Data contracts

Series

A scalar, time-indexed value with provenance. Used for predictors, targets, returns, prices, factors, and forecast series.

Panel

A date-by-entity matrix. Used for cross-sectional sorting and factor construction. Returns panels must declare survivorship treatment.

EventCalendar

Sorted, deduplicated event timestamps known at the relevant decision time. Used for event studies.

EventMarketPanel

Per-event market structures with prices and outcomes. Settlement information must not leak into entry features.

Unavailable

An explicit refusal when a contract cannot be met. Penrose does not fabricate a substitute merely because a claim expects a series.

Shared requirements

• provenance;
• deterministic ordering;
• declared frequency;
• no look-ahead;
• venue compatibility;
• point-in-time semantics;
• graceful handling of missing and degenerate data.