Data
Data Coordinates
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DataCoordinate is an object which uses a coordinate system for creating a reference to a data
series. The object is immutable and hashable, so they can be applied in caching, streaming, and
other applications where mapping the coordinates may be important. DataCoordinates can also be
utilized to fetch the series defined by the coordinate.
DataCoordinate Class
Below is an example of fetching implied volatility for AAPL UW using the Marquee assetId.
Note
Examples require an initialized GsSession and relevant identifier licenses. Please refer to Sessions for details.
import datetime as dt
from gs_quant.data import DataDimension, DataCoordinate, DataMeasure, DataFrequency
dimensions = {
'assetId': 'MA4B66MW5E27U9VBB94', # AAPL UW
DataDimension.TENOR: '1m',
DataDimension.STRIKE_REFERENCE: 'spot',
DataDimension.RELATIVE_STRIKE: .8
}
coordinate = DataCoordinate(measure=DataMeasure.IMPLIED_VOLATILITY,
dataset_id='EDRVOL_PERCENT_STOCK_STANDARD',
dimensions=dimensions)
coordinate.get_series(start=dt.date(2020, 1, 2), end=dt.date(2020, 1, 8))Output:
2020-01-02 0.399873
2020-01-03 0.402368
2020-01-06 0.394695
2020-01-07 0.392863
2020-01-08 0.372748
dtype: float64Get a DataCoordinate from an Entity
Using an Entity object, such as an Asset object, you can get a DataCoordinate using the
get_data_coordinate method. With this DataCoordinate, a series can be fetched without explicitly
specifying the dataset ID. You can get the mapped dataset via the dataset_id property on the resolved coordinate.
import datetime as dt
from gs_quant.data import DataDimension, DataCoordinate, DataMeasure, DataFrequency
from gs_quant.markets.securities import SecurityMaster, AssetIdentifier
dimensions = {
DataDimension.TENOR: '1m',
DataDimension.STRIKE_REFERENCE: 'spot',
DataDimension.RELATIVE_STRIKE: .8
}
spx = SecurityMaster.get_asset('SPX', AssetIdentifier.BLOOMBERG_ID)
coordinate: DataCoordinate = spx.get_data_coordinate(measure=DataMeasure.IMPLIED_VOLATILITY,
dimensions=dimensions,
frequency=DataFrequency.DAILY)
print(f'Dataset ID: {coordinate.dataset_id}')
coordinate.get_series(start=dt.date(2020, 1, 1), end=dt.date(2020, 1, 8))Output:
Dataset ID: EDRVOL_PERCENT_V1_STANDARD
2020-01-02 0.300644
2020-01-03 0.315498
2020-01-06 0.311003
2020-01-07 0.306926
2020-01-08 0.308256
dtype: float64Comparable and Hashable
DataCoordinates are comparable and hashable objects which allow them to be conveniently compared
for equality and mapped for caching and streaming purposes.
dimensions_a = {
DataDimension.TENOR: '1m',
DataDimension.STRIKE_REFERENCE: 'spot',
DataDimension.RELATIVE_STRIKE: .8
}
# Same dimensions but different order
dimensions_b = {
DataDimension.RELATIVE_STRIKE: .8,
DataDimension.STRIKE_REFERENCE: 'spot',
DataDimension.TENOR: '1m'
}
coord_a = DataCoordinate('EDRVOL_PERCENT_STOCK_STANDARD',
DataMeasure.IMPLIED_VOLATILITY,
dimensions_a)
coord_b = DataCoordinate('EDRVOL_PERCENT_STOCK_STANDARD',
DataMeasure.IMPLIED_VOLATILITY,
dimensions_b)
assert coord_a == coord_b # True
assert hash(coord_a) == hash(coord_b) # TrueRelated Content
Assets and Security Master
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