mainsequence 2.0.0__py3-none-any.whl

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Files changed (110) hide show
  1. mainsequence/__init__.py +0 -0
  2. mainsequence/__main__.py +9 -0
  3. mainsequence/cli/__init__.py +1 -0
  4. mainsequence/cli/api.py +157 -0
  5. mainsequence/cli/cli.py +442 -0
  6. mainsequence/cli/config.py +78 -0
  7. mainsequence/cli/ssh_utils.py +126 -0
  8. mainsequence/client/__init__.py +17 -0
  9. mainsequence/client/base.py +431 -0
  10. mainsequence/client/data_sources_interfaces/__init__.py +0 -0
  11. mainsequence/client/data_sources_interfaces/duckdb.py +1468 -0
  12. mainsequence/client/data_sources_interfaces/timescale.py +479 -0
  13. mainsequence/client/models_helpers.py +113 -0
  14. mainsequence/client/models_report_studio.py +412 -0
  15. mainsequence/client/models_tdag.py +2276 -0
  16. mainsequence/client/models_vam.py +1983 -0
  17. mainsequence/client/utils.py +387 -0
  18. mainsequence/dashboards/__init__.py +0 -0
  19. mainsequence/dashboards/streamlit/__init__.py +0 -0
  20. mainsequence/dashboards/streamlit/assets/config.toml +12 -0
  21. mainsequence/dashboards/streamlit/assets/favicon.png +0 -0
  22. mainsequence/dashboards/streamlit/assets/logo.png +0 -0
  23. mainsequence/dashboards/streamlit/core/__init__.py +0 -0
  24. mainsequence/dashboards/streamlit/core/theme.py +212 -0
  25. mainsequence/dashboards/streamlit/pages/__init__.py +0 -0
  26. mainsequence/dashboards/streamlit/scaffold.py +220 -0
  27. mainsequence/instrumentation/__init__.py +7 -0
  28. mainsequence/instrumentation/utils.py +101 -0
  29. mainsequence/instruments/__init__.py +1 -0
  30. mainsequence/instruments/data_interface/__init__.py +10 -0
  31. mainsequence/instruments/data_interface/data_interface.py +361 -0
  32. mainsequence/instruments/instruments/__init__.py +3 -0
  33. mainsequence/instruments/instruments/base_instrument.py +85 -0
  34. mainsequence/instruments/instruments/bond.py +447 -0
  35. mainsequence/instruments/instruments/european_option.py +74 -0
  36. mainsequence/instruments/instruments/interest_rate_swap.py +217 -0
  37. mainsequence/instruments/instruments/json_codec.py +585 -0
  38. mainsequence/instruments/instruments/knockout_fx_option.py +146 -0
  39. mainsequence/instruments/instruments/position.py +475 -0
  40. mainsequence/instruments/instruments/ql_fields.py +239 -0
  41. mainsequence/instruments/instruments/vanilla_fx_option.py +107 -0
  42. mainsequence/instruments/pricing_models/__init__.py +0 -0
  43. mainsequence/instruments/pricing_models/black_scholes.py +49 -0
  44. mainsequence/instruments/pricing_models/bond_pricer.py +182 -0
  45. mainsequence/instruments/pricing_models/fx_option_pricer.py +90 -0
  46. mainsequence/instruments/pricing_models/indices.py +350 -0
  47. mainsequence/instruments/pricing_models/knockout_fx_pricer.py +209 -0
  48. mainsequence/instruments/pricing_models/swap_pricer.py +502 -0
  49. mainsequence/instruments/settings.py +175 -0
  50. mainsequence/instruments/utils.py +29 -0
  51. mainsequence/logconf.py +284 -0
  52. mainsequence/reportbuilder/__init__.py +0 -0
  53. mainsequence/reportbuilder/__main__.py +0 -0
  54. mainsequence/reportbuilder/examples/ms_template_report.py +706 -0
  55. mainsequence/reportbuilder/model.py +713 -0
  56. mainsequence/reportbuilder/slide_templates.py +532 -0
  57. mainsequence/tdag/__init__.py +8 -0
  58. mainsequence/tdag/__main__.py +0 -0
  59. mainsequence/tdag/config.py +129 -0
  60. mainsequence/tdag/data_nodes/__init__.py +12 -0
  61. mainsequence/tdag/data_nodes/build_operations.py +751 -0
  62. mainsequence/tdag/data_nodes/data_nodes.py +1292 -0
  63. mainsequence/tdag/data_nodes/persist_managers.py +812 -0
  64. mainsequence/tdag/data_nodes/run_operations.py +543 -0
