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