stockcruncher 1.2.1 → 1.3.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 3686ad0bbb61ef2a3801a2a2c1b3258b543da3015c49b2c959570c9d7b0e8a3a
+  metadata.gz: '00734941064bb0a639312c8908fb983698df14f5ccfe50b5957c0631998d0da7'
+  data.tar.gz: 5e27da219578442b05ceebc79863d7e02048d1b97a13b5bd5fa6c8939e1fe2a4
 SHA512:
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+  metadata.gz: 27ed506233c74a8690cb75e1e994f5ae639d55e281cd9adde3f2af9b96a675f7043d87395dfd42898af50b6759da7471352716bdd844f3a743ff3f1482ab4dae
+  data.tar.gz: 9780064a2b3928040b7acbababb3ba47f2b4ca115c750e8765a8d5bce48b7584c3542c87f2f996c31d81a62eb01676324254fd40c3db6778b9913b03599adbd6

data/lib/stockcruncher/cli.rb

@@ -54,6 +54,21 @@ module StockCruncher
       puts JSON.pretty_generate(data) unless opts['quiet']
     end
 
+    desc('movingaverages SYMBOL [options]',
+         'Calculate and export moving averages for requested symbol.')
+    option(
+      :all,
+      aliases: ['-a'],
+      type: :boolean,
+      default: false,
+      desc: 'Recalculate all MA historical values.'
+    )
+    def movingaverages(symbol)
+      opts = options.dup
+      config = YAML.load_file(opts['config'])
+      StockCruncher::InfluxDB.new(config).moving_averages(symbol, opts['all'])
+    end
+
     desc('quote SYMBOL [options]',
          'Crunch SYMBOL stock market data for last day quote.')
     def quote(symbol)

data/lib/stockcruncher/influxdb.rb

@@ -2,6 +2,7 @@
 # frozen_string_literal: true
 
 require 'date'
+require 'json'
 require 'net/http'
 
 module StockCruncher
@@ -13,29 +14,69 @@ module StockCruncher
       @insecure = insecure
     end
 
-    # Method to export latest data to database
-    def export_last_day(values)
-      tags = { 'symbol' => values.delete('symbol') }
-      date = values.delete('latestDay')
-      write('daily', tags, values, date)
+    def get_daily_values(symbol, fullsize)
+      values = %w[close change changePercent volume]
+      data = query('daily', symbol, values, fullsize)
+      data['columns'].zip(data['values'].transpose).to_h
+    end
+
+    # Method to calculate moving averages based on last day values
+    def moving_averages(symbol, fullsize)
+      series = get_daily_values(symbol, fullsize)
+      tags = create_tags(symbol)
+      series['close'].each_index do |i|
+        date = series['time'][i]
+        serie = series['close'][i, 201]
+        weights = series['volume'][i, 201]
+        write_moving_averages(tags, serie, weights, date)
+        break unless fullsize
+      end
+    end
+
+    # Method to create tags hash containing only symbol
+    def create_tags(symbol)
+      { 'symbol' => symbol }
     end
 
     # Method to export historical data to database
     def export_history(symbol, timeseries)
-      tags = { 'symbol' => symbol }
+      tags = create_tags(symbol)
       timeseries.each_pair do |date, values|
         write('daily', tags, values, date)
       end
     end
 
+    # Method to export latest data to database
+    def export_last_day(values)
+      tags = create_tags(values.delete('symbol'))
+      date = values.delete('latestDay')
+      write('daily', tags, values, date)
+    end
+
     # Method to format and array of values into comma separated string
     def format_values(values)
-      string = ''
-      values.each_pair do |k, v|
-        string += "#{k}=#{v}"
-        string += ',' unless k == values.keys.last
-      end
-      string
+      values.map { |k, v| "#{k}=#{v}" }.join(',')
+    end
+
+    # Method to calculate all statistics
+    def write_moving_averages(tags, serie, weights, date)
+      write('ema', tags, StockCruncher::Stats.list_ema(serie), date)
+      write('lwma', tags, StockCruncher::Stats.list_lwma(serie), date)
+      write('sma', tags, StockCruncher::Stats.list_sma(serie), date)
+      write('vwma', tags, StockCruncher::Stats.list_vwma(serie, weights), date)
+    end
+
+    # Method to query data in bucket
+    def query(name, symbol, values, full)
+      url = "#{@cfg['scheme']}://#{@cfg['host']}:#{@cfg['port']}/query?" \
+            "db=#{@cfg['dbname']}"
+      size = full ? '' : 'LIMIT 201'
+      body = "q=SELECT #{values.join(',')} FROM #{name} " \
+             "WHERE symbol = '#{symbol}' ORDER BY time DESC #{size}"
+      data = JSON.parse(request(url, body).body)['results'][0]['series']
+      raise StandardError, 'No data' if data.nil?
+
+      data[0]
     end
 