  65. mainsequence/tdag/data_nodes/utils.py +24 -0
  66. mainsequence/tdag/future_registry.py +25 -0
  67. mainsequence/tdag/utils.py +40 -0
  68. mainsequence/virtualfundbuilder/__init__.py +45 -0
  69. mainsequence/virtualfundbuilder/__main__.py +235 -0
  70. mainsequence/virtualfundbuilder/agent_interface.py +77 -0
  71. mainsequence/virtualfundbuilder/config_handling.py +86 -0
  72. mainsequence/virtualfundbuilder/contrib/__init__.py +0 -0
  73. mainsequence/virtualfundbuilder/contrib/apps/__init__.py +8 -0
  74. mainsequence/virtualfundbuilder/contrib/apps/etf_replicator_app.py +164 -0
  75. mainsequence/virtualfundbuilder/contrib/apps/generate_report.py +292 -0
  76. mainsequence/virtualfundbuilder/contrib/apps/load_external_portfolio.py +107 -0
  77. mainsequence/virtualfundbuilder/contrib/apps/news_app.py +437 -0
  78. mainsequence/virtualfundbuilder/contrib/apps/portfolio_report_app.py +91 -0
  79. mainsequence/virtualfundbuilder/contrib/apps/portfolio_table.py +95 -0
  80. mainsequence/virtualfundbuilder/contrib/apps/run_named_portfolio.py +45 -0
  81. mainsequence/virtualfundbuilder/contrib/apps/run_portfolio.py +40 -0
  82. mainsequence/virtualfundbuilder/contrib/apps/templates/base.html +147 -0
  83. mainsequence/virtualfundbuilder/contrib/apps/templates/report.html +77 -0
  84. mainsequence/virtualfundbuilder/contrib/data_nodes/__init__.py +5 -0
  85. mainsequence/virtualfundbuilder/contrib/data_nodes/external_weights.py +61 -0
  86. mainsequence/virtualfundbuilder/contrib/data_nodes/intraday_trend.py +149 -0
  87. mainsequence/virtualfundbuilder/contrib/data_nodes/market_cap.py +310 -0
  88. mainsequence/virtualfundbuilder/contrib/data_nodes/mock_signal.py +78 -0
  89. mainsequence/virtualfundbuilder/contrib/data_nodes/portfolio_replicator.py +269 -0
  90. mainsequence/virtualfundbuilder/contrib/prices/__init__.py +1 -0
  91. mainsequence/virtualfundbuilder/contrib/prices/data_nodes.py +810 -0
  92. mainsequence/virtualfundbuilder/contrib/prices/utils.py +11 -0
  93. mainsequence/virtualfundbuilder/contrib/rebalance_strategies/__init__.py +1 -0
  94. mainsequence/virtualfundbuilder/contrib/rebalance_strategies/rebalance_strategies.py +313 -0
  95. mainsequence/virtualfundbuilder/data_nodes.py +637 -0
  96. mainsequence/virtualfundbuilder/enums.py +23 -0
  97. mainsequence/virtualfundbuilder/models.py +282 -0
  98. mainsequence/virtualfundbuilder/notebook_handling.py +42 -0
  99. mainsequence/virtualfundbuilder/portfolio_interface.py +272 -0
  100. mainsequence/virtualfundbuilder/resource_factory/__init__.py +0 -0
  101. mainsequence/virtualfundbuilder/resource_factory/app_factory.py +170 -0
  102. mainsequence/virtualfundbuilder/resource_factory/base_factory.py +238 -0
  103. mainsequence/virtualfundbuilder/resource_factory/rebalance_factory.py +101 -0
  104. mainsequence/virtualfundbuilder/resource_factory/signal_factory.py +183 -0
  105. mainsequence/virtualfundbuilder/utils.py +381 -0
  106. mainsequence-2.0.0.dist-info/METADATA +105 -0
  107. mainsequence-2.0.0.dist-info/RECORD +110 -0
  108. mainsequence-2.0.0.dist-info/WHEEL +5 -0
  109. mainsequence-2.0.0.dist-info/licenses/LICENSE +40 -0
  110. mainsequence-2.0.0.dist-info/top_level.txt +1 -0
mainsequence/virtualfundbuilder/contrib/apps/run_portfolio.py ADDED
@@ -0,0 +1,40 @@
1
+ from mainsequence.virtualfundbuilder.portfolio_interface import PortfolioInterface
2
+
3
+ from mainsequence.virtualfundbuilder.models import PortfolioConfiguration
4
+ from mainsequence.virtualfundbuilder.utils import get_vfb_logger
5
+
6
+ from pydantic import BaseModel
7
+ from mainsequence.client.models_tdag import Artifact
8
+ from mainsequence.virtualfundbuilder.resource_factory.app_factory import BaseApp, register_app
9
