quantjourney-bidask 0.9.0__tar.gz → 0.9.2__tar.gz

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: quantjourney-bidask
-Version: 0.9.0
+Version: 0.9.2
 Summary: Efficient bid-ask spread estimator from OHLC prices
 Author-email: Jakub Polec <jakub@quantjourney.pro>
 License-Expression: MIT
@@ -218,13 +218,13 @@ quantjourney_bidask/
 The package includes comprehensive examples with beautiful visualizations:
 
 ### Basic Data Analysis
-![Crypto Spread Analysis](_output/crypto_spread_comprehensive_analysis.png)
+![Crypto Spread Analysis](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/ad49bd78c82ab1c44561d0f2e707ae304575a147/_output/crypto_spread_comprehensive_analysis.png)
 
 ### Crypto Spread Comparison  
-![Crypto Spread Comparison](_output/crypto_spread_comparison.png)
+![Crypto Spread Comparison](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/crypto_spread_comparison.png)
 
 ### Spread Estimation Results
-![Spread Estimator Results](_output/spread_estimator_results.png)
+![Spread Estimator Results](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/spread_estimator_results.png)
 
 ### Running Examples
 
@@ -351,22 +351,6 @@ Real-time features:
 - Threshold alerts
 - Multi-symbol monitoring
 
-## Academic Citation
-
-If you use this library in academic research, please cite:
-
-```bibtex
-@article{ardia2024efficient,
-  title={Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-  author={Ardia, David and Guidotti, Emanuele and Kroencke, Tim A},
-  journal={Journal of Financial Economics},
-  volume={161},
-  pages={103916},
-  year={2024},
-  publisher={Elsevier}
-}
-```
-
 ## License
 
 This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/README.md

@@ -177,13 +177,13 @@ quantjourney_bidask/
 The package includes comprehensive examples with beautiful visualizations:
 
 ### Basic Data Analysis
-![Crypto Spread Analysis](_output/crypto_spread_comprehensive_analysis.png)
+![Crypto Spread Analysis](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/ad49bd78c82ab1c44561d0f2e707ae304575a147/_output/crypto_spread_comprehensive_analysis.png)
 
 ### Crypto Spread Comparison  
-![Crypto Spread Comparison](_output/crypto_spread_comparison.png)
+![Crypto Spread Comparison](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/crypto_spread_comparison.png)
 
 ### Spread Estimation Results
-![Spread Estimator Results](_output/spread_estimator_results.png)
+![Spread Estimator Results](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/spread_estimator_results.png)
 
 ### Running Examples
 
@@ -310,22 +310,6 @@ Real-time features:
 - Threshold alerts
 - Multi-symbol monitoring
 
-## Academic Citation
-
-If you use this library in academic research, please cite:
-
-```bibtex
-@article{ardia2024efficient,
-  title={Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-  author={Ardia, David and Guidotti, Emanuele and Kroencke, Tim A},
-  journal={Journal of Financial Economics},
-  volume={161},
-  pages={103916},
-  year={2024},
-  publisher={Elsevier}
-}
-```
-
 ## License
 
 This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/examples/spread_estimator.py

@@ -22,13 +22,17 @@ print("Spread Estimator Examples")
 print("========================")
 
 # Test data download from the original paper
-print("\n1. Testing with original paper's dataset...")
-try:
-    df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    spread = edge(df.Open, df.High, df.Low, df.Close)
-    print(f"Paper test data spread: {spread:.6f} (expected: ~0.010185)")
-except Exception as e:
-    print(f"Could not fetch test data: {e}")
+print("\n1. Testing with sample OHLC data...")
+# Create sample OHLC data for testing
+sample_data = {
+    'Open': [100.0, 101.5, 99.8, 102.1, 100.9, 103.2, 101.7, 104.5, 102.3, 105.1],
+    'High': [102.3, 103.0, 101.2, 103.5, 102.0, 104.8, 103.1, 106.2, 104.0, 106.5],
+    'Low': [99.5, 100.8, 98.9, 101.0, 100.1, 102.5, 101.0, 103.8, 101.5, 104.2],
+    'Close': [101.2, 102.5, 100.3, 102.8, 101.5, 104.1, 102.4, 105.7, 103.2, 105.8]
+}
+df = pd.DataFrame(sample_data)
+spread = edge(df.Open, df.High, df.Low, df.Close)
+print(f"Sample data spread: {spread:.6f}")
 
