quantmod 0.0.4__tar.gz → 0.0.6__tar.gz

{quantmod-0.0.4 → quantmod-0.0.6}/PKG-INFO

@@ -1,6 +1,6 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.2
 Name: quantmod
-Version: 0.0.4
+Version: 0.0.6
 Summary: Quantmod Python Package
 Home-page: https://kannansingaravelu.com/
 Author: Kannan Singaravelu
@@ -9,7 +9,6 @@ License: Apache License 2.0
 Keywords: python,quant,quantmod,quantmod-python
 Platform: any
 Classifier: License :: OSI Approved :: Apache Software License
-Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.10
 Classifier: Operating System :: OS Independent
 Classifier: Intended Audience :: Developers
@@ -20,13 +19,28 @@ Classifier: Topic :: Software Development :: Libraries :: Python Modules
 Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE.txt
+Requires-Dist: joblib
+Requires-Dist: matplotlib
 Requires-Dist: numpy>=2.0.2
 Requires-Dist: pandas>=2.2.2
 Requires-Dist: pydantic>=2.8.2
 Requires-Dist: scipy>=1.13.1
+Requires-Dist: sqlalchemy>=2.0.38
 Requires-Dist: tabulate>=0.9.0
 Requires-Dist: urllib3==1.26.15
 Requires-Dist: yfinance>=0.2.43
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: license
+Dynamic: platform
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
 
 
 Quantmod Python package is inspired by the quantmod package for R. This new tool is designed to assist quantitative traders and data analysts with the development, testing, and rapid prototyping of trading strategies. quantmod features a straightforward and intuitive interface aimed at simplifying workflows and boosting productivity.
@@ -42,13 +56,13 @@ pip install quantmod
 
 ## Modules
 
-* [markets](https://kannansingaravelu.com/docs/site/markets/)
-* [models](https://kannansingaravelu.com/docs/site/models/)
-* [risk](https://kannansingaravelu.com/docs/site/risk/) 
-* [timeseries](https://kannansingaravelu.com/docs/site/timeseries/)
-* [indicators](https://kannansingaravelu.com/docs/site/indicators/)
-* [derivatives](https://kannansingaravelu.com/docs/site/derivatives/)
-* [datasets](https://kannansingaravelu.com/docs/site/datasets/)
+* [markets](https://kannansingaravelu.com/quantmod/markets/)
+* [models](https://kannansingaravelu.com/quantmod/models/)
+* [risk](https://kannansingaravelu.com/quantmod/risk/) 
+* [timeseries](https://kannansingaravelu.com/quantmod/timeseries/)
+* [indicators](https://kannansingaravelu.com/quantmod/indicators/)
+* [derivatives](https://kannansingaravelu.com/quantmod/derivatives/)
+* [datasets](https://kannansingaravelu.com/quantmod/datasets/)
 
 
 ## Quickstart
@@ -84,7 +98,7 @@ Refer to the [examples](https://kannansingaravelu.com/) section for more details
 
 
 ## Changelog
-The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/docs/site/changelog/)
+The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/quantmod/changelog/)
 
 
 ## Community

{quantmod-0.0.4 → quantmod-0.0.6}/README.md

@@ -12,13 +12,13 @@ pip install quantmod
 
 ## Modules
 
-* [markets](https://kannansingaravelu.com/docs/site/markets/)
-* [models](https://kannansingaravelu.com/docs/site/models/)
-* [risk](https://kannansingaravelu.com/docs/site/risk/) 
-* [timeseries](https://kannansingaravelu.com/docs/site/timeseries/)
-* [indicators](https://kannansingaravelu.com/docs/site/indicators/)
-* [derivatives](https://kannansingaravelu.com/docs/site/derivatives/)
-* [datasets](https://kannansingaravelu.com/docs/site/datasets/)
+* [markets](https://kannansingaravelu.com/quantmod/markets/)
+* [models](https://kannansingaravelu.com/quantmod/models/)
+* [risk](https://kannansingaravelu.com/quantmod/risk/) 
+* [timeseries](https://kannansingaravelu.com/quantmod/timeseries/)
+* [indicators](https://kannansingaravelu.com/quantmod/indicators/)
+* [derivatives](https://kannansingaravelu.com/quantmod/derivatives/)
+* [datasets](https://kannansingaravelu.com/quantmod/datasets/)
 
 
 ## Quickstart
@@ -54,7 +54,7 @@ Refer to the [examples](https://kannansingaravelu.com/) section for more details
 
 
 ## Changelog
-The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/docs/site/changelog/)
+The list of changes to quantmod between each release can be found [here](https://kannansingaravelu.com/quantmod/changelog/)
 
