hg-systematic 0.0.1__tar.gz

hg_systematic-0.0.1/LICENSE

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+MIT License
+
+Copyright (c) 2023 Howard Henson
+
+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.

hg_systematic-0.0.1/PKG-INFO

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+Metadata-Version: 2.1
+Name: hg_systematic
+Version: 0.0.1
+Summary:  A library and examples to show how HGraph can be used for systematic trading. 
+License: MIT
+Keywords: reactive,graph,fpg,forward propogating graph,time series,functional reactive programming,frp,functional,time-series,systematic,trading,strategy
+Author: Howard Henson
+Author-email: howard@henson.me.uk
+Requires-Python: >=3.12
+Classifier: Development Status :: 3 - Alpha
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: Implementation :: CPython
+Requires-Dist: frozendict (>=2.3.10)
+Requires-Dist: hg_oap (>=0.1.9)
+Requires-Dist: hgraph (>=0.3.26)
+Requires-Dist: matplotlib
+Requires-Dist: numpy (>=1.23)
+Requires-Dist: ordered-set (>=4.1.0)
+Requires-Dist: polars (>=1.0)
+Requires-Dist: sortedcontainers (>=2.4.0)
+Requires-Dist: sphinx (>=7.4)
+Requires-Dist: sphinx-autodoc-typehints (>=2.3.0)
+Requires-Dist: sphinx_rtd_theme (>=2.0.0)
+Requires-Dist: sphinxcontrib-plantuml (>=0.30)
+Project-URL: Changelog, https://github.com/hhenson/hg_systematic/blob/main/CHANGELOG.md
+Project-URL: Documentation, https://github.com/hhenson/hg_systematic/blob/main/README.md
+Project-URL: Homepage, https://github.com/hhenson/hg_systematic
+Project-URL: Issues, https://github.com/hhenson/hg_systematic/blob/main/ISSUES.md
+Project-URL: Repository, https://github.com/hhenson/hg_systematic.git
+Description-Content-Type: text/markdown
+
+# HG Systematic
+
+This is a library of utilities and examples to highlight how HGraph can be used to implement
+systematic trading strategies.
+
+
+See [this](https://hgraph.readthedocs.io/en/latest/) for more information.
+
+## Development
+
+The project is currently configured to make use of [Poetry](https://python-poetry.org) for dependency management. 
+Take a look at the website to see how best to install the tool.
+
+Here are some useful commands:
+
+First, this will cause the virtual environment to be installed in the same folder as the project (in .venv folder)
+
+```bash
+poetry config virtualenvs.in-project true
+```
+
+Use this command to set the version of Python to make use of if you want a specific version of Python.
+
+```bash
+poetry env use 3.12
+```
+
+Then use the following command to install the project and its dependencies. Note that the ``--with docs`` installs
+the dependencies to build the documentation set which is not required otherwise, also the ``--all-extras`` is only
+required for the adaptors.
+
+```bash
+poetry install --with docs --all-extras
+```
+
+If you did not use the first command, you can find the location of the installation using:
+
+```bash
+poetry env info
+```
+
+PyCharm can make use of poetry to ``setup`` the project.
+
+### Run Tests
+
+```bash
+# No Coverage
+poetry run pytest
+```
+
+```bash
+# Generate Coverage Report
+poetry run pytest --cov=your_package_name --cov-report=xml
+```
+

