valuein-sdk 0.1.1__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- valuein_sdk-0.1.1/.gitignore +124 -0
- valuein_sdk-0.1.1/LICENSE +201 -0
- valuein_sdk-0.1.1/NOTICE +4 -0
- valuein_sdk-0.1.1/PKG-INFO +155 -0
- valuein_sdk-0.1.1/README.md +118 -0
- valuein_sdk-0.1.1/alpha-showcase/README.md +172 -0
- valuein_sdk-0.1.1/pyproject.toml +63 -0
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### Python template
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utils/pipeline_state*
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# Byte-compiled / optimized / DLL files
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__pycache__/
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*.pyc
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*.py[cod]
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*$py.class
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# C extensions
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*.so
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# Operating system / IDE files
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.DS_Store
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*.swp
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# Distribution / packaging
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.Python
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build/
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develop-eggs/
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dist/
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downloads/
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eggs/
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.eggs/
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lib/
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lib64/
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parts/
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sdist/
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var/
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wheels/
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share/python-wheels/
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*.egg-info/
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.installed.cfg
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*.egg
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MANIFEST
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# PyInstaller
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# Usually these files are written by a python script from a template
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# before PyInstaller builds the exe, so as to inject date/other infos into it.
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*.manifest
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*.spec
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# Installer logs
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pip-log.txt
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pip-delete-this-directory.txt
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# Unit test / coverage reports
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htmlcov/
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.tox/
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.nox/
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.coverage
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.coverage.*
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.cache
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nosetests.xml
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coverage.xml
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*.cover
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*.py,cover
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.hypothesis/
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.pytest_cache/
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cover/
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# Translations
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*.mo
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*.pot
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# PyBuilder
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target/
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# PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm
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__pypackages__/
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# Celery stuff
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celerybeat-schedule
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celerybeat.pid
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# SageMath parsed files
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*.sage.py
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# Environments
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.env
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.venv
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.uv/
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env/
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venv/
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ENV/
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env.bak/
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venv.bak/
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# Spyder project settings
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.spyderproject
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.spyproject
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# Rope project settings
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.ropeproject
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# mkdocs documentation
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/site
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# mypy
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.mypy_cache/
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.dmypy.json
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dmypy.json
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# Pyre type checker
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# pytype static type analyzer
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# Cython debug symbols
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cython_debug/
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# VS Code
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# Sublime Text
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*.sublime-project
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*.sublime-workspace
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# Pycharm
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.idea
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*.db
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Apache License
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Version 2.0, January 2004
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See the License for the specific language governing permissions and
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limitations under the License.
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Metadata-Version: 2.4
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Name: valuein-sdk
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Version: 0.1.1
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Summary: Official Python SDK for the Valuein US Core Fundamentals dataset — SEC EDGAR financials via API.
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Project-URL: Homepage, https://valuein.biz
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Project-URL: Documentation, https://valuein.biz/docs
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Project-URL: Repository, https://github.com/valuein/quants
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Project-URL: Bug Tracker, https://github.com/valuein/quants/issues
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Author-email: Valuein Data Engineering <support@valuein.biz>
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License: Apache-2.0
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License-File: LICENSE
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License-File: NOTICE
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Keywords: EDGAR,SEC,duckdb,finance,fundamentals,parquet
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Classifier: Intended Audience :: Developers
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Classifier: Intended Audience :: Financial and Insurance Industry
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Classifier: License :: OSI Approved :: Apache Software License
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Classifier: Programming Language :: Python :: 3
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Classifier: Programming Language :: Python :: 3.11
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Classifier: Programming Language :: Python :: 3.12
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Classifier: Topic :: Office/Business :: Financial :: Investment
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Classifier: Topic :: Scientific/Engineering :: Information Analysis
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Requires-Python: >=3.11
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Requires-Dist: duckdb>=1.1.0
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Requires-Dist: pandas>=2.0.0
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Requires-Dist: pyarrow>=14.0.0
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Requires-Dist: python-dotenv>=1.0.0
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Requires-Dist: requests>=2.32.0
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Provides-Extra: research
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Requires-Dist: ipykernel>=6.29.0; extra == 'research'
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Requires-Dist: jupytext>=1.16.0; extra == 'research'
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Requires-Dist: matplotlib>=3.8.0; extra == 'research'
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Requires-Dist: numpy>=1.26.0; extra == 'research'
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Provides-Extra: test
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Requires-Dist: pytest-cov>=4.1.0; extra == 'test'
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Requires-Dist: pytest>=9.0.0; extra == 'test'
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Description-Content-Type: text/markdown
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# 🏛️ Valuein Financial Data Essentials (FDE) - Public Resources
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[]()
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[]()
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[]()
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**Professional-grade SEC financial data for financial analysts, quantitative researchers, data engineers, and investment teams.**
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## 👋 Welcome
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This repository is the official integration hub for the Valuein Financial Data Essentials feed. It hosts our Python SDK, issue tracker, schema definitions, and production usage patterns.
