quantplay 1.2.95__tar.gz → 1.2.97__tar.gz

{quantplay-1.2.95 → quantplay-1.2.97}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 1.2.95
+Version: 1.2.97
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-1.2.95 → quantplay-1.2.97}/quantplay/broker/xts.py

@@ -106,12 +106,10 @@ class XTS(Broker):
 
                 self.symbol_data["{}:{}".format(exchange, tradingsymbol)] = instrument
 
-
             PickleUtils.save_data(self.symbol_data, "xts_instruments")
             Constants.logger.info("[LOADING_INSTRUMENTS] loading data from server")
         self.initialize_broker_symbol_map()
 
-
     def login(self):
         response_interact = self.wrapper.interactive_login()
         self.wrapper.marketdata_login()
@@ -521,8 +519,8 @@ class XTS(Broker):
         new_ord = {}
 
         try:
-            new_ord["placed_by"] = order["LoginID"]
-            new_ord["tag"] = order["LoginID"]
+            new_ord["placed_by"] = order["ClientID"]
+            new_ord["tag"] = order["ClientID"]
             new_ord["order_id"] = order["AppOrderID"]
             new_ord["exchange_order_id"] = order["ExchangeOrderID"]
             new_ord["exchange"] = order["ExchangeSegment"]

{quantplay-1.2.95 → quantplay-1.2.97}/quantplay/services/tradelens.py

@@ -210,34 +210,39 @@ class TradeLens:
         try:
             alpha_bucket_name = "{}_bucket".format(alpha_name)
 
-            alpha_candles = day_candles
-            alpha_candles.loc[:, f"{alpha_name}_rank"] = alpha_candles.groupby("date")[
-                alpha_name
+            day_candles.loc[:, 'liquidity'] = day_candles.volume*day_candles.close
+            
+
+            day_candles.loc[:, 'liquidity_20'] = day_candles.groupby('symbol')['liquidity'].transform(
+            lambda x: x.rolling(20).mean())
+            
+            day_candles.loc[:, "liquidity_rank"] = day_candles.groupby("date")[
+                "liquidity_20"
             ].rank(ascending=False)
 
-            alpha_candles.loc[:, "is_top500"] = np.where(
-                (alpha_candles[f"{alpha_name}_rank"] <= 500), True, False
+            day_candles.loc[:, "is_top500"] = np.where(
+                (day_candles["liquidity_rank"] <= 500), True, False
             )
 
-            alpha_candles.loc[:, "intraday_return"] = (
+            day_candles.loc[:, "intraday_return"] = (
                 day_candles.close / day_candles.open - 1
             )
-            alpha_candles.loc[
+            day_candles.loc[
                 :, "next_day_intraday_return"
-            ] = alpha_candles.intraday_return.shift(-1)
+            ] = day_candles.intraday_return.shift(-1)
 
-            alpha_candles.loc[:, alpha_bucket_name] = 1 + 10 * alpha_candles.groupby(
+            day_candles.loc[:, alpha_bucket_name] = 1 + 10 * day_candles.groupby(
                 ["is_top500", "date"]
             )[alpha_name].rank(method="first", pct=True)
 
-            alpha_candles.loc[:, alpha_bucket_name] = np.where(
-                alpha_candles["is_top500"] == False,
+            day_candles.loc[:, alpha_bucket_name] = np.where(
+                day_candles["is_top500"] == False,
                 np.nan,
-                alpha_candles[alpha_bucket_name],
+                day_candles[alpha_bucket_name],
             )
 
-            alpha_candles.loc[:, alpha_bucket_name] = (
-                alpha_candles[alpha_bucket_name]
+            day_candles.loc[:, alpha_bucket_name] = (
+                day_candles[alpha_bucket_name]
                 .replace([np.inf, -np.inf, np.nan], 0)
                 .astype(int)
                 .replace([0], np.nan)
@@ -246,14 +251,14 @@ class TradeLens:
 
             # plotting
             t_df = (
-                alpha_candles.groupby(alpha_bucket_name)
+                day_candles.groupby(alpha_bucket_name)
                 .next_day_intraday_return.mean()
                 .reset_index()
             )
 
             plt.clf()
             plt.title(f"{alpha_name} intraday return analysis")
-            plt.bar(t_df[alpha_bucket_name], -1 *
+            plt.bar(t_df[alpha_bucket_name],
                     t_df.next_day_intraday_return)
             plt.show()
 

{quantplay-1.2.95 → quantplay-1.2.97}/quantplay.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 1.2.95
+Version: 1.2.97
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-1.2.95 → quantplay-1.2.97}/setup.py

@@ -21,7 +21,7 @@ requirements = [
 setup(
     name="quantplay",
     long_description=Path("README.md").read_text(),
-    version="1.2.95",
+    version="1.2.97",
     setup_requires=["pytest-runner"],
     install_requires=requirements,
     tests_require=[],