sec_parser

An engine to parse data from the SEC's EDGAR database. Includes a few helpful functions to also grab data from Polygon.io.

Installation

pip install git+https://github.com/GTSF-Quantitative-Sector/sec_parser.git

Example Usage

Get financials, price, RSI, and WACC data for a stock.

from sec import stock, constants

aapl = stock.Stock("AAPL")

# get ebit from most recent annual filing
aapl.get_ebit()

# get accounts payable from most recent filing, including quarterly filings
aapl.get_accounts_payable(quarterly=True)

# get earnings per share from most recent filing before 2019-01-01, including quarterly filings
aapl.get_earnings_per_share(query_date="2019-01-01", quarterly=True)

# get price and RSI on 2013-08-11
# note that you must first set the Polygon API key for any functions involving price or RSI data
constants.set_polygon_key("YOUR_KEY_HERE")
await aapl.get_price(query_date="2013-08-11")
await aapl.get_rsi(query_date="2013-08-11")

# get WACC on 2016-04-13
aapl.get_wacc(query_date="2016-04-13")

Get list of tickers for every company in the S&P 500.

from sec import lookups

# get current S&P 500 tickers
lookups.get_sp500_tickers()

# get S&P 500 tickers on 2019-01-01
lookups.get_sp500_tickers(query_date="2019-01-01")

Retrieve and process most recent SEC data.

from sec import processor

# download most recent SEC data
# this will take a while and takes up a lot of space on disk
processor.download_sec_data()

# if data that is currently downloaded is less than 30 days old, do nothing
# if data has not been downloaded yet or is more than 30 days old, download most recent data
# helpful to put at top of any strategies using this library to ensure data is up to date
processor.download_sec_data(max_stale_days=30)

# after the raw data is downloaded, it must be processed before it can be used via data retrieval functions in stock.Stock
# call this for every company that you would like to access data for (e.g. every company in the S&P500)
# this function only needs to be called once after downloading new data (above)
processor.process_sec_json("AAPL")

Maintenance

Though new financials data from the SEC can be retrieved programatically (as shown above), there are two components of this library that require manual maintenance: the WACC data and list of S&P500 companies. Links to instructions for how to maintain these data sources are below:

WACC Data: To be completed at the beginning of every year.

S&P500 Data: To be completed monthly.

Any time you make changes to the library, you must update the version number in setup.py. Then, update or reinstall the package with pip. If the version number is not changed, pip will not update the library.