detquantlib 3.2.8__tar.gz → 3.3.0__tar.gz

{detquantlib-3.2.8 → detquantlib-3.3.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: detquantlib
-Version: 3.2.8
+Version: 3.3.0
 Summary: An internal library containing functions and classes that can be used across Quant models.
 Author: DET
 Requires-Python: >=3.10,<4.0
@@ -15,6 +15,7 @@ Requires-Dist: paramiko (>=3.5.1,<4.0.0)
 Requires-Dist: plotly (>=6.1.2,<7.0.0)
 Requires-Dist: pyodbc (>=5.2.0,<6.0.0)
 Requires-Dist: python-dotenv (>=1.1.0,<2.0.0)
+Requires-Dist: scipy (>=1.15.2,<2.0.0)
 Project-URL: Repository, https://github.com/Dynamic-Energy-Trading/detquantlib
 Description-Content-Type: text/markdown
 

{detquantlib-3.2.8 → detquantlib-3.3.0}/detquantlib/data/databases/detdatabase.py

@@ -649,16 +649,16 @@ class DetDatabase:
         Loads account positions from the database, over a user-defined range of trading dates.
 
         Args:
-            start_trading_date: Start trading date
-            end_trading_date: End trading date
+            start_trading_date: Start trading date.
+            end_trading_date: End trading date.
             columns: Requested database table columns. Set columns=["*"] (i.e. as list) to get
                 all columns.
 
         Returns:
-            Dataframe containing quarterly account positions
+            Dataframe containing account positions.
 
         Raises:
-            ValueError: Raises an error if no account position data is found for user inputs
+            ValueError: Raises an error if no position data is found for user inputs.
         """
         # Set default column values
         if columns is None:
@@ -678,8 +678,8 @@ class DetDatabase:
         table = DetDatabaseDefinitions.DEFINITIONS["table_name_account_position"]
         query = (
             f"SELECT {columns_str} FROM {table} "
-            f"WHERE CAST ([InsertionTimestamp] AS DATE) IN ('{start_trading_date_str}', "
-            f"'{end_trading_date_str}') "
+            f"WHERE CAST ([InsertionTimestamp] AS DATE) BETWEEN '{start_trading_date_str}' AND "
+            f"'{end_trading_date_str}'"
         )
 
         # Query db
@@ -687,6 +687,7 @@ class DetDatabase:
         df = self.query_db(query)
         self.close_connection()
 
+        # Assert data
         if df.empty:
             raise ValueError("No account position data found for user-defined inputs.")
 
@@ -704,6 +705,136 @@ class DetDatabase:
 
