tickseries 0.1.1alpha

checksums.yaml

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data/.gitignore

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+*.gem
+*.rbc
+/.config
+/coverage/
+/InstalledFiles
+/pkg/
+/spec/reports/
+/spec/examples.txt
+/test/tmp/
+/test/version_tmp/
+/tmp/
+
+# Used by dotenv library to load environment variables.
+# .env
+
+## Specific to RubyMotion:
+.dat*
+.repl_history
+build/
+*.bridgesupport
+build-iPhoneOS/
+build-iPhoneSimulator/
+
+## Specific to RubyMotion (use of CocoaPods):
+#
+# We recommend against adding the Pods directory to your .gitignore. However
+# you should judge for yourself, the pros and cons are mentioned at:
+# https://guides.cocoapods.org/using/using-cocoapods.html#should-i-check-the-pods-directory-into-source-control
+#
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+
+## Documentation cache and generated files:
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+/_yardoc/
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data/LICENSE

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+BSD 3-Clause License
+
+Copyright (c) 2019, Donkeybridge
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are met:
+
+1. Redistributions of source code must retain the above copyright notice, this
+   list of conditions and the following disclaimer.
+
+2. Redistributions in binary form must reproduce the above copyright notice,
+   this list of conditions and the following disclaimer in the documentation
+   and/or other materials provided with the distribution.
+
+3. Neither the name of the copyright holder nor the names of its
+   contributors may be used to endorse or promote products derived from
+   this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

data/README.md

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+# TickSeries
+
+TickSeries is a Ruby module including the classes
+* Tick
+* Series
+
+It's purpose is to build a robust layer to working with single-valued timeseries.
+
+## Description
+
+Description pending (as are tests).
+
+## Basic usage
+
+    > series = Series.load(file: "ticks-2019-04-01", symbol: "Voltage")
+    > series.select {|x| x.p > 5.1 }.each {|x| p x} 
+
+
+

data/features/01-ticks-init.feature

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+Feature: Initialization of Tick
+  Scenario: Initialization of Tick
+    When creating a tick without parameters it should raise ArgumentError
+  
+  Scenario Outline: Initialization of Tick with different valid parameter types
+    When creating a tick with '<params>' it should result in <timestamp> and <price>
+    Examples:
+      | params                                 | timestamp     |  price  | 
+      | {s: :foo, t: 1555767235, p: 123 }      | 1555767235000 |  123.0  | 
+      | {s: "foo", t: 1555767235123, p: 1.21 } | 1555767235123 |    1.21 | 
+      | ["foo",  "1555767235", "225" ]         | 1555767235000 |  225.0  | 
+      | :foo, 1555767235, 225                  | 1555767235000 |  225.0  |
+      | 1555767235, 225                        | 1555767235000 |  225.0  |

data/features/step_definitions/01-ticks-init_steps.rb

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+require './lib/tickseries.rb'
+include TickSeries
+
+When "creating a tick without parameters it should raise ArgumentError" do 
+  expect { Tick.new }.to raise_error(ArgumentError)
+end
+
+When /^creating a tick with '([^']*)' it should result in (\S*) and (\S*)$/ do |params, timestamp, price| 
+  eval "@tick = Tick.new(#{params})"
+  expect(@tick.t).to eq(Integer(timestamp))
+  expect(@tick.p).to eq(BigDecimal(price,8))
+end

data/features/support/env.rb

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+require 'rspec' 
+RSpec.configure do |config|
+  config.expect_with :rspec do |c|
+    c.syntax = :expect
+  end
+end