|
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49
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Our dataset includes all US public companies since 1990 (active and inactive). Both our sample and full datasets are Point-in-Time (PIT) and Survivorship-bias FREE.
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## 📦 Installation
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The SDK is built on top of DuckDB for lightning-fast analytical queries directly against our R2-backed data lake.
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* 1. Install the SDK
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Install directly from GitHub using pip:
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```bash
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pip install git+https://github.com/valuein/quants.git
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```
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### 2. Configure Credentials (.env)
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The SDK automatically looks for a .env file or environment variables. Create a .env file in your project root:
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```bash
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# .env
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ACCOUNT_ID=account_id
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ACCESS_KEY_ID=your_sample_access_key
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SECRET_ACCESS_KEY=your_sample_secret_key
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BUCKET_NAME=sec-sample-data
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```
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> ### 🔑 Request Sample Data Access
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> **To get free credentials for the S&P500 (historical) dataset, [Click Here](https://valuein.biz/sample-sec-data-request-access) 🚀**
|
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FYI. Our full dataset include all US public companies since 1990 including active and inactive ones (bankrupts and mergers). Both datasets are PIT and Survivor-bias FREE.
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---
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## 🚀 Quickstart
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The SDK handles the complex DuckDB/S3 connection logic, allowing you to focus on the data.
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### Option A: Standard SQL
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Run raw SQL against our standardized views (entity, security, filing, fact, etc.).
|
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```python
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from valuein_sec_sdk import ValueinClient
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client = ValueinClient()
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# Query NVIDIA's latest Revenue
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df = client.query("""
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SELECT s.symbol, f.report_date, fa.numeric_value
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FROM security s
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JOIN filing f ON s.entity_id = f.entity_id
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JOIN fact fa ON f.accession_id = fa.accession_id
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WHERE s.symbol = 'NVDA' AND fa.standard_concept = 'Revenues'
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ORDER BY f.report_date DESC LIMIT 5
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""")
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print(df)
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```
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### Option B: Use Built-in Templates
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|
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```python
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# Run a pre-built fundamental analysis template
|
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from valuein_sec_sdk import ValueinClient
|
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client = ValueinClient()
|
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df = client.run_showcase_query(
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query_name="01_fundamentals_by_ticker",
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ticker="AAPL",
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metrics=["NetIncomeLoss", "Revenues"],
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start_date="2022-01-01"
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)
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```
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## 📚 Resources & Examples
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Explore the /examples directory to see the SDK in action:
|
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|
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| Use Case | File | Description |
|
|
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|:------------------|:----------------------------------------------------------------|:---------------------------------------------------------|
|
|
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|
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| **New Users** | [`examples/getting_started.py`](examples/getting_started.py) | The 5 core join patterns (Ticker-to-Fact, Taxonomy, etc.)|
|
|
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|
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| **SDK Usage** | [`examples/usage.py`](examples/usage.py) | How to use templates and pivot data for modeling. |
|
|
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|
+
|
|
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## 📚 Documentation
|
|
129
|
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* [**Data Catalog**](docs/DATA_CATALOG.xlsx): This Valuein Data Catalog serves as a massive 105M-facts dataset and the daily workflows of institutional analysts by providing transparent governance, clear taxonomy definitions, and high-performance API integration instructions.
|
|
130
|
+
* [**Compliance and DDQ**](docs/COMPLIANCE_AND_DDQ.md): Due Diligence Questionnaire, data sourcing disclosures, and SOC2/Governance standards.
|
|
131
|
+
* [**Schema Guide**](docs/SCHEMAS.md): Entity-Relationship Diagrams (ERD) and primary key mapping across the warehouse.
