quantflow 0.3.2__tar.gz → 0.3.3__tar.gz

{quantflow-0.3.2 → quantflow-0.3.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: quantflow
-Version: 0.3.2
+Version: 0.3.3
 Summary: quantitative analysis
 License: BSD-3-Clause
 Author: Luca

{quantflow-0.3.2 → quantflow-0.3.3}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "quantflow"
-version = "0.3.2"
+version = "0.3.3"
 description = "quantitative analysis"
 authors = ["Luca <luca@quantmind.com>"]
 license = "BSD-3-Clause"
@@ -17,21 +17,21 @@ scipy = "^1.14.1"
 pydantic = "^2.0.2"
 ccy = { version = "^1.7.1" }
 python-dotenv = "^1.0.1"
-polars = {version = "^1.11.0", extras=["pandas", "pyarrow"]}
+polars = { version = "^1.11.0", extras = ["pandas", "pyarrow"] }
 asciichartpy = { version = "^1.5.25", optional = true }
 prompt-toolkit = { version = "^3.0.43", optional = true }
-aio-fluid = {version = "^1.2.1", extras=["http"], optional = true}
-rich = {version = "^13.9.4", optional = true}
-click = {version = "^8.1.7", optional = true}
-holidays = {version = "^0.63", optional = true}
-async-cache = {version = "^1.1.1", optional = true}
+aio-fluid = { version = "^1.2.1", extras = ["http"], optional = true }
+rich = { version = "^13.9.4", optional = true }
+click = { version = "^8.1.7", optional = true }
+holidays = { version = "^0.63", optional = true }
+async-cache = { version = "^1.1.1", optional = true }
 
 [tool.poetry.group.dev.dependencies]
 black = "^25.1.0"
 pytest-cov = "^6.0.0"
 mypy = "^1.14.1"
 ghp-import = "^2.0.2"
-ruff = "^0.11.2"
+ruff = "^0.11.12"
 pytest-asyncio = "^0.26.0"
 isort = "^6.0.1"
 
@@ -44,7 +44,7 @@ cli = [
     "prompt-toolkit",
     "rich",
     "click",
-    "holidays"
+    "holidays",
 ]
 
 [tool.poetry.group.book]
@@ -74,9 +74,7 @@ formats = "ipynb,myst"
 
 [tool.pytest.ini_options]
 asyncio_mode = "auto"
-testpaths = [
-    "quantflow_tests"
-]
+testpaths = ["quantflow_tests"]
 
 [tool.isort]
 profile = "black"
@@ -102,7 +100,7 @@ module = [
     "IPython.*",
     "pandas.*",
     "plotly.*",
-    "scipy.*"
+    "scipy.*",
 ]
 ignore_missing_imports = true
 disallow_untyped_defs = false

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/__init__.py

@@ -1,3 +1,3 @@
 """Quantitative analysis and pricing"""
 
-__version__ = "0.3.2"
+__version__ = "0.3.3"

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/cli/commands/crypto.py

@@ -8,7 +8,7 @@ from asciichartpy import plot
 from cache import AsyncTTL
 from ccy.cli.console import df_to_rich
 
-from quantflow.data.deribit import Deribit
+from quantflow.data.deribit import Deribit, InstrumentKind
 from quantflow.options.surface import VolSurface
 from quantflow.utils.numbers import round_to_step
 
@@ -24,13 +24,34 @@ def crypto() -> None:
         ctx.set_as_section()
 
 
+@crypto.command()
+@click.argument("currency")
+@click.option(
+    "-k",
+    "--kind",
+    type=click.Choice(list(InstrumentKind)),
+    default=InstrumentKind.spot.value,
+)
+def instruments(currency: str, kind: str) -> None:
+    """Provides information about instruments
+
+    Instruments for given cryptocurrency from Deribit API"""
+    ctx = QuantContext.current()
+    data = asyncio.run(get_instruments(ctx, currency, kind))
+    df = pd.DataFrame(data)
+    ctx.qf.print(df_to_rich(df))
+
+
 @crypto.command()
 @click.argument("currency")
 @options.length
 @options.height
 @options.chart
 def volatility(currency: str, length: int, height: int, chart: bool) -> None:
-    """Provides information about historical volatility for given cryptocurrency"""
+    """Provides information about historical volatility
+
+    Historical volatility for given cryptocurrency from Deribit API
+    """
     ctx = QuantContext.current()
     df = asyncio.run(get_volatility(ctx, currency))
     df["volatility"] = df["volatility"].map(lambda p: round_to_step(p, "0.01"))
@@ -109,9 +130,16 @@ def prices(symbol: str, height: int, length: int, chart: bool, frequency: str) -
         )
 