 
 ## Community

{quantmod-0.0.4 → quantmod-0.0.6}/quantmod/__init__.py

@@ -23,14 +23,7 @@
 from . import version
 from .main import hello
 
-from quantmod import (
-    derivatives, 
-    indicators,
-    markets, 
-    models,  
-    timeseries,
-    datasets
-)
+from quantmod import derivatives, indicators, markets, models, timeseries, datasets
 
 
 __all__ = [
@@ -40,8 +33,8 @@ __all__ = [
     "markets",
     "models",
     "timeseries",
-    "datasets"
+    "datasets",
 ]
 
 __version__ = version.version
-__author__ = "Kannan Singaravelu"
+__author__ = "Kannan Singaravelu"

{quantmod-0.0.4 → quantmod-0.0.6}/quantmod/derivatives/__init__.py

@@ -16,8 +16,6 @@
 # limitations under the License.
 #
 
-from .options import maxpain
+from .nse import OptionData
 
-__all__ = [
-    "maxpain",
-]
+__all__ = ["OptionData"]

quantmod-0.0.6/quantmod/derivatives/nse.py

@@ -0,0 +1,274 @@
+# improvised from nsepython
+# to be used only for tutorial purposes
+# for production use, please reach out to NSE India
+import os, sys
+import requests
+import numpy as np
+import pandas as pd
+import json
+import random
+import datetime, time
+import logging
+import re
+import urllib.parse
+
+# Constants
+indices = ["NIFTY", "FINNIFTY", "BANKNIFTY"]
+
+mode = "local"
+
+if mode == "vpn":
+
+    def nsefetch(payload):
+        if ("%26" in payload) or ("%20" in payload):
+            encoded_url = payload
+        else:
+            encoded_url = urllib.parse.quote(payload, safe=":/?&=")
+        payload_var = 'curl -b cookies.txt "' + encoded_url + '"' + curl_headers + ""
+        try:
+            output = os.popen(payload_var).read()
+            output = json.loads(output)
+        except ValueError:  # includes simplejson.decoder.JSONDecodeError:
+            payload2 = "https://www.nseindia.com"
+            output2 = os.popen(
+                'curl -c cookies.txt "' + payload2 + '"' + curl_headers + ""
+            ).read()
+
+            output = os.popen(payload_var).read()
+            output = json.loads(output)
+        return output
+
+
+if mode == "local":
+
+    def nsefetch(payload):
+        try:
+            output = requests.get(payload, headers=headers).json()
+            # print(output)
+        except ValueError:
+            s = requests.Session()
+            output = s.get("http://nseindia.com", headers=headers)
+            output = s.get(payload, headers=headers).json()
+        return output
+
+
+headers = {
+    "accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.7",
+    "accept-language": "en-US,en;q=0.9,en-IN;q=0.8,en-GB;q=0.7",
+    "cache-control": "max-age=0",
+    "priority": "u=0, i",
+    "sec-ch-ua": '"Microsoft Edge";v="129", "Not=A?Brand";v="8", "Chromium";v="129"',
+    "sec-ch-ua-mobile": "?0",
+    "sec-ch-ua-platform": '"Windows"',
+    "sec-fetch-dest": "document",
+    "sec-fetch-mode": "navigate",
+    "sec-fetch-site": "none",
+    "sec-fetch-user": "?1",
+    "upgrade-insecure-requests": "1",
+    "user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/129.0.0.0 Safari/537.36 Edg/129.0.0.0",
+}
+# Curl headers
+curl_headers = """ -H "authority: beta.nseindia.com" -H "cache-control: max-age=0" -H "dnt: 1" -H "upgrade-insecure-requests: 1" -H "user-agent: Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/79.0.3945.117 Safari/537.36" -H "sec-fetch-user: ?1" -H "accept: text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9" -H "sec-fetch-site: none" -H "sec-fetch-mode: navigate" -H "accept-encoding: gzip, deflate, br" -H "accept-language: en-US,en;q=0.9,hi;q=0.8" --compressed"""
+
+
+class OptionData:
+    """
+    A class to fetch and analyze option chain data from NSE.
+
+    Parameters
+    ----------
+    symbol : str
+        Trading symbol of the stock/index (e.g., 'NIFTY', 'RELIANCE')
+    expiry_dt : str
+        Expiry date in format '%d-%b-%Y' (e.g., '27-Mar-2025')
+        Note: Month should be first 3 letters capitalized (Jan, Feb, Mar, etc.)
+
+    Attributes
+    ----------
+    get_put_call_ratio : float
+        Put-Call ratio based on open interest
+    get_maximum_pain_strike : float
+        Maximum pain strike price
+    get_call_option_data : pandas.DataFrame
+        Call option chain data
+    get_put_option_data : pandas.DataFrame
+        Put option chain data
+
+    Methods
+    -------
+    get_option_quote : float
+        Get option quote for specific strike price, option type and transaction intent
+    get_synthetic_future_price : float
+        Calculate synthetic futures price using put-call parity
+    """
+
+    def __init__(self, symbol, expiry_dt):
+        """
+        Initialize the OptionData class.
+
+        Parameters
+        ----------
+        symbol : str
+            Trading symbol of the stock/index (e.g., 'NIFTY', 'RELIANCE')
+        expiry_dt : str
+            Expiry date in format '%d-%b-%Y' (e.g., '27-Mar-2025')
+            Note: Month should be first 3 letters capitalized (Jan, Feb, Mar, etc.)
+        """
+        self.expiry_dt = expiry_dt
+        self.symbol = symbol.replace(
+            "&", "%26"
