quantitative 0.1.7 → 0.1.8

checksums.yaml

@@ -1,7 +1,7 @@
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data/.rubocop.yml

@@ -2,7 +2,7 @@ inherit_gem:
   relaxed-rubocop: .rubocop.yml
 
 AllCops:
-  TargetRubyVersion: 3.0
+  TargetRubyVersion: 3.2
   Exclude:
     - 'spec/performance/*.rb'
 

data/Gemfile

@@ -18,3 +18,7 @@ gem "guard-rspec", "~> 4.7"
 gem "yard", "~> 0.9"
 gem "benchmark-ips", "~> 2.9"
 
+gem 'rspec-github'
+gem 'simplecov'
+gem 'simplecov-cobertura'
+

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    quantitative (0.1.7)
+    quantitative (0.1.8)
       oj (~> 3.10)
 
 GEM
@@ -15,6 +15,7 @@ GEM
       irb (>= 1.5.0)
       reline (>= 0.3.1)
     diff-lcs (1.5.0)
+    docile (1.4.0)
     ffi (1.16.3)
     formatador (1.1.0)
     guard (2.18.1)
@@ -79,6 +80,8 @@ GEM
     rspec-expectations (3.12.3)
       diff-lcs (>= 1.2.0, < 2.0)
       rspec-support (~> 3.12.0)
+    rspec-github (2.4.0)
+      rspec-core (~> 3.0)
     rspec-mocks (3.12.6)
       diff-lcs (>= 1.2.0, < 2.0)
       rspec-support (~> 3.12.0)
@@ -106,6 +109,15 @@ GEM
       rubocop-factory_bot (~> 2.22)
     ruby-progressbar (1.13.0)
     shellany (0.0.1)
+    simplecov (0.22.0)
+      docile (~> 1.1)
+      simplecov-html (~> 0.11)
+      simplecov_json_formatter (~> 0.1)
+    simplecov-cobertura (2.1.0)
+      rexml
+      simplecov (~> 0.19)
+    simplecov-html (0.12.3)
+    simplecov_json_formatter (0.1.4)
     stringio (3.1.0)
     thor (1.3.0)
     unicode-display_width (2.5.0)
@@ -113,6 +125,7 @@ GEM
 
 PLATFORMS
   arm64-darwin-22
+  x86_64-linux
 
 DEPENDENCIES
   benchmark-ips (~> 2.9)
@@ -122,8 +135,11 @@ DEPENDENCIES
   rake (~> 13.0)
   relaxed-rubocop
   rspec (~> 3.0)
+  rspec-github
   rubocop (~> 1.21)
   rubocop-rspec
+  simplecov
+  simplecov-cobertura
   yard (~> 0.9)
 
 BUNDLED WITH

data/README.md

@@ -1,10 +1,10 @@
 # Quantitative
 
-[![Gem Version](https://badge.fury.io/rb/quantitative.svg)](https://badge.fury.io/rb/quantitative)
+[![Gem Version](https://badge.fury.io/rb/quantitative.svg)](https://badge.fury.io/rb/quantitative) [![codecov](https://codecov.io/gh/mwlang/quantitative/graph/badge.svg?token=ZXMSKQZKD5)](https://codecov.io/gh/mwlang/quantitative)
 
 STATUS: ALPHA - very early stages!  The framework is very much a work in progress and I am rapidly introducing new things and changing existing things around.
 
-Quantitative is a statistical and quantitative library for Ruby 3.x for trading stocks, cryptocurrency, and forex.  It provides a number of classes and modules for working with time-series data, financial data, and other quantitative data.  It is designed to be fast, efficient, and easy to use.
+Quantitative is a statistical and quantitative library for Ruby 3.2+ for trading stocks, cryptocurrency, and forex.  It provides a number of classes and modules for working with time-series data, financial data, and other quantitative data.  It is designed to be fast, efficient, and easy to use.
 