 
+async def get_instruments(ctx: QuantContext, currency: str, kind: str) -> list[dict]:
+    async with Deribit() as client:
+        return await client.get_instruments(
+            currency=currency, kind=InstrumentKind(kind)
+        )
+
+
 async def get_volatility(ctx: QuantContext, currency: str) -> pd.DataFrame:
     async with Deribit() as client:
-        return await client.get_volatility(params=dict(currency=currency))
+        return await client.get_volatility(currency)
 
 
 @AsyncTTL(time_to_live=10)

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/cli/commands/stocks.py

@@ -24,6 +24,15 @@ def stocks() -> None:
         ctx.set_as_section()
 
 
+@stocks.command()
+def indices() -> None:
+    """Search companies"""
+    ctx = QuantContext.current()
+    data = asyncio.run(get_indices(ctx))
+    df = pd.DataFrame(data)
+    ctx.qf.print(df_to_rich(df))
+
+
 @stocks.command()
 @click.argument("symbol")
 def profile(symbol: str) -> None:
@@ -78,6 +87,11 @@ def sectors(period: str) -> None:
     ctx.qf.print(df_to_rich(df))
 
 
+async def get_indices(ctx: QuantContext) -> list[dict]:
+    async with ctx.fmp() as cli:
+        return await cli.indices()
+
+
 async def get_prices(ctx: QuantContext, symbol: str, frequency: str) -> pd.DataFrame:
     async with ctx.fmp() as cli:
         return await cli.prices(symbol, frequency)

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/data/deribit.py

@@ -1,9 +1,12 @@
+import enum
+from dataclasses import dataclass
 from datetime import datetime, timezone
 from decimal import Decimal
 from typing import Any, cast
 
 import pandas as pd
 from dateutil.parser import parse
+from fluid.utils.data import compact_dict
 from fluid.utils.http_client import AioHttpClient, HttpResponse, HttpResponseError
 
 from quantflow.options.surface import VolSecurityType, VolSurfaceLoader
@@ -14,47 +17,79 @@ def parse_maturity(v: str) -> datetime:
     return parse(v).replace(tzinfo=timezone.utc, hour=8)
 
 
+class InstrumentKind(enum.StrEnum):
+    """Instrument kind for Deribit API."""
+
+    future = enum.auto()
+    option = enum.auto()
+    spot = enum.auto()
+    future_combo = enum.auto()
+    option_combo = enum.auto()
+
+
+@dataclass
 class Deribit(AioHttpClient):
     """Deribit API client
 
-    Fetch market and static data from `Deribit`_.
+    Fetch market and static data from `Deribit`_ API.
 
     .. _Deribit: https://docs.deribit.com/
     """
 
-    url = "https://www.deribit.com/api/v2"
+    url: str = "https://www.deribit.com/api/v2"
 
-    async def get_book_summary_by_instrument(self, **kw: Any) -> list[dict]:
-        kw.update(callback=self.to_result)
+    async def get_book_summary_by_instrument(
+        self,
+        instrument_name: str,
+        **kw: Any,
+    ) -> list[dict]:
+        """Get the book summary for a given instrument."""
+        kw.update(params=dict(instrument_name=instrument_name), callback=self.to_result)
         return cast(
             list[dict],
             await self.get_path("public/get_book_summary_by_instrument", **kw),
         )
 
-    async def get_book_summary_by_currency(self, **kw: Any) -> list[dict]:
-        kw.update(callback=self.to_result)
+    async def get_book_summary_by_currency(
+        self, currency: str, kind: InstrumentKind | None = None, **kw: Any
+    ) -> list[dict]:
+        """Get the book summary for a given currency."""
+        kw.update(
+            params=compact_dict(currency=currency, kind=kind), callback=self.to_result
+        )
         return cast(
             list[dict], await self.get_path("public/get_book_summary_by_currency", **kw)
         )
 