     # Method to send http post request

data/lib/stockcruncher/stats.rb

@@ -0,0 +1,74 @@
+#!/usr/bin/ruby
+# frozen_string_literal: true
+
+module StockCruncher
+  # this is a module with various statistic calculation methods
+  module Stats
+    extend self
+
+    RANGES = [5, 10, 20, 30, 50, 100, 200].freeze
+
+    # Calculate multiple range of exponential moving average
+    def list_ema(values)
+      h = {}
+      RANGES.each do |n|
+        next if values.size < n + 1
+
+        h["ema#{n}"] = ema(values[0, n + 1])
+      end
+      h
+    end
+
+    # Calculate multiple range of linearly weighted moving average
+    def list_lwma(values)
+      h = {}
+      RANGES.each do |n|
+        next if values.size < n
+
+        weights = (1..n).to_a.reverse
+        h["lwma#{n}"] = sma(values[0, n], weights)
+      end
+      h
+    end
+
+    # Calculate multiple range of simple moving average
+    def list_sma(values)
+      h = {}
+      RANGES.each do |n|
+        next if values.size < n
+
+        h["sma#{n}"] = sma(values[0, n])
+      end
+      h
+    end
+
+    # Calculate multiple range of volume weighted moving average
+    def list_vwma(values, volumes)
+      h = {}
+      RANGES.each do |n|
+        next if values.size < n
+
+        h["lwma#{n}"] = sma(values[0, n], volumes[0, n])
+      end
+      h
+    end
+
+    private
+
+    # Calculate exponential moving average
+    def ema(array, factor = 2, weights = nil)
+      f = factor.to_f / array.size
+      n = array.size - 1
+      tsma = sma(array[0, n], weights)
+      ysma = sma(array[1, n], weights)
+      (tsma * f + ysma * (1 - f)).round(4)
+    end
+
+    # Calculate simple moving average
+    def sma(array, weights = nil)
+      factor = weights.nil? ? Array.new(array.size, 1) : weights
+      dividend = array.each_with_index.map { |v, i| v * factor[i] }
+      (dividend.sum.to_f / factor.sum).round(4)
+    end
+  end
+end

data/lib/stockcruncher/version.rb

@@ -2,5 +2,5 @@
 # frozen_string_literal: true
 
 module StockCruncher
-  VERSION = '1.2.1'
+  VERSION = '1.3.0'
 end

data/spec/stockcruncher/cli_spec.rb

@@ -26,6 +26,12 @@ describe StockCruncher::CLI do # rubocop:disable Metrics/BlockLength
     end
   end
 
+  context 'movingaverages SYM -c spec/files/stockcruncher.yml' do
+    it 'Get the daily time serie for SYM.' do
+      expect { start(self) }.to output('').to_stdout
+    end
+  end
+
   context 'quote NODATA -c spec/files/stockcruncher.yml' do
     it 'Should not get any data and should fail.' do
       expect { start(self) }.to raise_error(SystemExit)

data/spec/stockcruncher/stubs/servers_stubs.rb

@@ -12,6 +12,11 @@ daily = "timestamp,open,high,low,close,volume\r\n2020-08-03,23.8500,24.6500," \
         "\n2020-07-29,24.7500,25.0300,24.0400,24.5600,4605804\r\n2020-07-28," \
         "25.9900,26.0700,24.5100,24.7500,6904261\r\n"
 d_err = "{\n    \"Error Message\": \"Invalid API call.\"\n}"
+mvavg = '{"results":[{"statement_id":0,"series":[{"name":"daily","columns":[' \
+        '"time","close","change","changePercent","volume"],"values":[["2017-' \
+        '03-01T18:00:00Z",1,0,0,1],["2017-03-02T18:00:00Z",1,0,0,1],["2017-0' \
+        '3-03T18:00:00Z",1,0,0,1],["2017-03-04T18:00:00Z",1,0,0,1],["2017-03' \
+        '-05T18:00:00Z",1,0,0,1],["2017-03-06T18:00:00Z",1,0,0,1]]}]}]}'
 
 RSpec.configure do |config|
   config.before(:each) do
@@ -30,6 +35,8 @@ RSpec.configure do |config|
       'function=TIME_SERIES_DAILY&symbol=SYM&apikey=demo' \
       '&datatype=csv&outputsize=compact')
       .to_return('status' => 200, 'body' => daily, 'headers' => {})
+    stub_request(:post, 'http://localhost:8086/query?db=test')
+      .to_return('status' => 204, 'body' => mvavg, 'headers' => {})
     stub_request(:post, 'http://localhost:8086/write?db=test')
       .to_return('status' => 204, 'body' => '', 'headers' => {})
   end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: stockcruncher
 version: !ruby/object:Gem::Version
-  version: 1.2.1
+  version: 1.3.0
 platform: ruby
 authors:
 - Richard Delaplace
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2020-08-12 00:00:00.000000000 Z
+date: 2020-09-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -131,6 +131,7 @@ files:
 - lib/stockcruncher/cli.rb
 - lib/stockcruncher/cruncher.rb
 - lib/stockcruncher/influxdb.rb
+- lib/stockcruncher/stats.rb
 - lib/stockcruncher/version.rb
 - spec/files/SYM.daily
 - spec/files/SYM.quote