quantflow 0.2.5__tar.gz → 0.2.7__tar.gz

{quantflow-0.2.5 → quantflow-0.2.7}/PKG-INFO

@@ -1,23 +1,26 @@
 Metadata-Version: 2.1
 Name: quantflow
-Version: 0.2.5
+Version: 0.2.7
 Summary: quantitative analysis
 License: BSD-3-Clause
 Author: Luca
 Author-email: luca@quantmind.com
-Requires-Python: >=3.10,<3.13
+Requires-Python: >=3.11
 Classifier: License :: OSI Approved :: BSD License
 Classifier: Programming Language :: Python :: 3
-Classifier: Programming Language :: Python :: 3.10
 Classifier: Programming Language :: Python :: 3.11
 Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
 Provides-Extra: data
 Requires-Dist: aiohttp (>=3.8.1,<4.0.0) ; extra == "data"
-Requires-Dist: numpy (>=1.22.3,<2.0.0)
-Requires-Dist: pandas (>=2.0.1,<3.0.0)
-Requires-Dist: pyarrow (>=15.0.0,<16.0.0)
+Requires-Dist: asciichart (>=0.1,<0.2)
+Requires-Dist: asciichartpy (>=1.5.25,<2.0.0)
+Requires-Dist: ccy[cli] (==1.6.0)
+Requires-Dist: polars[pandas,pyarrow] (==1.11.0)
+Requires-Dist: prompt-toolkit (>=3.0.43,<4.0.0)
 Requires-Dist: pydantic (>=2.0.2,<3.0.0)
-Requires-Dist: scipy (>=1.10.1,<2.0.0)
+Requires-Dist: python-dotenv (>=1.0.1,<2.0.0)
+Requires-Dist: scipy (>=1.14.1,<2.0.0)
 Project-URL: Documentation, https://quantmind.github.io/quantflow/
 Project-URL: Homepage, https://github.com/quantmind/quantflow
 Project-URL: Repository, https://github.com/quantmind/quantflow
@@ -50,3 +53,9 @@ pip install quantflow
 * [quantflow.options](https://github.com/quantmind/quantflow/tree/main/quantflow/options) option pricing and calibration
 * [quantflow.sp](https://github.com/quantmind/quantflow/tree/main/quantflow/sp) stochastic process primitives
 
+
+## Command line tools
+
+When installing with the extra `data` dependencies, it is possible to use the command line tool `qf`
+
+

{quantflow-0.2.5 → quantflow-0.2.7}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "quantflow"
-version = "0.2.5"
+version = "0.2.7"
 description = "quantitative analysis"
 authors = ["Luca <luca@quantmind.com>"]
 license = "BSD-3-Clause"
@@ -12,21 +12,24 @@ Repository = "https://github.com/quantmind/quantflow"
 Documentation = "https://quantmind.github.io/quantflow/"
 
 [tool.poetry.dependencies]
-python = ">=3.10,<3.13"
-numpy = "^1.22.3"
-scipy = "^1.10.1"
-pandas = "^2.0.1"
+python = ">=3.11"
+scipy = "^1.14.1"
 aiohttp = {version = "^3.8.1", optional = true}
 pydantic = "^2.0.2"
-pyarrow = "^15.0.0"
+ccy = {version="1.6.0", extras=["cli"]}
+asciichart = "^0.1"
+python-dotenv = "^1.0.1"
+asciichartpy = "^1.5.25"
+prompt-toolkit = "^3.0.43"
+polars = {version = "1.11.0", extras=["pandas", "pyarrow"]}
 
 [tool.poetry.group.dev.dependencies]
 black = "^24.1.1"
-pytest-cov = "^4.0.0"
-mypy = "^1.4.0"
+pytest-cov = "^5.0.0"
+mypy = "^1.13.0"
 ghp-import = "^2.0.2"
-ruff = "^0.1.14"
-pytest-asyncio = "^0.23.3"
+ruff = "^0.7.1"
+pytest-asyncio = "^0.24.0"
 
 
 [tool.poetry.extras]
@@ -36,14 +39,17 @@ data = ["aiohttp"]
 optional = true
 
 [tool.poetry.group.book.dependencies]
-jupyter-book = "^0.15.1"
-nbconvert = "^6.4.5"
+jupyter-book = "^1.0.0"
+nbconvert = "^7.16.3"
 jupytext = "^1.13.8"
-plotly = "^5.7.0"
+plotly = "^5.20.0"
 jupyterlab = "^4.0.2"
 sympy = "^1.12"
 ipywidgets = "^8.0.7"
 
