calc_profit 0.1.1

data/lib/calc_profit/transaction.rb

@@ -0,0 +1,50 @@
+#!/usr/bin/env ruby
+
+module CalcProfit
+  class Transaction
+    attr_reader :code, :date, :price, :ref, :info, :raw_shares
+    attr_accessor :shares
+
+    def initialize(trans_hash)
+      if trans_hash[:code] =~ /^\s*[pP]/
+        @code = 'P'
+      elsif trans_hash[:code] =~ /^\s*[sS]/
+        @code = 'S'
+      else
+        raise "Bad code (#{code}) supplied to Transaction constructor."
+      end
+      @price = trans_hash[:price].to_f
+      @shares = trans_hash[:shares].to_f.round
+      @raw_shares = trans_hash[:raw_shares].to_f.round
+      case trans_hash[:date]
+      when String
+        @date = Date.parse(trans_hash[:date])
+      when Date
+        @date = trans_hash[:date]
+      else
+        raise "Bad date (#{date}) supplied to Transaction constructor."
+      end
+      @ref = trans_hash[:ref]
+      @info = trans_hash[:info]
+    end
+
+    def table_row
+      hash = {}
+      hash[:ref] = ref
+      hash[:date] = date.iso
+      hash[:code] = code
+      hash[:shares] = shares.to_s
+      hash[:price] = price.to_s
+      hash[:info] = info
+      hash
+    end
+
+    def purchase?
+      code == 'P'
+    end
+
+    def sale?
+      code == 'S'
+    end
+  end
+end

