Hands-On Machine Learning for Algorithmic Trading

Extracting the financial statements and notes dataset

The following code downloads and extracts all historical filings contained in the Financial Statement and Notes (FSN) datasets for the given range of quarters (see edgar_xbrl.ipynb for addition details):

SEC_URL = 'https://www.sec.gov/files/dera/data/financial-statement-and-notes-data-sets/'first_year, this_year, this_quarter = 2014, 2018, 3past_years = range(2014, this_year)filing_periods = [(y, q) for y in past_years for q in range(1, 5)]filing_periods.extend([(this_year, q) for q in range(1, this_quarter +                                                      1)])for i, (yr, qtr) in enumerate(filing_periods, 1):    filing = f'{yr}q{qtr}_notes.zip'    path = data_path / f'{yr}_{qtr}' / 'source'    response = requests.get(SEC_URL + filing).content ...