+        )  # URL Parse for Stocks Like M&M Finance
+        self.payload = self._nse_optionchain_scrapper()
+
+        self.get_put_call_ratio = self._get_option_pcr()
+        self.get_maximum_pain_strike = self._get_maximum_pain_strike()
+        self.get_call_option_data = self._get_call_option_data()
+        self.get_put_option_data = self._get_put_option_data()
+
+    def _nse_optionchain_scrapper(self):
+        """
+        Fetch option chain data from NSE website.
+
+        Returns
+        -------
+        dict
+            Raw option chain data from NSE API
+        """
+        if any(x in self.symbol for x in indices):
+            payload = nsefetch(
+                "https://www.nseindia.com/api/option-chain-indices?symbol="
+                + self.symbol
+            )
+        else:
+            payload = nsefetch(
+                "https://www.nseindia.com/api/option-chain-equities?symbol="
+                + self.symbol
+            )
+        return payload
+
+    def get_option_quote(self, strikePrice, optionType, intent=""):
+        """
+        Get option quote for specific strike price and option type.
+
+        Parameters
+        ----------
+        strikePrice : float
+            Strike price of the option
+        optionType : str
+            Type of option, either 'CE' (Call) or 'PE' (Put)
+        intent : str, optional
+            Quote type:
+            - '' (default) for last traded price
+            - 'sell' for bid price
+            - 'buy' for ask price
+
+        Returns
+        -------
+        float
+            Option price based on the specified intent
+        """
+        for x in range(len(self.payload["records"]["data"])):
+            if (self.payload["records"]["data"][x]["strikePrice"] == strikePrice) & (
+                self.payload["records"]["data"][x]["expiryDate"] == self.expiry_dt
+            ):
+                if intent == "":
+                    return self.payload["records"]["data"][x][optionType]["lastPrice"]
+                if intent == "sell":
+                    return self.payload["records"]["data"][x][optionType]["bidprice"]
+                if intent == "buy":
+                    return self.payload["records"]["data"][x][optionType]["askPrice"]
+
+    def _get_option_pcr(self):
+        """
+        Calculate Put-Call Ratio based on open interest.
+
+        Returns
+        -------
+        float
+            Put-Call ratio rounded to 2 decimal places
+        """
+        ce_oi = 0
+        pe_oi = 0
+        for i in self.payload["records"]["data"]:
+            if i["expiryDate"] == self.expiry_dt:
+                try:
+                    ce_oi += i["CE"]["openInterest"]
+                    pe_oi += i["PE"]["openInterest"]
+                except KeyError:
+                    pass
+        return round(pe_oi / ce_oi, 2)
+
+    def get_synthetic_future_price(self, strike):
+        """
+        Calculate synthetic futures price using put-call parity.
+
+        Parameters
+        ----------
+        strike : float
+            Strike price to use for calculation
+
+        Returns
+        -------
+        float
+            Synthetic futures price
+        """
+        synthetic_futures = (
+            strike
+            + self.get_option_quote(strike, "CE", "buy")
+            - self.get_option_quote(strike, "PE", "sell")
+        )
+        return synthetic_futures
+
+    def _get_call_option_data(self):
+        """
+        Get call options data for current expiry.
+
+        Returns
+        -------
+        pandas.DataFrame
+            DataFrame containing call options data sorted by strike price
+        """
+        ce_values = [
+            data["CE"]
+            for data in self.payload["records"]["data"]
+            if "CE" in data and data["expiryDate"] == self.expiry_dt
+        ]
+        return pd.DataFrame(ce_values).sort_values(["strikePrice"])
+
+    def _get_put_option_data(self):
+        """
+        Get put options data for current expiry.
+
+        Returns
+        -------
+        pandas.DataFrame
+            DataFrame containing put options data sorted by strike price
+        """
+        pe_values = [
+            data["PE"]
+            for data in self.payload["records"]["data"]
+            if "PE" in data and data["expiryDate"] == self.expiry_dt
+        ]
+        return pd.DataFrame(pe_values).sort_values(["strikePrice"])
+
+    def _get_maximum_pain_strike(self):
+        """
+        Calculate maximum pain strike price.
+
+        Returns
+        -------
+        float
+            Strike price where maximum pain occurs
+        """
+        calls = self._get_call_option_data()
+        strikes = calls["strikePrice"]
+        ce_oi = calls["openInterest"]
+        pe_oi = self._get_put_option_data()["openInterest"]
+
+        total_pain = [
+            sum(ce_oi * np.maximum(0, expiry_price - strikes))
+            + sum(pe_oi * np.maximum(0, strikes - expiry_price))
+            for expiry_price in strikes
+        ]
+
+        return strikes[np.argmin(total_pain)]