data/lib/calc_profit/transaction_group.rb

@@ -0,0 +1,181 @@
+module CalcProfit
+  class TransactionGroup
+    attr_reader :profit, :matches
+    attr_reader :purchase_shares, :sale_shares
+
+    def initialize(table = nil)
+      @purchases = []
+      @sales = []
+      @trans_by_ref = {}
+      @matches = []
+      @profit = 0
+      @purchase_shares = 0
+      @sale_shares = 0
+      if table
+        add_table_transactions(table)
+      end
+    end
+
+    def add_table_transactions(table)
+      table.rows.each do |row|
+        self << Transaction.new(row)
+      end
+    end
+
+    def <<(t)
+      # Add a new transaction
+      if t.purchase?
+        @purchases << t
+        @trans_by_ref[t.ref.to_s] = t
+      elsif t.sale?
+        @sales << t
+        @trans_by_ref[t.ref.to_s] = t
+      else
+        raise ArgumentError,
+          "Can only add purchase or sale transactions to TransactionGroup."
+      end
+    end
+
+    def match
+      pp = @purchases.dup2
+      ss = @sales.dup2
+      until pp.empty? or ss.empty? do
+        # For each sale remaining, find the remaining purchase
+        # with 6 months having the lowest price and match
+        # to the extent of the lower number of shares
+        break if ss.empty?
+        best_sale = ss.max { |a, b| a.price <=> b.price }
+        eligible_purchases = pp.partition { |p|
+          p.date.within_6mos_of?(best_sale.date) && p.price < best_sale.price
+        }
+        eligible_purchases = eligible_purchases[0]
+        if eligible_purchases.empty?
+          ss.delete(best_sale)
+          next
+        end
+        best_prch = eligible_purchases.min { |a, b| a.price <=> b.price }
+        # Take number of shares as the smaller of the sale or buy
+        if best_sale.shares >= best_prch.shares
+          s = Transaction.new(code: 'S', date: best_sale.date, price: best_sale.price,
+                              shares: best_prch.shares, ref: best_sale.ref,
+                              info: best_sale.info)
+          p = Transaction.new(code: 'P', date: best_prch.date, price: best_prch.price,
+                              shares: best_prch.shares, ref: best_prch.ref,
+                              info: best_prch.info)
+          best_sale.shares -= best_prch.shares
+          pp.delete(best_prch)
+        else
+          s = Transaction.new(code: 'S', date: best_sale.date, price: best_sale.price,
+                              shares: best_sale.shares, ref: best_sale.ref,
+                              info: best_sale.info)
+          p = Transaction.new(code: 'P', date: best_prch.date, price: best_prch.price,
+                              shares: best_sale.shares, ref: best_prch.ref,
+                              info: best_prch.info)
+          best_prch.shares -= best_sale.shares
+          ss.delete(best_sale)
+        end
+        m = Match.new(p, s)
+        unless m.profit < 0.01
+          @matches << m
+          @profit += m.profit
+          @purchase_shares += p.shares
+          @sale_shares += s.shares
+        end
+      end
+      @matches.empty? ? nil : match_table
+    end
+
+    def match_table
+      table = Table.new
+      @matches.each do |m|
+        table << m.table_row
+      end
+      table
+    end
+
+    def transaction_table
+      trans = @purchases + @sales
+      table = Table.new
+      trans.each do |tr|
+        table << tr.table_row
+      end
+      table
+    end
+
+    # This method attempts to find an optimal, profit-maximizing set of
+    # matches by formulating a transportation problem and passing it to
+    # lp_solve.  Requires lp_solve, which on ubuntu can be installed with
+    #
+    # $ apt-get install lp_solve
+    def tp_solve
+      lpf = File.new('profit.lp', 'w')
+
+      # Write the objective function
+      lpf.print("max: ")
+      penalty = -1000.0
+      have_eqn = false
+      @purchases.each do |p|
+        @sales.each do |s|
+          if p.date.within_6mos_of?(s.date) and s.price > p.price
+            profit = s.price - p.price
+            lpf.print("#{profit} X_#{p.ref}@@#{s.ref} + ")
+            have_eqn = true
+          else
+            lpf.print("#{penalty} X_#{p.ref}@@#{s.ref} + ")
+            have_eqn = true
+          end
+        end
+      end
+      lpf.print("0;\n\n") if have_eqn
+
+      # Write the purchase contraints
+      @purchases.each do |p|
+        lpf.print("P_#{p.ref}: ")
+        @sales.each do |s|
+          lpf.print("X_#{p.ref}@@#{s.ref} + ")
+        end
+        lpf.print("0 <= #{p.shares};\n")
+      end
+
+      # Write the sales contraints
+      @sales.each do |s|
+        lpf.print("S_#{s.ref}: ")
+        @purchases.each do |p|
+          lpf.print("X_#{p.ref}@@#{s.ref} + ")
+        end
+        lpf.print("0 <= #{s.shares};\n")
+      end
+      lpf.close
+
+      # Now, pass the file into lp_solve and parse the solution
+      calculated_profit = 0.0
+      IO.popen("lp_solve profit.lp") do |sol|
+        #File.open("profit.sol") do |sol|
+        sol.each do |line|
+          next if line =~ /^\s*$/
+          if line =~ /^Value of objective function:\s+([-+e.\d]+)/
+            calculated_profit = $1.to_f
+          elsif line =~ /^X_(\S*)@@(\S*)\s+(\d+)$/
+            next if $3.to_f == 0.0
+            p = @trans_by_ref[$1].dup
+            s = @trans_by_ref[$2].dup
+            p.shares = s.shares = $3.to_f
+            if s.price - p.price < 0.01
+              STDERR.print "Sale #{s.ref} @ #{s.price} and Purchase #{p.ref} @ #{p.price} has no profit.\n"
+            else
+              m = Match.new(p, s)
+              @matches << m
+              @profit += m.profit
+              @purchase_shares += p.shares
+              @sale_shares += s.shares
+            end
+          end
+        end
+      end
+      unless calculated_profit == @profit
+        STDERR.print "Warning: profit calculated by lp_solve was #{calculated_profit}; by matches was #{@profit}\n"
+      end
+      !@matches.empty?
+    end
+  end
+end

