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
2020-06-10 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
2020-06-12 00:00:00+00:00	304.21	0.011905	0.273778	111.33	0.021701	0.446860	2.732507
2020-06-15 00:00:00+00:00	307.05	0.009292	0.260969	113.92	0.022998	0.433523	2.695312
2020-06-16 00:00:00+00:00	312.96	0.019065	0.265222	116.76	0.024624	0.437526	2.680370