quantflow 0.3.2__tar.gz → 0.4.0__tar.gz

{quantflow-0.3.2 → quantflow-0.4.0}/LICENSE

@@ -1,4 +1,4 @@
-Copyright (c) 2024 Quantmind
+Copyright (c) 2023-2025 Quantmind
 
 Redistribution and use in source and binary forms, with or without modification,
 are permitted provided that the following conditions are met:

{quantflow-0.3.2 → quantflow-0.4.0}/PKG-INFO

@@ -1,11 +1,11 @@
 Metadata-Version: 2.3
 Name: quantflow
-Version: 0.3.2
+Version: 0.4.0
 Summary: quantitative analysis
 License: BSD-3-Clause
-Author: Luca
+Author: Luca Sbardella
 Author-email: luca@quantmind.com
-Requires-Python: >=3.11
+Requires-Python: >=3.11,<4.0
 Classifier: License :: OSI Approved :: BSD License
 Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.11
@@ -13,18 +13,18 @@ Classifier: Programming Language :: Python :: 3.12
 Classifier: Programming Language :: Python :: 3.13
 Provides-Extra: cli
 Provides-Extra: data
-Requires-Dist: aio-fluid[http] (>=1.2.1,<2.0.0) ; extra == "data"
-Requires-Dist: asciichartpy (>=1.5.25,<2.0.0) ; extra == "cli"
-Requires-Dist: async-cache (>=1.1.1,<2.0.0) ; extra == "cli"
-Requires-Dist: ccy (>=1.7.1,<2.0.0)
-Requires-Dist: click (>=8.1.7,<9.0.0) ; extra == "cli"
-Requires-Dist: holidays (>=0.63,<0.64) ; extra == "cli"
-Requires-Dist: polars[pandas,pyarrow] (>=1.11.0,<2.0.0)
-Requires-Dist: prompt-toolkit (>=3.0.43,<4.0.0) ; extra == "cli"
-Requires-Dist: pydantic (>=2.0.2,<3.0.0)
-Requires-Dist: python-dotenv (>=1.0.1,<2.0.0)
-Requires-Dist: rich (>=13.9.4,<14.0.0) ; extra == "cli"
-Requires-Dist: scipy (>=1.14.1,<2.0.0)
+Requires-Dist: aio-fluid[http] (>=1.2.1) ; extra == "data"
+Requires-Dist: asciichartpy (>=1.5.25) ; extra == "cli"
+Requires-Dist: async-cache (>=1.1.1) ; extra == "cli"
+Requires-Dist: ccy (>=1.7.1)
+Requires-Dist: click (>=8.1.7) ; extra == "cli"
+Requires-Dist: holidays (>=0.63) ; extra == "cli"
+Requires-Dist: polars[pandas,pyarrow] (>=1.11.0)
+Requires-Dist: prompt-toolkit (>=3.0.43) ; extra == "cli"
+Requires-Dist: pydantic (>=2.0.2)
+Requires-Dist: python-dotenv (>=1.0.1)
+Requires-Dist: rich (>=13.9.4) ; extra == "cli"
+Requires-Dist: scipy (>=1.14.1)
 Project-URL: Documentation, https://quantmind.github.io/quantflow/
 Project-URL: Homepage, https://github.com/quantmind/quantflow
 Project-URL: Repository, https://github.com/quantmind/quantflow

{quantflow-0.3.2 → quantflow-0.4.0}/pyproject.toml

@@ -1,52 +1,48 @@
-[tool.poetry]
+[project]
 name = "quantflow"
-version = "0.3.2"
+version = "0.4.0"
 description = "quantitative analysis"
-authors = ["Luca <luca@quantmind.com>"]
+authors = [{ name = "Luca Sbardella", email = "luca@quantmind.com" }]
 license = "BSD-3-Clause"
 readme = "readme.md"
+requires-python = ">=3.11,<4.0"
+dependencies = [
+    "scipy>=1.14.1",
+    "pydantic>=2.0.2",
+    "ccy>=1.7.1",
+    "python-dotenv>=1.0.1",
+    "polars[pandas,pyarrow]>=1.11.0",
+]
 
-[tool.poetry.urls]
+[project.urls]
 Homepage = "https://github.com/quantmind/quantflow"
 Repository = "https://github.com/quantmind/quantflow"
 Documentation = "https://quantmind.github.io/quantflow/"
 
-[tool.poetry.dependencies]
-python = ">=3.11"
-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"]}
-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}
+[project.optional-dependencies]
+data = ["aio-fluid[http]>=1.2.1"]
+cli = [
+    "asciichartpy>=1.5.25",
+    "async-cache>=1.1.1",
+    "prompt-toolkit>=3.0.43",
+    "rich>=13.9.4",
+    "click>=8.1.7",
+    "holidays>=0.63",
+]
+
+[project.scripts]
+qf = "quantflow.cli.script:main"
+
 
 [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"
-pytest-asyncio = "^0.26.0"
+ruff = "^0.12.2"
+pytest-asyncio = "^1.0.0"
 isort = "^6.0.1"
 