data/lib/calc_profit/version.rb

@@ -0,0 +1,7 @@
+module CalcProfit
+  MAJOR = 0
+  MINOR = 1
+  PATCH = 1
+
+  VERSION = [MAJOR, MINOR, PATCH].compact.join('.')
+end

data/test/TestAddress.rb

@@ -0,0 +1,23 @@
+require 'test_helper'
+
+class AddressTest < ActiveSupport::TestCase
+    def test_easy
+        a = Address.new('14625 Dearborn', '', 'Overland Park', 'KS', '66223', '')
+        assert_equal('14625 Dearborn', a.street1, "Bad parse of street1")
+        assert_equal('', a.street2, "Bad parse of street2")
+        assert_equal('Overland Park', a.city, "Bad parse of city")
+        assert_equal('KS', a.state, "Bad parse of state")
+        assert_equal('66223', a.zip, "Bad parse of zip")
+        assert_equal('United States', a.country, "Bad parse of country")
+    end
+
+    def test_hard
+        a = Address.new('14625 Dearborn', '', 'Overland Park, KS 66223')
+        assert_equal('14625 Dearborn', a.street1, "Bad parse of street1")
+        assert_equal('', a.street2, "Bad parse of street2")
+        assert_equal('Overland Park', a.city, "Bad parse of city")
+        assert_equal('KS', a.state, "Bad parse of state")
+        assert_equal('66223', a.zip, "Bad parse of zip")
+        assert_equal('United States', a.country, "Bad parse of country")
+    end
+end

data/test/TestDBase.rb

@@ -0,0 +1,47 @@
+require 'test/unit'
+require 'Section16/DBase' unless defined? $db
+
+begin
+    $db.do('DROP TABLE junk') if $db.tables.include?('junk')
+    res = $db.do('CREATE TABLE junk (i integer primary key, s text);')
+rescue DBI::DatabaseError => e
+    puts "Error: #{e.errstr}"
+end
+
+class TestDate < Test::Unit::TestCase
+    
+    def test_dbase_is_up
+        assert($db.connected?)
+    end
+    
+    def test_insert
+        $db.do("INSERT INTO junk (i, s) VALUES (1, 'a');")
+        $db.do("INSERT INTO junk (i, s) VALUES (2, 'b');")
+        $db.do("INSERT INTO junk (i, s) VALUES (3, 'c');")
+        $db.do("INSERT INTO junk (i, s) VALUES (4, 'd');")
+        rows = $db.select_all('SELECT * FROM junk;')
+        assert_equal(4, rows.length)
+    end
+    
+    def test_odb
+        $odb.trace(2)
+        assert($odb.ping, "No ping response to $odb")
+        assert($odb.tables.include?('owner'), "Can't find owner table")
+        assert($odb.tables.include?('issuer'), "Can't find issuer table")
+        assert($odb.tables.include?('own_iss'), "Can't find own_iss table")
+        assert($odb.tables.include?('own_fil'), "Can't find own_fil table")
+    end
+    
+    class Junk < ActiveRecord::Base
+        set_table_name('junk')
+        set_primary_key('i')
+    end
+    
+    def test_zactive_record
+        assert_equal(Junk.find(2, 4).length, 2,
+                     "Active record class didn't find 2 Junks")
+    end
+end
+
+
+

data/test/TestDate.rb

@@ -0,0 +1,267 @@
+# Code Generated by ZenTest v. 2.3.0
+#                 classname: asrt / meth =  ratio%
+#                      Date:    0 /   15 =   0.00%
+
+require 'test/unit' unless defined? $ZENTEST and $ZENTEST
+require 'Section16/Date'
+
+class TestDate < Test::Unit::TestCase
+
+    def test_nth_wday_in_year_month(n, wday, year, month)
+        assert_equals(Date.new(1957, 30, 11),
+                      Date.nth_wday_in_year_month(5, 6, 1957, 11),
+                      "1957-11-30 is 5th Saturday in November, 1957")
+        assert_equals(Date.new(1957, 30, 11),
+                      Date.nth_wday_in_year_month(-1, 6, 1957, 11),
+                      "1957-11-30 is last Saturday in November, 1957")
+    end
+
+    def test_last_day_in_year_month
+        assert_equal(29, Date.last_day_in_year_month(2000, 2),
+                     "February 28 is last day in Feb, 2000")
+        assert_equal(28, Date.last_day_in_year_month(1900, 2),
+                     "February 29 is last day in Feb, 1900")
+    end
+
+    def test_weekend_eh
+        assert(!Date.new(1985, 7, 16).weekend?,
+               "1985-07-16 is not a weekend day")
+        assert(Date.new(1957, 9, 22).weekend?,
+               "1957-09-22 is a weekend day")
+    end
+
+    def test_easter_this_year
+        assert_equal(Date.new(2000, 4, 23),
+                     Date.new(2000, 9, 22).easter_this_year,
+                     "2000-4-23 should be Easter in 2000")
+    end
+
+    def test_easter_eh
+        d = Date.new(2000, 8, 18)
+        assert(!d.easter?, "#{d} should not be Easter")
+        assert(Date.new(2000, 4, 23).easter?,
+               "2000-04-23 should be Easter")
+        assert(Date.new(1988, 4, 3).easter?,
+               "1988-04-03 should be Easter")
+    end
+
+    def test_nth_wday_in_month_eh
+        assert(Date.new(1957, 11, 30).nth_wday_in_month?(5, 6, 11),
+               '1957-11-30 is the 5th Saturday in November of its year')
+        assert(Date.new(1957, 9, 22).nth_wday_in_month?(4, 0, 9),
+               '1957-09-22 is the 4th Sunday in September of its year')
+    end
+
+    def test_fed_fixed_holiday_eh
+        assert(Date.new(1988, 1, 1).fed_fixed_holiday?,
+               "Feds celebrate New Years Day")
+        assert(Date.new(1988, 7, 4).fed_fixed_holiday?,
+               "Feds celebrate Independence Day")
+        assert(Date.new(1988, 11, 11).fed_fixed_holiday?,
+               "Feds celebrate Veterans Day")
+        assert(Date.new(1988, 12, 25).fed_fixed_holiday?,
+               "Feds celebrate Christmas Day")
+        assert(Date.new(1988, 12, 31).fed_fixed_holiday?,
+               "Feds celebrate New Years Eve")
+        (1988..1990).each do |y|
+            h = []
+            (1..12).each do |m|
+                (1..Date.last_day_in_year_month(y, m)).each do |d|
+                    d = Date.new(y, m, d)
+                    h.push(d) if d.fed_fixed_holiday?
+                end
+            end
+            assert_equal(5, h.length,
+                         "Found #{h.length} fixed holidays in #{y}")
+        end
+    end
+
+    def test_fed_moveable_feast_eh
+        assert(Date.new(1988, 1, 18).fed_moveable_feast?,
+               "Feds celebrate MLK Day")
+        assert(Date.new(1988, 2, 15).fed_moveable_feast?,
+               "Feds celebrate Washington's Birthday")
+        assert(Date.new(1988, 5, 30).fed_moveable_feast?,
+               "Feds celebrate Memorial Day")
+        assert(Date.new(1988, 9, 5).fed_moveable_feast?,
+               "Feds celebrate Labor Day")
+        assert(Date.new(1988, 10, 10).fed_moveable_feast?,
+               "Feds celebrate Columbus Day")
+        assert(Date.new(1988, 11, 24).fed_moveable_feast?,
+               "Feds celebrate Tahnksgiving")
+        (1988..1990).each do |y|
+            h = []
+            (1..12).each do |m|
+                (1..Date.last_day_in_year_month(y, m)).each do |d|
+                    d = Date.new(y, m, d)
+                    h.push(d) if d.fed_moveable_feast?
+                end
+            end
+            assert_equal(6, h.length,
+                         "Found #{h.length} floating holidays in #{y}")
+        end
+    end
+
+    def test_fed_holiday_eh
+        assert(Date.new(1988, 1, 1).fed_holiday?,
+               "Feds celebrate New Years Day")
+        assert(Date.new(1988, 1, 18).fed_holiday?,
+               "Feds celebrate MLK Day")
+        assert(Date.new(1988, 2, 15).fed_holiday?,
+               "Feds celebrate Washington's Birthday")
+        assert(Date.new(1988, 5, 30).fed_holiday?,
+               "Feds celebrate Memorial Day")
+        assert(Date.new(1988, 7, 4).fed_holiday?,
+               "Feds celebrate Independence Day")
+        assert(Date.new(1988, 9, 5).fed_holiday?,
+               "Feds celebrate Labor Day")
+        assert(Date.new(1988, 10, 10).fed_holiday?,
+               "Feds celebrate Columbus Day")
+        assert(Date.new(1988, 11, 24).fed_holiday?,
+               "Feds celebrate Tahnksgiving")
+        assert(Date.new(1988, 11, 11).fed_holiday?,
+               "Feds celebrate Veterans Day")
+        assert(Date.new(1988, 12, 25).fed_holiday?,
+               "Feds celebrate Christmas Day")
+        assert(Date.new(1988, 12, 31).fed_holiday?,
+               "Feds celebrate New Years Eve")
+    end
+
+    def test_nyse_fixed_holiday_eh
+        assert(Date.new(1988, 1, 1).nyse_fixed_holiday?,
+               "NYSE celebrates New Years Day")
+        assert(Date.new(1988, 7, 4).nyse_fixed_holiday?,
+               "NYSE celebrates Independence Day")
+        assert(Date.new(1988, 12, 25).nyse_fixed_holiday?,
+               "NYSE celebrates Christmas Day")
+        (1988..1990).each do |y|
+            h = []
+            (1..12).each do |m|
+                (1..Date.last_day_in_year_month(y, m)).each do |d|
+                    d = Date.new(y, m, d)
+                    h.push(d) if d.nyse_fixed_holiday?
+                end
+            end
+            assert_equal(3, h.length,
+                         "Found #{h.length} fixed NYSE holidays in #{y}")
+        end
+    end
+
+    def test_nyse_moveable_feast_eh
+        assert(Date.new(1988, 1, 18).nyse_moveable_feast?,
+               "NYSE celebrates MLK Day")
+        assert(Date.new(1988, 2, 15).nyse_moveable_feast?,
+               "NYSE celebrates Washington's Birthday")
+        assert(Date.new(1988, 4, 1).nyse_moveable_feast?,
+               "NYSE celebrates Good Friday")
+        assert(Date.new(1988, 5, 30).nyse_moveable_feast?,
+               "NYSE celebrates Memorial Day")
+        assert(Date.new(1988, 9, 5).nyse_moveable_feast?,
+               "NYSE celebrates Labor Day")
+        assert(Date.new(1988, 11, 24).nyse_moveable_feast?,
+               "NYSE celebrates Thanksgiving")
+        (1988..1990).each do |y|
+            h = []
+            (1..12).each do |m|
+                (1..Date.last_day_in_year_month(y, m)).each do |d|
+                    d = Date.new(y, m, d)
+                    h.push(d) if d.nyse_moveable_feast?
+                end
+            end
+            assert_equal(6, h.length,
+                         "Found #{h.length} floating holidays in #{y}")
+        end
+    end
+
+    def test_nyse_holiday_eh
+        assert(Date.new(1988, 1, 1).nyse_holiday?,
+               "NYSE celebrates New Years Day")
