Configuration

The configuration is in yaml format and used in the command entry point.

Parameters

The following parameters are mandatory in the configuration file.

Name

Description

output_filename

Output filename

intermediate_directory

Intermediate directory to export the pipeline outputs

start_datetime

Start datetime of the universe

last_datetime

Last datetime of the universe

frequency

Frequency of the universe. For further details, please see the “Offset aliases” in pandas documentation

pipeline

List of pipelines to filter the universe

data

Defines the data used by pipeline, or referred by yaml tag !data

Examples

  1. US Equities

The configuration example returns an universe of US equities from the top marketcap and liquidity stocks from the three major indexes (S&P, NASDAQ and DJ500).

The period is between 2015-01-01 and 2022-10-20 and the selection pipelines are

  • Range validity: Select only instruments listed on the exchanges

  • Marketcap ranking: Select the top 50% marketcap stocks from all the instruments

  • Daily liquidity validity: Select the stocks trading actively in the exchange for 90% of time in the past 63 business days

The output result is stored as parquet format and exported in the link