hg_systematic-0.0.1/README.md

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+# HG Systematic
+
+This is a library of utilities and examples to highlight how HGraph can be used to implement
+systematic trading strategies.
+
+
+See [this](https://hgraph.readthedocs.io/en/latest/) for more information.
+
+## Development
+
+The project is currently configured to make use of [Poetry](https://python-poetry.org) for dependency management. 
+Take a look at the website to see how best to install the tool.
+
+Here are some useful commands:
+
+First, this will cause the virtual environment to be installed in the same folder as the project (in .venv folder)
+
+```bash
+poetry config virtualenvs.in-project true
+```
+
+Use this command to set the version of Python to make use of if you want a specific version of Python.
+
+```bash
+poetry env use 3.12
+```
+
+Then use the following command to install the project and its dependencies. Note that the ``--with docs`` installs
+the dependencies to build the documentation set which is not required otherwise, also the ``--all-extras`` is only
+required for the adaptors.
+
+```bash
+poetry install --with docs --all-extras
+```
+
+If you did not use the first command, you can find the location of the installation using:
+
+```bash
+poetry env info
+```
+
+PyCharm can make use of poetry to ``setup`` the project.
+
+### Run Tests
+
+```bash
+# No Coverage
+poetry run pytest
+```
+
+```bash
+# Generate Coverage Report
+poetry run pytest --cov=your_package_name --cov-report=xml
+```

hg_systematic-0.0.1/pyproject.toml

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+[tool.poetry]
+name = "hg_systematic"
+version = "0.0.1"
+description = """ \
+A library and examples to show how HGraph can be used for systematic trading. \
+"""
+readme = "README.md"
+license = "MIT"
+authors = [
+    "Howard Henson <howard@henson.me.uk>",
+]
+keywords = [
+    "reactive", "graph", "fpg", "forward propogating graph",
+    "time series", "functional reactive programming",
+    "frp", "functional", "time-series", "systematic", "trading",
+    "strategy"
+]
+classifiers = [
+    "Development Status :: 3 - Alpha",
+    "Programming Language :: Python",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "Programming Language :: Python :: Implementation :: CPython",
+]
+packages = [
+    { include = "hg_systematic", from = "src" },
+]
+
+[tool.poetry.dependencies]
+    python = ">=3.12"
+    hgraph = ">=0.3.26"
+    hg_oap = ">=0.1.9"
+    frozendict = ">=2.3.10"
+    sortedcontainers = ">=2.4.0"
+    ordered-set = ">=4.1.0"
+    numpy = ">=1.23"
+    polars = ">=1.0"
+    matplotlib = "*"
+    sphinx = { version = ">=7.4", optional = true }
+    sphinx_rtd_theme = { version = ">=2.0.0", optional = true  }
+    sphinx-autodoc-typehints = { version = ">=2.3.0", optional = true }
+    sphinxcontrib-plantuml = { version = ">=0.30", optional = true }
+
+
+#[tool.poetry.extras]
+#web = [
+#]
+
+[tool.poetry.group.docs]
+optional = true
+
+[tool.poetry.group.docs.dependencies]
+    sphinx = "*"
+    sphinx_rtd_theme = "*"
+    sphinx-autodoc-typehints = "*"
+    sphinxcontrib-plantuml = "*"
+
+[tool.poetry.urls]
+Homepage = "https://github.com/hhenson/hg_systematic"
+Documentation = "https://github.com/hhenson/hg_systematic/blob/main/README.md"
+Repository = "https://github.com/hhenson/hg_systematic.git"
+Issues = "https://github.com/hhenson/hg_systematic/blob/main/ISSUES.md"
+Changelog = "https://github.com/hhenson/hg_systematic/blob/main/CHANGELOG.md"
+
+[build-system]
+requires = ["poetry-core"]
+build-backend = "poetry.core.masonry.api"
+
+[tool.poetry.group.test.dependencies]
+pytest = "*"
+mypy = "*"
+pytest-cov = "*"
+coverage = "*"
+pytest-xdist = "*"
+
+
+# Configure pytest
+[tool.pytest.ini_options]
+minversion = "7.4.3"
+#addopts = "-n auto -ra -q --dist=loadscope" # " --cov=hgraph --cov-report=term-missing --cov-report=xml"
+testpaths = [
+    "tests",
+]
+markers = [
+    "serial: mark test to run serially (not in parallel with xdist)",
+]
+
+# Configure coverage
+[tool.coverage.run]
+source_pkgs = ["hg_systematic",]
+branch = true
+parallel = true
+omit = [
+    "tests/*",
+    "examples/*",
+    "docs/*",
+]
+
+[tool.coverage.paths]
+hg = ["src/hg_systematic",]
+tests = ["tests",]
+
+[tool.coverage.report]
+fail_under = 80
+exclude_lines = [
+    "no cov",
+    "if __name__ == .__main__.:",
+    "if TYPE_CHECKING:",
+]
+
+[tool.black]
+line-length = 120
+target-version = ['py312']
+unstable = true
+include = '\.pyi?$'
+# 'extend-exclude' excludes files or directories in addition to the defaults
+extend-exclude = '''
+# A regex preceded with ^/ will apply only to files and directories
+# in the root of the project.
+(
+  ^/foo.py    # exclude a file named foo.py in the root of the project
+  | .*_pb2.py  # exclude autogenerated Protocol Buffer files anywhere in the project
+)
+'''
+
+[tool.mypy]
+files = ["src",]
+
+[tool.poetry.scripts]
+build-docs = "sphinx.cmd.build:main"