+        assert(Date.new(1988, 7, 4).nyse_holiday?,
+               "NYSE celebrates Independence Day")
+        assert(Date.new(1988, 12, 25).nyse_holiday?,
+               "NYSE celebrates Christmas Day")
+        assert(Date.new(1988, 1, 18).nyse_holiday?,
+               "NYSE celebrates MLK Day")
+        assert(Date.new(1988, 2, 15).nyse_holiday?,
+               "NYSE celebrates Washington's Birthday")
+        assert(Date.new(1988, 4, 1).nyse_holiday?,
+               "NYSE celebrates Good Friday")
+        assert(Date.new(1988, 5, 30).nyse_holiday?,
+               "NYSE celebrates Memorial Day")
+        assert(Date.new(1988, 9, 5).nyse_holiday?,
+               "NYSE celebrates Labor Day")
+        assert(Date.new(1988, 11, 24).nyse_holiday?,
+               "NYSE celebrates Thanksgiving")
+    end
+
+    def test_fed_workday_eh
+        assert(!Date.new(1988, 1, 1).fed_workday?,
+               "Feds celebrate New Years Day")
+        assert(!Date.new(1988, 1, 18).fed_workday?,
+               "Feds celebrate MLK Day")
+        assert(!Date.new(1988, 2, 15).fed_workday?,
+               "Feds celebrate Washington's Birthday")
+        assert(!Date.new(1988, 5, 30).fed_workday?,
+               "Feds celebrate Memorial Day")
+        assert(!Date.new(1988, 7, 4).fed_workday?,
+               "Feds celebrate Independence Day")
+        assert(!Date.new(1988, 9, 5).fed_workday?,
+               "Feds celebrate Labor Day")
+        assert(!Date.new(1988, 10, 10).fed_workday?,
+               "Feds celebrate Columbus Day")
+        assert(!Date.new(1988, 11, 24).fed_workday?,
+               "Feds celebrate Tahnksgiving")
+        assert(!Date.new(1988, 11, 11).fed_workday?,
+               "Feds celebrate Veterans Day")
+        assert(!Date.new(1988, 12, 25).fed_workday?,
+               "Feds celebrate Christmas Day")
+        assert(!Date.new(1988, 12, 31).fed_workday?,
+               "Feds celebrate New Years Eve")
+    end
+
+    def test_nyse_workday_eh
+        assert(!Date.new(1988, 1, 1).nyse_workday?,
+               "NYSE celebrates New Years Day")
+        assert(!Date.new(1988, 7, 4).nyse_workday?,
+               "NYSE celebrates Independence Day")
+        assert(!Date.new(1988, 12, 25).nyse_workday?,
+               "NYSE celebrates Christmas Day")
+        assert(!Date.new(1988, 1, 18).nyse_workday?,
+               "NYSE celebrates MLK Day")
+        assert(!Date.new(1988, 2, 15).nyse_workday?,
+               "NYSE celebrates Washington's Birthday")
+        assert(!Date.new(1988, 4, 1).nyse_workday?,
+               "NYSE celebrates Good Friday")
+        assert(!Date.new(1988, 5, 30).nyse_workday?,
+               "NYSE celebrates Memorial Day")
+        assert(!Date.new(1988, 9, 5).nyse_workday?,
+               "NYSE celebrates Labor Day")
+        assert(!Date.new(1988, 11, 24).nyse_workday?,
+               "NYSE celebrates Thanksgiving")
+    end
+
+    def test_next_nyse_workday
+        assert_equal(Date.new(1988, 3, 31).next_nyse_workday,
+                     Date.new(1988, 4, 4),
+                     "Next NYSE workday after 1988-03-31 is 1988-04-04")
+    end
+
+    def test_next_fed_workday
+        assert_equal(Date.new(1988, 3, 31).next_fed_workday,
+                     Date.new(1988, 4, 1),
+                     "Next Fed workday after 1988-03-31 is 1988-04-01")
+    end
+
+    def test_iso
+        assert_equal(Date.new(1957, 9, 2).iso, "1957-09-02", "Bad iso format")
+    end
+
+    def test_num
+        assert_equal(Date.new(1957, 9, 2).num, "19570902", "Bad num format")
+    end
+
+    def test_within6
+      assert(Date.new(1957, 9, 22).within_6mos_of?(Date.new(1957, 6, 5)))
+    end
+end
+