finds.structured.pstat

Compustat annual, quarterly and key developments

MIT License

class finds.structured.pstat.PSTAT(sql: SQL, bd: BusDay, name: str = 'PSTAT', identifier: str = 'gvkey', verbose: int = 0)[source]

Bases: Structured

Provide interface to Compustat structured data sets

Parameters:

sql – Connection to mysql database
bd – Custom business days object
name – Name of dataset is “PSTAT”
identifier – Stocks identifier field name is “gvkey”

Notes:

Screen on (INDFMT= ‘INDL’, DATAFMT=’STD’, POPSRC=’D’, and CONSOL=’C’) keeps majority of records and uniquely identifies GVKEY, DATADATE. also include INDFMT= ‘FS’, CURRENCY=’USD+CAD’, STATUS=’ACTIVE+INACTIVE’)

build_lookup(source: str, target: str, date_field='linkdt', dataset: str = 'links', fillna: Any = None) → Any[source]: Build lookup function to return target identifier from source

get_linked(dataset: str, fields: List[str], date_field: str = 'datadate', link_perm: str = 'lpermno', link_date: str = 'linkdt', where: str = '', limit: int | str | None = None) → DataFrame[source]

Query a pstat table, and return with linked crsp permno

Parameters:

dataset – pstat dataset to query
fields – Names of fields to return
date_field – Name of date field in pstat table to query
link_date – Name of link date field in ‘links’ table
link_perm – Name of permno field in ‘links’ table
where – Sql where clause, as sql string (optional)
limit – Maximum number of records to return (optional)

Returns:

DataFrame containing result of query

Examples:

>>> df = pstat.get_linked(dataset='annual', date_field='datadate',
         fields=['ceq','pstkrv','pstkl','pstk'],
         where='ceq > 0 and datadate>=19930104 and datadate<=20991231')
>>> df = keydev.get_linked(dataset='keydev', date_field='announcedate',
         fields=['companyname', 'keydeveventtypeid',
         'keydevtoobjectroletypeid'],
         where='', limit=''):

Notes:

select keydev.companyname, keydev.keydeveventtypeid,
keydev.keydevtoobjectroletypeid,
keydev.announcedate, keydev.gvkey, lpermno as permno
from keydev left join links
on keydev.gvkey = links.gvkey and links.linkdt =
    (select max(c.linkdt) as linkdt from links c
    where c.gvkey = keydev.gvkey and c.linkdt <= keydev.announcedate)
where lpermno is not null and keydev.gvkey > 0 and links.gvkey > 0
and announcedate >= 20180301
limit 100;

get_permnos(keys: List[str], date: int, link_perm='lpermno', link_date: str = 'date', permno='permno') → DataFrame[source]

Return list of permnos mapped to gvkeys as of a date

Parameters:

keys – Input list of gvkeys to lookup
date – Prevailing date of link

property event: Maps keydev event id to description

property role: Maps keydev role id to description