|
|
132
|
+
* [**Methodology Guide**](docs/METHODOLOGY.md): Our logic for handling restatements, fiscal period alignment, and Point-in-Time (PIT) integrity.
|
|
133
|
+
|
|
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|
+
## 🛡️ Data Governance & Methodology
|
|
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|
+
We adhere to strict standards to ensure institutional-grade reliability.
|
|
136
|
+
|
|
137
|
+
* **SLA Policy**: Our commitment to 99.9% uptime and <2min SEC filing latency.
|
|
138
|
+
* * **Methodology**: We preserve "as-reported" history to support true point-in-time backtesting.
|
|
139
|
+
* **Restatement Handling**: We preserve "as-reported" history to support true point-in-time backtesting.
|
|
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|
+
|
|
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|
+
|
|
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|
+
## 🆘 Support & Community
|
|
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|
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* **Found a data error?** [Open a Data Ticket](https://github.com/valuein/quants/issues/new?template=01_data_quality_report.md)
|
|
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|
+
* **General Question?** [Start a Discussion](https://github.com/valuein/quants/discussions)
|
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+
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|
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|
+
|
|
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|
+
---
|
|
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|
+
|
|
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|
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⚠️ Disclaimer: This software is for educational and research purposes only. Valuein is not responsible for financial losses incurred through the use of this SDK.
|
|
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|
+
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|
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---
|
|
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## License
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This project is licensed under the Apache-2.0 License. See the `LICENSE` file for more information.
|
|
@@ -0,0 +1,118 @@
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|
1
|
+
# 🏛️ Valuein Financial Data Essentials (FDE) - Public Resources
|
|
2
|
+
|
|
3
|
+
[]()
|
|
4
|
+
[]()
|
|
5
|
+
[]()
|
|
6
|
+
|
|
7
|
+
**Professional-grade SEC financial data for financial analysts, quantitative researchers, data engineers, and investment teams.**
|
|
8
|
+
|
|
9
|
+
## 👋 Welcome
|
|
10
|
+
|
|
11
|
+
This repository is the official integration hub for the Valuein Financial Data Essentials feed. It hosts our Python SDK, issue tracker, schema definitions, and production usage patterns.
|
|
12
|
+
|
|
13
|
+
Our dataset includes all US public companies since 1990 (active and inactive). Both our sample and full datasets are Point-in-Time (PIT) and Survivorship-bias FREE.
|
|
14
|
+
|
|
15
|
+
## 📦 Installation
|
|
16
|
+
The SDK is built on top of DuckDB for lightning-fast analytical queries directly against our R2-backed data lake.
|
|
17
|
+
|
|
18
|
+
* 1. Install the SDK
|
|
19
|
+
Install directly from GitHub using pip:
|
|
20
|
+
|
|
21
|
+
```bash
|
|
22
|
+
pip install git+https://github.com/valuein/quants.git
|
|
23
|
+
```
|
|
24
|
+
|
|
25
|
+
### 2. Configure Credentials (.env)
|
|
26
|
+
|
|
27
|
+
The SDK automatically looks for a .env file or environment variables. Create a .env file in your project root:
|
|
28
|
+
|
|
29
|
+
```bash
|
|
30
|
+
# .env
|
|
31
|
+
ACCOUNT_ID=account_id
|
|
32
|
+
ACCESS_KEY_ID=your_sample_access_key
|
|
33
|
+
SECRET_ACCESS_KEY=your_sample_secret_key
|
|
34
|
+
BUCKET_NAME=sec-sample-data
|
|
35
|
+
```
|
|
36
|
+
|
|
37
|
+
> ### 🔑 Request Sample Data Access
|
|
38
|
+
> **To get free credentials for the S&P500 (historical) dataset, [Click Here](https://valuein.biz/sample-sec-data-request-access) 🚀**
|
|
39
|
+
|
|
40
|
+
FYI. Our full dataset include all US public companies since 1990 including active and inactive ones (bankrupts and mergers). Both datasets are PIT and Survivor-bias FREE.
|
|
41
|
+
|
|
42
|
+
---
|
|
43
|
+
|
|
44
|
+
## 🚀 Quickstart
|
|
45
|
+
The SDK handles the complex DuckDB/S3 connection logic, allowing you to focus on the data.
|
|
46
|
+
|
|
47
|
+
### Option A: Standard SQL
|
|
48
|
+
Run raw SQL against our standardized views (entity, security, filing, fact, etc.).
