWI : float
Goodwill, Net
AINT : float
Intangibles, Net
AITL : float
Total Inventory
ALTR : float
Note Receivable - Long Term
APPN : float
Property/Plant/Equipment, Total - Net
APPY : float
Prepaid Expenses
APTC : float
Property/Plant/Equipment, Total - Gross
ASTI : float
Short Term Investments
ATCA : float
Total Current Assets
ATOT : float
Total Assets
ATRC : float
Total Receivables, Net
CEIA : float
Equity In Affiliates
CGAP : float
U.S. GAAP Adjustment
CIAC : float
Income Available to Com Excl ExtraOrd
CMIN : float
Minority Interest
DDPS1 : float
DPS - Common Stock Primary Issue
EIBT : float
Net Income Before Taxes
ERAD : float
Research & Development
ETOE : float
Total Operating Expense
FCDP : float
Total Cash Dividends Paid
FPRD : float
Issuance (Retirement) of Debt, Net
FPSS : float
Issuance (Retirement) of Stock, Net
FTLF : float
Cash from Financing Activities
ITLI : float
Cash from Investing Activities
LAEX : float
Accrued Expenses
LAPB : float
Accounts Payable
LCLD : float
Current Port. of LT Debt/Capital Leases
LCLO : float
Capital Lease Obligations
LLTD : float
Long Term Debt
LMIN : float
Minority Interest
LPBA : float
Payable/Accrued
LSTD : float
Notes Payable/Short Term Debt
LTCL : float
Total Current Liabilities
LTLL : float
Total Liabilities
LTTD : float
Total Long Term Debt
NGLA : float
Gain (Loss) on Sale of Assets
NIBX : float
Net Income Before Extra. Items
NINC : float
Net Income
OBDT : float
Deferred Taxes
ONET : float
Net Income/Starting Line
OTLO : float
Cash from Operating Activities
QEDG : float
ESOP Debt Guarantee
QPIC : float
Additional Paid-In Capital
QRED : float
Retained Earnings (Accumulated Deficit)
QTCO : float
Total Common Shares Outstanding
QTEL : float
Total Liabilities & Shareholders' Equity
QTLE : float
Total Equity
QTPO : float
Total Preferred Shares Outstanding
QTSC : float
Treasury Stock - Common
QUGL : float
Unrealized Gain (Loss)
RTLR : float
Total Revenue
SAMT : float
Amortization
SANI : float
Total Adjustments to Net Income
SBDT : float
Deferred Income Tax
SCEX : float
Capital Expenditures
SCIP : float
Cash Interest Paid
SCMS : float
Common Stock, Total
SCOR : float
Cost of Revenue, Total
SCSI : float
Cash and Short Term Investments
SCTP : float
Cash Taxes Paid
SDAJ : float
Dilution Adjustment
SDBF : float
Diluted EPS Excluding ExtraOrd Items
SDED : float
Depreciation/Depletion
SDNI : float
Diluted Net Income
SDPR : float
Depreciation/Amortization
SDWS : float
Diluted Weighted Average Shares
SFCF : float
Financing Cash Flow Items
SFEE : float
Foreign Exchange Effects
SGRP : float
Gross Profit
SICF : float
Other Investing Cash Flow Items, Total
SINN : float
Interest Exp.(Inc.),Net-Operating, Total
SINV : float
Long Term Investments
SLTL : float
Other Liabilities, Total
SNCC : float
Net Change in Cash
SNCI : float
Non-Cash Items
SNIN : float
Interest Inc.(Exp.),Net-Non-Op., Total
SOCA : float
Other Current Assets, Total
SOCF : float
Changes in Working Capital
SOCL : float
Other Current liabilities, Total
SOLA : float
Other Long Term Assets, Total
SONT : float
Other, Net
SOOE : float
Other Operating Expenses, Total
SOPI : float
Operating Income
SORE : float
Other Revenue, Total
SOTE : float
Other Equity, Total
SPRS : float
Preferred Stock - Non Redeemable, Net
SREV : float
Revenue
SRPR : float
Redeemable Preferred Stock, Total
SSGA : float
Selling/General/Admin. Expenses, Total
STBP : float
Tangible Book Value per Share, Common Eq
STLD : float
Total Debt
STXI : float
Total Extraordinary Items
SUIE : float
Unusual Expense (Income)
TIAT : float
Net Income After Taxes