 It has been highly optimized for fairly high-frequency trading purely in Ruby (no external numerical/statistical native extensions).  The one exception is that I opted to depend on `Oj` which is a high-performant JSON parser that greatly speeds up serializing data between disk and memory.  In practice, Quantitative is performant enough to trade one minute tickers on down to 30 second ticks for around 100 or so ticker symbols.  Trading anything lower depends on the amount of analysis you're doing and your mileage may vary.  It is possible, but you will find yourself with tradeoffs between the amount of data you can crunch and how fast you can react to live trading situations.
 
@@ -46,6 +46,18 @@ To install this gem onto your local machine, run `bundle exec rake install`. To
 
 Bug reports and pull requests are welcome on GitHub at https://github.com/mwlang/quantitative. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [code of conduct](https://github.com/mwlang/quantitative/blob/main/CODE_OF_CONDUCT.md).
 
+The Relaxed Ruby Style Guide is adopted for RuboCop.
+
+### Keeping Test Coverage High
+
+TDD/BDD is fully embraced for this project.  If you opt to contribute, please include tests to coverage new features and behavior tests.
+
+RSpec is the test framework. SimpleCov is used for coverage reports.
+
+### Test Driven / Behavior Driven development Coverage Map:
+
+![Coverage Map](https://codecov.io/gh/mwlang/quantitative/graphs/sunburst.svg?token=ZXMSKQZKD5)
+
 ## License
 
 The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).

data/lib/quant/asset.rb

@@ -82,7 +82,7 @@ module Quant
     end
 
     def to_json(*args, full: false)
-      Oj.dump(to_h(full: full), *args)
+      Oj.dump(to_h(full:), *args)
     end
   end
 end

data/lib/quant/attributes.rb

@@ -93,7 +93,7 @@ module Quant
       end
 
       registry[klass] ||= {}
-      registry[klass][name] = { key: key, default: default }
+      registry[klass][name] = { key:, default: }
     end
 
     module InstanceMethods
@@ -138,7 +138,7 @@ module Quant
         if entry[:default].is_a?(Symbol) && respond_to?(entry[:default])
           send(entry[:default])
 
-        elsif entry[:default].is_a?(Symbol) && current_tick&.respond_to?(entry[:default])
+        elsif entry[:default].is_a?(Symbol) && current_tick.respond_to?(entry[:default])
           current_tick.send(entry[:default])
 
         elsif entry[:default].is_a?(Proc)

data/lib/quant/indicators/indicator.rb

@@ -5,6 +5,7 @@ module Quant
     class Indicator
       include Enumerable
       include Mixins::Functions
+      include Mixins::Filters
       include Mixins::MovingAverages
       # include Mixins::HilbertTransform
       # include Mixins::SuperSmoother
@@ -44,7 +45,7 @@ module Quant
 
       def <<(tick)
         @t0 = tick
-        @p0 = points_class.new(tick: tick, source: source)
+        @p0 = points_class.new(tick:, source:)
         @points[tick] = @p0
 
         @p1 = values[-2] || @p0

data/lib/quant/indicators/indicator_point.rb

@@ -6,6 +6,7 @@ module Quant
       include Quant::Attributes
 
       attr_reader :tick
+
       attribute :source, key: "src"
       attribute :input, key: "in"
 

data/lib/quant/indicators_proxy.rb

@@ -25,7 +25,7 @@ module Quant
     # prepared, the indicator becomes active and all ticks pushed into the series
     # are sent to the indicator for processing.
     def indicator(indicator_class)
-      indicators[indicator_class] ||= indicator_class.new(series: series, source: source)
+      indicators[indicator_class] ||= indicator_class.new(series:, source:)
     end
 