{quantmod-0.0.4 → quantmod-0.0.6}/quantmod/indicators/indicators.py

@@ -1,5 +1,6 @@
 import pandas as pd
 
+
 def ATR(df: pd.DataFrame, lookback: int = 14) -> pd.Series:
     """
     Calculate the Average True Range (ATR).
@@ -20,20 +21,20 @@ def ATR(df: pd.DataFrame, lookback: int = 14) -> pd.Series:
     pd.Series
         series containing the ATR values for each period
     """
-    
+
     df = df.copy()
     df.rename(columns=str.lower, inplace=True)
-    
-    df['H-L']=abs(df['high']-df['low'])
-    df['H-PC']=abs(df['high']-df['close'].shift(1))
-    df['L-PC']=abs(df['low']-df['close'].shift(1))
-   
-    df['TR']=df[['H-L','H-PC','L-PC']].max(axis=1,skipna=False)
-    df['ATR']=df['TR'].rolling(lookback).mean()
-    
-    data = df.drop(['H-L','H-PC','L-PC'],axis=1) # drop columns
-    
-    return data['ATR']
+
+    df["H-L"] = abs(df["high"] - df["low"])
+    df["H-PC"] = abs(df["high"] - df["close"].shift(1))
+    df["L-PC"] = abs(df["low"] - df["close"].shift(1))
+
+    df["TR"] = df[["H-L", "H-PC", "L-PC"]].max(axis=1, skipna=False)
+    df["ATR"] = df["TR"].rolling(lookback).mean()
+
+    data = df.drop(["H-L", "H-PC", "L-PC"], axis=1)  # drop columns
+
+    return data["ATR"]
 
 
 def BBands(series: pd.Series, lookback: int, multiplier: float = 2) -> pd.Series:
@@ -77,7 +78,7 @@ def SMA(series: pd.Series, lookback: int) -> pd.Series:
         time series to calculate the Moving Average for
     lookback : int
         lookback period for the Moving Average
-        
+
     Returns
     -------
     pd.Series
@@ -86,6 +87,7 @@ def SMA(series: pd.Series, lookback: int) -> pd.Series:
 
     return series.rolling(lookback).mean()
 
+
 def EMA(series: pd.Series, lookback: int) -> pd.Series:
     """
     Exponential Moving Average
@@ -96,7 +98,7 @@ def EMA(series: pd.Series, lookback: int) -> pd.Series:
         time series to calculate the Exponential Moving Average for
     lookback : int
         lookback period for the Exponential Moving Average
-        
+
     Returns
     -------
     pd.Series
@@ -120,7 +122,7 @@ def MACD(series: pd.Series, lookback: int, fast: int, slow: int) -> pd.Series:
         fast period for the MACD
     slow : int
         slow period for the MACD
-        
+
     Returns
     -------
     pd.Series
@@ -128,13 +130,17 @@ def MACD(series: pd.Series, lookback: int, fast: int, slow: int) -> pd.Series:
     """
 
     # Calculate MACD line
-    macd = series.ewm(span=fast, adjust=False).mean() - series.ewm(span=slow, adjust=False).mean()
-    
+    macd = (
+        series.ewm(span=fast, adjust=False).mean()
+        - series.ewm(span=slow, adjust=False).mean()
+    )
+
     # Calculate Signal line from the MACD line
     signal = macd.ewm(span=lookback, adjust=False).mean()
-    
+
     return macd, signal
 
