AMQuantME 0.0.4__tar.gz

amquantme-0.0.4/LICENSE.txt

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+Copyright (c) 2018 The Python Packaging Authority
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

amquantme-0.0.4/PKG-INFO

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+Metadata-Version: 2.4
+Name: AMQuantME
+Version: 0.0.4
+Summary: A Stringer Divinator Series Product
+Project-URL: Homepage, https://github.com/pypa/sampleproject
+Project-URL: Issues, https://github.com/pypa/sampleproject/issues
+Author-email: Future Jiang <futurestringer@sina.com>
+License-Expression: MIT
+License-File: LICENSE.txt
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Requires-Python: >=3.9
+Description-Content-Type: text/markdown
+
+$E = m * C ** 2$

amquantme-0.0.4/README.md

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+$E = m * C ** 2$

amquantme-0.0.4/pyproject.toml

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+[build-system]
+requires = ["hatchling >= 1.26"]
+build-backend = "hatchling.build"
+
+[project]
+name = "AMQuantME"
+version = "0.0.4"
+authors = [
+  { name="Future Jiang", email="futurestringer@sina.com", maintainers="Future Jiang" },
+]
+description = "A Stringer Divinator Series Product"
+readme = "README.md"
+requires-python = ">=3.9"
+classifiers = [
+    "Programming Language :: Python :: 3",
+    "Operating System :: OS Independent",
+]
+license = "MIT"
+license-files = ["LICEN[CS]E*"]
+
+[project.urls]
+Homepage = "https://github.com/pypa/sampleproject"
+Issues = "https://github.com/pypa/sampleproject/issues"

amquantme-0.0.4/src/AMQuantME/__init__.py

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+__version__ = "beta0.0.0.1"
+# __author__ = "Justan"
+# __organization__ = "Future Stringer"
+# __welcom__ = "Welcom from China Quant."
+print("Welcome from FutureStringer!")