     # Adds the tick to all active indicators, triggering them to compute

data/lib/quant/mixins/butterworth_filters.rb

@@ -0,0 +1,48 @@
+# frozen_string_literal: true
+
+module Quant
+  module Mixins
+    module ButterworthFilters
+      def two_pole_butterworth(source, period:, previous: :bw)
+        raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)
+
+        v0 = p0.send(source)
+
+        v1 = 0.5 * (v0 + p1.send(source))
+        v2 = p1.send(previous)
+        v3 = p2.send(previous)
+
+        radians = Math.sqrt(2) * Math::PI / period
+        a = Math.exp(-radians)
+        b = 2 * a * Math.cos(radians)
+
+        c2 = b
+        c3 = -a**2
+        c1 = 1.0 - c2 - c3
+
+        (c1 * v1) + (c2 * v2) + (c3 * v3)
+      end
+
+      def three_pole_butterworth(source, period:, previous: :bw)
+        raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)
+
+        v0 = p0.send(source)
+        v1 = p1.send(previous)
+        v2 = p2.send(previous)
+        v3 = p3.send(previous)
+
+        radians = Math.sqrt(3) * Math::PI / period
+        a = Math.exp(-radians)
+        b = 2 * a * Math.cos(radians)
+        c = a**2
+
+        d4 = c**2
+        d3 = -(c + (b * c))
+        d2 = b + c
+        d1 = 1.0 - d2 - d3 - d4
+
+        (d1 * v0) + (d2 * v1) + (d3 * v2) + (d4 * v3)
+      end
+    end
+  end
+end

data/lib/quant/mixins/exponential_moving_average.rb

@@ -27,7 +27,7 @@ module Quant
         raise ArgumentError, "previous must be a Symbol" unless previous.is_a?(Symbol)
 
         alpha = bars_to_alpha(period)
-        p0.send(source) * alpha + p1.send(previous) * (1.0 - alpha)
+        (p0.send(source) * alpha) + (p1.send(previous) * (1.0 - alpha))
       end
       alias ema exponential_moving_average
     end

data/lib/quant/mixins/filters.rb

@@ -1,7 +1,5 @@
 # frozen_string_literal: true
 
-require_relative "functions"
-
 module Quant
   module Mixins
     # 1.  All the common filters useful for traders have a transfer response
@@ -47,55 +45,7 @@ module Quant
     #   Band-stop             (1+σ)/2     -2λ*(1+σ)/2     (1+σ)/2     1         -λ*(1+σ)  σ
     #
     module Filters
-      include Mixins::Functions
-
-      def ema(source, prev_source, period)
-        alpha = bars_to_alpha(period)
-        v0 = source.is_a?(Symbol) ? p0.send(source) : source
-        v1 = p1.send(prev_source)
-        (v0 * alpha) + (v1 * (1 - alpha))
-      end
-
-      def band_pass(source, prev_source, period, bandwidth); end
-
-      def two_pole_butterworth(source, prev_source, period)
-        v0 = source.is_a?(Symbol) ? p0.send(source) : source
-
-        v1 = 0.5 * (v0 + p1.send(source))
-        v2 = p1.send(prev_source)
-        v3 = p2.send(prev_source)
-
-        radians = Math.sqrt(2) * Math::PI / period
-        a = Math.exp(-radians)
-        b = 2 * a * Math.cos(radians)
-
-        c2 = b
-        c3 = -a**2
-        c1 = 1.0 - c2 - c3
-
-        (c1 * v1) + (c2 * v2) + (c3 * v3)
-      end
-
-      def three_pole_butterworth(source, prev_source, period)
-        v0 = source.is_a?(Symbol) ? p0.send(source) : source
-        return v0 if p2 == p3
-
-        v1 = p1.send(prev_source)
-        v2 = p2.send(prev_source)
-        v3 = p3.send(prev_source)
-
-        radians = Math.sqrt(3) * Math::PI / period
-        a = Math.exp(-radians)
-        b = 2 * a * Math.cos(radians)
-        c = a**2
-
-        d4 = c**2
-        d3 = -(c + (b * c))
-        d2 = b + c
-        d1 = 1.0 - d2 - d3 - d4
-
-        (d1 * v0) + (d2 * v1) + (d3 * v2) + (d4 * v3)
-      end
+      include Mixins::ButterworthFilters
     end
   end
 end