+
10
+ logger = get_vfb_logger()
11
+
12
+ class PortfolioRunParameters(BaseModel):
13
+ add_portfolio_to_markets_backend: bool = True
14
+ update_tree: bool = True
15
+
16
+ class RunPortfolioConfiguration(BaseModel):
17
+ portfolio_configuration: PortfolioConfiguration
18
+ portfolio_run_parameters: PortfolioRunParameters
19
+
20
+ @register_app()
21
+ class RunPortfolio(BaseApp):
22
+ configuration_class = RunPortfolioConfiguration
23
+
24
+ def __init__(self, configuration: RunPortfolioConfiguration):
25
+ self.configuration = configuration
26
+
27
+ def run(self) -> None:
28
+ portfolio = PortfolioInterface(portfolio_config_template=self.configuration.portfolio_configuration.model_dump())
29
+ res = portfolio.run(**self.configuration.portfolio_run_parameters.model_dump())
30
+ logger.info(f"Portfolio Run successful with results {res.head()}")
31
+ self.add_output(output=portfolio.target_portfolio)
32
+
33
+
34
+ if __name__ == "__main__":
35
+ portfolio_configuration = PortfolioInterface.load_from_configuration("market_cap").portfolio_config
36
+ run_portfolio_configuration = RunPortfolioConfiguration(
37
+ portfolio_configuration=portfolio_configuration,
38
+ portfolio_run_parameters=PortfolioRunParameters(),
39
+ )
40
+ RunPortfolio(run_portfolio_configuration).run()
mainsequence/virtualfundbuilder/contrib/apps/templates/base.html ADDED
@@ -0,0 +1,147 @@
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+ <!DOCTYPE html>
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+ <html lang="en">
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+ <head>
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+ <meta charset="UTF-8" />
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+ <meta name="viewport" content="width=device-width, initial-scale=1.0" />
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+ <title>{% block title %}{% endblock %}</title>
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+
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+ <!-- Bootstrap CSS -->
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+ <link
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+ href="https://cdn.jsdelivr.net/npm/bootstrap@5.3.3/dist/css/bootstrap.min.css"
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+ rel="stylesheet"
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+ integrity="sha384-QWTKZyjpPEjISv5WaRU9OFeRpok6YctnYmDr5pNlyT2bRjXh0JMhjY6hW+ALEwIH"
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+ crossorigin="anonymous"
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+ />
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+
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+ <style>
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+ @page {
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+ size: A4;
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+ margin: 20mm;
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+ }
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+
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+ @media print {
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+ /* 1) Hide the Download PDF button */
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+ .btn-download {
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+ display: none !important;
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+ }
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+ .header-section img {
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+ height: 40px; /* Or whatever height you need */
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+ width: auto; /* So the aspect ratio stays correct */
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+ max-width: 100%; /* Prevents it from overflowing */
