cotcube-bardata 0.1.1

checksums.yaml

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+  data.tar.gz: 53eb198be134abc15d92e27eb34fa5b9482b964998e7016aedc9378a3199968c
+SHA512:
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data/.irbrc.rb

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+def verbose_toggle
+  irb_context.echo ? irb_context.echo = false : irb_context.echo = true
+end
+
+alias vt verbose_toggle
+
+$debug = true
+IRB.conf[:USE_MULTILINE] = false
+# require 'bundler'
+# Bundler.require
+
+require_relative 'lib/cotcube-bardata'

data/CHANGELOG.md

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+## 0.1.1 (December 16, 2020)
+
+

data/Gemfile

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+source "https://rubygems.org"
+
+# Specify your gem's dependencies in bitangent.gemspec
+gemspec
+

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2020 Benjamin L. Tischendorf
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# Bitangent
+
+This gem provides a class (and will maybe later provide a commandline tool) to process 
+time series data into bitangents.
+
+The underlying algorithm starts with the entire range of data and shears it (starting at 
+90 or -90 degrees) along the x axis until a bitangent is found parallel to the x axis 
+(i.e. __y == 0__ resp. __y == y.last__), resulting in an angle and a group of at least 
+2 measurements. Please note here: 
+- Measurements can be clustered to 1 finding in case there is no significant distance to 
+  the bitangent in regard to the :fuzziness, which is at least 1 'tick'.
+- Ocassionally a bitangent becomes an N-tangent, when multiple findings or clusters are 
+  in one line resp. the fuzzied ranged on the sheared graph.
+- Shearing is limited by reaching 0 degrees, so everything below the horizont (or above resp.)
+  is discarded. 
+
+After identifiying the angle of Z degress delivering N findings( actually N - 1, as the 
+last finding always is the last member of the series), the entire time series then is split  
+into N subranges, where each subrange is processed again until it reaches minimum size
+(which defaults to 3 items).
+
+Except for the very first range the challenge is to trim away the beginning of each sub
+range.
+
+The result of such a search is a tree, where it might be considerable to walk and change
+this tree by adding elements to the time series instead of recalculating it completely. 
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'bitangent'
+```
+
+And then execute:
+
+    $ bundle install
+
+Or install it yourself as:
+
+    $ gem install bitangent
+
+## Usage
+
+TODO: Write usage instructions here
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake spec` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/[USERNAME]/bitangent.
+
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).

data/Rakefile

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+require "bundler/gem_tasks"
+require "rspec/core/rake_task"
+
+RSpec::Core::RakeTask.new(:spec)
+
+task :default => :spec

data/VERSION

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+0.1.1

data/cotcube-bardata.gemspec

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+# frozen_string_literal: true
+
+Gem::Specification.new do |spec|
+  spec.name          = 'cotcube-bardata'
+  spec.version       = File.read("#{__dir__}/VERSION")
+  spec.authors       = ['Benjamin L. Tischendorf']
+  spec.email         = ['donkeybridge@jtown.eu']
+
+  spec.summary       = 'Functions to provide bardata; and some simple time series aggregations'
+  spec.description   = 'Functions to provide bardata; and some simple time series aggregations '
+
+  spec.homepage      = 'https://github.com/donkeybridge/'+ spec.name
+  spec.license       = 'BSD-4-Clause'
+  spec.required_ruby_version = Gem::Requirement.new('~> 2.7')
+
+  spec.metadata['homepage_uri'] = spec.homepage
+  spec.metadata['source_code_uri'] = spec.homepage
+  spec.metadata['changelog_uri'] = spec.homepage + '/CHANGELOG.md'
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files = Dir.chdir(File.expand_path(__dir__)) do
+    `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  end
+  spec.bindir        = 'bin'
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ['lib']
+
+  spec.add_dependency 'cotcube-indicators'
+  spec.add_dependency 'yaml'
+  spec.add_dependency 'activesupport'
+  spec.add_dependency 'colorize'
+  spec.add_dependency 'httparty'
+  spec.add_dependency 'rubyzip'
+
+
+  spec.add_development_dependency 'rake'
+  spec.add_development_dependency 'rspec', '~>3.6'
+  spec.add_development_dependency 'yard', '~>0.9'
+end

data/lib/cotcube-bardata.rb

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+# frozen_string_literal: true
+
+require 'active_support'
+require 'colorize'
+require 'date' unless defined?(DateTime)
+require 'csv'  unless defined?(CSV)
+require 'yaml' unless defined?(YAML)
+require 'httparty'
+require 'zip'
+
+
+require_relative 'cotcube-bardata/constants'
+require_relative 'cotcube-bardata/init'
+require_relative 'cotcube-bardata/provide'
+
+private_files = Dir[__dir__ + '/cotcube-bardata/private/*.rb']
+private_files.each do |file| 
+  # puts 'Loading private module extension ' + file.chomp
+  require file.chomp
+end
+
+module Cotcube
+  module Bardata
+
+    module_function :config_path, # provides the path of configuration directory
+      :config_prefix,             # provides the prefix of the configuration directory according to OS-specific FSH
+      :init,                      # checks whether environment is prepared and returns the config hash
+      :provide,
+      :continuous,
+      :continuous_overview,
+
+      :symbols                    # reads and provides the symbols file
+    
+    # please not that module_functions of source provided in private files must be published there
+  end
+end
+