-
-[tool.poetry.extras]
-data = ["aio-fluid"]
-cli = [
-    "asciichartpy",
-    "async-cache",
-    "prompt-toolkit",
-    "rich",
-    "click",
-    "holidays"
-]
-
 [tool.poetry.group.book]
 optional = true
 
@@ -62,8 +58,6 @@ sphinx-autosummary-accessors = "^2023.4.0"
 sphinx-copybutton = "^0.5.2"
 autodocsumm = "^0.2.14"
 
-[tool.poetry.scripts]
-qf = "quantflow.cli.script:main"
 
 [build-system]
 requires = ["poetry-core>=1.0.0"]
@@ -74,9 +68,7 @@ formats = "ipynb,myst"
 
 [tool.pytest.ini_options]
 asyncio_mode = "auto"
-testpaths = [
-    "quantflow_tests"
-]
+testpaths = ["quantflow_tests"]
 
 [tool.isort]
 profile = "black"
@@ -102,7 +94,7 @@ module = [
     "IPython.*",
     "pandas.*",
     "plotly.*",
-    "scipy.*"
+    "scipy.*",
 ]
 ignore_missing_imports = true
 disallow_untyped_defs = false

{quantflow-0.3.2 → quantflow-0.4.0}/quantflow/__init__.py

@@ -1,3 +1,3 @@
 """Quantitative analysis and pricing"""
 
-__version__ = "0.3.2"
+__version__ = "0.4.0"

{quantflow-0.3.2 → quantflow-0.4.0}/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-0.4.0}/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-0.4.0}/quantflow/data/deribit.py

@@ -1,65 +1,116 @@
+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.inputs import OptionType
 from quantflow.options.surface import VolSecurityType, VolSurfaceLoader
-from quantflow.utils.numbers import round_to_step, to_decimal
+from quantflow.utils.numbers import (
+    Number,
+    round_to_step,
+    to_decimal,
+    to_decimal_or_none,
+)
 
 
 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:
+    async def volatility_surface_loader(
+        self,
+        currency: str,
+        *,
+        exclude_open_interest: Number | None = None,
+        exclude_volume: Number | None = None,
+    ) -> VolSurfaceLoader:
         """Create a :class:`.VolSurfaceLoader` for a given crypto-currency"""
-        loader = VolSurfaceLoader()
+        loader = VolSurfaceLoader(
+            asset=currency,
+            exclude_open_interest=to_decimal_or_none(exclude_open_interest),
+            exclude_volume=to_decimal_or_none(exclude_volume),
+        )
         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:
-            if (bid_ := future["bid_price"]) and (ask_ := future["ask_price"]):
-                name = future["instrument_name"]
+        for entry in futures:
+            if (bid_ := entry["bid_price"]) and (ask_ := entry["ask_price"]):
+                name = entry["instrument_name"]
                 meta = instrument_map[name]
                 tick_size = to_decimal(meta["tick_size"])
                 min_tick_size = min(min_tick_size, tick_size)
@@ -70,8 +121,8 @@ class Deribit(AioHttpClient):
                         VolSecurityType.spot,
                         bid=bid,
                         ask=ask,
-                        open_interest=int(future["open_interest"]),
-                        volume=int(future["volume_usd"]),
+                        open_interest=to_decimal(entry["open_interest"]),
+                        volume=to_decimal(entry["volume_usd"]),
                     )
                 else:
                     maturity = pd.to_datetime(
@@ -84,15 +135,15 @@ class Deribit(AioHttpClient):
                         maturity=maturity,
                         bid=bid,
                         ask=ask,
-                        open_interest=int(future["open_interest"]),
-                        volume=int(future["volume_usd"]),
+                        open_interest=to_decimal(entry["open_interest"]),
+                        volume=to_decimal(entry["volume_usd"]),
                     )
         loader.tick_size_forwards = min_tick_size
 
         min_tick_size = Decimal("inf")
-        for option in options:
-            if (bid_ := option["bid_price"]) and (ask_ := option["ask_price"]):
-                name = option["instrument_name"]
+        for entry in options:
+            if (bid_ := entry["bid_price"]) and (ask_ := entry["ask_price"]):
+                name = entry["instrument_name"]
                 meta = instrument_map[name]
                 tick_size = to_decimal(meta["tick_size"])
                 min_tick_size = min(min_tick_size, tick_size)
@@ -104,9 +155,15 @@ class Deribit(AioHttpClient):
                         unit="ms",
                         utc=True,
                     ).to_pydatetime(),
-                    call=meta["option_type"] == "call",
+                    option_type=(
+                        OptionType.call
+                        if meta["option_type"] == "call"
+                        else OptionType.put
+                    ),
                     bid=round_to_step(bid_, tick_size),
                     ask=round_to_step(ask_, tick_size),
+                    open_interest=to_decimal(entry["open_interest"]),
+                    volume=to_decimal(entry["volume_usd"]),
                 )
         loader.tick_size_options = min_tick_size
         return loader

{quantflow-0.3.2 → quantflow-0.4.0}/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-0.4.0/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