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+ margin-bottom: 200px;
32
+ }
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+
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+ /* 2) Hide the entire sidebar */
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+ .sidebar {
36
+ display: none !important;
37
+ }
38
+
39
+ /* 3) Remove horizontal separators (header/footer) */
40
+ .header-section {
41
+ border-bottom: none !important;
42
+ }
43
+ .footer-section {
44
+ border-top: none !important;
45
+ }
46
+
47
+ /* 4) Expand the main content section to full width when sidebar is hidden */
48
+ .col-md-9 {
49
+ width: 100% !important;
50
+ flex: 0 0 100% !important;
51
+ max-width: 100% !important;
52
+ }
53
+
54
+ /* (Optional) Lighten or remove background color for printing */
55
+ body, .header-section, .content-section, .footer-section {
56
+ background-color: #fff !important;
57
+ }
58
+ }
59
+
60
+ /* Your base (screen + print) styles remain here */
61
+ body {
62
+ font-family: "Helvetica Neue", Arial, sans-serif;
63
+ font-size: 0.95rem;
64
+ background-color: #fafafa;
65
+ color: #333;
66
+ margin: 0;
67
+ padding: 0;
68
+ }
69
+ .header-section {
70
+ border-bottom: 1px solid #dee2e6;
71
+ padding: 20px 0;
72
+ background: linear-gradient(to bottom, #d3d9e8, rgb(211, 217, 232));
73
+ color: #000; /* Keep text black */
74
+ }
75
+ .sidebar {
76
+ border-right: 1px solid #dee2e6;
77
+ background-color: #ffffff;
78
+ padding: 20px;
79
+ }
80
+ .content-section {
81
+ padding: 20px;
82
+ background-color: #ffffff;
83
+ }
84
+ .footer-section {
85
+ border-top: 1px solid #dee2e6;
86
+ padding: 15px 0;
87
+ background-color: #f8f9fa;
88
+ font-size: 0.85rem;
89
+ }
90
+ /* ... etc. ... */
91
+ </style>
92
+ </head>
93
+ <body>
94
+
95
+ <!-- Header Section -->
96
+ <header class="header-section">
97
+ <!-- Row #1: Centered LOGO only. No text that says "Company Logo" -->
98
+ <div class="container text-center">
99
+ <img src="{{ logo_location }}" alt="Main Sequence GmbH Logo" height="40" class="my-2" />
100
+ </div>
101
+
102
+ <!-- Row #2: Left side for block header_logo, Right side for date/info + PDF button -->
103
+ <div class="container mt-2">
104
+ <div class="row align-items-center">
105
+ <div class="col-md-6">
106
+ <!-- Typically, you'd put "Main Sequence | Research Division" here, or nothing. -->
107
+ {% block header_logo %}{% endblock %}
108
+ </div>
109
+ <div class="col-md-6 text-md-end mt-3 mt-md-0">
110
+ {% block header_info %}{% endblock %}
111
+ </div>
112
+ </div>
113
+ </div>
114
+ </header>
115
+
116
+ <!-- Main Container: 2-col layout -->
117
+ <div class="container my-4">
118
+ <div class="row">
119
+ <!-- Left Column: Sidebar -->
120
+ <div class="col-md-3 sidebar">
121
+ <div class="sticky-top">
122
+ {% block sidebar %}{% endblock %}
123
+ </div>
124
+ </div>
125
+
126
+ <!-- Right Column: Main Content -->
127
+ <div class="col-md-9 content-section">
128
+ {% block content %}{% endblock %}
129
+ </div>
130
+ </div>
131
+ </div>
132
+
133
+ <!-- Footer Section -->
134
+ <footer class="footer-section">
135
+ <div class="container">
136
+ {% block footer %}{% endblock %}
137
+ </div>
138
+ </footer>
139
+
140
+ <!-- Bootstrap JS -->
141
+ <script
142
+ src="https://cdn.jsdelivr.net/npm/bootstrap@5.3.3/dist/js/bootstrap.bundle.min.js"
143
+ integrity="sha384-YvpcrYf0tY3lHB60NNkmXc5s9fDVZLESaAA55NDzOxhy9GkcIdslK1eN7N6jIeHz"
144
+ crossorigin="anonymous"
145
+ ></script>
146
+ </body>
147
+ </html>
mainsequence/virtualfundbuilder/contrib/apps/templates/report.html ADDED
@@ -0,0 +1,77 @@
1
+ {% extends "base.html" %}
2
+
3
+ {% block title %}
4
+ Research Report
5
+ {% endblock %}
6
+
7
+ {% block header_logo %}
8