         return df
 
+    def load_instruments(
+        self,
+        identifiers: list,
+        columns: list = None,
+    ) -> pd.DataFrame:
+        """
+        Loads instrument data based on identifier (of account positions) from the database.
+
+        Args:
+            identifiers: Instrument identifiers (of account positions).
+            columns: Requested database table columns. Set columns=["*"] (i.e. as list) to get
+                all columns.
+
+        Returns:
+            Dataframe containing instrument data.
+
+        Raises:
+            ValueError: Raises an error if no instrument data is found for user inputs.
+        """
+        # Set default column values
+        if columns is None:
+            columns = ["*"]
+
+        # Convert columns from list to string
+        if len(columns) == 1:
+            columns_str = str(columns[0])
+        else:
+            columns_str = f"[{'], ['.join(columns)}]"
+
+        # Convert tenors from list to string
+        identifiers_str = ", ".join(f"'{i}'" for i in identifiers)
+
+        # Create query
+        table = DetDatabaseDefinitions.DEFINITIONS["table_name_instruments"]
+        query = f"SELECT {columns_str} FROM {table} WHERE [id] IN ({identifiers_str})"
+
+        # Query db
+        self.open_connection()
+        df = self.query_db(query)
+        self.close_connection()
+
+        # Assert data
+        if df.empty:
+            raise ValueError("No instrument data found for user-defined inputs.")
+
+        return df
+
+    def load_eex_eod_prices(
+        self,
+        product_code: str,
+        start_trading_date: datetime,
+        end_trading_date: datetime,
+        columns: list = None,
+    ) -> pd.DataFrame:
+        """
+        Loads futures end-of-day EEX prices from the database, over a user-defined range of trading
+        dates.
+
+        Args:
+            product_code: Product code format indicating commodity, tenor and delivery type as
+                defined in the EEX.EODPrice DET database. Assumed product code format do not
+                include other product code format (i.e. DEBW and DEBWE do not co-exist)
+            start_trading_date: Start trading date.
+            end_trading_date: End trading date.
+            columns: Requested database table columns. Set columns=["*"] (i.e. as list) to get
+                all columns.
+
+        Returns:
+            Dataframe containing EEX futures end-of-day prices.
+
+        Raises:
+            ValueError: Raises an error if no price data is found for user inputs.
+        """
+        # Set default column values
+        if columns is None:
+            columns = ["*"]
+        else:
+            # Assert required columns
+            columns = list(
+                set(columns)
+                | {"TradingDate", "Product", "Delivery Start", "Delivery End", "Settlement Price"}
+            )
+
+        # Convert columns from list to string
+        if len(columns) == 1:
+            columns_str = str(columns[0])
+        else:
+            columns_str = f"[{'], ['.join(columns)}]"
+
+        # Convert dates from datetime to string
+        start_trading_date_str = start_trading_date.strftime("%Y-%m-%d")
+        end_trading_date_str = end_trading_date.strftime("%Y-%m-%d")
+
+        # Create query
+        table = DetDatabaseDefinitions.DEFINITIONS["table_name_eex_eod_price"]
+        query = (
+            f"SELECT {columns_str} FROM {table} "
+            f"WHERE [Product] LIKE '{product_code}' "
+            f"AND CAST ([TradingDate] AS DATE) BETWEEN '{start_trading_date_str}' AND "
+            f"'{end_trading_date_str}'"
+        )
+
+        # Query db
+        self.open_connection()
+        df = self.query_db(query)
+        self.close_connection()
+
+        # Assert data
+        if df.empty:
+            raise ValueError("No price data found for user-defined inputs.")
+
+        # Sort data
+        df.sort_values(
+            by=["TradingDate", "Delivery Start", "Delivery End"],
+            axis=0,
+            ascending=True,
+            inplace=True,
+            ignore_index=True,
+        )
+
+        # Convert dates from datetime.date to pd.Timestamp
+        df["TradingDate"] = pd.DatetimeIndex(df["TradingDate"])
+        df["Delivery Start"] = pd.DatetimeIndex(df["Delivery Start"])
+        df["Delivery End"] = pd.DatetimeIndex(df["Delivery End"])
+
+        # Drop duplicates
+        df = df.drop_duplicates()
+
+        return df
+
 
 class DetDatabaseDefinitions:
     """A class containing some hard-coded definitions related to the DET database."""
@@ -714,4 +845,6 @@ class DetDatabaseDefinitions:
         table_name_entsoe_imbalance_price="[ENTSOE].[ImbalancePrice]",
         table_name_futures_eod_settlement_price="[VW].[EODSettlementPrice]",
         table_name_account_position="[TT].[AccountPosition]",
+        table_name_instruments="[TT].[Instrument]",
+        table_name_eex_eod_price="[EEX].[EODPrice]",
     )

{detquantlib-3.2.8 → detquantlib-3.3.0}/detquantlib/tradable_products/tradable_products.py

@@ -1,4 +1,5 @@
 # Python built-in packages
+import math
 from datetime import datetime
 from typing import Literal
 
@@ -13,7 +14,7 @@ from detquantlib.dates.dates import calc_months_diff
 def convert_delivery_start_date_to_maturity(
     trading_date: datetime,
     delivery_start_date: datetime,
-    product: Literal["month", "quarter", "year"],
+    product: Literal["day", "weekend", "week", "month", "quarter", "year"],
 ) -> int:
     """
     Calculates the number of maturities between the input trading date and the input delivery
@@ -34,7 +35,16 @@ def convert_delivery_start_date_to_maturity(
     # Make input product string lower case only
     product = product.lower()
 
-    if product == "month":
+    if product == "day":
+        maturity = (delivery_start_date - trading_date).days
+
+    elif product == "week":
+        maturity = math.ceil((delivery_start_date - trading_date).ceil("D").days / 7)
+
+    elif product == "weekend":
+        maturity = math.ceil((delivery_start_date - trading_date).ceil("D").days / 7)
+
+    elif product == "month":
         maturity = calc_months_diff(
             start_date=trading_date,
             end_date=delivery_start_date,

{detquantlib-3.2.8 → detquantlib-3.3.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "detquantlib"
-version = "3.2.8"
+version = "3.3.0"
 description = "An internal library containing functions and classes that can be used across Quant models."
 authors = ["DET"]
 readme = "README.md"
@@ -17,6 +17,7 @@ pandas = "^2.3.0"
 plotly = "^6.1.2"
 pyodbc = "^5.2.0"
 python-dotenv = "^1.1.0"
+scipy = "^1.15.2"
 
 [tool.poetry.group.dev.dependencies]
 toml = "^0.10.2"