Boutquin.Trading.Data.FamaFrench 1.0.2

Boutquin.Trading.Data.FamaFrench

Fama-French Factor Data Provider

Academic factor return data fetcher for the Boutquin.Trading quantitative trading framework. Downloads factor return series from the Kenneth R. French Data Library.

Features

• Implements IFactorDataFetcher from Boutquin.Trading.Domain
• Returns IAsyncEnumerable<KeyValuePair<DateOnly, IReadOnlyDictionary<string, decimal>>> — all factors from a dataset in one async stream
• No API key required (public data library)
• Supports 3-factor, 5-factor, and momentum datasets in both daily and monthly frequencies
• Values in percentage (caller transforms) — missing values (-99.99, -999) silently skipped
• Monthly annual summary section excluded automatically
• Downloads ZIP/CSV directly from the Ken French Data Library
• Supports CancellationToken for cooperative cancellation
• Compatible with L1/L2 caching decorators

Supported Datasets

The FamaFrenchDataset enum constrains valid identifiers:

Factor names are defined in FamaFrenchConstants (in Boutquin.Trading.Domain).

Usage

var fetcher = new FamaFrenchFetcher(httpClient);
await foreach (var (date, factors) in fetcher.FetchFactorDataAsync(
    FamaFrenchDataset.FiveFactors, startDate, endDate))
{
    var marketPremium = factors[FamaFrenchConstants.MktRf]; // in percent
}

Installation

dotnet add package Boutquin.Trading.Data.FamaFrench

Disclaimer

Boutquin.Trading is open-source software provided under the Apache 2.0 License. It is a general-purpose research and backtesting tool intended for educational purposes only.

This software does not constitute financial advice. All historical performance data represents backtested results computed using actual historical index and ETF return data. Backtested performance is hypothetical and does not represent actual trading. Actual investment results may differ materially. Past performance is not indicative of future results.

The software authors are not registered investment advisers, portfolio managers, or financial planners. Use of this software to make investment decisions is entirely at your own risk. Before making any investment decision, consult with a qualified financial professional who understands your individual circumstances, goals, and risk tolerance.

License

This project is licensed under the Apache 2.0 License. See the LICENSE file for details.