amquantme-0.0.4/src/AMQuantME/augcal.py

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+import pandas as pd
+import pandas_ta as ta
+
+from AMQuantME import fetchpv as ftpv
+from AMQuantME import normdf as nd
+
+import datetime as dt
+todaydate = dt.date.today()
+todaystr = f"{todaydate.year}-{todaydate.month}-{todaydate.day}"
+print(f"Today is {todaystr}.")
+
+# Fetch raw price-volume data of the target index
+exsymb_SSEC = "sh.000001"
+print(f"Fetching {exsymb_SSEC}")
+pv_SSEC = ftpv.bsindexpv(exsymb = exsymb_SSEC, enddate = todaystr)
+
+exsymb_CNIA = "sz.399317"
+print(f"Fetching {exsymb_CNIA}")
+pv_CNIA = ftpv.bsindexpv(exsymb = exsymb_CNIA, enddate = todaystr)
+
+print(f"Data have been updated to {pv_SSEC['date'][len(pv_SSEC) - 1]}")
+
+# Format the DataFrames
+pv_SSEC_norm = nd.normdftype(pv_SSEC)
+pv_CNIA_norm = nd.normdftype(pv_CNIA)
+
+# Record the historical max of the indices
+SSEC_hs_max = pv_SSEC_norm.CLOSE.max()
+CNIA_hs_max = pv_CNIA_norm.CLOSE.max()
+
+# Truncate interested timeframe and reset the index
+pv_SSEC_timeframe = pv_SSEC_norm[pv_SSEC_norm["DATE"] >= "2024-09-23"]
+pv_SSEC_timeframe.reset_index(drop = True, inplace = True)
+
+pv_CNIA_timeframe = pv_CNIA_norm[pv_CNIA_norm["DATE"] >= "2024-09-23"]
+pv_CNIA_timeframe.reset_index(drop = True, inplace = True)
+
+# Enhance the original DataFrame with calculated daily Return and other interested items
+SSEC_Daily_df = pv_SSEC_timeframe.copy(deep = True)
+
+SSEC_Daily_df["Return"] = SSEC_Daily_df["CLOSE"].pct_change()
+# Compress VOLUME into millions and AMOUNT into billions
+SSEC_Daily_df["Volume_mln"] = SSEC_Daily_df["VOLUME"]/(10**6)
+SSEC_Daily_df = SSEC_Daily_df.drop("VOLUME", axis=1)
+    
+SSEC_Daily_df["Amount_bln"] = SSEC_Daily_df["AMOUNT"]/(10**9)
+SSEC_Daily_df = SSEC_Daily_df.drop("AMOUNT", axis=1)
+
+# Calculate daily volume percent change of SSEC to illustrate price-volume relationship
+SSEC_Daily_df["Vol_chg"] = SSEC_Daily_df["Volume_mln"].pct_change()
+SSEC_Daily_df["Amt_chg"] = SSEC_Daily_df["Amount_bln"].pct_change()
+
+# Calculate normalized VARation
+SSEC_Daily_df["PurchasePower"] = SSEC_Daily_df["Volume_mln"] / SSEC_Daily_df["Amount_bln"]
+SSEC_Daily_df["VARatio_norm"] = SSEC_Daily_df["PurchasePower"] / SSEC_Daily_df["PurchasePower"][0]
+
+# Do the same to the auxiliary index
+CNIA_Daily_df = pv_CNIA_timeframe.copy(deep = True)
+CNIA_Daily_df["Return"] = CNIA_Daily_df["CLOSE"].pct_change()
+CNIA_Daily_df["Volume_mln"] = CNIA_Daily_df["VOLUME"]/(10**6)
+CNIA_Daily_df = CNIA_Daily_df.drop("VOLUME", axis=1)
+CNIA_Daily_df["Amount_bln"] = CNIA_Daily_df["AMOUNT"]/(10**9)
+CNIA_Daily_df = CNIA_Daily_df.drop("AMOUNT", axis=1)
+CNIA_Daily_df["Vol_chg"] = CNIA_Daily_df["Volume_mln"].pct_change()
+CNIA_Daily_df["PurchasePower"] = CNIA_Daily_df["Volume_mln"] / CNIA_Daily_df["Amount_bln"]
+CNIA_Daily_df["VARatio_norm"] = CNIA_Daily_df["PurchasePower"] / CNIA_Daily_df["PurchasePower"][0]
+
+# Calculate employed technical indicators
+rstd = ta.stdev(SSEC_Daily_df["Return"], 5)
+pmacd = ta.macd(SSEC_Daily_df.CLOSE, fast = 5, slow = 10, signal = 7)
+amt_chg_sma = ta.sma(SSEC_Daily_df["Amt_chg"], 10)
+obv = ta.obv(SSEC_Daily_df.CLOSE, SSEC_Daily_df.Volume_mln)
+pvmfi = ta.mfi(SSEC_Daily_df.HIGH, SSEC_Daily_df.LOW, SSEC_Daily_df.CLOSE, SSEC_Daily_df.Volume_mln, length = 10)