|
|
49
|
+
|
|
50
|
+
```python
|
|
51
|
+
from valuein_sec_sdk import ValueinClient
|
|
52
|
+
|
|
53
|
+
client = ValueinClient()
|
|
54
|
+
|
|
55
|
+
# Query NVIDIA's latest Revenue
|
|
56
|
+
df = client.query("""
|
|
57
|
+
SELECT s.symbol, f.report_date, fa.numeric_value
|
|
58
|
+
FROM security s
|
|
59
|
+
JOIN filing f ON s.entity_id = f.entity_id
|
|
60
|
+
JOIN fact fa ON f.accession_id = fa.accession_id
|
|
61
|
+
WHERE s.symbol = 'NVDA' AND fa.standard_concept = 'Revenues'
|
|
62
|
+
ORDER BY f.report_date DESC LIMIT 5
|
|
63
|
+
""")
|
|
64
|
+
print(df)
|
|
65
|
+
```
|
|
66
|
+
|
|
67
|
+
### Option B: Use Built-in Templates
|
|
68
|
+
|
|
69
|
+
```python
|
|
70
|
+
# Run a pre-built fundamental analysis template
|
|
71
|
+
from valuein_sec_sdk import ValueinClient
|
|
72
|
+
|
|
73
|
+
client = ValueinClient()
|
|
74
|
+
df = client.run_showcase_query(
|
|
75
|
+
query_name="01_fundamentals_by_ticker",
|
|
76
|
+
ticker="AAPL",
|
|
77
|
+
metrics=["NetIncomeLoss", "Revenues"],
|
|
78
|
+
start_date="2022-01-01"
|
|
79
|
+
)
|
|
80
|
+
```
|
|
81
|
+
|
|
82
|
+
## 📚 Resources & Examples
|
|
83
|
+
|
|
84
|
+
Explore the /examples directory to see the SDK in action:
|
|
85
|
+
|
|
86
|
+
| Use Case | File | Description |
|
|
87
|
+
|:------------------|:----------------------------------------------------------------|:---------------------------------------------------------|
|
|
88
|
+
| **New Users** | [`examples/getting_started.py`](examples/getting_started.py) | The 5 core join patterns (Ticker-to-Fact, Taxonomy, etc.)|
|
|
89
|
+
| **SDK Usage** | [`examples/usage.py`](examples/usage.py) | How to use templates and pivot data for modeling. |
|
|
90
|
+
|
|
91
|
+
## 📚 Documentation
|
|
92
|
+
* [**Data Catalog**](docs/DATA_CATALOG.xlsx): This Valuein Data Catalog serves as a massive 105M-facts dataset and the daily workflows of institutional analysts by providing transparent governance, clear taxonomy definitions, and high-performance API integration instructions.
|
|
93
|
+
* [**Compliance and DDQ**](docs/COMPLIANCE_AND_DDQ.md): Due Diligence Questionnaire, data sourcing disclosures, and SOC2/Governance standards.
|
|
94
|
+
* [**Schema Guide**](docs/SCHEMAS.md): Entity-Relationship Diagrams (ERD) and primary key mapping across the warehouse.
|
|
95
|
+
* [**Methodology Guide**](docs/METHODOLOGY.md): Our logic for handling restatements, fiscal period alignment, and Point-in-Time (PIT) integrity.
|
|
96
|
+
|
|
97
|
+
## 🛡️ Data Governance & Methodology
|
|
98
|
+
We adhere to strict standards to ensure institutional-grade reliability.
|
|
99
|
+
|
|
100
|
+
* **SLA Policy**: Our commitment to 99.9% uptime and <2min SEC filing latency.
|
|
101
|
+
* * **Methodology**: We preserve "as-reported" history to support true point-in-time backtesting.
|
|
102
|
+
* **Restatement Handling**: We preserve "as-reported" history to support true point-in-time backtesting.
|
|
103
|
+
|
|
104
|
+
|
|
105
|
+
## 🆘 Support & Community
|
|
106
|
+
* **Found a data error?** [Open a Data Ticket](https://github.com/valuein/quants/issues/new?template=01_data_quality_report.md)
|
|
107
|
+
* **General Question?** [Start a Discussion](https://github.com/valuein/quants/discussions)
|
|
108
|
+
|
|
109
|
+
|
|
110
|
+
---
|
|
111
|
+
|
|
112
|
+
⚠️ Disclaimer: This software is for educational and research purposes only. Valuein is not responsible for financial losses incurred through the use of this SDK.