+ <!-- Example: Add a logo or just text as placeholder -->
9
+ <div class="d-flex align-items-center">
10
+
11
+ <div>
12
+ <h2 class="fw-bold mb-0">Main Sequence</h2>
13
+ <p class="text-muted mb-0">AI Research Division</p>
14
+ </div>
15
+ </div>
16
+ {% endblock %}
17
+
18
+ {% block header_info %}
19
+ <div class="small">
20
+ <p class="mb-0">Date: {{ current_date }}</p>
21
+ <p class="mb-0">Report ID: {{ report_id }}</p>
22
+ </div>
23
+ {% endblock %}
24
+
25
+ {% block sidebar %}
26
+ <h5 class="fw-bold mb-3">Report Details</h5>
27
+ <div class="mb-3">
28
+ <p class="small text-muted mb-1">Authors</p>
29
+ <p class="fw-bold">{{ authors }}</p>
30
+ </div>
31
+ <div class="mb-3">
32
+ <p class="small text-muted mb-1">Sector</p>
33
+ <p>{{ sector }}</p>
34
+ </div>
35
+ <div class="mb-3">
36
+ <p class="small text-muted mb-1">Region</p>
37
+ <p>{{ region }}</p>
38
+ </div>
39
+ <div>
40
+ <p class="small text-muted mb-1">Related Topics</p>
41
+ <ul class="list-unstyled">
42
+ {% for topic in topics %}
43
+ <li>- {{ topic }}</li>
44
+ {% endfor %}
45
+ </ul>
46
+ </div>
47
+ {% endblock %}
48
+
49
+ {% block content %}
50
+ <!-- Main Report Title and Summary -->
51
+ <h1 class="report-title">{{ report_title }}</h1>
52
+ <div class="mb-4">
53
+ <p class="lead">{{ summary }}</p>
54
+ </div>
55
+
56
+ <!-- Body of Report -->
57
+ <div class="content-body">
58
+ {% block report_content %}
59
+ <!-- Example placeholder content -->
60
+ {{ report_content|safe }}
61
+
62
+ {% endblock %}
63
+ </div>
64
+ {% endblock %}
65
+
66
+ {% block footer %}
67
+ <div class="row">
68
+ <div class="col-md-6">
69
+ <p class="small text-muted mb-0">
70
+ © {{ current_year }} Main Sequence GmbH. All Rights Reserved.
71
+ </p>
72
+ </div>
73
+ <div class="col-md-6 text-md-end">
74
+ <p class="small text-muted mb-0">For institutional use only</p>
75
+ </div>
76
+ </div>
77
+ {% endblock %}
mainsequence/virtualfundbuilder/contrib/data_nodes/__init__.py ADDED
@@ -0,0 +1,5 @@
1
+ from .intraday_trend import *
2
+ from .market_cap import *
3
+ from .mock_signal import *
4
+ from .portfolio_replicator import *
5
+ from .external_weights import *
mainsequence/virtualfundbuilder/contrib/data_nodes/external_weights.py ADDED
@@ -0,0 +1,61 @@
1
+ from mainsequence.client.models_tdag import Artifact
2
+ from datetime import datetime, timedelta, tzinfo
3
+ from typing import Optional, List, Union
4
+
5
+ import pandas as pd
6
+
7
+ from mainsequence.tdag.data_nodes import DataNode
8
+ from mainsequence.client import Asset, AssetCategory
9
+
10
+ from mainsequence.virtualfundbuilder.resource_factory.signal_factory import WeightsBase, register_signal_class
11
+ from mainsequence.virtualfundbuilder.utils import TIMEDELTA
12
+ import numpy as np
13
+ import pandas.api.types as ptypes
14
+
15
+
16
+ @register_signal_class(register_in_agent=False)
17
+ class ExternalWeights(WeightsBase, DataNode):
18
+ def __init__(
19
+ self,
20
+ artifact_name: str,
21
+ bucket_name: str,
22
+ *args, **kwargs
23
+ ):
24
+ self.artifact_name = artifact_name
25
+ self.bucket_name = bucket_name
26
+ super().__init__(*args, **kwargs)
27
+
28
+
29
+ def maximum_forward_fill(self):
30
+ return timedelta(days=1) - TIMEDELTA
31
+
32
+ def get_explanation(self):
33
+ explanation = (
34
+ "### External Weights Source\n\n"
35
+ f"This strategy represents weights from an artifact: {self.bucket_name}/{self.artifact_name}\n\n\n"
36
+ )
37
+ return explanation
38
+
39
+ def get_asset_list(self) -> Union[None, list]:
40
+ asset_category = AssetCategory.get(unique_identifier=self.assets_configuration.assets_category_unique_id)
41
+ asset_list = Asset.filter(id__in=asset_category.assets)
42
+ return asset_list
43
+
44
+ def update(self, update_statistics: "UpdateStatistics"):
45
