cotcube-bardata 0.1.3 → 0.1.4
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/.irbrc.rb +3 -1
- data/CHANGELOG.md +22 -0
- data/Gemfile +3 -2
- data/README.md +61 -28
- data/Rakefile +5 -3
- data/VERSION +1 -1
- data/cotcube-bardata.gemspec +10 -11
- data/lib/cotcube-bardata.rb +44 -18
- data/lib/cotcube-bardata/cached.rb +80 -0
- data/lib/cotcube-bardata/constants.rb +8 -8
- data/lib/cotcube-bardata/daily.rb +94 -59
- data/lib/cotcube-bardata/eods.rb +78 -55
- data/lib/cotcube-bardata/helpers.rb +104 -0
- data/lib/cotcube-bardata/init.rb +23 -27
- data/lib/cotcube-bardata/provide.rb +38 -12
- data/lib/cotcube-bardata/quarters.rb +29 -65
- data/lib/cotcube-bardata/range_matrix.rb +117 -0
- data/lib/cotcube-bardata/trade_dates.rb +19 -6
- data/lib/cotcube-bardata/trading_hours.rb +45 -0
- metadata +43 -39
@@ -0,0 +1,117 @@
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# frozen_string_literal: true
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module Cotcube
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# Missing top level documentation
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module Bardata
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# this is an analysis tool to investigate actual ranges of an underlying symbol
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# it is in particular no true range or average true range, as a 'true range' can only be applied to
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# a steady series, what changing contracts definitely aren't
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#
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# The result printed / returned is a table, containing a matrix of rows:
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# 1. size: the amount of values evaluated
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# 2. avg:
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# 3. lower: like median, but not at 1/2 but 1/4
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# 4. median:
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# 5. upper: like median, bot not at 1/2 but 3/4
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# 6. max:
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# and columns:
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# 1.a) all days os the series
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# 1.b) all days of the series, diminished by 2* :dim*100% extreme values (i.e. at both ends)
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# 1.c) the last 200 days
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# 2.a-c) same with days reduced to weeks (c: 52 weeks)
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# 3.a-c) same with days reduced to months (c: 12 months)
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def range_matrix(symbol: nil, id: nil, print: false, dim: 0.05)
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# rubocop:disable Style/MultilineBlockChain
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sym = get_id_set(symbol: symbol, id: id)
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source = {}
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target = {}
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source[:days] = Cotcube::Bardata.continuous_actual_ml symbol: symbol
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source[:weeks] = Cotcube::Helpers.reduce bars: source[:days], to: :weeks
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source[:months] = Cotcube::Helpers.reduce bars: source[:days], to: :months
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%i[days weeks months].each do |period|
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source[period].map! do |x|
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x[:range] = ((x[:high] - x[:low]) / sym[:ticksize]).round
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x
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end
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target[period] = {}
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target[period][:all_size] = source[period].size
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target[period][:all_avg] = (source[period].map { |x| x[:range] }.reduce(:+) / source[period].size).round
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target[period][:all_lower] = source[period].sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (source[period].size * 1 / 4).round ]
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target[period][:all_median] = source[period].sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (source[period].size * 2 / 4).round ]
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target[period][:all_upper] = source[period].sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (source[period].size * 3 / 4).round ]
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target[period][:all_max] = source[period].map { |x| x[:range] }.max
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target[period][:all_records] = source[period].sort_by do |x|
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-x[:range]
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end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
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tenth = (source[period].size * dim).round
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custom = source[period].sort_by { |x| x[:range] }[tenth..source[period].size - tenth]
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target[period][:dim_size] = custom.size
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target[period][:dim_avg] = (custom.map { |x| x[:range] }.reduce(:+) / custom.size).round
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target[period][:dim_lower] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 1 / 4).round ]
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target[period][:dim_median] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 2 / 4).round ]
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target[period][:dim_upper] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 3 / 4).round ]
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target[period][:dim_max] = custom.map { |x| x[:range] }.max
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target[period][:dim_records] = custom.sort_by do |x|
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-x[:range]
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end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
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range = case period
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when :months
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-13..-2
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when :weeks
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-53..-2
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when :days
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-200..-1
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else
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raise ArgumentError, "Unsupported period: '#{period}'"
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end
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custom = source[period][range]
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target[period][:rec_size] = custom.size
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target[period][:rec_avg] = (custom.map { |x| x[:range] }.reduce(:+) / custom.size).round
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target[period][:rec_lower] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 1 / 4).round ]
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target[period][:rec_median] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 2 / 4).round ]
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target[period][:rec_upper] = custom.sort_by do |x|
