stefan-jansen--machine-learning-for-trading
wehub-resource-sync
79 行
3.1 KiB
Markdown
79 行
3.1 KiB
Markdown
# Equity Positioning: 13F + Form 4
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SEC regulatory filings that capture **positions** and **insider activity**
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at the equity level. All data is public domain (SEC EDGAR). Respect the
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10 req/sec rate limit via a descriptive `User-Agent` — downloaders here
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handle this automatically.
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## Datasets
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| Dataset | Filing | Universe | Script | Loader(s) |
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| --- | --- | --- | --- | --- |
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| Institutional holdings | 13F | Curated 10 managers (per-cik) or full universe (bulk) | `13f_download.py` | `load_institutional_holdings_13f`, `load_13f_stock_features`, `load_13f_edges`, `load_13f_bulk_holdings` |
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| Insider transactions | Form 4 | User-chosen tickers | `form4_download.py` | Raw XML — read directly via `pathlib` (see Ch4 NB 03) |
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## Download Commands
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```bash
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# === 13F (institutional holdings) ===
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# per-cik (default): 10 curated managers, 4 most recent 13F-HR filings each
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uv run python data/equities/positioning/13f_download.py
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uv run python data/equities/positioning/13f_download.py --num-filings 8
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uv run python data/equities/positioning/13f_download.py --max-institutions 3
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# bulk: one or more quarterly filing windows (SEC's own labels)
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uv run python data/equities/positioning/13f_download.py --mode bulk --quarters 2024Q3
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uv run python data/equities/positioning/13f_download.py --mode bulk --quarters 2024Q2,2024Q3
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# === Form 4 (insider transactions) ===
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uv run python data/equities/positioning/form4_download.py --ticker TSLA --count 20
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uv run python data/equities/positioning/form4_download.py --ticker TSLA,AAPL,MSFT --count 10
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```
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## Directory Layout
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```
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$ML4T_DATA_PATH/equities/positioning/
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├── 13f/
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│ ├── institutional_holdings.parquet # per-cik: raw holdings (10 curated managers)
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│ ├── institution_stock_edges.parquet # per-cik: institution → stock edges
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│ ├── stock_features.parquet # per-cik: stock-level features
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│ ├── coownership_matrix.npy # per-cik: stock × stock similarity
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│ ├── coownership_stocks.txt # per-cik: row/col CUSIPs
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│ └── bulk/
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│ └── {YYYYQN}/
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│ ├── institutional_holdings.parquet # bulk: full-window universe (~3M rows)
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│ └── bulk_13f.zip # cached raw SEC zip
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└── form4/
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└── {TICKER}/{accession}.xml # Raw Form 4 insider filings
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```
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## Loading
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```python
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from data import (
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load_institutional_holdings_13f,
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load_13f_stock_features,
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load_13f_edges,
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load_13f_bulk_holdings,
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)
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# 13F per-cik (curated managers)
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holdings = load_institutional_holdings_13f(start_date="2024-01-01")
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features = load_13f_stock_features()
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edges = load_13f_edges()
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# 13F bulk (full universe, one quarter)
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q3_2024 = load_13f_bulk_holdings("2024Q3")
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```
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## Consumers
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- **Ch4 NB 03** — Form 4 insider-transaction parsing
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- **Ch4 NB 05** — Full-universe 13F analysis via `--mode bulk`
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- **Ch10 NB 02** — Asset embeddings from 13F holdings
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- **Ch22 NB 07** — Institutional ownership graph + crowding signals
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- **Ch23** — `09_knowledge_graph_features`, `05_institutional_holdings_kg`, `04_rag_comparison_benchmark`
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