+[tool.poetry.scripts]
+qf = "quantflow.cli:main"
+
 [build-system]
 requires = ["poetry-core>=1.0.0"]
 build-backend = "poetry.core.masonry.api"
@@ -56,15 +62,12 @@ asyncio_mode = "auto"
 testpaths = [
     "quantflow_tests"
 ]
-filterwarnings = [
-    "ignore::DeprecationWarning:dateutil.*:"
-]
 
 [tool.isort]
 profile = "black"
 
 [tool.ruff]
-select = ["E", "F"]
+lint.select = ["E", "F"]
 extend-exclude = ["fluid_apps/db/migrations"]
 line-length = 88
 
@@ -78,21 +81,13 @@ disallow_untyped_defs = true
 warn_no_return = true
 
 [[tool.mypy.overrides]]
-module = "quantflow_tests.*"
-disallow_untyped_defs = false
-
-[[tool.mypy.overrides]]
-module = "IPython.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "pandas.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "plotly.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "scipy.*"
+module = [
+    "asciichartpy.*",
+    "quantflow_tests.*",
+    "IPython.*",
+    "pandas.*",
+    "plotly.*",
+    "scipy.*"
+]
 ignore_missing_imports = true
+disallow_untyped_defs = false

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/__init__.py

@@ -1,3 +1,3 @@
 """Quantitative analysis and pricing"""
 
-__version__ = "0.2.5"
+__version__ = "0.2.7"

quantflow-0.2.7/quantflow/cli/__init__.py

@@ -0,0 +1,131 @@
+import asyncio
+import os
+from dataclasses import dataclass, field
+from typing import Any
+
+import click
+import dotenv
+import pandas as pd
+from asciichartpy import plot
+from ccy.cli.console import df_to_rich
+from prompt_toolkit import PromptSession
+from prompt_toolkit.history import FileHistory
+from rich.console import Console
+from rich.text import Text
+
+from quantflow.data.fmp import FMP
+
+from . import settings
+
+dotenv.load_dotenv()
+
+FREQUENCIES = tuple(FMP().historical_frequencies())
+
+
+@click.group()
+def qf() -> None:
+    pass
+
+
+@qf.command()
+@click.argument("symbol")
+def profile(symbol: str) -> None:
+    """Company profile"""
+    data = asyncio.run(get_profile(symbol))[0]
+    main.print(data.pop("description"))
+    df = pd.DataFrame(data.items(), columns=["Key", "Value"])
+    main.print(df_to_rich(df))
+
+
+@qf.command()
+@click.argument("symbol")
+@click.option(
+    "-h",
+    "--height",
+    type=int,
+    default=20,
+    show_default=True,
+    help="Chart height",
+)
+@click.option(
+    "-l",
+    "--length",
+    type=int,
+    default=100,
+    show_default=True,
+    help="Number of data points",
+)
+@click.option(
+    "-f",
+    "--frequency",
+    type=click.Choice(FREQUENCIES),
+    default="",
+    help="Number of data points",
+)
+def chart(symbol: str, height: int, length: int, frequency: str) -> None:
+    """Symbol chart"""
+    df = asyncio.run(get_prices(symbol, frequency))
+    data = list(reversed(df["close"].tolist()[:length]))
+    print(plot(data, {"height": height}))
+
+
+async def get_prices(symbol: str, frequency: str) -> pd.DataFrame:
+    async with FMP() as cli:
+        return await cli.prices(symbol, frequency)
+
+
+async def get_profile(symbol: str) -> list[dict]:
+    async with FMP() as cli:
+        return await cli.profile(symbol)
+
+
+@dataclass
+class App:
+    console: Console = field(default_factory=Console)
+
+    def __call__(self) -> None:
+        os.makedirs(settings.SETTINGS_DIRECTORY, exist_ok=True)
+        history = FileHistory(str(settings.HIST_FILE_PATH))
+        session: PromptSession = PromptSession(history=history)
+
+        self.print("Welcome to QuantFlow!", style="bold green")
+        self.handle_command("help")
+
+        try:
+            while True:
+                try:
+                    text = session.prompt("quantflow> ")
+                except KeyboardInterrupt:
+                    break
+                else:
+                    self.handle_command(text)
+        except click.Abort:
+            self.console.print(Text("Bye!", style="bold magenta"))
+
+    def print(self, text_alike: Any, style: str = "") -> None:
+        if isinstance(text_alike, str):
+            style = style or "cyan"
+            text_alike = Text(f"\n{text_alike}\n", style="cyan")
+        self.console.print(text_alike)
+
+    def error(self, err: str | Exception) -> None:
+        self.console.print(Text(f"\n{err}\n", style="bold red"))
+
+    def handle_command(self, text: str) -> None:
+        self.current_command = text.split(" ")[0].strip()
+        if not text:
+            return
+        elif text == "help":
+            return qf.main(["--help"], standalone_mode=False)
+        elif text == "exit":
+            raise click.Abort()
+
+        try:
+            qf.main(text.split(), standalone_mode=False)
+        except click.exceptions.MissingParameter as e:
+            self.error(e)
+        except click.exceptions.NoSuchOption as e:
+            self.error(e)
+
+
+main = App()