-    async def get_instruments(self, **kw: Any) -> list[dict]:
-        kw.update(callback=self.to_result)
+    async def get_instruments(
+        self,
+        currency: str,
+        kind: InstrumentKind | None = None,
+        expired: bool | None = None,
+        **kw: Any,
+    ) -> list[dict]:
+        """Get the list of instruments for a given currency."""
+        kw.update(
+            params=compact_dict(currency=currency, kind=kind, expired=expired),
+            callback=self.to_result,
+        )
         return cast(list[dict], await self.get_path("public/get_instruments", **kw))
 
-    async def get_volatility(self, **kw: Any) -> pd.DataFrame:
-        kw.update(callback=self.to_df)
+    async def get_volatility(self, currency: str, **kw: Any) -> pd.DataFrame:
+        """Provides information about historical volatility for given cryptocurrency"""
+        kw.update(params=dict(currency=currency), callback=self.to_df)
         return await self.get_path("public/get_historical_volatility", **kw)
 
     async def volatility_surface_loader(self, currency: str) -> VolSurfaceLoader:
         """Create a :class:`.VolSurfaceLoader` for a given crypto-currency"""
         loader = VolSurfaceLoader()
         futures = await self.get_book_summary_by_currency(
-            params=dict(currency=currency, kind="future")
+            currency=currency, kind=InstrumentKind.future
         )
         options = await self.get_book_summary_by_currency(
-            params=dict(currency=currency, kind="option")
+            currency=currency, kind=InstrumentKind.option
         )
-        instruments = await self.get_instruments(params=dict(currency=currency))
+        instruments = await self.get_instruments(currency=currency)
         instrument_map = {i["instrument_name"]: i for i in instruments}
         min_tick_size = Decimal("inf")
         for future in futures:

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/data/fed.py

@@ -6,12 +6,7 @@ import numpy as np
 import pandas as pd
 from fluid.utils.http_client import AioHttpClient
 
-URL = (
-    "https://www.federalreserve.gov/datadownload/Output.aspx?"
-    "rel=H15&series=bf17364827e38702b42a58cf8eaa3f78&lastobs=&"
-)
-
-maturities = [
+MATURITIES = (
     "month_1",
     "month_3",
     "month_6",
@@ -23,7 +18,7 @@ maturities = [
     "year_10",
     "year_20",
     "year_30",
-]
+)
 
 
 @dataclass
@@ -52,7 +47,7 @@ class FederalReserve(AioHttpClient):
         params.update(series="bf17364827e38702b42a58cf8eaa3f78", rel="H15")
         data = await self._get_text(params)
         df = pd.read_csv(data, header=5, index_col=None, parse_dates=True)
-        df.columns = ["date"] + maturities  # type: ignore
+        df.columns = list(("date",) + MATURITIES)  # type: ignore
         df = df.set_index("date").replace("ND", np.nan)
         return df.dropna(axis=0, how="all").reset_index()
 

quantflow-0.3.3/quantflow/data/fiscal_data.py

@@ -0,0 +1,42 @@
+from dataclasses import dataclass
+from datetime import date, timedelta
+
+import pandas as pd
+from fluid.utils.http_client import AioHttpClient
+
+from quantflow.utils.dates import as_date
+
+
+@dataclass
+class FiscalData(AioHttpClient):
+    """Fiscal Data API client.
+
+    THis class is used to fetch data from the
+    [fiscal data api](https://fiscaldata.treasury.gov/api-documentation/)
+    """
+
+    url: str = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
+
+    async def securities(self, record_date: date | None = None) -> pd.DataFrame:
+        """Get treasury constant maturities rates"""
+        rd = as_date(record_date)
+        pm = rd.replace(day=1) - timedelta(days=1)
+        params = {"filter": f"record_date:eq:{pm.isoformat()}"}
+        data = await self.get_all("/v1/debt/mspd/mspd_table_3_market", params)
+        return pd.DataFrame(data)
+
+    async def get_all(self, path: str, params: dict[str, str]) -> list:
+        """Get all data from the API"""
+        next_url: str | None = f"{self.url}{path}"
+        full_data = []
+        while next_url:
+            payload = await self.get(next_url, params=params)
+            full_data.extend(payload["data"])
+            if links := payload.get("links"):
+                if next_path := links.get("next"):
+                    next_url = f"{self.url}{next_path}"
+                else:
+                    next_url = None
+            else:
+                next_url = None
+        return full_data

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/data/fmp.py

@@ -20,10 +20,10 @@ class FMP(AioHttpClient):
 
     Fetch market and financial data from `Financial Modeling Prep`_.
 