amquantme-0.0.4/src/AMQuantME/express_visual.py

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+import numpy as np
+import pandas as pd
+
+import matplotlib.pyplot as plt
+from matplotlib.ticker import MultipleLocator, FormatStrFormatter
+import matplotlib.dates as mdates
+from matplotlib import font_manager
+my_font = font_manager.FontProperties(fname="C:/WINDOWS/Fonts/STSONG.TTF")
+
+from AMQuantME import augcal as ac
+
+'''
+Visualize CLOSE, Volumes, Amount, and their changes of the target index during the whole timeframe
+and employ some technical indicators to illustrate the movement of the index.
+'''
+
+# Record the first, second, and last time points with in the interested timeframe for calculation and illustration
+date_index = ac.SSEC_Daily_df["DATE"]
+fst_date = f"{date_index[0].year}-{date_index[0].month}-{date_index[0].day}"
+sec_date = f"{date_index[1].year}-{date_index[1].month}-{date_index[1].day}"
+lst_date = f"{date_index[len(date_index)-1].year}-{date_index[len(date_index)-1].month}-{date_index[len(date_index)-1].day}"
+
+def express_pict(df = ac.SSEC_Daily_df, aux_df = ac.CNIA_Daily_df):
+    fig, axs = plt.subplots(4, 1, figsize = (18, 24), constrained_layout=True)
+    date_index = pd.to_datetime(df["DATE"]).dt.to_period("D")
+
+    
+    # Subplot 1 
+    '''Price behavior'''
+    # Plot daily CLOSE of the main index (x1) on the left axis
+    x1 = df["CLOSE"]
+    last_x_ind, last_x_val = len(x1) - 1, x1.iloc[-1]
+    axs[0].plot(range(len(x1)), np.where(np.isnan(x1), None, x1), 
+                linewidth = 1, color = "b", label = f"SSEC, Close: {fst_date} - {lst_date}")
+    
+    # Plot the latest daily close of x1
+    axs[0].plot(last_x_ind, last_x_val, "ro", alpha=0.4)
+    axs[0].annotate(f"{lst_date:>16}:\n{last_x_val:>16.2f}", 
+                    xy=(last_x_ind, last_x_val), xytext=(-40, 10), textcoords = "offset points", fontsize=10, color="royalblue")
+
+    # Plot expending mean and up quartile of x1
+    exp_mean1 = x1.expanding().mean()
+    exp_qu1 = x1.expanding().quantile(0.75)
+    axs[0].plot(range(len(x1)), exp_mean1, linewidth = 1, color = "skyblue", 
+                label = f"SSEC, Close, Expanding Mean, latest{exp_mean1[len(exp_mean1) - 1]:.0f}")
+    axs[0].plot(range(len(x1)), exp_qu1, linewidth = 1, color = (174/255, 11/255, 42/255), label = "SSEC, Close, Expanding Upper Quartile")
+    
+    
+    # axs0_high = x1.mean() + (max(x1) - x1.mean()) * 1.2
+    # axs0_low = x1.mean() + (min(x1) - x1.mean()) * 1.2
+    axs0_high = 6000
+    axs0_low = 2500
+    axs[0].set_ylim(axs0_low,axs0_high)
+    
+    # Set sparse display of the date index
+    data_locator = MultipleLocator(40)
+    axs[0].set_xticks(range(len(x1)), date_index)
+    axs[0].xaxis.set_major_locator(data_locator)
+    axs[0].legend(loc = 4)
+
+    # Plot dialy CLOSE of the auxiliary index (x1_1) on the right axis
+    axs0_r = axs[0].twinx()
+    x1_1 = aux_df["CLOSE"]
+    last_x1_1_ind, last_x1_1_val = len(x1_1) - 1, x1_1.iloc[-1]
+    axs0_r.plot(range(len(x1_1)), np.where(np.isnan(x1_1), None, x1_1), 
+                linewidth = 1, color = "orange", label = f"CNIS, Close: {fst_date} - {lst_date}")
+    axs0_r.plot(last_x1_1_ind, last_x1_1_val, "ro", alpha=0.5)
+    axs0_r.annotate(f"{lst_date:>16}:\n{last_x1_1_val:>16.2f}", 
+                    xy=(last_x1_1_ind, last_x1_1_val), xytext=(-40, 10), textcoords = "offset points", fontsize=10, color="royalblue")
+
+    # Plot the highest daily close of x1_1 within the timeframe
+    max_aux = np.argmax(x1_1)
+    max_x1_1_ind, max_x1_1_val = range(len(x1_1))[max_aux], x1_1[max_aux]
+    auxmax_date = f"{date_index[max_aux].year}-{date_index[max_aux].month}-{date_index[max_aux].day}"
+    axs0_r.plot(max_x1_1_ind, max_x1_1_val, "bo", alpha=0.3)
+    axs0_r.annotate(f"{auxmax_date:>16}:\n{max_x1_1_val:>16.2f}", 
+                    xy=(max_x1_1_ind, max_x1_1_val), xytext=(-60, 5), textcoords = "offset points", fontsize=10, color="royalblue")
+
+    # Plot the historical highest daily close of x1_1
+    aux_hs_max = ac.CNIA_hs_max
+    axs0_r.axhline(y = aux_hs_max, 
+                   color="magenta", linestyle="--", linewidth=1, 
+                   label=f"CNIA Historical Max: {aux_hs_max:.0f} = {aux_hs_max / max_x1_1_val:.2f} * {max_x1_1_val:.0f}")
+    
+    # axs0_r_high = x1_1.mean() + (max(x1_1) - x1_1.mean()) * 1.2
+    # axs0_r_low = x1_1.mean() + (min(x1_1) - x1_1.mean()) * 1.2    
+    axs0_r_high = 8000
+    axs0_r_low = 3500
+    axs0_r.set_ylim(axs0_r_low,axs0_r_high)
+    axs0_r.legend(loc = 2)
+
+    
+    # Subplot 2
+    '''Volume behavior'''
