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
2020-06-23 00:00:00+00:00	312.05	0.004593	0.260809	115.2159	0.004250	0.429186	2.708394
2020-06-24 00:00:00+00:00	304.09	-0.025840	0.265557	111.4867	-0.032902	0.426147	2.727590
2020-06-25 00:00:00+00:00	307.35	0.010663	0.259729	113.0700	0.014102	0.411958	2.718228
2020-06-26 00:00:00+00:00	300.05	-0.024038	0.269796	110.4600	-0.023354	0.419855	2.716368
2020-06-29 00:00:00+00:00	304.46	0.014591	0.272220	113.9400	0.031019	0.425613	2.672108