data/lib/tickseries.rb

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+require 'yaml'
+require 'date'
+require 'csv'
+require 'bigdecimal'
+
+# The module proveds TickSeries::Tick and TickSeries::Series
+module TickSeries
+
+  # TickSeries::Series provides a TimeSeries (aka TickSeries) based on single Ticks (aka Measurements)
+  # 
+  class Series
+
+    attr_reader :date, :ticks
+
+    # TickSeries::CONFIGFILEPATH 
+    CONFIGFILEPATH = "~/.config/ez"
+    # TickSeries::CONFIGFILE basically contains the location of tickfiles as well as the location of symbol / contract information
+    #
+    CONFIGFILE = "#{CONFIGFILEPATH}/tickseries.conf"
+
+    # Helper method the read the config file
+    def self.get_config
+      begin 
+        return YAML.load(File.read("#{`echo $HOME`.chomp}/.config/ez/tickseries.yml"))
+      rescue Errno::ENOENT
+        return {}
+      end
+    end
+
+    # Helper method the read the symbol config
+    def get_symbol_config
+      begin 
+        return YAML.load(File.read("#{@symbolspath}/#{@symbol}.yml"))
+      #rescue Errno::ENOENT
+      #  return {}
+      end
+    end
+
+    # Creates a new instance of TickSeries::Series. Accepts optionshash.
+    #
+    # @param opts [Hash]
+    def initialize(opts = {})
+
+      # Reading configfile and setting provided instance variables
+      `mkdir -p #{CONFIGFILEPATH} > /dev/null`
+      @config = Series.get_config
+      [:tickfilepath, :symbolspath].each do |param| 
+        from_conf = @config[param.to_s] || @config[param]
+        from_opts = opts[param]
+        instance_variable_set("@#{param.to_s}", from_opts || from_conf)
+      end
+      p self.instance_variables
+
+      # Reading symbolconfig and providing instance variables
+      @symbol = opts[:symbol] 
+      unless @symbol.nil? 
+        @symbol = @symbol.upcase
+        @symbolconfig = self.get_symbol_config
+        p @symbolconfig
+        [:symbol, :ticksize].each do |param|
+          from_conf = @config[param.to_s] || @config[param]
+          from_opts = opts[param]
+          instance_variable_set("@#{param.to_s}", from_opts || from_conf)
+        end
+      end
+      @date ||= Date.today
+      @ticks  = [] 
+    end
+
+    # Receptor from Enumerable#to_series
+    def self.from_enumerable(arr)
+      t = Series.new
+      arr.each{|x| t.add(x)}
+      t
+    end
+
+    # TickSeries::Series.load opens a 'tickfile' containing data saved as CSV. 
+    def self.load(opts = {})
+      begin
+        config = Series.get_config
+      rescue Errno::ENOENT
+        config = {}
+      end
+      symbol = opts[:symbol]
+      file   = opts[:file] 
+      unless file.nil?
+        *path, filename = file.split('/') 
+        if path.empty?
+          path = config[:tickfilepath] || config["tickfilepath"]
+        else 
+          path  = File.absolute_path(path.join('/'))
+        end
+        raise "Cannot guess tickfilepath from #{file}, please provide in #{CONFIGFILE}" if path.nil?
+
+        filetype = opts[:filetype] || filename.split('.').last
+      end
+      raise ArgumentError, "Cannot guess filetype for loading Timeseries from file #{path}/#{filename}" if filetype.nil? 
+      raise ArgumentError, "Seems provided file for loading timeseries does not exist #{path}/#{filename}" unless File.file?("#{path}/#{filename}")
+
+      series = Series.new( symbol: opts[:symbol]) 
+
+      case filetype.downcase
+      when 'csv'
+        CSV.parse(`cat #{path}/#{filename} #{symbol.nil? ? "" : "| grep -i #{symbol}"}`).sort_by{|x| x[1] }.each{|x| series.add x}
+      else
+        raise(ArgumentError, "Unsupported filetype '.#{filetype}'")
+      end
+      series
+    end
+    
+    # TickSeries::Series#add adds an element to series. 
+    #
+    # element can be provided as TimeSeries::Tick, or as Hash or Array, that sufficises format requirements.
+    def add(element)
+      @ticks << ((element.is_a? Tick) ? element : Tick.new(element))
+    end
+
+    # @!visibility private
+    def map(&block);              @ticks.map             {|x|   block.call(x)}                       ;end
+    # @!visibility private
+    def each(&block);             @ticks.each            {|x|   block.call(x)}                       ;end
+    # @!visibility private
+    def each_with_index(&block);  @ticks.each_with_index {|x,i| block.call(x,i)}                     ;end
+    # @!visibility private
+    def select(&block);           @ticks.select          {|x|   block.call(x)}                       ;end
+    # @!visibility private
+    def reduce(c = 0, &block);    @ticks.reduce(c)       {|x,i| block.call(x,i)}                     ;end
+
+    # @!visibility private
+    def inspect
+      "<#TimeSeries::Series:0x#{self.object_id.to_s(16)} ticks: #{@ticks.size}, #{"symbol: #{@symbol}, " if @symbol}ticksize: #{@ticksize}, date: #{@date}>"
+    end
+  end
+