+    x2 = df["Volume_mln"]/(10**3)
+    x2_mean = x2.mean()
+    last_x2 = x2.iloc[-1]
+    x2_1 = aux_df["Volume_mln"]/(10**3)
+    
+    axs[1].bar(range(len(x2_1)), np.nan_to_num(x2_1), 
+                width = 1, color = "Orange", alpha = 0.6, label = f"CNIA, Volume in bln shares: {fst_date} - {lst_date}")
+    axs[1].bar(range(len(x2)), np.nan_to_num(x2), 
+               width = 1, color = "Royalblue", alpha = 0.8, label = f"SSEC, Volume in bln shares: {fst_date} - {lst_date}")
+    
+    axs[1].annotate(f"{lst_date:>16}:\n{last_x2:>16.2f}", 
+                    xy=(last_x_ind, last_x2), xytext=(-40, 20), textcoords = "offset points", fontsize=10, color="royalblue")
+    
+    # Plot mean of daily Volume of SSEC during the whole time span 
+    axs[1].axhline(y = x2_mean, 
+                   color="navy", linestyle="--", linewidth=1, label=f"Volume_mean: {x2_mean:.2f}")
+    
+    varatio_norm_aux = aux_df["VARatio_norm"] * 100
+    axs[1].plot(range(len(x2_1)), varatio_norm_aux, linewidth = 2, color = "yellow", alpha = 0.8, label = "CNIA, VARatio_norm*100")
+    
+    varatio_norm = df["VARatio_norm"] * 100
+    axs[1].plot(range(len(x2)), varatio_norm, linewidth = 2, color = "magenta", alpha = 0.8, label = f"SSEC, VARatio_norm*100: {round(varatio_norm[len(x2) - 1],2)}")
+    
+    axs1_high = max(x2.mean() + (max(x2) - x2.mean()) * 1.2, x2_1.mean() + (max(x2_1) - x2_1.mean()) * 1.2, 0)
+    axs1_low = min(x2.mean() + (min(x2) - x2.mean()) * 1.2, x2_1.mean() + (max(x2_1) - x2_1.mean()) * 1.2, 0)
+    axs[1].set_ylim(axs1_low,axs1_high)
+    axs[1].set_xticks(range(len(x1)), date_index)
+    axs[1].xaxis.set_major_locator(data_locator)
+    axs[1].legend(loc = 9)
+    
+    
+    # Subplot 3
+    '''Return behavior'''
+    x3 = df["Return"]
+    x3_mean = x3.mean()
+    axs[2].bar(range(len(x3)), np.nan_to_num(x3), width = 0.5, color = "b", label = f"SSEC, Daily return: {sec_date} - {lst_date}")
+    axs[2].axhline(y=x3_mean, 
+                   color="navy", linestyle="--", linewidth=0.5, label=f"return_mean: {x3_mean:.4f}")
+    
+    exp_std3 = x3.expanding().std()
+    axs[2].plot(range(len(x3)), exp_std3, linewidth = 1.5, color = "violet", label = "SSEC, Daily return, Expanding Standard Deviation")
+    
+    x3_2 = ac.pmacd.MACDh_5_10_7 / 200
+    axs[2].bar(range(len(x3_2)), np.nan_to_num(x3_2), width = 0.5, color = "c", alpha = 0.6, label = "SSEC, CLOSE, MACD_5_10_7")
+    
+    x3_3 = ac.rstd
+    axs[2].plot(range(len(x3_3)), x3_3, linewidth = 1.5, color = "orange", label = "SSEC, Daily return, Rolling Std_5")
+    
+    axs[2].set_xticks(range(len(x3)), date_index)
+    axs[2].xaxis.set_major_locator(data_locator)
+    axs[2].legend(loc = 4)
+    
+    # Subplot 4
+    '''Amount behavior'''
+    x4 = df["Amt_chg"]
+    x4_mean = x4.mean()
+    axs[3].plot(range(len(x4)), np.where(np.isnan(x4), None, x4), 
+                linewidth = 1, color = "b", label = f"SSEC, Amount Percentage Change: {sec_date} - {lst_date}")
+    axs[3].axhline(y = x4_mean, 
+                   color="navy", linestyle="--", linewidth=0.5, label=f"Amount Percentage Change_mean: {x4_mean:.4f}")
+
+    sma4 = ac.amt_chg_sma
+    axs[3].plot(range(len(x4)), sma4, linewidth = 2, color = (174/255, 11/255, 42/255), label = "SSEC, Amount Pct. Change, SMA_10")
+
+    x4_2 = ac.obv / (10 ** 7)
+    axs[3].bar(range(len(x4_2)), np.nan_to_num(x4_2), 
+               width = 0.5, color = "skyblue", alpha = 0.6, label = "SSEC, OBV")
+    
+    max_x4_2 = np.argmax(x4_2)
+    max_x4_2_ind, max_x4_2_val = range(len(x4_2))[max_x4_2], x4_2[max_x4_2]
+    max_x4_2date = f"{date_index[max_x4_2].year}-{date_index[max_x4_2].month}-{date_index[max_x4_2].day}"
+    
+    axs[3].plot(max_x4_2_ind, max_x4_2_val, "ro", alpha=0.5)
+    axs[3].annotate(f"{max_x4_2date:>16}", 
+                    xy=(max_x4_2_ind, max_x4_2_val), xytext=(-50, 10), textcoords = "offset points", fontsize=10, color="royalblue")
+
+    axs[3].plot(range(len(x4)), ac.pvmfi / 100, linewidth = 1.5, alpha = 0.8, linestyle = "--", color = "red", label = "SSEC, MFI_10")
+    
+    axs[3].set_xticks(range(len(x4)), date_index)
+    axs[3].xaxis.set_major_locator(data_locator)
+    axs[3].legend(loc = 9)
+    
+    fig.suptitle(
+        ("Chinese SSEC Index Daily Close, Volume, Amount and Their Daily Percentage Changes: "
+        ) + (f"{fst_date} - {lst_date}")
+    )
+    
+    plt.savefig("Chinese SSEC Daily Closes Volumes Amounts and Changes_beta002.png")
+    plt.show()
+    print("For technical indicator explanation, please refer to https://mp.weixin.qq.com/s/PU70IyS-ByyIen5iTnuwfQ")
+
+    return