data/lib/quant/mixins/fisher_transform.rb

@@ -3,36 +3,45 @@
 module Quant
   module Mixins
     # Fisher Transforms
-    # • Price is not a Gaussian (Bell Curve) distribution, even though many technical analysis formulas
-    #   falsely assume that it is. Bell Curve tails are missing.
-    #   – If $10 stock were Gaussian, it could go up or down $20 – Standard deviation based indicators like Bollinger Bands
-    #   and zScore make the Gaussian assumption error
-    # • TheFisher Transform converts almost any probability distribution in a Gaussian-like one
-    #   – Expands the distribution and creates tails
-    # • The Inverse Fisher Transform converts almost any probability distribution into a square wave
-    #   – Compresses, removes low amplitude variations
+    # • Price is not a Gaussian (Bell Curve) distribution, even though many
+    #   technical analysis formulas falsely assume that it is. Bell Curve tails
+    #   are missing.
+    #     – If $10 stock were Gaussian, it could go up or down $20
+    #     – Standard deviation based indicators like Bollinger Bands
+    #       and zScore make the Gaussian assumption error
+    #
+    # • TheFisher Transform converts almost any probability distribution
+    #   in a Gaussian-like one
+    #     – Expands the distribution and creates tails
+    #
+    # • The Inverse Fisher Transform converts almost any probability
+    #   distribution into a square wave
+    #     – Compresses, removes low amplitude variations
     module FisherTransform
       # inverse fisher transform
       # https://www.mql5.com/en/articles/303
-      def ift(value, scale_factor = 1.0)
+      def inverse_fisher_transform(value, scale_factor: 1.0)
         r = (Math.exp(2.0 * scale_factor * value) - 1.0) / (Math.exp(2.0 * scale_factor * value) + 1.0)
         r.nan? ? 0.0 : r
       end
+      alias ift inverse_fisher_transform
 
-      # def fisher_transform(value, max_value)
-      #   return 0.0 if max_value.zero?
-      #   x = (value / max_value).abs
-      #   r = 0.5 * Math.log((1 + x) / (1 - x))
-      #   r.nan? ? 0.0 : r
-      # end
+      def relative_fisher_transform(value, max_value:)
+        max_value.zero? ? 0.0 : fisher_transform(value / max_value)
+      end
+      alias rft relative_fisher_transform
 
       # The absolute value passed must be < 1.0
       def fisher_transform(value)
-        r = 0.5 * Math.log((1.0 + value) / (1.0 - value))
-        r.nan? ? 0.0 : r
+        raise ArgumentError, "value (#{value}) must be between -1.0 and 1.0" unless value.abs <= 1.0
+
+        result = 0.5 * Math.log((1.0 + value) / (1.0 - value))
+        result.nan? ? 0.0 : result
       rescue Math::DomainError => e
-        raise "value #{value}: #{(1 + value) / (1 - value)}, e: #{e}"
+        raise Math::DomainError, "#{e.message}: cannot take the Log of #{value}: #{(1 + value) / (1 - value)}"
       end
+      alias fisher fisher_transform
+      alias ft fisher_transform
     end
   end
 end

data/lib/quant/mixins/hilbert_transform.rb

@@ -3,11 +3,11 @@
 module Quant
   module Mixins
     module HilbertTransform
-      def hilbert_transform(source, period = p1.period)
+      def hilbert_transform(source, period:)
         [0.0962 * p0.send(source),
          0.5769 * p2.send(source),
-         -0.5769 * prev(4).send(source),
-         -0.0962 * prev(6).send(source),].sum * ((0.075 * period) + 0.54)
+         -0.5769 * p(4).send(source),
+         -0.0962 * p(6).send(source),].sum * ((0.075 * period) + 0.54)
       end
     end
   end

data/lib/quant/mixins/super_smoother.rb

@@ -13,7 +13,7 @@ module Quant
         coef3 = -a1 * a1
         coef1 = 1.0 - coef2 - coef3
 
-        v0 = (p0.send(source) + p1.send(source))/2.0
+        v0 = (p0.send(source) + p1.send(source)) / 2.0
         v1 = p2.send(previous)
         v2 = p3.send(previous)
         ((coef1 * v0) + (coef2 * v1) + (coef3 * v2)).to_f

data/lib/quant/mixins/weighted_moving_average.rb

@@ -17,7 +17,7 @@ module Quant
         [4.0 * p0.send(source),
          3.0 * p1.send(source),
          2.0 * p2.send(source),
-               p3.send(source)].sum / 10.0
+         p3.send(source)].sum / 10.0
       end
       alias wma weighted_moving_average
 