 # Generate synthetic data for testing
 print("\n2. Testing with synthetic data...")
@@ -106,8 +110,8 @@ print(f"True embedded spread: {spread_pct*100:.4f}%")
 print("\n5. Real data examples (Yahoo Finance)...")
 try:
     # Fetch SPY data
-    spy_df = fetch_yfinance_data(
-        tickers=["SPY"],
+    spy_df = get_stock_data(
+        ticker="SPY",
         period="1mo",
         interval="1d"
     )

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/examples/spread_monitor.py

@@ -9,7 +9,8 @@ import pandas as pd
 import matplotlib.pyplot as plt
 import numpy as np
 
-from quantjourney_bidask import edge_rolling, fetch_yfinance_data
+from quantjourney_bidask import edge_rolling
+from data.fetch import get_stock_data
 
 
 
@@ -165,8 +166,8 @@ if len(high_spread_periods) > 0:
 print("\n5. Real data example...")
 try:
     # Fetch real data
-    real_df = fetch_yfinance_data(
-        tickers=["QQQ"],  # NASDAQ ETF
+    real_df = get_stock_data(
+        ticker="QQQ",  # NASDAQ ETF
         period="2mo", 
         interval="1h"
     )

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/pyproject.toml

@@ -5,7 +5,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "quantjourney-bidask"
-version = "0.9.0"
+version = "0.9.2"
 license = "MIT"
 
 authors = [

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/quantjourney_bidask/_version.py

@@ -1,6 +1,6 @@
 """Version information for quantjourney_bidask."""
 
-__version__ = "0.9.0"
+__version__ = "0.9.2"
 __author__ = "Jakub Polec"
 __email__ = "jakub@quantjourney.pro"
 __license__ = "MIT"

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/quantjourney_bidask/edge.py

@@ -47,10 +47,14 @@ def edge(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spread = edge(df.Open, df.High, df.Low, df.Close)
+    >>> # Example OHLC data
+    >>> open_prices = [100.0, 101.5, 99.8, 102.1, 100.9]
+    >>> high_prices = [102.3, 103.0, 101.2, 103.5, 102.0]
+    >>> low_prices = [99.5, 100.8, 98.9, 101.0, 100.1]
+    >>> close_prices = [101.2, 102.5, 100.3, 102.8, 101.5]
+    >>> spread = edge(open_prices, high_prices, low_prices, close_prices)
     >>> print(f"Estimated spread: {spread:.6f}")
-    Estimated spread: 0.010185
+    Estimated spread: 0.007109
     """
     # Convert inputs to numpy arrays
     open = np.asarray(open, dtype=float)

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/quantjourney_bidask/edge_expanding.py

@@ -41,9 +41,15 @@ def edge_expanding(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spreads = edge_expanding(df, min_periods=21)
-    >>> print(spreads.head())
+    >>> # Example OHLC DataFrame
+    >>> df = pd.DataFrame({
+    ...     'open': [100.0, 101.5, 99.8, 102.1, 100.9, 103.2],
+    ...     'high': [102.3, 103.0, 101.2, 103.5, 102.0, 104.8],
+    ...     'low': [99.5, 100.8, 98.9, 101.0, 100.1, 102.5],
+    ...     'close': [101.2, 102.5, 100.3, 102.8, 101.5, 104.1]
+    ... })
+    >>> spreads = edge_expanding(df, min_periods=3)
+    >>> print(spreads.dropna())
     """
     # Standardize column names
     df = df.rename(columns=str.lower).copy()

{quantjourney_bidask-0.9.0 → quantjourney_bidask-0.9.2}/quantjourney_bidask/edge_rolling.py

@@ -47,9 +47,15 @@ def edge_rolling(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spreads = edge_rolling(df, window=21)
-    >>> print(spreads.head())
+    >>> # Example OHLC DataFrame
+    >>> df = pd.DataFrame({
+    ...     'open': [100.0, 101.5, 99.8, 102.1, 100.9],
+    ...     'high': [102.3, 103.0, 101.2, 103.5, 102.0],
+    ...     'low': [99.5, 100.8, 98.9, 101.0, 100.1],
+    ...     'close': [101.2, 102.5, 100.3, 102.8, 101.5]
+    ... })
+    >>> spreads = edge_rolling(df, window=3)
+    >>> print(spreads.dropna())
     """
     # Standardize column names
     df = df.rename(columns=str.lower).copy()