pwb-toolbox 0.1.3__tar.gz → 0.1.5__tar.gz

{pwb_toolbox-0.1.3 → pwb_toolbox-0.1.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: pwb-toolbox
-Version: 0.1.3
+Version: 0.1.5
 Summary: A toolbox library for quant traders
 Home-page: https://github.com/paperswithbacktest/pwb-toolbox
 Author: Your Name

{pwb_toolbox-0.1.3 → pwb_toolbox-0.1.5}/pwb_toolbox/datasets/__init__.py

@@ -627,7 +627,9 @@ def load_dataset(
     return df
 
 
-def __convert_indices_to_usd(df_indices, df_forex):
+def __convert_indices_to_usd(
+    df_indices: pd.DataFrame, df_forex: pd.DataFrame
+) -> pd.DataFrame:
     mapping = {
         "ADSMI": "AED",  # United Arab Emirates
         "AEX": "EUR",  # Netherlands
@@ -727,32 +729,40 @@ def __convert_indices_to_usd(df_indices, df_forex):
         "SX5E": "EUR",  # Europe
         "TA125": "ILS",  # Israel
     }
-    symbols = df_indices.symbol.unique()
-    mapping = {k: v for k, v in mapping.items() if k in symbols}
     frames = []
-    for symbol, currency in mapping.items():
-        df_index = df_indices[df_indices["symbol"] == symbol].copy()
-        if currency == "USD":
-            frames.append(df_index)
+
+    # iterate over the symbols that actually exist in df_indices
+    for symbol in df_indices["symbol"].unique():
+        df_idx = df_indices[df_indices["symbol"] == symbol].copy()
+
+        # 1) Figure out what currency the index is quoted in.
+        ccy = mapping.get(symbol)  # None if not mapped
+        if ccy is None or ccy == "USD":
+            # Unknown or already USD – just keep the original rows
+            frames.append(df_idx)
             continue
-        df_forex_currency = df_forex[df_forex["symbol"] == currency + "USD"].copy()
-        if df_index.empty or df_forex_currency.empty:
+
+        # 2) Find the matching FX rate (home-ccy → USD)
+        pair = ccy + "USD"
+        df_fx = df_forex[df_forex["symbol"] == pair].copy()
+
+        if df_idx.empty or df_fx.empty:
+            # No FX data – keep raw index levels instead of dropping them
+            frames.append(df_idx)
             continue
-        # Merge dataframes on the date column
-        merged_df = pd.merge(
-            df_index, df_forex_currency, on="date", suffixes=("", "_forex")
-        )
 
-        # Multiply the index prices by the corresponding forex rates
-        merged_df["open"] = merged_df["open"] * merged_df["open_forex"]
-        merged_df["high"] = merged_df["high"] * merged_df["high_forex"]
-        merged_df["low"] = merged_df["low"] * merged_df["low_forex"]
-        merged_df["close"] = merged_df["close"] * merged_df["close_forex"]
+        # 3) Merge on date and convert OHLC
+        merged = pd.merge(df_idx, df_fx, on="date", suffixes=("", "_fx"))
+        for col in ("open", "high", "low", "close"):
+            merged[col] = merged[col] * merged[f"{col}_fx"]
 
-        frames.append(merged_df[["symbol", "date", "open", "high", "low", "close"]])
+        frames.append(merged[["symbol", "date", "open", "high", "low", "close"]])
 
-    df = pd.concat(frames, ignore_index=True)
-    return df
+    if not frames:
+        return pd.DataFrame(columns=df_indices.columns)
+
+    # Combine everything back into one DataFrame
+    return pd.concat(frames, ignore_index=True)
 
 
 def __extract_years_to_maturity(bond_symbol):
@@ -861,37 +871,90 @@ def __extend_etfs(df_etfs):
     return df
 