|
|
113
|
+
|
|
114
|
+
---
|
|
115
|
+
|
|
116
|
+
## License
|
|
117
|
+
|
|
118
|
+
This project is licensed under the Apache-2.0 License. See the `LICENSE` file for more information.
|
|
@@ -0,0 +1,172 @@
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1
|
+
# SEC Alpha Showcase: Institutional Grade Financial Data
|
|
2
|
+
|
|
3
|
+
Welcome to the SEC Alpha Showcase. This repository provides executable engineering scripts and analytical modules demonstrating how to extract alpha from our high-fidelity, dual-exported SEC data feed.
|
|
4
|
+
|
|
5
|
+
Our pipeline parses, standardizes, and delivers point-in-time SEC filings (10-K, 10-Q, 8-K, 20-F and their amendments) mapped to the S&P 500 (Sample Dataset) and the broader US equity market (Production) since 1990. Delivered via ZSTD-compressed Parquet files hosted on Cloudflare R2, our architecture enables lightning-fast, zero-copy analytics using highly efficient columnar engines like DuckDB.
|
|
6
|
+
|
|
7
|
+
---
|
|
8
|
+
|
|
9
|
+
## 🏛️ The Architecture: Zero-Copy Cloud Data Lake
|
|
10
|
+
|
|
11
|
+
Institutional data engineering is traditionally plagued by massive ETL pipelines, redundant storage costs, and stale database syncs. We bypassed this entirely by separating storage from compute.
|
|
12
|
+
|
|
13
|
+
Our delivery mechanism allows your quantitative and fundamental teams to query over **105 million standardized financial facts in milliseconds, directly over the network, with zero local storage required.**
|
|
14
|
+
|
|
15
|
+
* **The Storage (Cloudflare R2):** Data is exported daily into heavily compressed, columnar Parquet files via a Blue/Green deployment model. A dynamic `manifest.json` ensures you are always querying the latest immutable snapshot with zero downtime.
|
|
16
|
+
* **The Compute (DuckDB + PyArrow):** Using the `httpfs` extension, DuckDB executes queries directly against our R2 bucket. Because Parquet is columnar, DuckDB only downloads the specific bytes required for your query—not the whole file.
|
|
17
|
+
* **The Result:** You can run complex cross-sectional backtests across the entire US equity market directly from a Jupyter Notebook on your laptop, without downloading a single megabyte to your local hard drive.
|
|
18
|
+
|
|
19
|
+
---
|
|
20
|
+
|
|
21
|
+
## 🏗️ Repository Structure
|
|
22
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+
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This showcase is divided into four domains tailored to specific institutional workflows:
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### 1. 🛡️ Quality Assurance & Proofs (`/quality_proof`)
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26
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Quants require pristine data. These scripts execute directly against our dataset to prove the absence of systemic data errors.
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* **`01_survivorship_bias_proof.py`**: Proves the dataset retains complete financial histories for defunct, bankrupt, and acquired companies (historical S&P 500 constituents).
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* **`02_point_in_time_proof.py`**: Proves strict Point-In-Time (PIT) architecture by calculating the exact "Reporting Lag" between a fiscal `period_end` and the public `filing_date` to guarantee no look-ahead bias.
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29
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+
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### 2. 📊 Quantitative Research (`/quantitative_analysis`)
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For Systematic Quants running cross-sectional backtests and signal generation.
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* **`01_piotroski_f_score_backtest.py`**: Calculates the 9-point Piotroski F-Score utilizing window functions across the entire universe simultaneously to identify value stocks with improving financial health.
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* **`02_post_earnings_announcement_drift.py`**: Evaluates Post-Earnings Announcement Drift (PEAD) by joining point-in-time SEC EPS data with trailing market pricing.
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+
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35
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### 3. 💼 Fundamental Analysis (`/fundamental_analysis`)
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For discretionary Equity Analysts focusing on deep company teardowns.
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* **`01_sp500_value_screener.py`**: A cross-sectional screener joining facts and SEC taxonomy maps to identify high Free Cash Flow yield and conservative leverage.