TTAX : float
Provision for Income Taxes
VDES : float
Diluted Normalized EPS
XNIC : float
Income Available to Com Incl ExtraOrd
Examples
--------
Create a CustomFactor for PB ratio, using annual financials:
>>> annual_financials = reuters.Financials.slice(interim=False, period_offset=0)
>>> class PriceBookRatio(CustomFactor):
inputs = [
EquityPricing.close,
annual_financials.ATOT, # total assets
annual_financials.LTLL, # total liabilities
annual_financials.QTCO # common shares outstanding
]
window_length = 1
def compute(self, today, assets, out, closes, tot_assets, tot_liabilities, shares_out):
book_values_per_share = (tot_assets - tot_liabilities)/shares_out
pb_ratios = closes/book_values_per_share
out[:] = pb_ratios
"""
extra_dims = [
('interim', {True, False}),
('period_offset', {0}),
]
SCMS = Column(float64_dtype) # Common Stock, Total
VDES = Column(float64_dtype) # Diluted Normalized EPS
SDNI = Column(float64_dtype) # Diluted Net Income
SPRS = Column(float64_dtype) # Preferred Stock - Non Redeemable, Net
SOPI = Column(float64_dtype) # Operating Income
LAPB = Column(float64_dtype) # Accounts Payable
NINC = Column(float64_dtype) # Net Income
SOCL = Column(float64_dtype) # Other Current liabilities, Total
ETOE = Column(float64_dtype) # Total Operating Expense
SOLA = Column(float64_dtype) # Other Long Term Assets, Total
SREV = Column(float64_dtype) # Revenue
LAEX = Column(float64_dtype) # Accrued Expenses
XNIC = Column(float64_dtype) # Income Available to Com Incl ExtraOrd
SUIE = Column(float64_dtype) # Unusual Expense (Income)
APTC = Column(float64_dtype) # Property/Plant/Equipment, Total - Gross
SOBL = Column(float64_dtype) # Other Bearing Liabilities, Total
SNII = Column(float64_dtype) # Non-Interest Income, Bank
CEIA = Column(float64_dtype) # Equity In Affiliates
ERAD = Column(float64_dtype) # Research & Development
SDBF = Column(float64_dtype) # Diluted EPS Excluding ExtraOrd Items
SDWS = Column(float64_dtype) # Diluted Weighted Average Shares
SORE = Column(float64_dtype) # Other Revenue, Total
SCEX = Column(float64_dtype) # Capital Expenditures
ELLP = Column(float64_dtype) # Loan Loss Provision
ACSH = Column(float64_dtype) # Cash
AACR = Column(float64_dtype) # Accounts Receivable - Trade, Net
SCOR = Column(float64_dtype) # Cost of Revenue, Total
SUPN = Column(float64_dtype) # Total Utility Plant, Net
EIBT = Column(float64_dtype) # Net Income Before Taxes
AGWI = Column(float64_dtype) # Goodwill, Net
SCIP = Column(float64_dtype) # Cash Interest Paid
SDED = Column(float64_dtype) # Depreciation/Depletion
RNII = Column(float64_dtype) # Net Investment Income
ADPA = Column(float64_dtype) # Deferred Policy Acquisition Costs
SONT = Column(float64_dtype) # Other, Net
CGAP = Column(float64_dtype) # U.S. GAAP Adjustment
AINT = Column(float64_dtype) # Intangibles, Net
SGRP = Column(float64_dtype) # Gross Profit
SNIE = Column(float64_dtype) # Non-Interest Expense, Bank
EDOE = Column(float64_dtype) # Operations & Maintenance
SSGA = Column(float64_dtype) # Selling/General/Admin. Expenses, Total
SNIN = Column(float64_dtype) # Interest Inc.(Exp.),Net-Non-Op., Total
QTSC = Column(float64_dtype) # Treasury Stock - Common
OCPD = Column(float64_dtype) # Cash Payments
OBDT = Column(float64_dtype) # Deferred Taxes
TTAX = Column(float64_dtype) # Provision for Income Taxes
LPBA = Column(float64_dtype) # Payable/Accrued
QRED = Column(float64_dtype) # Retained Earnings (Accumulated Deficit)
SCSI = Column(float64_dtype) # Cash and Short Term Investments
SIAP = Column(float64_dtype) # Net Interest Inc. After Loan Loss Prov.
