quantitative 0.1.0

data/lib/quant/ticks/value.rb

@@ -0,0 +1,88 @@
+# frozen_string_literal: true
+
+module Quant
+  module Ticks
+    # Value ticks are the most basic ticks and are used to represent a single price point (no open, high, low, close, etc.)
+    # and a single timestamp.  Usually, these are best used in streaming data where ticks are flowing in every second or whatever
+    # interval that's appropriate for the data source.
+    # Often indicators and charts still want a universal public interface (i.e. open_price, high_price, volume, etc.), so we add
+    # those methods here and inherit and redefine upstream as appropriate.
+    #
+    # For Value ticks:
+    # * The +price+ given is set for all *_price fields.
+    # * The +volume+ is set for both base and target volume.
+    # * The +timestamp+ is set for both open and close timestamps.
+    class Value
+      include TimeMethods
+
+      attr_reader :interval, :series
+      attr_reader :close_timestamp, :open_timestamp
+      attr_reader :open_price, :high_price, :low_price, :close_price
+      attr_reader :base_volume, :target_volume, :trades
+      attr_reader :green, :doji
+
+      def initialize(price:, timestamp: Quant.current_time, interval: nil, volume: 0, trades: 0)
+        @interval = Interval[interval]
+
+        @close_timestamp = extract_time(timestamp)
+        @open_timestamp = @close_timestamp
+
+        @close_price = price.to_f
+        @open_price = close_price
+        @high_price = close_price
+        @low_price = close_price
+
+        @base_volume = volume.to_i
+        @target_volume = volume.to_i
+        @trades = trades.to_i
+
+        # Set the series by appending to the series
+        @series = nil
+      end
+
+      alias oc2 close_price
+      alias hl2 close_price
+      alias hlc3 close_price
+      alias ohlc4 close_price
+      alias delta close_price
+      alias volume base_volume
+
+      def corresponding?(other)
+        close_timestamp == other.close_timestamp
+      end
+
+      def ==(other)
+        to_h == other.to_h
+      end
+
+      # ticks are immutable across series so we can easily initialize sub-sets or new series
+      # with the same ticks while allowing each series to have its own state and full
+      # control over the ticks within its series
+      def assign_series(new_series)
+        assign_series!(new_series) if @series.nil?
+
+        # dup.tap do |new_tick|
+        #   # new_tick.instance_variable_set(:@series, new_series)
+        #   new_tick.instance_variable_set(:@indicators, indicators)
+        # end
+      end
+
+      def assign_series!(new_series)
+        @series = new_series
+        self
+      end
+
+      def inspect
+        "#<#{self.class.name} iv=#{interval} ct=#{close_timestamp.strftime("%Y-%m-%d")} o=#{open_price} c=#{close_price} v=#{volume}>"
+      end
+
+      def to_h
+        Quant::Ticks::Serializers::Value.to_h(self)
+      end
+
+      def to_json(*_args)
+        Quant::Ticks::Serializers::Value.to_json(self)
+      end
+    end
+  end
+end

data/lib/quant/time_methods.rb

@@ -0,0 +1,53 @@
+# frozen_string_literal: true
+
+module Quant
+  module_function
+
+  # The library is designed to work with UTC time.  This method provides a single point of
+  # access for the current time.  This is useful for testing and for retrieving the current time in
+  # one place for the entire library.
+  def current_time
+    Time.now.utc
+  end
+
+  # This method, similar to +current_time+, provides a single point of access for the current date.
+  def current_date
+    Date.today
+  end
+
+  module TimeMethods
+    # Provides lower-bounds for dates and times.  See +Quant::TimePeriod+ for example use-case.
+    EPOCH_DATE = Date.civil(1492, 10, 12).freeze # arbitrary! (blame #co-pilot)
+    EPOCH_TIME = Time.new(EPOCH_DATE.year, EPOCH_DATE.month, EPOCH_DATE.day, 0, 0, 0, "+00:00").utc.freeze
+
+    # The epoch date is a NULL object +Date+ for the library.  It is used to represent the
+    # beginning of time. That is, a date that is without bound and helps avoid +nil+ checks,
+    # +NULL+ database entries, and such when working with dates.
+    def self.epoch_date
+      EPOCH_DATE
+    end
+
+    # The epoch time is a NULL object +Time+ for the library.  It is used to represent the
+    # beginning of time. That is, a time that is without bound and helps avoid +nil+ checks,
+    # +NULL+ database entries, and such when working with time.
+    def self.epoch_time
+      EPOCH_TIME
+    end
+
+    # When streaming or extracting a time entry from a payload, Time can already be parsed into a +Time+ object.
+    # Or it may be an +Integer+ representing the number of seconds since the epoch.  Or it may be a +String+ that
+    # can be parsed into a +Time+ object.  This method normalizes the time into a +Time+ object on the UTC timezone.
+    def extract_time(value)
+      case value
+      when Time
+        value.utc
+      when Integer
+        Time.at(value).utc
+      when String
+        Time.parse(value).utc
+      else
+        raise ArgumentError, "Invalid time: #{value.inspect}"
+      end
+    end
+  end
+end