+
 def RSI(series: pd.Series, lookback: int) -> pd.Series:
     """
     Relative Strength Index
@@ -145,7 +151,7 @@ def RSI(series: pd.Series, lookback: int) -> pd.Series:
         time series to calculate the RSI for
     lookback : int
         lookback period for the RSI
-        
+
     Returns
     -------
     pd.Series
@@ -158,10 +164,9 @@ def RSI(series: pd.Series, lookback: int) -> pd.Series:
     # Separate gains and losses
     gain = (delta.where(delta > 0, 0)).rolling(window=lookback).mean()
     loss = (-delta.where(delta < 0, 0)).rolling(window=lookback).mean()
-    
+
     # Calculate the Relative Strength (RS)
     rs = gain / loss
-    
+
     # Calculate RSI
     return 100 - (100 / (1 + rs))
-    

{quantmod-0.0.4 → quantmod-0.0.6}/quantmod/markets/yahoo.py

@@ -46,32 +46,38 @@ from typing import Union, List
 #     # Ensure cache directory exists
 #     if not os.path.exists(CACHE_DIR):
 #         os.makedirs(CACHE_DIR)
-    
+
 #     cache_file = _get_cache_file_name(tickers, start_date, end_date, period, interval)
-    
+
 #     # Check if cached file exists
 #     if os.path.exists(cache_file):
 #         # print(f"Loading data from cache: {cache_file}")
 #         return joblib.load(cache_file)
-    
+
 #     try:
 #         # Download data from yfinance
 #         data = yf.download(tickers, start=start_date, end=end_date, auto_adjust=True, progress=False, period=period, interval=interval)
-        
+
 #         # Save data to cache
 #         joblib.dump(data, cache_file)
 #         # print(f"Data cached to: {cache_file}")
-    
+
 #     except Exception as e:
 #         print(f"Error downloading data: {e}")
 #         raise
-    
+
 #     return data
 
 
-def getData(tickers: Union[str, List[str]], start_date: str = None, end_date: str = None, period: str = '1mo', interval: str = '1d') -> pd.DataFrame:
+def getData(
+    tickers: Union[str, List[str]],
+    start_date: str = None,
+    end_date: str = None,
+    period: str = "1mo",
+    interval: str = "1d",
+) -> pd.DataFrame:
     """
-    Retrieve data from yfinance library for specified tickers.
+    Retrieve data using yfinance library for specified tickers.
 
     Parameters
     ----------
@@ -94,16 +100,25 @@ def getData(tickers: Union[str, List[str]], start_date: str = None, end_date: st
         DataFrame with OHLC[A]V (Open, High, Low, Close, Adj Close, Volume).
     """
 
-    cols = ['Open', 'High', 'Low', 'Close', 'Volume']
-    data = yf.download(tickers, start=None, end=None, auto_adjust=True, progress=False, multi_level_index=False, period=period, interval=interval)
-    
+    cols = ["Open", "High", "Low", "Close", "Volume"]
+    data = yf.download(
+        tickers,
+        start=start_date,
+        end=end_date,
+        auto_adjust=True,
+        progress=False,
+        multi_level_index=False,
+        period=period,
+        interval=interval,
+    )
+
     return data[cols]
 
 
-# Retrieve ticker object from yfinance library
+# Retrieve ticker object using yfinance library
 def getTicker(ticker: str) -> yf.Ticker:
     """
-    Retrieve ticker object from yfinance library.
+    Retrieve ticker object using yfinance library.
 
     Parameters
     ----------
@@ -118,7 +133,7 @@ def getTicker(ticker: str) -> yf.Ticker:
 
     # for all available options, refer yfinance
     # .info
-    # .history      
+    # .history
     # .actions
     # .dividends
     # .splits
@@ -138,7 +153,7 @@ def getTicker(ticker: str) -> yf.Ticker:
     # .earnings_dates
     # .isin
     # .options
-    #. option_chain('YYYY-MM-DD')
+    # . option_chain('YYYY-MM-DD')
     # .news
 
     return yf.Ticker(ticker)

{quantmod-0.0.4 → quantmod-0.0.6}/quantmod/models/__init__.py

@@ -19,10 +19,14 @@
 from .optioninputs import OptionInputs
 from .blackscholes import BlackScholesOptionPricing
 from .montecarlo import MonteCarloOptionPricing
+from .binomial import OptionType, ExerciseStyle, BinomialOptionPricing
 
 
 __all__ = [
     "OptionInputs",
-    "BlackScholesOptionPricing", 
+    "OptionType",
+    "ExerciseStyle",
+    "BlackScholesOptionPricing",
     "MonteCarloOptionPricing",
+    "BinomialOptionPricing",
 ]