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* **`02_dcf_and_roic_teardown.py`**: Reconstructs a historical Return on Invested Capital (ROIC) trendline for a single ticker to quantitatively assess economic moats.
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39
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+
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40
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+
### 4. 🛠️ Data Engineering (`/engineering`)
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For Data Engineers integrating our feed into local data lakes or cloud warehouses.
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* **`r2_inspector.py`**: Query the live Cloudflare R2 bucket directly over the network using DuckDB.
|
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43
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+
* **`bulk_sync_to_local.py`**: A pure-Python Boto3 script to safely and incrementally mirror the latest daily release to your local storage.
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+
|
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45
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+
---
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46
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+
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47
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+
### 3. Running the Showcases
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+
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+
The showcases in this repository are provided as interactive Python scripts formatted with # %% markers (Scientific Mode).
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+
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* Using PyCharm / VS Code: Open any .py file in the notebooks/ directories. Your IDE will recognize the # %% markers and allow you to run the file cell-by-cell interactively.
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+
|
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53
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+
* Using Jupyter: If you prefer standard .ipynb files, you can easily convert the provided scripts using jupytext:
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+
|
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55
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+
```bash
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pip install jupytext
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jupytext --to notebook engineering/notebooks/quickstart.py
|
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58
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+
```
|
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59
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+
|
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60
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+
## Data Schema Overview
|
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61
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+
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62
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+
The dataset is fully normalized for institutional quantitative research. It separates the legal entity from the tradeable security, tracks filing metadata, and provides a strictly Point-in-Time (PiT) fact table for fundamental metrics.
|
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63
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+
|
|
64
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+
|
|
65
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+
### 1. `entity` (The Legal Structure)
|
|
66
|
+
Tracks the corporate metadata for the issuing company.
|
|
67
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+
* **Primary Key:** `cik` (Central Index Key)
|
|
68
|
+
|
|
69
|
+
| Column | Type | Description |
|
|
70
|
+
| :--- | :--- | :--- |
|
|
71
|
+
| `cik` | String | The 10-digit SEC identifier. |
|
|
72
|
+
| `name` / `lei` / `ein` | String | Corporate name and legal identifiers. |
|
|
73
|
+
| `industry` / `sector` / `sic_code` | String | Standardized industry classifications. |
|
|
74
|
+
| `fiscal_year_end` | String | The month and day the fiscal year ends. |
|
|
75
|
+
| `status` | String | Active or inactive status of the entity. |
|
|
76
|
+
|
|
77
|
+
### 2. `security` (The Tradeable Instrument)
|
|
78
|
+
Maps point-in-time ticker symbols and identifiers to the legal entity. This handles ticker changes and delistings gracefully.
|
|
79
|
+
* **Primary Key:** `id`
|
|
80
|
+
* **Foreign Key:** `entity_id` -> `entity.cik`
|
|
81
|
+
|
|
82
|
+
| Column | Type | Description |
|
|
83
|
+
| :--- | :--- | :--- |
|
|
84
|
+
| `symbol` / `exchange` | String | The trading ticker and listed exchange. |
|
|
85
|
+
| `figi` / `composite_figi` | String | Financial Instrument Global Identifiers. |
|
|
86
|
+
| `valid_from` / `valid_to` | Date | The exact date range this symbol was active. |
|
|
87
|
+
| `is_active` | Boolean | Auto-generated flag for currently active tickers. |
|
|
88
|
+
|
|
89
|
+
### 3. `filing` (Submission Metadata)
|
|
90
|
+
Contains the metadata for the actual document submitted to the SEC.
|
|
91
|
+
* **Primary Key:** `accession_id`
|
|
92
|
+
* **Foreign Key:** `entity_id` -> `entity.cik`
|
|
93
|
+
|
|
94
|
+
| Column | Type | Description |
|
|
95
|
+
| :--- | :--- | :--- |
|
|
96
|
+
| `accession_id` | String | The unique SEC filing identifier. |
|
|
97
|
+
| `form_type` | String | The document type (e.g., `10-K`, `10-Q`, `8-K`). |
|
|
98
|
+
| `filing_date` / `report_date` | Date | When it was filed vs. the period it covers. |
|
|
99
|
+
| `accepted_at` | Timestamp | The exact time the SEC accepted the filing. |
|
|
100
|
+
|
|
101
|
+
### 4. `fact` (Fundamental Data Points)
|
|
102
|
+
The core time-series table containing all extracted accounting metrics. Partitioned by `period_end` for high-performance querying.