+ source_artifact = Artifact.get(bucket__name=self.bucket_name, name=self.artifact_name)
46
+ weights_source = pd.read_csv(source_artifact.content)
47
+
48
+ weights_source["time_index"] = pd.to_datetime(
49
+ weights_source["time_index"], utc=True
50
+ )
51
+
52
+ # convert figis in source data
53
+ for asset in update_statistics.asset_list:
54
+ weights_source.loc[weights_source["figi"] == asset.figi, "unique_identifier"] = asset.unique_identifier
55
+
56
+ weights = weights_source[["time_index", "unique_identifier", "weight"]]
57
+ weights.rename(columns={"weight": "signal_weight"}, inplace=True)
58
+ weights.set_index(["time_index", "unique_identifier"], inplace=True)
59
+
60
+ weights = update_statistics.filter_df_by_latest_value(weights)
61
+ return weights
mainsequence/virtualfundbuilder/contrib/data_nodes/intraday_trend.py ADDED
@@ -0,0 +1,149 @@
1
+ import copy
2
+ from datetime import datetime
3
+ from typing import Union
4
+
5
+ import numpy as np
6
+ import pandas as pd
7
+ import pytz
8
+ from mainsequence.virtualfundbuilder import TIMEDELTA
9
+ from mainsequence.virtualfundbuilder.contrib.prices.data_nodes import get_interpolated_prices_timeseries
10
+ from mainsequence.virtualfundbuilder.resource_factory.signal_factory import WeightsBase, register_signal_class
11
+ from mainsequence.tdag.data_nodes import DataNode
12
+
13
+ import pandas_market_calendars as mcal
14
+
15
+ @register_signal_class(register_in_agent=True)
16
+ class IntradayTrend(WeightsBase, DataNode):
17
+
18
+ def __init__(
19
+ self,
20
+ calendar: str,
21
+ source_frequency: str = "1d",
22
+ *args, **kwargs
23
+ ):
24
+ """
25
+ Signal Weights
26
+
27
+ Arguments
28
+ source_frequency (str): Frequency of market cap source
29
+ """
30
+ super().__init__(*args, **kwargs)
31
+
32
+ self.source_frequency = source_frequency
33
+ self.calendar = calendar
34
+ self.bars_ts, self.asset_symbols = get_interpolated_prices_timeseries(copy.deepcopy(self.assets_configuration))
35
+
36
+
37
+ def update(self, latest_value: Union[datetime, None], params_for_tree_run=None, *args, **kwargs) -> pd.DataFrame:
38
+ """
39
+ Updates the weights considering rebalance periods and execution frequency.
40
+
41
+ Args:
42
+ latest_value Union[datetime, None]: The timestamp of the latest available data.
43
+ """
44
+ asset_symbols = [a for assets in self.asset_symbols.values() for a in assets]
45
+ exchange_per_symbol = {v: k for k, values in self.asset_symbols.items() for v in values}
46
+
47
+ max_assets_time = [
48
+ ts.get_last_observation(asset_symbols=self.asset_symbols[exchange])
49
+ for exchange, ts in self.bars_ts.related_time_series.items()
50
+ ]
51
+
52
+ top_date_limit = min([i.index.get_level_values("time_index").min() for i in max_assets_time]) # get the minimum available time
53
+
54
+ if latest_value is None:
55
+ latest_value = datetime(year=2018, month=1, day=1).replace(tzinfo=pytz.utc)
56
+ else:
57
+ # only when there are prices enough for the upsample
58
+ upper_range = latest_value + pd.Timedelta(self.source_frequency)
59
+ if top_date_limit < upper_range:
60
+ return pd.DataFrame()
61
+
62
+ # get last few days for past intraday returns
63
+ prices_start_date = latest_value - pd.Timedelta(days=1)
64
+ prices = self.bars_ts.pandas_df_concat_on_rows_by_key_between_dates(
65
+ start_date=prices_start_date,
66
+ end_date=top_date_limit,
67
+ great_or_equal=True,
68
+ less_or_equal=True,
69
+ asset_symbols=asset_symbols,
70
+ )
71
+
72
+ # align signal weight updates with market schedule for each day
73
+ calendar_dates = mcal.get_calendar(self.calendar)
74
+ market_schedule = calendar_dates.schedule(start_date=prices_start_date, end_date=top_date_limit)
75
+ signal_weights_index = pd.DatetimeIndex(
76
+ market_schedule.apply(
