margot.data example notebook.

from margot.data import MargotDataFrame, Symbol, Ratio
from margot.data.column import alphavantage as av
from margot.data.features import finance

class Index(Symbol):
    adj_close = av.Column(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
2020-06-05 00:00:00+00:00	319.34	0.025307	0.215927	120.86	0.036398	0.403436	2.642231
2020-06-08 00:00:00+00:00	323.20	0.012015	0.215303	123.39	0.020717	0.404300	2.619337
2020-06-09 00:00:00+00:00	320.79	-0.007485	0.215876	121.03	-0.019312	0.402040	2.650500
2020-06-10 00:00:00+00:00	319.00	-0.005596	0.216225	117.67	-0.028154	0.411975	2.710971
2020-06-11 00:00:00+00:00	300.61	-0.059377	0.273717	108.94	-0.077087	0.456570	2.759409