|
|
103
|
+
|
|
104
|
+
| Column | Type | Description |
|
|
105
|
+
| :--- | :--- | :--- |
|
|
106
|
+
| `concept` | String | The raw XBRL tag from the filing. |
|
|
107
|
+
| `standard_concept` | String | The mapped, normalized accounting concept. |
|
|
108
|
+
| `numeric_value` / `value` | Float / String | The extracted value (numeric or text). |
|
|
109
|
+
| `unit` | String | The unit of measurement (e.g., `USD`, `shares`). |
|
|
110
|
+
| `period_start` / `period_end` | Date | The exact accounting period the metric covers. |
|
|
111
|
+
| `frame` | String | Standardized SEC frame (e.g., `CY2023Q1`). |
|
|
112
|
+
| `knowledge_at` | Timestamp | **CRITICAL:** The exact microsecond the data became public. Use this to prevent look-ahead bias. |
|
|
113
|
+
|
|
114
|
+
### 5. Reference Tables
|
|
115
|
+
Helper tables designed to map raw SEC XBRL tags to standardized institutional metrics and track index components.
|
|
116
|
+
|
|
117
|
+
* **`index_membership`**: Tracks which securities belonged to which indices (e.g., S&P 500) at specific point-in-time dates (`start_date` / `end_date`).
|
|
118
|
+
* **`concept_mapping`**: Maps messy, raw `xbrl_tag` variations into a single `standard_concept`.
|
|
119
|
+
* **`taxonomy_guide`**: A data dictionary defining every `standard_concept`, including its `balance_type` (debit/credit) and human-readable definitions.
|
|
120
|
+
|
|
121
|
+
---
|
|
122
|
+
|
|
123
|
+
## Advanced: The Point-in-Time Join
|
|
124
|
+
|
|
125
|
+
To build a robust quantitative backtest, you must join the fundamental metrics with the historically accurate ticker symbol active at the exact time of the filing.
|
|
126
|
+
|
|
127
|
+
Because companies change tickers (e.g., Facebook changing from FB to META), joining purely on today's ticker introduces look-ahead bias. Our `security` table tracks the exact `valid_from` and `valid_to` dates for every ticker.
|
|
128
|
+
|
|
129
|
+
Below is an example using DuckDB to extract a clean, Point-in-Time time-series of Net Income for a specific company, ensuring we capture the exact ticker symbol the market was trading on the day the filing dropped.
|
|
130
|
+
|
|
131
|
+
|
|
132
|
+
```python
|
|
133
|
+
import duckdb
|
|
134
|
+
|
|
135
|
+
# Assuming your R2 credentials and latest_path are already configured in DuckDB...
|
|
136
|
+
|
|
137
|
+
pit_query = f"""
|
|
138
|
+
SELECT
|
|
139
|
+
s.symbol AS historical_ticker,
|
|
140
|
+
f.standard_concept,
|
|
141
|
+
f.numeric_value AS value,
|
|
142
|
+
f.unit,
|
|
143
|
+
f.period_end,
|
|
144
|
+
fil.form_type,
|
|
145
|
+
f.knowledge_at AS market_aware_timestamp
|
|
146
|
+
FROM read_parquet('r2://{BUCKET}/{latest_path}fact/*.parquet') f
|
|
147
|
+
|
|
148
|
+
-- 1. Join Document Metadata
|
|
149
|
+
JOIN read_parquet('r2://{BUCKET}/{latest_path}filing/*.parquet') fil
|
|
150
|
+
ON f.accession_id = fil.accession_id
|
|
151
|
+
|
|
152
|
+
-- 2. Join Historical Security Data
|
|
153
|
+
JOIN read_parquet('r2://{BUCKET}/{latest_path}security/*.parquet') s
|
|
154
|
+
ON f.entity_id = s.entity_id
|
|
155
|
+
|
|
156
|
+
WHERE f.standard_concept = 'NetIncomeLoss'
|
|
157
|
+
AND f.frame LIKE 'CY%' -- Annual data only
|
|
158
|
+
|
|
159
|
+
-- 3. The Point-in-Time Ticker Constraint
|
|
160
|
+
-- This ensures we only map the ticker that was active at the exact moment the filing became public.