quantflow-0.2.7/quantflow/cli/settings.py

@@ -0,0 +1,11 @@
+# IMPORTATION STANDARD
+from pathlib import Path
+
+# Installation related paths
+HOME_DIRECTORY = Path.home()
+PACKAGE_DIRECTORY = Path(__file__).parent.parent.parent
+REPOSITORY_DIRECTORY = PACKAGE_DIRECTORY.parent
+
+SETTINGS_DIRECTORY = HOME_DIRECTORY / ".quantflow"
+SETTINGS_ENV_FILE = SETTINGS_DIRECTORY / ".env"
+HIST_FILE_PATH = SETTINGS_DIRECTORY / ".quantflow.his"

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/data/client.py

@@ -1,7 +1,7 @@
 import json
 import os
 from dataclasses import dataclass
-from typing import Any
+from typing import Any, Self
 
 from aiohttp import ClientResponse, ClientSession
 from aiohttp.client_exceptions import ContentTypeError
@@ -52,7 +52,7 @@ class HttpClient:
             await self.session.close()
             self.session = None
 
-    async def __aenter__(self) -> "HttpClient":
+    async def __aenter__(self) -> Self:
         return self
 
     async def __aexit__(self, *args: Any) -> None:

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/data/fmp.py

@@ -1,5 +1,5 @@
 import os
-from dataclasses import dataclass
+from dataclasses import dataclass, field
 from datetime import date, timedelta
 from typing import Any, cast
 
@@ -12,7 +12,7 @@ from .client import HttpClient, compact
 @dataclass
 class FMP(HttpClient):
     url: str = "https://financialmodelingprep.com/api"
-    key: str = os.environ.get("FMP_API_KEY", "")
+    key: str = field(default_factory=lambda: os.environ.get("FMP_API_KEY", ""))
 
     async def stocks(self, **kw: Any) -> list[dict]:
         return await self.get_path("v3/stock/list", **kw)
@@ -62,7 +62,7 @@ class FMP(HttpClient):
     # Rating
 
     async def rating(self, ticker: str, **kw: Any) -> list[dict]:
-        """Company quote - real time"""
+        """Company rating - real time"""
         return await self.get_path(f"v3/rating/{ticker}", **kw)
 
     async def etf_holders(self, ticker: str, **kw: Any) -> list[dict]:
@@ -111,7 +111,9 @@ class FMP(HttpClient):
             **self.params(compact(query=query, exchange=exchange, limit=limit), **kw),
         )
 
-    async def prices(self, ticker: str, frequency: str = "", **kw: Any) -> pd.DataFrame:
+    async def prices(
+        self, ticker: str, frequency: str = "", to_date: bool = False, **kw: Any
+    ) -> pd.DataFrame:
         base = (
             "historical-price-full/"
             if not frequency
@@ -121,10 +123,14 @@ class FMP(HttpClient):
         if isinstance(data, dict):
             data = data.get("historical", [])
         df = pd.DataFrame(data)
-        if "date" in df.columns:
+        if to_date and "date" in df.columns:
             df["date"] = pd.to_datetime(df["date"])
         return df
 
+    # forex
+    async def forex_list(self) -> list[dict]:
+        return await self.get_path("v3/symbol/available-forex-currency-pairs")
+
     def historical_frequencies(self) -> dict:
         return {
             "1min": 1,