+  # TimeSeries::Series is the second part of the module. It contains a single measurement ("Messpunkt") of the series. 
+  class Tick
+    attr_reader :t, :p, :v, :k
+
+    # The constructor is build as flexible as I was able to. It accepts 
+    # * a Hash containing < :t | :time | :timestamp > with an integer or string value required in seconds or milliseconds
+    #          containing < :m | :measurement | :price > with a Numeric value (can also be given as string)
+    #          arbitrary information like or symbol, volume or peak information.
+    # * an Array that sufficises the expected order: < [ symbol,] timestamp, measure, frequency / volume, peak information >
+    def initialize(*args, &block)
+      raise ArgumentError, "Creating ticks without arguments is not supported" if args.empty?
+      opts = args[0] if args[0].is_a? Hash
+      args = args[0] if args[0].is_a? Array
+      if opts.nil?
+        prefix = 0 
+        begin # if symbol is given on args[0], the Integer() will raise
+          timestamp = Integer(args[0]) 
+        rescue
+          prefix = 1
+          timestamp = Integer(args[1])
+        end
+        opts = {t: timestamp, 
+                m: args[prefix + 1], 
+                v: args[prefix + 2], 
+                p: args[prefix + 3]}
+      end
+      @t  =  opts[:t] || opts[:time] || opts[:timestamp]
+      case @t
+      when *[Date, DateTime, Time]
+        @t = @t.to_time.to_i
+      when *[Integer, Float, BigDecimal]
+        @t = Integer(@t)
+      when String
+        failed = false
+        begin;            @t = DateTime.parse(@t).to_time.to_i * 1000; rescue; failed = true; end
+        if failed; begin; @t = Integer(@t); failed = false;            rescue; failed = true; end; end
+        raise ArgumentError, "Could not get Timestamp from given String #{@t}" if failed
+      else
+        raise ArgumentError, "Tick.new cannot continue without timestamp given as t:, time: timestamp: or within array."
+      end
+      if @t < 500000000000 # Tue, 05 Nov 1985 00:53:20 GMT in ms
+        # assume it was provided as second_based timestamp
+        @t *= 1000
+      end
+      raise ArgumentError, "Invalid timestamp, too small: #{@t} < 500000000000" if @t < 500000000000
+      @m  =  opts[:m] || opts[:measurement]
+      @m  =  BigDecimal(@m,8) unless @m.nil?
+      @v  =  opts[:v] || opts[:vol]
+      @v  =  @v.to_i unless @v.nil?
+      # :peak should only be set for peaks pointing out a deviation > 5 * @ticksize
+      @p  =  opts[:p] || opts[:peak] 
+      @p  =  @p.to_i unless @p.nil?
+    end
+ 
+
+    # Convenient way to create a string representation of tick.
+    def to_s
+      "#{@t},#{@m.to_f},#{@v},#{@p}"
+    end
+
+    # TickSeries::Tick#human_time returns the time converted to a human readable format
+    #
+    # @param with_date [Boolean] whether or not to include Date information (default: false)
+    def human_time(with_date = false)
+      t = Time.at(@t / 1000)
+      t.strftime("#{ "%Y-%m-%d " if with_date }%H:%M:%S")
+    end
+  end
+end
+
+# Reopens enumerable to allow retransport into Series
+# @!visibility private
+module Enumerable
+  # @!visibility private 
+  def to_series
+    TickSeries::Series.from_enumerable(self)
+  end
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: tickseries
+version: !ruby/object:Gem::Version
+  version: 0.1.1alpha
+platform: ruby
+authors:
+- Benjamin L. Tischendorf
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2019-04-20 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: csv
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.6'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.6'
+- !ruby/object:Gem::Dependency
+  name: cucumber
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.1'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.1'
+- !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: 'Ruby Module providing TickSeries::Tick and TickSeries::Series '
+email: donkeybridge@jtown.eu
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- LICENSE
+- README.md
+- features/01-ticks-init.feature
+- features/02-tickseries-init.feature
+- features/step_definitions/01-ticks-init_steps.rb
+- features/support/env.rb
+- lib/tickseries.rb
+homepage: https://github.com/donkeybridge/tickseries
+licenses:
+- BSD-4-Clause
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - "~>"
+    - !ruby/object:Gem::Version
+      version: '2.0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">"
+    - !ruby/object:Gem::Version
+      version: 1.3.1
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.7.8
+signing_key: 
+specification_version: 4
+summary: Ruby Module providing TickSeries::Tick and TickSeries::Series
+test_files:
+- features/01-ticks-init.feature
+- features/support/env.rb
+- features/02-tickseries-init.feature
+- features/step_definitions/01-ticks-init_steps.rb