data/lib/cotcube-bardata/constants.rb

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+# frozen_string_literal: true
+
+module Cotcube
+  module Bardata
+
+    SYMBOL_EXAMPLES = [
+      { id: "13874U", symbol: "ET", ticksize: 0.25, power: 1.25, months: "HMUZ", bcf: 1.0, reports: "LF", name: "S&P 500 MICRO" },
+      { id: "209747", symbol: "NM", ticksize: 0.25, power: 0.5,  monhts: "HMUZ", bcf: 1.0, reports: "LF", name: "NASDAQ 100 MICRO" }
+    ].freeze
+
+    MONTH_COLOURS  = { 'F' => :cyan,  'G' => :green,   'H' => :light_green,
+                       'J' => :blue,  'K' => :yellow,  'M' => :light_yellow,
+                       'N' => :cyan,  'Q' => :magenta, 'U' => :light_magenta,
+                       'V' => :blue,  'X' => :red,     'Z' => :light_red }.freeze
+
+  end
+end

data/lib/cotcube-bardata/init.rb

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+# frozen_string_literal: true
+
+module Cotcube
+  module Bardata
+
+
+    def symbols(config: init)
+      if config[:symbols_file].nil?
+        SYMBOL_EXAMPLES
+      else
+        CSV
+          .read(config[:symbols_file], headers: %i{ id symbol ticksize power months type bcf reports name})
+          .map{|row| row.to_h }
+          .map{|row| [ :ticksize, :power, :bcf ].each {|z| row[z] = row[z].to_f}; row }
+          .reject{|row| row[:id].nil? }
+      end
+    end
+
+    def config_prefix
+      os       = Gem::Platform.local.os
+      case os
+      when 'linux'
+        ''
+      when 'freebsd'
+        '/usr/local'
+      else
+        raise RuntimeError, 'unknown architecture'
+      end
+    end
+
+    def config_path
+      config_prefix + '/etc/cotcube'
+    end
+
+    def init(config_file_name: 'bardata.yml', debug: false)
+      name = 'bardata'
+      config_file = config_path + "/#{config_file_name}"
+
+      if File.exist?(config_file)
+        config      = YAML.load(File.read config_file).transform_keys(&:to_sym)
+      else
+        config      = {} 
+      end
+
+      defaults = { 
+        data_path: config_prefix + '/var/cotcube/' + name,
+      }
+
+
+      config = defaults.merge(config)
+
+
+      # part 2 of init process: Prepare directories
+
+      save_create_directory = lambda do |directory_name|
+        unless Dir.exist?(directory_name)
+          begin
+            `mkdir -p #{directory_name}`
+            unless $?.exitstatus.zero?
+              puts "Missing permissions to create or access '#{directory_name}', please clarify manually"
+              exit 1 unless defined?(IRB)
+            end
+          rescue 
+            puts "Missing permissions to create or access '#{directory_name}', please clarify manually"
+            exit 1 unless defined?(IRB)
+          end
+        end
+      end
+      ['',:daily,:quarters].each do |path| 
+        dir = "#{config[:data_path]}#{path == '' ? '' : '/'}#{path.to_s}"
+        save_create_directory.call(dir)
+      end
+
+      # eventually return config
+      config
+    end
+
+  end
+end
+