hg_systematic-0.0.1/src/hg_systematic/data/generators.py

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+import math
+from datetime import timedelta, datetime
+from zoneinfo import ZoneInfo
+
+import numpy as np
+from hg_oap.dates.dt_utils import date_tz_to_utc
+from hgraph import generator, TS, EvaluationEngineApi, graph, lag, delayed_binding, feedback, compute_node, \
+    RECORDABLE_STATE, TimeSeriesSchema, STATE, SIGNAL
+
+__all__ = ["white_noise_generator", "auto_regressive_generator"]
+
+@compute_node
+def white_noise_generator(
+        signal: SIGNAL,
+        loc: float = 0.0,
+        scale: float = 1.0,
+        size: int = 1000,
+        _state: STATE = None
+) -> TS[float]:
+    """
+    Generates a stream of white noise at each tick of the ``signal`` input.
+    The buffer will be initialised at start, and will be re-initialised if the number of ticks exceeds the buffer
+    ``size``.
+    The noise stream can now be generated based on any input signal, for example, a calendar ticking out business days.
+    """
+    out = _state.buffer[_state.ndx]
+    _state.ndx += 1
+    if size == _state.ndx:
+        _state.buffer = np.random.normal(loc, scale, size=size)
+        _state.ndx = 0
+    return out
+
+@white_noise_generator.start
+def white_noise_generator_start(
+        loc: float = 0.0,
+        scale: float = 1.0,
+        size: int = 1000,
+        _state: STATE = None
+):
+    _state.buffer = np.random.normal(loc, scale, size=size)
+    _state.ndx = 0
+
+
+
+class ARState(TimeSeriesSchema):
+    previous_terms: TS[tuple[float,...]]
+
+@compute_node(
+    requires=lambda m, s: len(s["initial_values"]) == (order:=s["order"]) and len(s["coefficients"]) == order+1
+)
+def auto_regressive_generator(
+        white_noise: TS[float],
+        order: int = 1,
+        initial_values: tuple[float, ...] = (1.0,),
+        coefficients: tuple[float, ...] = (1.0, 0.5),
+        _state: RECORDABLE_STATE[ARState] = None
+) -> TS[float]:
+    """
+    An autoregressive generator.
+    The order defines how many terms to use.
+    The size of the initial values is ``order`` and coefficients must be the size of ``order+1``.
+    """
+    result = white_noise.value + coefficients[0]
+    prev = _state.previous_terms.value
+    result += sum(coefficients[i+1] * prev[i] for i in range(order))
+    _state.previous_terms.apply_result((result,) + prev[1:])
+    return result
+
+@auto_regressive_generator.start
+def autoregressive_generator_start(initial_values: tuple[float, ...], _state: RECORDABLE_STATE[ARState] = None):
+    _state.previous_terms.apply_result(initial_values)
+