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x[:range]
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end.map { |x| x[:range] }[ (custom.size * 3 / 4).round ]
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target[period][:rec_max] = custom.map { |x| x[:range] }.max
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target[period][:rec_records] = custom.sort_by do |x|
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-x[:range]
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end.map { |x| { contract: x[:contract], range: x[:range] } }.take(5)
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end
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if print
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%w[size avg lower median upper max].each do |a|
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print "#{'%10s' % a} | " # rubocop:disable Style/FormatString
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%i[days weeks months].each do |b|
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%w[all dim rec].each do |c|
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print ('%8d' % target[b]["#{c}_#{a}".to_sym]).to_s # rubocop:disable Style/FormatString
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end
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print ' | '
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end
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puts ''
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end
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end
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target
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# rubocop:enable Style/MultilineBlockChain
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end
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end
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end
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@@ -1,14 +1,27 @@
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# frozen_string_literal: true
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module Cotcube
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# missing top level documentation
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module Bardata
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-
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#
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# fetching official trade dates from CME
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# it returns the current trade date or, if today isn't a trading day, the last trade date.
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def last_trade_date
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uri =
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uri = 'https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME'
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begin
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HTTParty.get(uri)
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.parsed_response
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.map do |x|
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a = x['tradeDate'].chars.each_slice(2).map(&:join)
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"#{a[0]}#{a[1]}-#{a[2]}-#{a[3]}"
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end
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.first
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rescue StandardError
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nil
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end
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end
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def holidays(config: init)
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CSV.read("#{config[:data_path]}/holidays.csv").map{|x| DateTime.parse(x[0])}
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end
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end
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# frozen_string_literal: true
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module Cotcube
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# Missing top level comment
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module Bardata
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# returns an Array of ranges containing a week of trading hours, specified by seconds since monday morning
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# (as sunday is wday:0)
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# according files are located in config[:data_path]/trading_hours and picked either
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# by the symbol itself or by the assigned type
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# commonly there are two sets for each symbol: :full and :rth, exceptions are e.g. meats
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def trading_hours(symbol: nil, id: nil, # rubocop:disable Metrics/ParameterLists
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set: :full, force_set: false,
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config: init, debug: false)
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return (0...24 * 7 * 3600) if set.to_s =~ /24x7/
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prepare = lambda do |f|
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CSV.read(f, converters: :numeric)
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.map(&:to_a)
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.tap { |x| x.shift unless x.first.first.is_a?(Numeric) }
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.map { |x| (x.first...x.last) }
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end
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sym = get_id_set(symbol: symbol, id: id)
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file = "#{config[:data_path]}/trading_hours/#{sym[:symbol]}_#{set}.csv"
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puts "Trying to use #{file} for #{symbol} + #{set}" if debug
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return prepare.call(file) if File.exist? file
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file = "#{config[:data_path]}/trading_hours/#{sym[:symbol]}_full.csv"
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puts "Failed. Trying to use #{file} now" if debug
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return prepare.call(file) if File.exist?(file) && (not force_set)
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file = "#{config[:data_path]}/trading_hours/#{sym[:type]}_#{set}.csv"
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puts "Failed. Trying to use #{file} now." if debug
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return prepare.call(file) if File.exist? file
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file = "#{config[:data_path]}/trading_hours/#{sym[:type]}_full.csv"
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puts "Failed. Trying to use #{file} now." if debug
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return prepare.call(file) if File.exist?(file) && (not force_set)
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puts "Finally failed to find range set for #{symbol} + #{set}, returning 24x7"..colorize(:light_yellow)
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(0...24 * 7 * 3600)
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end
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end
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end
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metadata
CHANGED
@@ -1,127 +1,127 @@
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--- !ruby/object:Gem::Specification
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name: cotcube-bardata
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version: !ruby/object:Gem::Version
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version: 0.1.
