virgo-modules 0.0.78__tar.gz → 0.0.80__tar.gz

{virgo_modules-0.0.78 → virgo_modules-0.0.80}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo_modules
-Version: 0.0.78
+Version: 0.0.80
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire

{virgo_modules-0.0.78 → virgo_modules-0.0.80}/setup.py

@@ -5,7 +5,7 @@ with open("virgo_app/README.md", "r") as f:
 
 setup(
     name="virgo_modules",
-    version="0.0.78",
+    version="0.0.80",
     description="data processing and statistical modeling using stock market data",
     package_dir={"": "virgo_app"},
     packages=find_packages(where="virgo_app"),

{virgo_modules-0.0.78 → virgo_modules-0.0.80}/virgo_app/virgo_modules/src/re_utils.py

@@ -455,6 +455,60 @@ def ranking(data, weighted_features, top = 5, window = 5):
     
     return top_up, top_low
 
+def ranking_first(data, weighted_features, top = 5, window = 5):
+    '''
+    Create a ranking of assets given current signals and weighted average importance
+
+            Parameters:
+                    data (pd.Dataframe): base data
+                    weighted_features (dict): configuration dictionary
+                    top (int): top n to get result
+                    window (int): number of days to assess
+
+            Returns:
+                    top_up (list): top roof signal asset
+                    top_low (list): top botton signal asset
+    '''
+    features = weighted_features.keys()
+    up_columns = ['signal_up_' + x for x in features]
+    low_columns = ['signal_low_' + x for x in features]
+
+    def compute_score(df,col,window):
+        score = 0
+        for i in range(window):
+            row = df.iloc[i]
+            if (row[col] == 1) and (i == 0):
+                score += 1000
+            elif (row[col] == 1) and (i == 1):
+                score -= 200
+            elif (row[col] == 1) and (i >= 2):
+                score -= 50
+        return score
+    
+    ticket_list= list(data.Ticket.unique())
+    result = dict()
+    for ticket in ticket_list:
+        result[ticket] = dict()
+        df = data[data.Ticket == ticket].sort_values('Date').iloc[-window:]
+        
+        for col in low_columns:
+            df = df.sort_values('Date', ascending = False)
+            score = compute_score(df,col,window)
+            result[ticket][col] = score
+        for col in up_columns:
+            score = 0
+            df = df.sort_values('Date', ascending = False)
+            score = compute_score(df,col,window)
+            result[ticket][col] = score
+            
+    df = pd.DataFrame(result).T
+    df['up_signas'] = df[up_columns].sum(axis=1)
+    df['low_signas'] = df[low_columns].sum(axis=1)
+    
+    top_up = list(df.sort_values('up_signas', ascending = False).index)[:top]
+    top_low = list(df.sort_values('low_signas', ascending = False).index)[:top]
+    return top_up, top_low, df
+
 def produce_dashboard(data, columns , ticket_list, show_plot = True, nrows = 150,save_name = False, save_path = False, save_aws = False, aws_credential = False):
     '''
     produce dashboard using signals and list of assets
@@ -520,6 +574,53 @@ def produce_dashboard(data, columns , ticket_list, show_plot = True, nrows = 150
         # upload_file_to_aws(bucket = 'VIRGO_BUCKET', key = f'multi_dashboards/'+save_name+'.json',input_path = save_path+save_name+'.json')
         upload_file_to_aws(bucket = 'VIRGO_BUCKET', key = save_aws + save_name + '.json', input_path = save_path + save_name + '.json', aws_credentials = aws_credential)
         
+def produce_edges_dashboard(dataframe, ticket_list, save_name, show_plot = False, save_path = False, save_aws = False, aws_credentials = False):
+    '''
+    produce dashboard using signals and list of assets
+
+            Parameters:
+                    dataframe (pd.Dataframe): base data
+                    ticket_list (list): list of assets
+                    save_name (str): dashboad name resulting file
+                    show_plot (boolean): if true, display plot
+                    save_path (str): local path for saving e.g r'C:/path/to/the/file/'
+                    save_aws (str): remote key in s3 bucket path e.g. 'path/to/file/'
+                    aws_credential (dict): aws credentials
+
+            Returns:
+                    None
+    '''
+    n_assets = len(ticket_list)
+    
+    result_json_name = save_name
+    cols_length = 4
+    rows_length = math.ceil(n_assets/2) 
+    
+    subtitles = list()
+    for x in ticket_list:
+        subtitles.append(x)
+        subtitles.append(x + ' signal')
+    
+    fig = make_subplots(rows=rows_length, cols=cols_length,vertical_spacing = 0.01, horizontal_spacing = 0.03, shared_xaxes=True, subplot_titles = subtitles)
+    
+    for i,ticket in enumerate(ticket_list):
+        j = i%2*2 +1
+        i = i+1
+        i_r = math.ceil(i/2)
+    
+        show_legend = True if i == 1 else False
+    
+        df = dataframe[dataframe.asset == ticket]
+        fig.add_trace(go.Scatter(x=df['Date'], y=df['Close'],legendgroup="Close",showlegend = show_legend , mode='lines',name = 'Close', marker_color = 'blue'),col = j, row = i_r)
+        fig.add_trace(go.Scatter(x=df['Date'], y=df['proba_target_up'],legendgroup="proba",showlegend = show_legend , mode='lines',name = 'proba_target_up', marker_color = 'orange'),col = j+1, row = i_r)
+    fig.update_layout(height=rows_length*300, width=1500, title_text = f'dashboard top {n_assets} tickets')
+    
+    if save_path:
+        fig.write_json(save_path+result_json_name)
+    if show_plot:
+        fig.show()
+    if save_path and save_aws:
+        upload_file_to_aws(bucket = 'VIRGO_BUCKET', key = save_aws + result_json_name, input_path = save_path + result_json_name, aws_credentials = aws_credentials)
 
 def rank_by_return(data, lag_days, top_n = 5):
     '''

{virgo_modules-0.0.78 → virgo_modules-0.0.80}/virgo_app/virgo_modules.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo-modules
-Version: 0.0.78
+Version: 0.0.80
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire