finance-flow 0.1.0__py3-none-any.whl

finance_flow/__init__.py

@@ -0,0 +1,4 @@
+__version__ = "0.1.0"
+
+from .bars import *
+from .tasks import *

finance_flow/bars.py

@@ -0,0 +1,106 @@
+from datetime import date
+from typing import Any, Dict, List, Optional, Type, Union
+
+from ccflow import CallableModel, ContextBase, ContextType, Flow, GenericResult, ResultType
+from pydantic import BaseModel, field_serializer
+
+__all__ = (
+    "DailyBar",
+    "MassiveDailyBarsNormalizeContext",
+    "MassiveDailyBarsNormalizeModel",
+    "normalize_massive_daily_bars",
+)
+
+
+class DailyBar(BaseModel):
+    ticker: str
+    date: date
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: int
+    vwap: Optional[float] = None
+    transactions: Optional[int] = None
+
+    @field_serializer("date")
+    def serialize_date(self, value: date) -> str:
+        return value.isoformat()
+
+
+class MassiveDailyBarsNormalizeContext(ContextBase):
+    payload: Union[Dict[str, Any], List[Dict[str, Any]]]
+    ticker: str
+    session_date: date
+
+
+class MassiveDailyBarsNormalizeModel(CallableModel):
+    @property
+    def context_type(self) -> Type[ContextType]:
+        return MassiveDailyBarsNormalizeContext
+
+    @property
+    def result_type(self) -> Type[ResultType]:
+        return GenericResult
+
+    @Flow.call
+    def __call__(self, context: MassiveDailyBarsNormalizeContext) -> GenericResult:
+        return GenericResult(value=normalize_massive_daily_bars(context.payload, ticker=context.ticker, session_date=context.session_date))
+
+
+def _items(payload: Any) -> List[Dict[str, Any]]:
+    if isinstance(payload, dict):
+        value = payload.get("results", payload.get("rows", []))
+        return list(value or [])
+    return list(payload or [])
+
+
+def _value(row: Dict[str, Any], *names: str) -> Any:
+    for name in names:
+        if name in row and row[name] is not None:
+            return row[name]
+    return None
+
+
+def _float(row: Dict[str, Any], *names: str) -> float:
+    value = _value(row, *names)
+    if value is None:
+        raise ValueError(f"Missing numeric field; expected one of {names}.")
+    return float(value)
+
+
+def _int(row: Dict[str, Any], *names: str) -> int:
+    value = _value(row, *names)
+    if value is None:
+        raise ValueError(f"Missing integer field; expected one of {names}.")
+    return int(value)
+
+
+def _optional_float(row: Dict[str, Any], *names: str) -> Optional[float]:
+    value = _value(row, *names)
+    return None if value is None else float(value)
+
+
+def _optional_int(row: Dict[str, Any], *names: str) -> Optional[int]:
+    value = _value(row, *names)
+    return None if value is None else int(value)
+
+
+def normalize_massive_daily_bars(payload: Union[Dict[str, Any], List[Dict[str, Any]]], ticker: str, session_date: Union[str, date]) -> List[DailyBar]:
+    business_date = date.fromisoformat(session_date) if isinstance(session_date, str) else session_date
+    bars = []
+    for row in _items(payload):
+        bars.append(
+            DailyBar(
+                ticker=str(_value(row, "ticker", "T") or ticker),
+                date=_value(row, "date") or business_date,
+                open=_float(row, "open", "o"),
+                high=_float(row, "high", "h"),
+                low=_float(row, "low", "l"),
+                close=_float(row, "close", "c"),
+                volume=_int(row, "volume", "v"),
+                vwap=_optional_float(row, "vwap", "vw"),
+                transactions=_optional_int(row, "transactions", "n"),
+            )
+        )
+    return bars

finance_flow/config/task/backtest_portfolio.yaml

@@ -0,0 +1,6 @@
+task_model:
+  _target_: finance_flow.BacktestPortfolioModel
+  explain: true
+
+callable: /task_model
+explain: true

finance_flow/config/task/build_alpha_report.yaml

@@ -0,0 +1,6 @@
+task_model:
+  _target_: finance_flow.BuildAlphaReportModel
+  explain: true
+
+callable: /task_model
+explain: true

finance_flow/config/task/build_risk_report.yaml

@@ -0,0 +1,6 @@
+task_model:
+  _target_: finance_flow.BuildRiskReportModel
+  explain: true
+
+callable: /task_model
+explain: true

finance_flow/config/task/build_universe.yaml

@@ -0,0 +1,7 @@
+# @package _global_
+
+task_model:
+  _target_: finance_flow.BuildUniverseModel
+  explain: true
+
+callable: /task_model

finance_flow/config/task/calculate_signals.yaml

@@ -0,0 +1,7 @@
+# @package _global_
+
+task_model:
+  _target_: finance_flow.CalculateSignalsModel
+  explain: true
+
+callable: /task_model

finance_flow/config/task/construct_target_positions.yaml

@@ -0,0 +1,7 @@
+# @package _global_
+
+task_model:
+  _target_: finance_flow.ConstructTargetPositionsModel
+  explain: true
+
+callable: /task_model

finance_flow/config/task/evaluate_real_portfolio.yaml

@@ -0,0 +1,6 @@
+task_model:
+  _target_: finance_flow.EvaluateRealPortfolioModel
+  explain: true
+
+callable: /task_model
+explain: true

finance_flow/config/task/optimize_portfolio.yaml

@@ -0,0 +1,7 @@
+# @package _global_
+
+task_model:
+  _target_: finance_flow.OptimizePortfolioModel
+  explain: true
+
+callable: /task_model