Data Coordinates

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

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: float64

Get 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.

import datetime as dt

from gs_quant.data import DataDimension, DataCoordinate, DataMeasure
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)

coordinate.get_series(start=dt.date(2020, 1, 1), end=dt.date(2020, 1, 8))

Output:

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: float64

Comparable 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) # True

Data

Data Coordinates

DataCoordinate Class

Get a DataCoordinate from an Entity

Comparable and Hashable

Related Content

Assets and Security Master