Equity Examples¶

(c) Marek Ozana

Example usage of polars-bloomberg in Equity space

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import altair as alt
import polars as pl

from polars_bloomberg import BQuery
import altair as alt
import polars as pl

from polars_bloomberg import BQuery

S&P Annual Price Returns¶

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# get S&P annual price returns
bin_names: list = [
    "< -50",
    "-50 to -40",
    "-40 to -30",
    "-30 to -20",
    "-20 to -10",
    "-10 to 0",
    "0 to 10",
    "10 to 20",
    "20 to 30",
    "30 to 40",
    "40 to 50",
    "> 50",
]
bins = list(range(-50, 60, 10))

query = f"""
let(
    #rets = dropna(pct_diff(px_last(dates=range(-100Y, 0Y), per=Y)));
    #bins = bins(#rets, {bins}, bin_names={bin_names});
)
get(#rets, #bins)
for(['SPX Index'])
"""
with BQuery() as bq:
    df = bq.bql(query).combine()
# get S&P annual price returns
bin_names: list = [
    "< -50",
    "-50 to -40",
    "-40 to -30",
    "-30 to -20",
    "-20 to -10",
    "-10 to 0",
    "0 to 10",
    "10 to 20",
    "20 to 30",
    "30 to 40",
    "40 to 50",
    "> 50",
]
bins = list(range(-50, 60, 10))

query = f"""
let(
    #rets = dropna(pct_diff(px_last(dates=range(-100Y, 0Y), per=Y)));
    #bins = bins(#rets, {bins}, bin_names={bin_names});
)
get(#rets, #bins)
for(['SPX Index'])
"""
with BQuery() as bq:
    df = bq.bql(query).combine()

Out[3]:

In [27]:

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# Download data for multiple fiscal periods
with BQuery(timeout=50000) as con:
    res = []
    for n in range(1, 4):
        tbl = con.bql(f"""
            let(#eps=headline_eps_market(
                    fa_period_offset={n},
                    fa_period_type=A,
                    as_of_date=range('2009-12-31', TODAY(), frq=W)
                    );
            )
            get(#eps)
            for(['SPX Index'])
        """).combine()
        res.append(tbl)
data = pl.concat(res).drop_nulls().sort(by="AS_OF_DATE")
data.head(3)
# Download data for multiple fiscal periods
with BQuery(timeout=50000) as con:
    res = []
    for n in range(1, 4):
        tbl = con.bql(f"""
            let(#eps=headline_eps_market(
                    fa_period_offset={n},
                    fa_period_type=A,
                    as_of_date=range('2009-12-31', TODAY(), frq=W)
                    );
            )
            get(#eps)
            for(['SPX Index'])
        """).combine()
        res.append(tbl)
data = pl.concat(res).drop_nulls().sort(by="AS_OF_DATE")
data.head(3)

Out[27]:

shape: (3, 6)

ID	#eps	CURRENCY	REVISION_DATE	AS_OF_DATE	PERIOD_END_DATE
str	f64	str	date	date	date
"SPX Index"	62.776665	"USD"	2009-12-31	2009-12-31	2009-12-31
"SPX Index"	79.121505	"USD"	2009-12-31	2009-12-31	2010-12-31
"SPX Index"	95.300733	"USD"	2009-12-31	2009-12-31	2011-12-31

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