 
+ALLOWED_FIELDS = {"open", "high", "low", "close"}
+
+
 def get_pricing(
     symbol_list,
-    fields=["close"],
+    fields=None,  # ← default set below
     start_date="1980-01-01",
     end_date=date.today().isoformat(),
     extend=False,
+    keep_single_level=True,  # backward-compat flag
 ):
     """
-    Get pricing data for a list of symbols
+    Fetch OHLC pricing for the requested symbols.
+
+    Parameters
+    ----------
+    symbol_list : str | list[str]
+        One ticker or a list of tickers.
+    fields : list[str] | None
+        Any subset of ["open", "high", "low", "close"].
+        Defaults to ["close"] for backward compatibility.
+    start_date, end_date : str (YYYY-MM-DD)
+        Slice the date index (inclusive).
+    extend : bool
+        Pass-through to `load_dataset(..., extend=extend)`.
+    keep_single_level : bool
+        If `True` and only one field is requested, flatten the columns so the
+        output matches the old behaviour (columns = symbols).  If `False`
+        you always get a two-level MultiIndex `(symbol, field)`.
+
+    Returns
+    -------
+    pd.DataFrame
+        * MultiIndex columns (symbol, field) when `len(fields) > 1`
+        * Single-level columns     (symbol)      when one field & keep_single_level=True
     """
+    # ------------------------------------------------------------------ sanity
+    if fields is None:
+        fields = ["close"]
     if isinstance(symbol_list, str):
         symbol_list = [symbol_list]
-    if len(fields) != 1:
-        raise ValueError("Only one field is allowed")
-    if fields[0] not in ["open", "high", "low", "close"]:
-        raise ValueError("Invalid field")
-    df = pd.concat(
-        [
-            load_dataset("Stocks-Daily-Price", symbol_list, extend=extend),
-            load_dataset("ETFs-Daily-Price", symbol_list, extend=extend),
-            load_dataset("Cryptocurrencies-Daily-Price", symbol_list, extend=extend),
-            load_dataset("Bonds-Daily-Price", symbol_list, extend=extend),
-            load_dataset("Commodities-Daily-Price", symbol_list, extend=extend),
-        ]
-    )
+
+    fields = [f.lower() for f in fields]
+    bad = [f for f in fields if f not in ALLOWED_FIELDS]
+    if bad:
+        raise ValueError(f"Invalid field(s): {bad}. Allowed: {sorted(ALLOWED_FIELDS)}")
+
+    # --------------------------------------------------------------- download
+    DATASETS = [
+        ("Stocks-Daily-Price", extend),
+        ("ETFs-Daily-Price", extend),
+        ("Cryptocurrencies-Daily-Price", extend),
+        ("Bonds-Daily-Price", extend),
+        ("Commodities-Daily-Price", extend),
+        ("Indices-Daily-Price", False),  # indices generally have no proxy data
+    ]
+    remaining = set(symbol_list)  # symbols still to fetch
+    frames = []
+    for dataset_name, ext_flag in DATASETS:
+        if not remaining:  # all symbols resolved → stop early
+            break
+        df_part = load_dataset(dataset_name, list(remaining), extend=ext_flag)
+        if not df_part.empty:
+            frames.append(df_part)
+            remaining -= set(df_part["symbol"].unique())
+    df = pd.concat(frames, ignore_index=True)
+
     df["date"] = pd.to_datetime(df["date"])
     df.set_index("date", inplace=True)
     df.sort_index(inplace=True)
-    df_filtered = df.loc[start_date:end_date]
-    prices_df = df_filtered.pivot_table(
-        values="close", index=df_filtered.index, columns="symbol"
-    )
-    prices_df.columns = list(prices_df.columns)
-    return prices_df
+    df = df.loc[start_date:end_date]
+
+    # ------------------------------------------------------------- reshape
+    # Pivot can accept a list of values: returns columns = (field, symbol)
+    prices = df.pivot_table(values=fields, index=df.index, columns="symbol")
+
+    # Make outer level = symbol, inner = field  →  pivot_df[sym] gives OHLC block
+    prices = prices.swaplevel(axis=1).sort_index(axis=1)
+
+    # Optional: flatten back to the legacy layout if only one field requested
+    if keep_single_level and len(fields) == 1:
+        field = fields[0]
+        prices.columns = prices.columns.droplevel(1)  # keep only the symbol names
+        # optional: rename index level for clarity
+        prices.name = field
+
+    return prices

{pwb_toolbox-0.1.3 → pwb_toolbox-0.1.5}/pwb_toolbox.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: pwb-toolbox
-Version: 0.1.3
+Version: 0.1.5
 Summary: A toolbox library for quant traders
 Home-page: https://github.com/paperswithbacktest/pwb-toolbox
 Author: Your Name

{pwb_toolbox-0.1.3 → pwb_toolbox-0.1.5}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = pwb-toolbox
-version = 0.1.3
+version = 0.1.5
 author = Your Name
 author_email = hello@paperswithbacktest.com
 description = A toolbox library for quant traders