margot.data example notebook.

from margot import Symbol, MargotDataFrame, Ratio
from margot import finance, alphavantage as av

class Index(Symbol):
    adj_close = av.DailyAdjusted(function='historical_daily_adjusted',
                          time_series='adjusted_close')
    log_returns = finance.LogReturns(column='adj_close')
    realised_vol = finance.RealisedVolatility(column='log_returns',
                                              window=30)

class ExampleDF(MargotDataFrame):
    spy = Index(symbol='SPY', trading_calendar='NYSE')
    vtwo = Index(symbol='VTWO', trading_calendar='NYSE')
    spy_russ_ratio = Ratio(numerator=spy.adj_close,
                           denominator=vtwo.adj_close,
                           label='spy_russ')

mdf = ExampleDF()

mdf.to_pandas().tail()

	SPY			VTWO			margot
	adj_close	log_returns	realised_vol	adj_close	log_returns	realised_vol	spy_russ_ratio
date
2020-06-15 00:00:00+00:00	305.6968	0.009292	0.260969	113.92	0.022998	0.433523	2.683434
2020-06-16 00:00:00+00:00	311.5808	0.019065	0.265222	116.76	0.024624	0.437526	2.668558
2020-06-17 00:00:00+00:00	310.2865	-0.004163	0.265461	114.60	-0.018673	0.442664	2.707561
2020-06-18 00:00:00+00:00	310.4060	0.000385	0.264006	114.65	0.000436	0.441551	2.707423
2020-06-19 00:00:00+00:00	308.6400	-0.005706	0.263797	113.85	-0.007002	0.441814	2.710935