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version: 0.1.4
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platform: ruby
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authors:
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- Benjamin L. Tischendorf
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autorequire:
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bindir: bin
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cert_chain: []
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date:
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date: 2021-01-02 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name:
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name: activesupport
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '
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version: '6'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '
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version: '6'
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- !ruby/object:Gem::Dependency
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name:
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name: colorize
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.8'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.8'
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- !ruby/object:Gem::Dependency
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name:
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name: cotcube-helpers
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.1'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.1'
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- !ruby/object:Gem::Dependency
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name:
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name: cotcube-indicators
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requirement: !ruby/object:Gem::Requirement
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requirements:
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- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.1'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.1'
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- !ruby/object:Gem::Dependency
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name:
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name: httparty
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.18'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.18'
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- !ruby/object:Gem::Dependency
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name:
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name: parallel
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '
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version: '1'
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type: :runtime
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prerelease: false
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version_requirements: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '
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version: '1'
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- !ruby/object:Gem::Dependency
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name:
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name: yaml
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requirement: !ruby/object:Gem::Requirement
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requirements:
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-
- - "
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- - "~>"
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- !ruby/object:Gem::Version
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version: '0'
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version: '0.1'
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104
104
|
type: :runtime
|
105
105
|
prerelease: false
|
106
106
|
version_requirements: !ruby/object:Gem::Requirement
|
107
107
|
requirements:
|
108
|
-
- - "
|
108
|
+
- - "~>"
|
109
109
|
- !ruby/object:Gem::Version
|
110
|
-
version: '0'
|
110
|
+
version: '0.1'
|
111
111
|
- !ruby/object:Gem::Dependency
|
112
112
|
name: rake
|
113
113
|
requirement: !ruby/object:Gem::Requirement
|
114
114
|
requirements:
|
115
115
|
- - ">="
|
116
116
|
- !ruby/object:Gem::Version
|
117
|
-
version: '
|
117
|
+
version: '12'
|
118
118
|
type: :development
|
119
119
|
prerelease: false
|
120
120
|
version_requirements: !ruby/object:Gem::Requirement
|
121
121
|
requirements:
|
122
122
|
- - ">="
|
123
123
|
- !ruby/object:Gem::Version
|
124
|
-
version: '
|
124
|
+
version: '12'
|
125
125
|
- !ruby/object:Gem::Dependency
|
126
126
|
name: rspec
|
127
127
|
requirement: !ruby/object:Gem::Requirement
|
@@ -166,13 +166,17 @@ files:
|
|
166
166
|
- VERSION
|
167
167
|
- cotcube-bardata.gemspec
|
168
168
|
- lib/cotcube-bardata.rb
|
169
|
+
- lib/cotcube-bardata/cached.rb
|
169
170
|
- lib/cotcube-bardata/constants.rb
|
170
171
|
- lib/cotcube-bardata/daily.rb
|
171
172
|
- lib/cotcube-bardata/eods.rb
|
173
|
+
- lib/cotcube-bardata/helpers.rb
|
172
174
|
- lib/cotcube-bardata/init.rb
|
173
175
|
- lib/cotcube-bardata/provide.rb
|
174
176
|
- lib/cotcube-bardata/quarters.rb
|
177
|
+
- lib/cotcube-bardata/range_matrix.rb
|
175
178
|
- lib/cotcube-bardata/trade_dates.rb
|
179
|
+
- lib/cotcube-bardata/trading_hours.rb
|
176
180
|
homepage: https://github.com/donkeybridge/cotcube-bardata
|
177
181
|
licenses:
|
178
182
|
- BSD-4-Clause
|