waylonli/FINSABER-data

FINSABER Data

Aggregated datasets for the FINSABER backtesting framework (KDD 2026).

Files

File	Description	Size
data/finmem_data/stock_data_sp500_2000_2024.pkl	S&P500 full aggregated data (Price + News + Filings)	~11 GB
data/finmem_data/stock_data_cherrypick_2000_2024.pkl	Selected symbols (TSLA, AMZN, MSFT, NFLX, COIN)	~53 MB
data/price/all_sp500_prices_2000_2024_delisted_include.csv	CSV price-only data for S&P500 (including delisted)	~253 MB

Aggregated Data Structure (.pkl)

Each .pkl file is a Python dictionary keyed by datetime.date:

{
    datetime.date(2024, 1, 2): {
        "price": {
            "AAPL": {
                "open": 187.15,
                "high": 188.44,
                "low": 183.89,
                "close": 185.64,
                "adjusted_close": 185.3,
                "volume": 82488700
            },
            ...
        },
        "news": {
            "AAPL": ["headline 1", "headline 2", ...],
            ...
        },
        "filing_k": {
            "AAPL": "10-K filing text...",
            ...
        },
        "filing_q": {
            "AAPL": "10-Q filing text...",
            ...
        }
    },
    ...
}

CSV Price Data Structure

Column	Description
date	Trading date
symbol	Ticker symbol
open	Opening price
high	Highest price
low	Lowest price
close	Closing price
adjusted_close	Adjusted closing price
volume	Trading volume

Usage

Datasets are auto-downloaded when running FINSABER experiments. See the FINSABER repo for details.