|
|
161
|
+
AND f.knowledge_at >= s.valid_from
|
|
162
|
+
AND (s.valid_to IS NULL OR f.knowledge_at <= s.valid_to)
|
|
163
|
+
|
|
164
|
+
-- Filter for a specific company using its permanent CIK
|
|
165
|
+
AND f.entity_id = '0000320193'
|
|
166
|
+
|
|
167
|
+
ORDER BY f.knowledge_at DESC
|
|
168
|
+
LIMIT 5;
|
|
169
|
+
"""
|
|
170
|
+
|
|
171
|
+
df_historical = con.execute(pit_query).df()
|
|
172
|
+
print(df_historical)
|
|
@@ -0,0 +1,63 @@
|
|
|
1
|
+
[project]
|
|
2
|
+
name = "valuein-sdk"
|
|
3
|
+
version = "0.1.1"
|
|
4
|
+
description = "Official Python SDK for the Valuein US Core Fundamentals dataset — SEC EDGAR financials via API."
|
|
5
|
+
readme = "README.md"
|
|
6
|
+
requires-python = ">=3.11"
|
|
7
|
+
license = {text = "Apache-2.0"}
|
|
8
|
+
authors = [{name = "Valuein Data Engineering", email = "support@valuein.biz"}]
|
|
9
|
+
keywords = ["SEC", "EDGAR", "finance", "fundamentals", "parquet", "duckdb"]
|
|
10
|
+
classifiers = [
|
|
11
|
+
"License :: OSI Approved :: Apache Software License",
|
|
12
|
+
"Programming Language :: Python :: 3",
|
|
13
|
+
"Programming Language :: Python :: 3.11",
|
|
14
|
+
"Programming Language :: Python :: 3.12",
|
|
15
|
+
"Intended Audience :: Developers",
|
|
16
|
+
"Intended Audience :: Financial and Insurance Industry",
|
|
17
|
+
"Topic :: Office/Business :: Financial :: Investment",
|
|
18
|
+
"Topic :: Scientific/Engineering :: Information Analysis",
|
|
19
|
+
]
|
|
20
|
+
|
|
21
|
+
dependencies = [
|
|
22
|
+
"duckdb>=1.1.0",
|
|
23
|
+
"pandas>=2.0.0",
|
|
24
|
+
"pyarrow>=14.0.0",
|
|
25
|
+
"requests>=2.32.0",
|
|
26
|
+
"python-dotenv>=1.0.0",
|
|
27
|
+
]
|
|
28
|
+
|
|
29
|
+
[project.optional-dependencies]
|
|
30
|
+
research = [
|
|
31
|
+
"numpy>=1.26.0",
|
|
32
|
+
"matplotlib>=3.8.0",
|
|
33
|
+
"ipykernel>=6.29.0",
|
|
34
|
+
"jupytext>=1.16.0",
|
|
35
|
+
]
|
|
36
|
+
test = [
|
|
37
|
+
"pytest>=9.0.0",
|
|
38
|
+
"pytest-cov>=4.1.0",
|
|
39
|
+
]
|
|
40
|
+
|
|
41
|
+
[project.urls]
|
|
42
|
+
Homepage = "https://valuein.biz"
|
|
43
|
+
Documentation = "https://valuein.biz/docs"
|
|
44
|
+
Repository = "https://github.com/valuein/quants"
|
|
45
|
+
"Bug Tracker" = "https://github.com/valuein/quants/issues"
|
|
46
|
+
|
|
47
|
+
[build-system]
|
|
48
|
+
requires = ["hatchling"]
|
|
49
|
+
build-backend = "hatchling.build"
|
|
50
|
+
|
|
51
|
+
[tool.hatch.build.targets.wheel]
|
|
52
|
+
packages = ["valuein_sec_sdk"]
|
|
53
|
+
|
|
54
|
+
[tool.hatch.build.targets.sdist]
|
|
55
|
+
include = ["valuein_sec_sdk/**", "README.md", "LICENSE"]
|
|
56
|
+
|
|
57
|
+
[dependency-groups]
|
|
58
|
+
dev = [
|
|
59
|
+
"pytest>=9.0.0",
|
|
60
|
+
"pytest-cov>=4.1.0",
|
|
61
|
+
"ruff>=0.3.0",
|
|
62
|
+
"hatch>=1.9.0",
|
|
63
|
+
]
|