-    .. _Financial Modeling Prep: https://financialmodelingprep.com/developer/docs/
+    .. _Financial Modeling Prep: https://site.financialmodelingprep.com/developer/docs/stable
     """
 
-    url: str = "https://financialmodelingprep.com/api"
+    url: str = "https://financialmodelingprep.com/stable"
     key: str = field(default_factory=lambda: os.environ.get("FMP_API_KEY", ""))
 
     class freq(StrEnum):
@@ -37,22 +37,28 @@ class FMP(AioHttpClient):
         four_hour = "4hour"
         daily = ""
 
+    async def market_risk_premium(self) -> list[dict]:
+        """Market risk premium"""
+        return await self.get_path("market-risk-premium")
+
     async def stocks(self, **kw: Any) -> list[dict]:
-        return await self.get_path("v3/stock/list", **kw)
+        return await self.get_path("stock-list", **kw)
 
     async def etfs(self, **kw: Any) -> list[dict]:
-        return await self.get_path("v3/etf/list", **kw)
+        return await self.get_path("etf-list", **kw)
 
     async def indices(self, **kw: Any) -> list[dict]:
-        return await self.get_path("v3/quotes/index", **kw)
+        """Retrieve a comprehensive list of stock market indexes
+        across global exchanges"""
+        return await self.get_path("index-list", **kw)
 
     async def profile(self, *tickers: str, **kw: Any) -> list[dict]:
         """Company profile - minute"""
-        return await self.get_path(f"v3/profile/{self.join(*tickers)}", **kw)
+        return await self.get_path(f"profile/{self.join(*tickers)}", **kw)
 
     async def quote(self, *tickers: str, **kw: Any) -> list[dict]:
         """Company quote - real time"""
-        return await self.get_path(f"v3/quote/{self.join(*tickers)}", **kw)
+        return await self.get_path(f"quote/{self.join(*tickers)}", **kw)
 
     # calendars
 
@@ -68,28 +74,28 @@ class FMP(AioHttpClient):
         if not to_date:
             to_date = date.today() + timedelta(days=7)
         params = {"from": isoformat(from_date), "to": isoformat(to_date)}
-        return await self.get_path("v3/stock_dividend_calendar", params=params, **kw)
+        return await self.get_path("stock_dividend_calendar", params=params, **kw)
 
     # Executives
 
     async def executives(self, ticker: str, **kw: Any) -> list[dict]:
         """Company quote - real time"""
-        return await self.get_path(f"v3/key-executives/{ticker}", **kw)
+        return await self.get_path(f"key-executives/{ticker}", **kw)
 
     async def insider_trading(self, ticker: str, **kw: Any) -> list[dict]:
         """Company Insider Trading"""
         return await self.get_path(
-            "v4/insider-trading", **self.params(dict(symbol=ticker), **kw)
+            "insider-trading", **self.params(dict(symbol=ticker), **kw)
         )
 
     # Rating
 
     async def rating(self, ticker: str, **kw: Any) -> list[dict]:
         """Company rating - real time"""
-        return await self.get_path(f"v3/rating/{ticker}", **kw)
+        return await self.get_path(f"rating/{ticker}", **kw)
 
     async def etf_holders(self, ticker: str, **kw: Any) -> list[dict]:
-        return await self.get_path(f"v3/etf-holder/{ticker}", **kw)
+        return await self.get_path(f"etf-holder/{ticker}", **kw)
 
     async def ratios(
         self,
@@ -102,7 +108,7 @@ class FMP(AioHttpClient):
         the trailing 12 months"""
         path = "ratios" if period else "ratios-ttm"
         return await self.get_path(
-            f"v3/{path}/{ticker}",
+            f"{path}/{ticker}",
             **self.params(compact_dict(period=period, limit=limit), **kw),
         )
 