@@ -37,7 +37,7 @@ module Quant
          4.0 * p3.send(source),
          3.0 * p(4).send(source),
          2.0 * p(5).send(source),
-               p(6).send(source)].sum / 28.0
+         p(6).send(source)].sum / 28.0
       end
       alias ewma extended_weighted_moving_average
     end

data/lib/quant/refinements/array.rb

@@ -176,7 +176,7 @@ module Quant
       # @param n [Integer] the number of elements to compute the Standard Deviation over.
       # @return [Float]
       def stddev(reference_value, n: size)
-        variance(reference_value, n: n)**0.5
+        variance(reference_value, n:)**0.5
       end
 
       def variance(reference_value, n: size)

data/lib/quant/series.rb

@@ -19,7 +19,7 @@ module Quant
       raise "File #{filename} does not exist" unless File.exist?(filename)
 
       ticks = File.read(filename).split("\n").map{ |line| Oj.load(line) }
-      from_hash symbol: symbol, interval: interval, hash: ticks, serializer_class: serializer_class
+      from_hash symbol:, interval:, hash: ticks, serializer_class:
     end
 
     # Loads a series of ticks when the JSON string represents an array of ticks.
@@ -29,8 +29,8 @@ module Quant
     # @param json [String] The JSON string to parse into ticks.
     # @param serializer_class [Class] {Quant::Ticks::TickSerializer} class to use for the conversion.
     def self.from_json(symbol:, interval:, json:, serializer_class: nil)
-      ticks = Oj.load(json)
-      from_hash symbol: symbol, interval: interval, hash: ticks, serializer_class: serializer_class
+      hash = Oj.load(json)
+      from_hash symbol:, interval:, hash:, serializer_class:
     end
 
     # Loads a series of ticks where the hash must be cast to an array of {Quant::Ticks::Tick} objects.
@@ -39,15 +39,15 @@ module Quant
     # @param hash [Array<Hash>] The array of hashes to convert to {Quant::Ticks::Tick} objects.
     # @param serializer_class [Class] {Quant::Ticks::TickSerializer} class to use for the conversion.
     def self.from_hash(symbol:, interval:, hash:, serializer_class: nil)
-      ticks = hash.map { |tick_hash| Quant::Ticks::OHLC.from(tick_hash, serializer_class: serializer_class) }
-      from_ticks symbol: symbol, interval: interval, ticks: ticks
+      ticks = hash.map { |tick_hash| Quant::Ticks::OHLC.from(tick_hash, serializer_class:) }
+      from_ticks symbol:, interval:, ticks:
     end
 
     # Loads a series of ticks where the array represents an array of {Quant::Ticks::Tick} objects.
     def self.from_ticks(symbol:, interval:, ticks:)
       ticks = ticks.sort_by(&:close_timestamp)
 
-      new(symbol: symbol, interval: interval).tap do |series|
+      new(symbol:, interval:).tap do |series|
         ticks.each { |tick| series << tick }
       end
     end
@@ -64,14 +64,14 @@ module Quant
       selected_ticks = ticks[start_iteration..stop_iteration]
       return self if selected_ticks.size == ticks.size
 
-      self.class.from_ticks(symbol: symbol, interval: interval, ticks: selected_ticks)
+      self.class.from_ticks(symbol:, interval:, ticks: selected_ticks)
     end
 
     def limit(period)
       selected_ticks = ticks.select{ |tick| period.cover?(tick.close_timestamp) }
       return self if selected_ticks.size == ticks.size
 
-      self.class.from_ticks(symbol: symbol, interval: interval, ticks: selected_ticks)
+      self.class.from_ticks(symbol:, interval:, ticks: selected_ticks)
     end
 
     def_delegator :@ticks, :[]
@@ -94,7 +94,7 @@ module Quant
     end
 
     def dup
-      self.class.from_ticks(symbol: symbol, interval: interval, ticks: ticks)
+      self.class.from_ticks(symbol:, interval:, ticks:)
     end
 
     def inspect

data/lib/quant/ticks/serializers/ohlc.rb

@@ -3,7 +3,7 @@
 module Quant
   module Ticks
     module Serializers
-      module OHLC
+      class OHLC < Tick
         # Returns a +Quant::Ticks::Tick+ from a valid JSON +String+.
         # @param json [String]
         # @param tick_class [Quant::Ticks::Tick]
@@ -13,7 +13,7 @@ module Quant
         #  Quant::Ticks::Serializers::Tick.from_json(json, tick_class: Quant::Ticks::Spot)
         def self.from_json(json, tick_class:)
           hash = Oj.load(json)
-          from(hash, tick_class: tick_class)
+          from(hash, tick_class:)
         end
 
