cotcube-bardata 0.1.3 → 0.1.4

data/lib/cotcube-bardata/range_matrix.rb

@@ -0,0 +1,117 @@
+# frozen_string_literal: true
+
+module Cotcube
+  # Missing top level documentation
+  module Bardata
+    # this is an analysis tool to investigate actual ranges of an underlying symbol
+    # it is in particular no true range or average true range, as a 'true range' can only be applied to
+    # a steady series, what changing contracts definitely aren't
+    #
+    # The result printed / returned is a table, containing a matrix of rows:
+    #   1. size: the amount of values evaluated
+    #   2. avg:
+    #   3. lower: like median, but not at 1/2 but 1/4
+    #   4. median:
+    #   5. upper: like median, bot not at 1/2 but 3/4
+    #   6. max:
+    # and columns:
+    #   1.a) all days os the series
+    #   1.b) all days of the series, diminished by 2* :dim*100% extreme values (i.e. at both ends)
+    #   1.c) the last 200 days
+    #   2.a-c) same with days reduced to weeks (c: 52 weeks)
+    #   3.a-c) same with days reduced to months (c: 12 months)
+    def range_matrix(symbol: nil, id: nil, print: false, dim: 0.05)
+      # rubocop:disable Style/MultilineBlockChain
+      sym = get_id_set(symbol: symbol, id: id)
+      source = {}
+      target = {}
+      source[:days]   = Cotcube::Bardata.continuous_actual_ml symbol: symbol
+      source[:weeks]  = Cotcube::Helpers.reduce bars: source[:days], to: :weeks
+      source[:months] = Cotcube::Helpers.reduce bars: source[:days], to: :months
+
+      %i[days weeks months].each do |period|
+        source[period].map! do |x|
+          x[:range] = ((x[:high] - x[:low]) / sym[:ticksize]).round
+          x
+        end
+        target[period] = {}
+        target[period][:all_size]   =  source[period].size
+        target[period][:all_avg]    = (source[period].map { |x| x[:range] }.reduce(:+) / source[period].size).round
+        target[period][:all_lower]  =  source[period].sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (source[period].size * 1 / 4).round ]
+        target[period][:all_median] =  source[period].sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (source[period].size * 2 / 4).round ]
+        target[period][:all_upper]  =  source[period].sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (source[period].size * 3 / 4).round ]
+        target[period][:all_max] = source[period].map { |x| x[:range] }.max
+        target[period][:all_records] = source[period].sort_by do |x|
+                                         -x[:range]
+                                       end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
+
+        tenth = (source[period].size * dim).round
+        custom = source[period].sort_by { |x| x[:range] }[tenth..source[period].size - tenth]
+        target[period][:dim_size]   =  custom.size
+        target[period][:dim_avg]    = (custom.map { |x| x[:range] }.reduce(:+) / custom.size).round
+        target[period][:dim_lower]  =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 1 / 4).round ]
+        target[period][:dim_median] =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 2 / 4).round ]
+        target[period][:dim_upper]  =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 3 / 4).round ]
+        target[period][:dim_max]    =  custom.map { |x| x[:range] }.max
+        target[period][:dim_records] = custom.sort_by do |x|
+                                         -x[:range]
+                                       end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
+
+        range = case period
+                when :months
+                  -13..-2
+                when :weeks
+                  -53..-2
+                when :days
+                  -200..-1
+                else
+                  raise ArgumentError, "Unsupported period: '#{period}'"
+                end
+        custom = source[period][range]
+        target[period][:rec_size]   =  custom.size
+        target[period][:rec_avg]    = (custom.map { |x| x[:range] }.reduce(:+) / custom.size).round
+        target[period][:rec_lower]  =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 1 / 4).round ]
+        target[period][:rec_median] =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 2 / 4).round ]
+        target[period][:rec_upper]  =  custom.sort_by do |x|
+                                         x[:range]
+                                       end.map { |x| x[:range] }[ (custom.size * 3 / 4).round ]
+        target[period][:rec_max]    =  custom.map { |x| x[:range] }.max
+        target[period][:rec_records] = custom.sort_by do |x|
+                                         -x[:range]
+                                       end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
+      end
+
+      if print
+        %w[size avg lower median upper max].each do |a|
+          print "#{'%10s' % a} | " # rubocop:disable Style/FormatString
+          %i[days weeks months].each do |b|
+            %w[all dim rec].each do |c|
+              print ('%8d' % target[b]["#{c}_#{a}".to_sym]).to_s # rubocop:disable Style/FormatString
+            end
+            print ' | '
+          end
+          puts ''
+        end
+      end
+
+      target
+      # rubocop:enable Style/MultilineBlockChain
+    end
+  end
+end