data/lib/quant/time_period.rb

@@ -0,0 +1,78 @@
+# frozen_string_literal: true
+
+module Quant
+  class TimePeriod
+    LOWER_BOUND = TimeMethods::EPOCH_TIME
+
+    def initialize(start_at: nil, end_at: nil, span: nil)
+      @start_at = as_start_time(start_at)
+      @end_at = as_end_time(end_at)
+      validate_bounds!
+
+      @start_at = @end_at - span if !lower_bound? && span
+      @end_at = @start_at + span if !upper_bound? && span
+    end
+
+    def as_start_time(value)
+      return value if value.nil? || value.is_a?(Time)
+
+      value.is_a?(Date) ? value.to_time.beginning_of_day : value.to_time
+    end
+
+    def as_end_time(value)
+      return value if value.nil? || value.is_a?(Time)
+
+      value.is_a?(Date) ? value.to_time.end_of_day : value.to_time
+    end
+
+    def validate_bounds!
+      return if lower_bound? || upper_bound?
+
+      raise "TimePeriod cannot be unbounded at start_at and end_at"
+    end
+
+    def cover?(value)
+      (start_at..end_at).cover?(value)
+    end
+
+    def start_at
+      (@start_at || LOWER_BOUND).round
+    end
+
+    def lower_bound?
+      !!@start_at
+    end
+
+    def upper_bound?
+      !!@end_at
+    end
+
+    def end_at
+      (@end_at || Time.now.utc).round
+    end
+
+    def duration
+      end_at - start_at
+    end
+
+    def ==(other)
+      return false unless other.is_a?(TimePeriod)
+
+      if lower_bound?
+        other.lower_bound? && start_at == other.start_at
+      elsif upper_bound?
+        oher.upper_bound? && end_at == other.end_at
+      else
+        [start_at, end_at] == [other.start_at, other.end_at]
+      end
+    end
+
+    def eql?(other)
+      self == other
+    end
+
+    def to_h
+      { start_at: start_at, end_at: end_at }
+    end
+  end
+end

data/lib/quant/version.rb

@@ -0,0 +1,5 @@
+# frozen_string_literal: true
+
+module Quant
+  VERSION = "0.1.0"
+end

data/lib/quantitative.rb

@@ -0,0 +1,17 @@
+# frozen_string_literal: true
+
+require "time"
+require "date"
+require "oj"
+
+lib_folder = File.expand_path(File.join(File.dirname(__FILE__)))
+quant_folder = File.join(lib_folder, "quant")
+
+# require top-level files
+Dir.glob(File.join(quant_folder, "*.rb")).each { |fn| require fn }
+
+# require sub-folders and their sub-folders
+%w(ticks).each do |sub_folder|
+  Dir.glob(File.join(quant_folder, sub_folder, "*.rb")).each { |fn| require fn }
+  Dir.glob(File.join(quant_folder, sub_folder, "**/*.rb")).each { |fn| require fn }
+end

metadata

@@ -0,0 +1,149 @@
+--- !ruby/object:Gem::Specification
+name: quantitative
+version: !ruby/object:Gem::Version
+  version: 0.1.0
+platform: ruby
+authors:
+- Michael Lang
+autorequire:
+bindir: exe
+cert_chain: []
+date: 2024-02-11 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: oj
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.10'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.10'
+- !ruby/object:Gem::Dependency
+  name: debug
+  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: guard-rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '4.7'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '4.7'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.2'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.2'
+- !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: Quantitative and statistical tools written for Ruby 3.x for trading and
+  finance.
+email:
+- mwlang@cybrains.net
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".rspec"
+- ".rubocop.yml"
+- CODE_OF_CONDUCT.md
+- DISCLAIMER.txt
+- Gemfile
+- Gemfile.lock
+- Guardfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- lib/quant/errors.rb
+- lib/quant/interval.rb
+- lib/quant/mixins/direction.rb
+- lib/quant/mixins/filters.rb
+- lib/quant/mixins/fisher_transform.rb
+- lib/quant/mixins/high_pass_filter.rb
+- lib/quant/mixins/hilbert_transform.rb
+- lib/quant/mixins/stochastic.rb
+- lib/quant/mixins/super_smoother.rb
+- lib/quant/mixins/trig.rb
+- lib/quant/mixins/weighted_average.rb
+- lib/quant/ticks/core.rb
+- lib/quant/ticks/indicator_points.rb
+- lib/quant/ticks/ohlc.rb
+- lib/quant/ticks/serializers/value.rb
+- lib/quant/ticks/spot.rb
+- lib/quant/ticks/value.rb
+- lib/quant/time_methods.rb
+- lib/quant/time_period.rb
+- lib/quant/version.rb
+- lib/quantitative.rb
+homepage: https://github.com/mwlang/quantitative
+licenses:
+- MIT
+metadata:
+  allowed_push_host: https://rubygems.org
+  homepage_uri: https://github.com/mwlang/quantitative
+  source_code_uri: https://github.com/mwlang/quantitative
+  changelog_uri: https://github.com/mwlang/quantitative
+post_install_message:
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: 3.0.0
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.3.7
+signing_key:
+specification_version: 4
+summary: Quantitative and statistical tools written for Ruby 3.x for trading and finance.
+test_files: []