data/lib/cotcube-bardata/provide.rb

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+# frozen_string_literal: true
+
+module Cotcube
+  module Bardata
+
+    def provide(symbol: nil, id: nil, contract:, config: init)
+      raise ArgumentError, "Contract '#{contract}' is bogus, should be like 'M21' or 'ESM21'" unless contract.is_a? String and [3,5].include? contract.size
+      if contract.to_s.size == 5
+        symbol   = contract[0..1]
+        contract = contract[2..4] 
+      end
+      unless symbol.nil?
+        symbol_id = symbols.select{|s| s[:symbol] == symbol.to_s.upcase}.first[:id]
+        raise ArgumentError, "Could not find match in #{config[:symbols_file]} for given symbol #{symbol}" if symbol_id.nil?
+        raise ArgumentError, "Mismatching symbol #{symbol} and given id #{id}" if not id.nil? and symbol_id != id
+        id = symbol_id
+      end
+      raise ArgumentError, "Could not guess :id or :symbol from 'contract: #{contract}', please clarify." if id.nil?
+      id_path   = "#{config[:data_path]}/daily/#{id}"
+      data_file = "#{id_path}/#{contract}.csv"
+      raise RuntimeError, "No data found for requested :id (#{id_path} does not exist)" unless Dir.exist?(id_path)
+      raise RuntimeError, "No data found for requested contract #{symbol}:#{contract} in #{id_path}." unless File.exist?(data_file)
+      data = CSV.read(data_file, headers: %i[contract date open high low close volume oi] ).map do |row|
+        row = row.to_h
+        row.each do |k, _| 
+          row[k] = row[k].to_f if [:open, :high, :low, :close].include? k
+          row[k] = row[k].to_i if [:volume, :oi].include? k
+        end
+        row
+      end
+      data
+    end
+
+    def continuous(symbol: nil, id: nil, config: init)
+      unless symbol.nil?
+        symbol_id = symbols.select{|s| s[:symbol] == symbol.to_s.upcase}.first[:id]
+        raise ArgumentError, "Could not find match in #{config[:symbols_file]} for given symbol #{symbol}" if symbol_id.nil?
+        raise ArgumentError, "Mismatching symbol #{symbol} and given id #{id}" if not id.nil? and symbol_id != id
+        id = symbol_id
+      end
+      raise ArgumentError, "Could not guess :id or :symbol, please clarify." if id.nil?
+      id_path    = "#{config[:data_path]}/daily/#{id}"
+      available_contracts = Dir[id_path + '/*.csv'].map{|x| x.split('/').last.split('.').first}.sort_by{|x| x[-7]}.sort_by{|x| x[-6..-5]}
+      data = [] 
+      available_contracts.each do |c| 
+        provide(id: id, config: config, contract: c).each do |x| 
+          data << x
+        end
+      end
+      result = [] 
+      data.sort_by{|x| x[:date]}.group_by{|x| x[:date]}.map{|k,v| 
+        v.map{|x| x.delete(:date)}
+        result << {
+          date: k,
+          volume: v.map{|x| x[:volume]}.reduce(:+),
+          oi:     v.map{|x| x[:oi    ]}.reduce(:+)
+        }
+        result.last[:contracts] = v
+      } 
+      result
+    end
+
+    def continuous_overview(symbol: nil, id: nil, config: init, selector: :volume, human: false, filter: nil)
+      raise ArgumentError, "Selector must be either :volume or :oi" unless selector.is_a? Symbol and [:volume, :oi].include? selector
+      
+      unless symbol.nil?
+        symbol_id = symbols.select{|s| s[:symbol] == symbol.to_s.upcase}.first[:id]
+        raise ArgumentError, "Could not find match in #{config[:symbols_file]} for given symbol #{symbol}" if symbol_id.nil?
+        raise ArgumentError, "Mismatching symbol #{symbol} and given id #{id}" if not id.nil? and symbol_id != id
+        id = symbol_id
+      end
+      raise ArgumentError, "Could not guess :id or :symbol, please clarify." if id.nil?
+      data = continuous(id: id, config: config).map{|x| 
+        {
+          date:   x[:date],
+          volume: x[:contracts].sort_by{|x| - x[:volume]}[0..4].compact.select{|x| not x[:volume].zero?},
+          oi:     x[:contracts].sort_by{|x| - x[:oi]}[0..4].compact.select{|x| not x[:oi].zero?}
+        }
+      }.select{|x| not x[selector].empty? }
+      result = data.group_by{|x| x[selector].first[:contract]}
+      if human
+        result.each {|k,v| puts "#{k}\t#{v.first[:date]}\t#{v.last[:date]}" if filter.nil? or v.first[selector].first[:contract][2..4]=~ /#{filter}/ }
+      end
+      result
+    end
+  end
+end

metadata

@@ -0,0 +1,184 @@
+--- !ruby/object:Gem::Specification
+name: cotcube-bardata
+version: !ruby/object:Gem::Version
+  version: 0.1.1
+platform: ruby
+authors:
+- Benjamin L. Tischendorf
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2020-12-16 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: cotcube-indicators
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: yaml
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: activesupport
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: colorize
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: httparty
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rubyzip
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.6'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.6'
+- !ruby/object:Gem::Dependency
+  name: yard
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '0.9'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '0.9'
+description: 'Functions to provide bardata; and some simple time series aggregations '
+email:
+- donkeybridge@jtown.eu
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".irbrc.rb"
+- CHANGELOG.md
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- VERSION
+- cotcube-bardata.gemspec
+- lib/cotcube-bardata.rb
+- lib/cotcube-bardata/constants.rb
+- lib/cotcube-bardata/init.rb
+- lib/cotcube-bardata/provide.rb
+homepage: https://github.com/donkeybridge/cotcube-bardata
+licenses:
+- BSD-4-Clause
+metadata:
+  homepage_uri: https://github.com/donkeybridge/cotcube-bardata
+  source_code_uri: https://github.com/donkeybridge/cotcube-bardata
+  changelog_uri: https://github.com/donkeybridge/cotcube-bardata/CHANGELOG.md
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - "~>"
+    - !ruby/object:Gem::Version
+      version: '2.7'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.1.2
+signing_key: 
+specification_version: 4
+summary: Functions to provide bardata; and some simple time series aggregations
+test_files: []