FamaFrench

QuantConnect.DataSource.FamaFrench

FamaFrench()

FamaFrench(line: str)

Bases: BaseData

Fama-French factor returns for the US equity market, built to the definitions published by the Kenneth R. French Data Library. One row per date with the five-factor model returns plus momentum: market excess return (Mkt-RF), size (SMB), value (HML), profitability (RMW), investment (CMA), momentum (Mom), and the risk-free rate (RF). Returns are expressed as decimals.

Signature descriptions:

Default constructor required by LEAN.
Parses one CSV line into a data point.

end_time

end_time: datetime

Date the data point became available, the day after the observation date. The series is daily, so this is derived from Time rather than stored in the file.

market_excess_return

market_excess_return: Optional[float]

Market excess return (Mkt-RF): value-weighted market return minus the risk-free rate.

smb

smb: Optional[float]

Size factor (SMB, Small Minus Big): return of small-cap portfolios minus large-cap portfolios.

hml

hml: Optional[float]

Value factor (HML, High Minus Low): return of high book-to-market stocks minus low book-to-market stocks. This is also the data point's Value.

rmw

rmw: Optional[float]

Profitability factor (RMW, Robust Minus Weak): return of high operating-profitability stocks minus low.

cma

cma: Optional[float]

Investment factor (CMA, Conservative Minus Aggressive): return of low-investment stocks minus high.

momentum

momentum: Optional[float]

Momentum factor (Mom): return of high prior-return stocks minus low prior-return stocks.

risk_free_rate

risk_free_rate: Optional[float]

Risk-free rate (RF): one-month Treasury bill return.

is_estimate

is_estimate: bool

True when the value was computed by QuantConnect rather than published by the Kenneth R. French Data Library. A computed value is never rewritten afterwards, not even once the library covers that date.

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This Field is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This Field is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This Field is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This Field is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This Field is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

clone

clone() -> BaseData

Creates a copy of the instance.

data_time_zone

data_time_zone() -> Any

Data time zone (Eastern - US market data).

default_resolution

default_resolution() -> Resolution

Default resolution.

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Location of the source file: alternative/quantconnect/famafrench/ff.csv

is_sparse_data

is_sparse_data() -> bool

Dense daily series.

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Parses the data from the line provided and loads it into LEAN.

requires_mapping

requires_mapping() -> bool

Unlinked (a single market-wide series, not a mapped equity).

supported_resolutions

supported_resolutions() -> List[Resolution]

Supported resolutions (Daily only).

to_string

to_string() -> str

String representation for debugging.

deserialize_message

deserialize_message(serialized: str) -> Sequence[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
`serialized`	`str`	The data server's message	required

Returns:

Type	Description
`Sequence[BaseData]`	An enumerable of base data, if unsuccessful, returns an empty enumerable.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
`bool`	Whether this contains data that should be stored in the security cache.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name	Type	Description	Default
`last_trade`	`float`	The last trade price	required
`bid_price`	`float`	Current bid price	required
`ask_price`	`float`	Current asking price	required
`volume`	`float`	Volume of this trade	required
`bid_size`	`float`	The size of the current bid, if available	required
`ask_size`	`float`	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
`ask_price`	`float`	The current ask price	required
`ask_size`	`float`	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
`bid_price`	`float`	The current bid price	required
`bid_size`	`float`	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
`bid_price`	`float`	The current bid price	required
`bid_size`	`float`	The current bid size	required
`ask_price`	`float`	The current ask price	required
`ask_size`	`float`	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
`last_trade`	`float`	The price of the last trade	required
`trade_size`	`float`	The quantity traded	required