         # Instantiates a tick from a +Hash+.  The hash keys are expected to be the same as the serialized keys.

data/lib/quant/ticks/serializers/spot.rb

@@ -13,7 +13,7 @@ module Quant
         #  Quant::Ticks::Serializers::Tick.from_json(json, tick_class: Quant::Ticks::Spot)
         def self.from_json(json, tick_class:)
           hash = Oj.load(json)
-          from(hash, tick_class: tick_class)
+          from(hash, tick_class:)
         end
 
         # Returns a +Hash+ of the Spot tick's key properties

data/lib/quant/ticks/serializers/tick.rb

@@ -69,7 +69,7 @@ module Quant
         #  Quant::Ticks::Serializers::Tick.from_json(json, tick_class: Quant::Ticks::Spot)
         def self.from_json(json, tick_class:)
           hash = Oj.load(json)
-          from(hash, tick_class: tick_class)
+          from(hash, tick_class:)
         end
       end
     end

data/lib/quant/ticks/tick.rb

@@ -120,7 +120,7 @@ module Quant
       #   tick.to_csv(headers: true)
       #   # => "timestamp,price,volume\n2018-01-01 12:00:00 UTC,100.0,1000\n"
       def to_csv(serializer_class: default_serializer_class, headers: false)
-        serializer_class.to_csv(self, headers: headers)
+        serializer_class.to_csv(self, headers:)
       end
 
       # Reflects the serializer class from the tick's class name.

data/lib/quant/time_period.rb

@@ -72,7 +72,7 @@ module Quant
     end
 
     def to_h
-      { start_at: start_at, end_at: end_at }
+      { start_at:, end_at: }
     end
   end
 end

data/lib/quant/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Quant
-  VERSION = "0.1.7"
+  VERSION = "0.1.8"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: quantitative
 version: !ruby/object:Gem::Version
-  version: 0.1.7
+  version: 0.1.8
 platform: ruby
 authors:
 - Michael Lang
 autorequire:
 bindir: exe
 cert_chain: []
-date: 2024-02-26 00:00:00.000000000 Z
+date: 2024-02-27 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: oj
@@ -24,8 +24,8 @@ dependencies:
     - - "~>"
       - !ruby/object:Gem::Version
         version: '3.10'
-description: Quantitative and statistical tools written for Ruby 3.x for trading and
-  finance.
+description: Quantitative and statistical tools written for Ruby 3.2+ for trading
+  and finance.
 email:
 - mwlang@cybrains.net
 executables: []
@@ -57,6 +57,7 @@ files:
 - lib/quant/indicators_proxy.rb
 - lib/quant/indicators_sources.rb
 - lib/quant/interval.rb
+- lib/quant/mixins/butterworth_filters.rb
 - lib/quant/mixins/direction.rb
 - lib/quant/mixins/exponential_moving_average.rb
 - lib/quant/mixins/filters.rb
@@ -99,7 +100,7 @@ required_ruby_version: !ruby/object:Gem::Requirement
   requirements:
   - - ">="
     - !ruby/object:Gem::Version
-      version: 3.0.0
+      version: '3.2'
 required_rubygems_version: !ruby/object:Gem::Requirement
   requirements:
   - - ">="
@@ -109,5 +110,6 @@ requirements: []
 rubygems_version: 3.5.6
 signing_key:
 specification_version: 4
-summary: Quantitative and statistical tools written for Ruby 3.x for trading and finance.
+summary: Quantitative and statistical tools written for Ruby 3.2+ for trading and
+  finance.
 test_files: []