def get_data_coordinate(
self,
measure: DataMeasure,
dimensions: Optional[DataDimensions] = None,
frequency: DataFrequency = DataFrequency.ANY
) -> BaseDataCoordinate:
"""
Get data coordinate
:param measure: measure to get as series
:param dimensions: dimensions to query (e.g. tenor)
:param frequency: data frequency to query
:return: DataCoordinate
**Usage**
Get a given data coordinate for the asset and measure
**Examples**
Get close price series:
>>> from gs_quant.markets.securities import SecurityMaster
>>> from gs_quant.data import DataMeasure
>>>
>>> gs = SecurityMaster.get_asset("GS", AssetIdentifier.TICKER)
>>> gs.get_data_coordinate(DataMeasure.CLOSE_PRICE)
**See also**
:class:`DataMeasure`
"""
asset_id = self.get_identifier(AssetIdentifier.MARQUEE_ID)
data_providers = GsDataApi.get_data_providers(asset_id)
available = data_providers.get(measure.value, {})
daily_dataset_id = available.get(DataFrequency.DAILY)
rt_dataset_id = available.get(DataFrequency.REAL_TIME)
dimensions = dimensions or {}
dimensions['assetId'] = asset_id
if frequency == DataFrequency.DAILY:
return DataCoordinate(dataset_id=daily_dataset_id,
measure=measure,
dimensions=dimensions)
if frequency == DataFrequency.REAL_TIME:
return DataCoordinate(dataset_id=rt_dataset_id,
measure=measure,
dimensions=dimensions)
def get_benchmark_coordinate(self) -> DataQueryInfo:
coordinate = DataCoordinate(measure=DataMeasure.CLOSE_PRICE,
frequency=DataFrequency.DAILY)
data_query = DataQuery(coordinate=coordinate,
start=self.start,
end=self.end)
return DataQueryInfo('benchmark', None, data_query, self.benchmark)
def get_excess_returns_query(self) -> DataQueryInfo:
marquee_id = SharpeAssets[self.currency.value].value
entity = Stock(marquee_id, "", "")
coordinate: DataCoordinate = DataCoordinate(
measure=DataMeasure.CLOSE_PRICE,
frequency=DataFrequency.DAILY
)
data_query: DataQuery = DataQuery(coordinate=coordinate, start=self.start, end=self.end)
return DataQueryInfo('excess_returns', None, data_query, entity)