amquantme-0.0.4/src/AMQuantME/fetchpv.py

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+import pandas as pd
+import baostock as bs
+
+def bsindexpv(exsymb, enddate):
+    '''
+    As instance code, taking CSI A Shares("sz.399317")
+    end_date form: '2026-01-27'
+    adjustflag: "1" for hfq, "2" for qfq, "3" for bfq
+    tradestatus: 1 for in trading, 0 for out of trading
+    Indices has no adjustflag
+    '''
+    lg = bs.login()
+    pv_bs = bs.query_history_k_data_plus(exsymb,
+                                     "date,code,open,high,low,close,volume,amount",
+                                     start_date = '1900-01-01', end_date = enddate, 
+                                     frequency = "d")
+    _result_list = []
+    while (pv_bs.error_code == '0') & pv_bs.next():
+            _result_list.append(pv_bs.get_row_data())
+    _result = pd.DataFrame(_result_list, columns = pv_bs.fields)
+    bs.logout()
+    
+    return _result

amquantme-0.0.4/src/AMQuantME/normdf.py

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+import pandas as pd
+
+def normdftype(pvdf):
+    # Change data type of fields
+    df = pvdf.copy()
+    df["date"] = pd.to_datetime(df["date"])
+    
+    for field in ["open", "high", "low", "close", "volume", "amount"]:
+        df[field] = df[field].astype(float)
+    
+    # Keep appropriate decimal
+    df.round({"open":4, "high":4, "low":4, "close":4, "volume":4, "amount":4})
+    
+    # Rename the original fields
+    original_rename_dict = {"date":"DATE", "code":"CODE", 
+                            "open":"OPEN", "high":"HIGH", "low":"LOW", "close":"CLOSE",
+                            "volume":"VOLUME", "amount":"AMOUNT"}
+    df.rename(columns = original_rename_dict, inplace = True)
+
+    return df