ANTL = Column(float64_dtype) # Net Loans
QTCO = Column(float64_dtype) # Total Common Shares Outstanding
LDBT = Column(float64_dtype) # Total Deposits
SANI = Column(float64_dtype) # Total Adjustments to Net Income
AITL = Column(float64_dtype) # Total Inventory
ATRC = Column(float64_dtype) # Total Receivables, Net
SBDT = Column(float64_dtype) # Deferred Income Tax
ASTI = Column(float64_dtype) # Short Term Investments
OTLO = Column(float64_dtype) # Cash from Operating Activities
OCRC = Column(float64_dtype) # Cash Receipts
RRGL = Column(float64_dtype) # Realized & Unrealized Gains (Losses)
STLD = Column(float64_dtype) # Total Debt
LTTD = Column(float64_dtype) # Total Long Term Debt
LTLL = Column(float64_dtype) # Total Liabilities
APPN = Column(float64_dtype) # Property/Plant/Equipment, Total - Net
SCTP = Column(float64_dtype) # Cash Taxes Paid
SLTL = Column(float64_dtype) # Other Liabilities, Total
DDPS1 = Column(float64_dtype) # DPS - Common Stock Primary Issue
SRPR = Column(float64_dtype) # Redeemable Preferred Stock, Total
ITLI = Column(float64_dtype) # Cash from Investing Activities
ONET = Column(float64_dtype) # Net Income/Starting Line
SDPR = Column(float64_dtype) # Depreciation/Amortization
STIE = Column(float64_dtype) # Total Interest Expense
APRE = Column(float64_dtype) # Insurance Receivables
SNCC = Column(float64_dtype) # Net Change in Cash
SFCF = Column(float64_dtype) # Financing Cash Flow Items
SINN = Column(float64_dtype) # Interest Exp.(Inc.),Net-Operating, Total
CMIN = Column(float64_dtype) # Minority Interest
SOAT = Column(float64_dtype) # Other Assets, Total
SNCI = Column(float64_dtype) # Non-Cash Items
LCLD = Column(float64_dtype) # Current Port. of LT Debt/Capital Leases
SDAJ = Column(float64_dtype) # Dilution Adjustment
SIIB = Column(float64_dtype) # Interest Income, Bank
QUGL = Column(float64_dtype) # Unrealized Gain (Loss)
NIBX = Column(float64_dtype) # Net Income Before Extra. Items
SOOE = Column(float64_dtype) # Other Operating Expenses, Total
SAMT = Column(float64_dtype) # Amortization
SFEE = Column(float64_dtype) # Foreign Exchange Effects
STXI = Column(float64_dtype) # Total Extraordinary Items
APPY = Column(float64_dtype) # Prepaid Expenses
EFEX = Column(float64_dtype) # Fuel Expense
QTPO = Column(float64_dtype) # Total Preferred Shares Outstanding
NGLA = Column(float64_dtype) # Gain (Loss) on Sale of Assets
SINV = Column(float64_dtype) # Long Term Investments
SOCA = Column(float64_dtype) # Other Current Assets, Total
FCDP = Column(float64_dtype) # Total Cash Dividends Paid
FPSS = Column(float64_dtype) # Issuance (Retirement) of Stock, Net
RTLR = Column(float64_dtype) # Total Revenue
ACDB = Column(float64_dtype) # Cash & Due from Banks
TIAT = Column(float64_dtype) # Net Income After Taxes
SOEA = Column(float64_dtype) # Other Earning Assets, Total
SOTE = Column(float64_dtype) # Other Equity, Total
SPOL = Column(float64_dtype) # Policy Liabilities
NAFC = Column(float64_dtype) # Allowance for Funds Used During Const.
QPIC = Column(float64_dtype) # Additional Paid-In Capital
QTLE = Column(float64_dtype) # Total Equity
ACAE = Column(float64_dtype) # Cash & Equivalents
FPRD = Column(float64_dtype) # Issuance (Retirement) of Debt, Net
ALTR = Column(float64_dtype) # Note Receivable - Long Term
SLBA = Column(float64_dtype) # Losses, Benefits, and Adjustments, Total
ATCA = Column(float64_dtype) # Total Current Assets
SOCF = Column(float64_dtype) # Changes in Working Capital
LCLO = Column(float64_dtype) # Capital Lease Obligations
LSTD = Column(float64_dtype) # Notes Payable/Short Term Debt
STBP = Column(float64_dtype) # Tangible Book Value per Share, Common Eq
SICF = Column(float64_dtype) # Other Investing Cash Flow Items, Total
ENII = Column(float64_dtype) # Net Interest Income
QTEL = Column(float64_dtype) # Total Liabilities & Shareholders' Equity
FTLF = Column(float64_dtype) # Cash from Financing Activities
LTCL = Column(float64_dtype) # Total Current Liabilities
SPRE = Column(float64_dtype) # Total Premiums Earned
LSTB = Column(float64_dtype) # Total Short Term Borrowings
EPAC = Column(float64_dtype) # Amortization of Policy Acquisition Costs
LLTD = Column(float64_dtype) # Long Term Debt
ATOT = Column(float64_dtype) # Total Assets
CIAC = Column(float64_dtype) # Income Available to Com Excl ExtraOrd
QEDG = Column(float64_dtype) # ESOP Debt Guarantee
LMIN = Column(float64_dtype) # Minority Interest
ADEP = Column(float64_dtype) # Accumulated Depreciation, Total