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/sp/poisson.py

@@ -202,6 +202,6 @@ class MarginalDiscrete1D(StochasticProcess1DMarginal):
             if simpson_rule:
                 result.append(a * simpson(f, x=frequency))
             else:
-                result.append(a * np.trapz(f, frequency))
+                result.append(a * np.trapezoid(f, frequency))
         pdf = np.maximum(np.diff(result, prepend=0), 0)
         return TransformResult(x=x, y=np.cumsum(pdf))  # type: ignore[arg-type]

quantflow-0.2.7/quantflow/utils/df.py

@@ -0,0 +1,72 @@
+from typing import Self, TypeAlias
+
+import numpy as np
+import polars as pl
+import pandas as pd
+
+
+DataFrame: TypeAlias = pl.DataFrame | pd.DataFrame
+
+
+def to_polars(df: DataFrame) -> pl.DataFrame:
+    if isinstance(df, pd.DataFrame):
+        return pl.DataFrame(df)
+    return df
+
+
+class DFutils:
+    def __init__(self, df: DataFrame, period: float = 1) -> None:
+        self.df = to_polars(df)
+        self.period = period
+
+    def __repr__(self) -> str:
+        return repr(self.df)
+
+    def __str__(self) -> str:
+        return str(self.df)
+
+    def clone(self, df: DataFrame) -> Self:
+        return self.__class__(df, self.period)
+
+    def with_mid(self) -> Self:
+        """Adds mid and spread columns to the dataframe"""
+        df = self.df
+        return self.clone(
+            self.df.with_columns(
+                mid=0.5 * (df["ask_price"] + df["bid_price"]),
+                mid_volume=0.5 * (df["ask_amount"] + df["bid_amount"]),
+                spread=20000
+                * (df["ask_price"] - df["bid_price"])
+                / (df["ask_price"] + df["bid_price"]),
+            )
+        )
+
+    def with_parkinson(self) -> Self:
+        """Adds parkinson volatility column to the dataframe
+
+        This requires the high and low columns to be present
+        """
+        c = 10000 / np.sqrt(4 * self.period * np.log(2))
+        return self.clone(
+            df=self.df.with_columns(
+                pk=c * (pl.col("high") / pl.col("low")).map_elements(np.log)
+            )
+        )
+
+    def with_rogers_satchel(self) -> Self:
+        """Adds Rogers-Satchel volatility column to the dataframe
+
+        This requires the high and low columns to be present
+        """
+        c = 10000 / np.sqrt(self.period)
+        return self.clone(
+            df=self.df.with_columns(
+                rs=c
+                * (
+                    (pl.col("high") / pl.col("open")).map_elements(np.log)
+                    * (pl.col("high") / pl.col("close")).map_elements(np.log)
+                    + (pl.col("low") / pl.col("open")).map_elements(np.log)
+                    * (pl.col("low") / pl.col("close")).map_elements(np.log)
+                ).map_elements(np.sqrt)
+            )
+        )

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/utils/plot.py

@@ -183,3 +183,18 @@ def plot3d(
     if kwargs:
         fig.update_layout(**kwargs)
     return fig
+
+
+def candlestick_plot(df: pd.DataFrame, slider: bool = True) -> Any:
+    fig = go.Figure(
+        data=go.Candlestick(
+            x=df["date"],
+            open=df["open"],
+            high=df["high"],
+            low=df["low"],
+            close=df["close"],
+        )
+    )
+    if slider is False:
+        fig.update_layout(xaxis_rangeslider_visible=False)
+    return fig

{quantflow-0.2.5 → quantflow-0.2.7}/quantflow/utils/types.py

@@ -1,14 +1,15 @@
 from decimal import Decimal
 from typing import Optional, Union
 
+import pandas as pd
 import numpy as np
 import numpy.typing as npt
 
 Number = Decimal
 Numbers = Union[int, float, np.number]
 NumberType = Union[float, int, str, Number]
-Vector = Union[int, float, complex, np.ndarray]
-FloatArray = npt.NDArray[np.float_]
+Vector = Union[int, float, complex, np.ndarray, pd.Series]
+FloatArray = npt.NDArray[np.float64]
 IntArray = npt.NDArray[np.int_]
 FloatArrayLike = FloatArray | float
 

{quantflow-0.2.5 → quantflow-0.2.7}/readme.md

@@ -24,3 +24,9 @@ pip install quantflow
 * [quantflow.data](https://github.com/quantmind/quantflow/tree/main/quantflow/data) data APIs (requires `quantflow[data]`)
 * [quantflow.options](https://github.com/quantmind/quantflow/tree/main/quantflow/options) option pricing and calibration
 * [quantflow.sp](https://github.com/quantmind/quantflow/tree/main/quantflow/sp) stochastic process primitives
+
+
+## Command line tools
+
+When installing with the extra `data` dependencies, it is possible to use the command line tool `qf`
+