data/lib/cotcube-bardata/trade_dates.rb

@@ -1,14 +1,27 @@
 # frozen_string_literal: true
 
 module Cotcube
+  # missing top level documentation
   module Bardata
-
-    # fetching official tradedates from CME
+    # fetching official trade dates from CME
+    # it returns the current trade date or, if today isn't a trading day, the last trade date.
     def last_trade_date
-      uri = "https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME"
-      res = nil
-      res = HTTParty.get(uri).parsed_response
-      res.map{|x| a = x["tradeDate"].chars.each_slice(2).map(&:join); "#{a[0]}#{a[1]}-#{a[2]}-#{a[3]}"}.first
+      uri = 'https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME'
+      begin
+        HTTParty.get(uri)
+                .parsed_response
+                .map do |x|
+                  a = x['tradeDate'].chars.each_slice(2).map(&:join)
+                  "#{a[0]}#{a[1]}-#{a[2]}-#{a[3]}"
+                end
+                .first
+      rescue StandardError
+        nil
+      end
+    end
+
+    def holidays(config: init)
+      CSV.read("#{config[:data_path]}/holidays.csv").map{|x| DateTime.parse(x[0])}
     end
 
   end

data/lib/cotcube-bardata/trading_hours.rb

@@ -0,0 +1,45 @@
+# frozen_string_literal: true
+
+module Cotcube
+  # Missing top level comment
+  module Bardata
+    # returns an Array of ranges containing a week of trading hours, specified by seconds since monday morning
+    #    (as sunday is wday:0)
+    # according files are located in config[:data_path]/trading_hours and picked either
+    # by the symbol itself or by the assigned type
+    # commonly there are two sets for each symbol: :full and :rth, exceptions are e.g. meats
+    def trading_hours(symbol: nil, id: nil,         # rubocop:disable Metrics/ParameterLists
+                      set: :full, force_set: false,
+                      config: init, debug: false)
+      return (0...24 * 7 * 3600) if set.to_s =~ /24x7/
+
+      prepare = lambda do |f|
+        CSV.read(f, converters: :numeric)
+           .map(&:to_a)
+           .tap { |x| x.shift unless x.first.first.is_a?(Numeric) }
+           .map { |x| (x.first...x.last) }
+      end
+
+      sym = get_id_set(symbol: symbol, id: id)
+
+      file = "#{config[:data_path]}/trading_hours/#{sym[:symbol]}_#{set}.csv"
+      puts "Trying to use #{file} for #{symbol} + #{set}" if debug
+      return prepare.call(file) if File.exist? file
+
+      file = "#{config[:data_path]}/trading_hours/#{sym[:symbol]}_full.csv"
+      puts "Failed. Trying to use #{file} now" if debug
+      return prepare.call(file) if File.exist?(file) && (not force_set)
+
+      file = "#{config[:data_path]}/trading_hours/#{sym[:type]}_#{set}.csv"
+      puts "Failed. Trying to use #{file} now." if debug
+      return prepare.call(file) if File.exist? file
+
+      file = "#{config[:data_path]}/trading_hours/#{sym[:type]}_full.csv"
+      puts "Failed. Trying to use #{file} now." if debug
+      return prepare.call(file) if File.exist?(file) && (not force_set)
+
+      puts "Finally failed to find range set for #{symbol} + #{set}, returning 24x7"..colorize(:light_yellow)
+      (0...24 * 7 * 3600)
+    end
+  end
+end

metadata

@@ -1,127 +1,127 @@
 --- !ruby/object:Gem::Specification
 name: cotcube-bardata
 version: !ruby/object:Gem::Version
-  version: 0.1.3
+  version: 0.1.4
 platform: ruby
 authors:
 - Benjamin L. Tischendorf
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2020-12-23 00:00:00.000000000 Z
+date: 2021-01-02 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
-  name: cotcube-indicators
+  name: activesupport
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '6'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '6'
 - !ruby/object:Gem::Dependency
-  name: cotcube-helpers
+  name: colorize
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.8'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.8'
 - !ruby/object:Gem::Dependency
-  name: yaml
+  name: cotcube-helpers
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
 - !ruby/object:Gem::Dependency
-  name: activesupport
+  name: cotcube-indicators
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
 - !ruby/object:Gem::Dependency
-  name: colorize
+  name: httparty
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.18'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.18'
 - !ruby/object:Gem::Dependency
-  name: httparty
+  name: parallel
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '1'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '1'
 - !ruby/object:Gem::Dependency
-  name: rubyzip
+  name: yaml
   requirement: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
   type: :runtime
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
-    - - ">="
+    - - "~>"
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.1'
 - !ruby/object:Gem::Dependency
   name: rake
   requirement: !ruby/object:Gem::Requirement
     requirements:
     - - ">="
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '12'
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - ">="
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '12'
 - !ruby/object:Gem::Dependency
   name: rspec
   requirement: !ruby/object:Gem::Requirement
@@ -166,13 +166,17 @@ files:
 - VERSION
 - cotcube-bardata.gemspec
 - lib/cotcube-bardata.rb
+- lib/cotcube-bardata/cached.rb
 - lib/cotcube-bardata/constants.rb
 - lib/cotcube-bardata/daily.rb
 - lib/cotcube-bardata/eods.rb
+- lib/cotcube-bardata/helpers.rb
 - lib/cotcube-bardata/init.rb
 - lib/cotcube-bardata/provide.rb
 - lib/cotcube-bardata/quarters.rb
+- lib/cotcube-bardata/range_matrix.rb
 - lib/cotcube-bardata/trade_dates.rb
+- lib/cotcube-bardata/trading_hours.rb
 homepage: https://github.com/donkeybridge/cotcube-bardata
 licenses:
 - BSD-4-Clause