@@ -110,14 +116,14 @@ class FMP(AioHttpClient):
         """Stock peers based on sector, exchange and market cap"""
         kwargs = self.params(**kw)
         kwargs["params"]["symbol"] = self.join(*tickers)
-        return await self.get_path("v4/stock_peers", **kwargs)
+        return await self.get_path("stock_peers", **kwargs)
 
     async def news(self, *tickers: str, **kw: Any) -> list[dict]:
         """Company quote - real time"""
         kwargs = self.params(**kw)
         if tickers:
             kwargs["params"]["tickers"] = self.join(*tickers)
-        return await self.get_path("v3/stock_news", **kwargs)
+        return await self.get_path("stock_news", **kwargs)
 
     async def search(
         self,
@@ -125,10 +131,10 @@ class FMP(AioHttpClient):
         *,
         exchange: str | None = None,
         limit: int | None = None,
-        ticker: bool = False,
+        symbol: bool = False,
         **kw: Any,
     ) -> list[dict]:
-        path = "v3/search-ticker" if ticker else "v3/search"
+        path = "search-symbol" if symbol else "search-name"
         return await self.get_path(
             path,
             **self.params(
@@ -137,15 +143,20 @@ class FMP(AioHttpClient):
         )
 
     async def prices(
-        self, ticker: str, frequency: str = "", to_date: bool = False, **kw: Any
+        self,
+        symbol: str,
+        frequency: str = "",
+        to_date: bool = False,
+        **kw: Any,
     ) -> pd.DataFrame:
         """Historical prices, daily if frequency is not provided"""
-        base = (
-            "historical-price-full/"
+        path = (
+            "historical-price-eod/full"
             if not frequency
             else f"historical-chart/{frequency}"
         )
-        data = await self.get_path(f"v3/{base}/{ticker}", **kw)
+        kw.update(params=dict(symbol=symbol))
+        data = await self.get_path(path, **kw)
         if isinstance(data, dict):
             data = data.get("historical", [])
         df = pd.DataFrame(data)
@@ -164,25 +175,23 @@ class FMP(AioHttpClient):
         **kw: Any,
     ) -> dict | list[dict]:
         if not from_date:
-            data = await self.get_path("v3/sectors-performance", params=params, **kw)
+            data = await self.get_path("sectors-performance", params=params, **kw)
             return {d["sector"]: Decimal(d["changesPercentage"][:-1]) for d in data}
         else:
             params = params.copy() if params is not None else {}
             params.update(compact_dict({"from": from_date, "to": to_date}))
             data = await self.get_path(
-                "v3/historical-sectors-performance", params=params, **kw
+                "historical-sectors-performance", params=params, **kw
             )
             ts = [dict(nice_sector_performance(d)) for d in data]
             return summary_sector_performance(ts) if summary else ts
 
     async def sector_pe(self, **kw: Any) -> list[dict]:
-        return cast(
-            list[dict], await self.get_path("v4/sector_price_earning_ratio", **kw)
-        )
+        return cast(list[dict], await self.get_path("sector_price_earning_ratio", **kw))
 
     # forex
     async def forex_list(self) -> list[dict]:
-        return await self.get_path("v3/symbol/available-forex-currency-pairs")
+        return await self.get_path("symbol/available-forex-currency-pairs")
 
     def historical_frequencies(self) -> dict:
         return {
@@ -201,7 +210,7 @@ class FMP(AioHttpClient):
 
     # Crypto
     async def crypto_list(self) -> list[dict]:
-        return await self.get_path("v3/symbol/available-cryptocurrencies")
+        return await self.get_path("symbol/available-cryptocurrencies")
 
     # Internals
     async def get_path(self, path: str, **kw: Any) -> list[dict]:

{quantflow-0.3.2 → quantflow-0.3.3}/quantflow/utils/dates.py

@@ -22,3 +22,12 @@ def isoformat(date: str | date) -> str:
 
 def start_of_day(dt: date | None = None) -> datetime:
     return as_utc(dt).replace(hour=0, minute=0, second=0, microsecond=0)
+
+
+def as_date(dt: date | None = None) -> date:
+    if dt is None:
+        return date.today()
+    elif isinstance(dt, datetime):
+        return dt.date()
+    else:
+        return dt