77
+ lambda d: pd.Series(pd.date_range(start=d["market_open"], end=d["market_close"], freq=self.source_frequency)),
78
+ axis=1
79
+ ).values.flatten()
80
+ )
81
+ signal_prices = prices[prices.index.get_level_values("time_index").isin(signal_weights_index)]
82
+ signal_returns = signal_prices.groupby(["asset_symbol"])["close"].pct_change()
83
+ open_close_daily = prices.groupby([prices.index.get_level_values("time_index").date, prices.index.get_level_values("asset_symbol")]).agg(
84
+ open=("open", "first"),
85
+ close=("close", "last")
86
+ )
87
+ open_close_daily = open_close_daily.unstack("asset_symbol")
88
+
89
+ signal_returns = signal_returns.unstack("asset_symbol").reset_index("execution_venue_symbol", drop=True)
90
+ intraday_returns = open_close_daily["close"] / open_close_daily["open"] - 1
91
+ daily_returns = open_close_daily["open"] / open_close_daily["close"].shift(1) - 1
92
+
93
+ # Determine daily trade direction:
94
+ # Long (1) if previous intraday return was positive
95
+ # Short (-1) if previous intraday return was negative
96
+ trade_direction = intraday_returns.shift(1).map(lambda r: 1 if r>0 else -1)
97
+
98
+ # prepare signal weights
99
+ signal_weights = pd.DataFrame(index=signal_weights_index)
100
+ signal_weights["date"] = signal_weights.index.date
101
+ signal_weights = signal_weights[signal_weights["date"].isin(trade_direction.index)]
102
+ trade_direction = trade_direction.loc[signal_weights["date"]]
103
+ trade_direction.index = signal_weights.index
104
+ signal_weights = pd.concat([signal_weights, trade_direction, signal_returns], axis=1, keys=["date", "trade_direction", "signal_returns"])
105
+
106
+ # add daily returns from last day
107
+ daily_returns.index = daily_returns.index.map(signal_weights["date"].groupby("date").apply(lambda x: x.index[0]))
108
+ for asset_name in asset_symbols:
109
+ signal_weights.loc[daily_returns.index, ('signal_returns', asset_name)] = daily_returns[asset_name]
110
+
111
+ def create_weights(daily_data):
112
+ # start weights each day, grow by 1/trades_per_day and sell at the end
113
+ weights = pd.DataFrame(np.nan, index=daily_data.index, columns=asset_symbols)
114
+ weights.iloc[0] = 0
115
+ for asset_name in asset_symbols:
116
+ trade_size = 1 / len(daily_data)
117
+ daily_trade_direction = daily_data[("trade_direction", asset_name)].iloc[0]
118
+
119
+ if daily_trade_direction == 0:
120
+ return weights[asset_name].fillna(0)
121
+
122
+ # Create the indicator based on trade direction
123
+ if daily_trade_direction > 0:
124
+ indicator = daily_data[("signal_returns", asset_name)] > 0
125
+ else:
126
+ indicator = daily_data[("signal_returns", asset_name)] < 0
127
+
128
+ weights.loc[indicator, asset_name] = np.cumsum(indicator) * trade_size * daily_trade_direction
129
+
130
+ weights.iloc[-1] = 0 # sell at the end of day
131
+ return weights
132
+
133
+ # calculate signal weights based on intra-day returns in source_frequency interval
134
+ signal_weights = signal_weights.groupby(signal_weights.index.date).apply(create_weights).reset_index(drop=True, level=0).ffill().dropna()
135
+
136
+ # prepare for storage
137
+ signal_weights.index.name = "time_index"
138
+ signal_weights.columns = pd.MultiIndex.from_arrays([[exchange_per_symbol[a] for a in asset_symbols], signal_weights.columns], names=('execution_venue_symbol', 'asset_symbol'))
139
+
140
+ if len(signal_weights) == 0:
141
+ return pd.DataFrame()
142
+
143
+ signal_weights = signal_weights[signal_weights.index > latest_value]
144
+ signal_weights = signal_weights.stack().stack().to_frame(name='signal_weight').astype(float)
145
+ return signal_weights
146
+
147
+
148
+ def maximum_forward_fill(self):
149
+ return pd.Timedelta(self.source_frequency) - TIMEDELTA