virgo-modules 0.0.86__py3-none-any.whl → 0.0.88__py3-none-any.whl

virgo_modules/src/re_utils.py

@@ -700,7 +700,11 @@ def get_data(ticker_name:str, ticket_settings:dict, n_days:int = False, hmm_avai
         'stochastic_feature':'stochastic_feature',
         'william_feature':'william_feature',
         'vortex_feature':'vortex_feature',
-        'pair_index_feature':'pair_index_feature' # this has a diff structure! 
+        'pair_index_feature':'pair_index_feature', # this has a diff structure!
+        'min_distance_pricefeature':'minmax_pricefeature', 
+        'min_relprice_pricefeature':'minmax_pricefeature', 
+        'max_distance_pricefeature':'minmax_pricefeature',
+        'max_relprice_pricefeature':'minmax_pricefeature',
     }
     exceptions = ['pair_feature','pair_index_feature']
     ### standar feature
@@ -1028,7 +1032,6 @@ class produce_plotly_plots:
         if len(states_subtitles)%2 == 1:
             states_subtitles = states_subtitles + [None]
 
-
         fig = make_subplots(
             rows= rows_subplot, cols=2,
             specs = [[{"type": "scatter"},{"type": "scatter"}]]*state_rows,
@@ -1107,6 +1110,11 @@ class produce_plotly_plots:
         df_ = df[['Date','hmm_feature','Close',"chain_return"]].sort_values('Date')
         df_['Daily_Returns'] = df['Close'].pct_change(7)
 
+        df_agg_returns = df_.groupby('hmm_feature', as_index = False).agg(median =('Daily_Returns','median')).copy()
+        current_state = df_.iloc[-1,:].hmm_feature
+        medain_state_return = df_agg_returns[ df_agg_returns.hmm_feature == current_state]['median'].values[0]
+        type_state = 'low state' if medain_state_return < 0 else 'high state'
+
         for state in states:
             dfi = df_[df_.hmm_feature == state]
             fig.add_trace(go.Box(y = dfi.chain_return, name=str(state),showlegend=False, marker_color = color_map[state] ),row=1, col=1)
@@ -1151,7 +1159,6 @@ class produce_plotly_plots:
                 fig.add_trace(go.Box(x = dfi.importance, name=str(feature),showlegend=False ),row=2, col=2)
             fig.update_yaxes(visible=False, title="feature",row=2, col=2)
 
-        
         fig.update_layout(height=height_plot, width=1600, title_text = f'State model analysis: {self.ticket_name}', coloraxis=dict(colorbar_len=0.50))
 
         date_execution = datetime.datetime.today().strftime('%Y-%m-%d')
@@ -1165,6 +1172,7 @@ class produce_plotly_plots:
             'current state':message1,
             'current step in state': message2,
             'execution date':message3,
+            'type state':type_state,
         }
         
         if self.show_plot:
@@ -1196,6 +1204,7 @@ class produce_plotly_plots:
         
         if self.return_figs:
             return fig, messages
+        
     def produce_forecasting_plot(self,predictions):
         """
         display forecasting plots

virgo_modules/src/ticketer_source.py

@@ -383,6 +383,8 @@ class stock_eda_panel(object):
         perfom fast stochastic oscilator or william indicator
     vortex_feature(window=int, threshold=float, plot=boolean, save_features=boolean):
         perform vortex oscilator
+    minmax_pricefeature(type_func=str, window=int, distance=bolean, save_features=boolean)
+        get relative price/ distance feature with respect to the min/max price in a given window
     pair_index_feature(pair_symbol=str, feature_label=str, window=int, threshold=float, plot=boolean, save_features=boolean):
         perform additional asset ROC feature, then a new feature is created in the main dataframe
     produce_order_features(feature_name=str, save_features=boolean):
@@ -1698,6 +1700,70 @@ class stock_eda_panel(object):
         if plot:
             self.signal_plotter(feature_name)
 
+    def minmax_pricefeature(self, type_func, window, distance = False, save_features = False):
+        """
+        perform relative price/distance with respect to the min/max price in a given time scope
+
+        Parameters
+        ----------
+        type_func (str): either min or max
+        window (int): window scope
+        distance (boolean): if true, get distance feature else relative feature
+        save_features (boolean): True to save feature configuration and feature names
+        
+        Returns
+        -------
+        None
+        """
+        if type_func == 'min':
+            self.df['Price_ref'] = self.df[['Open','High', 'Low','Close']].min(axis = 1)
+        elif type_func == 'max':
+            self.df['Price_ref'] = self.df[['Open','High', 'Low','Close']].max(axis = 1)
+
+        init_shape = self.df.shape[0]
+        df_date = self.df[['Date','Price_ref']].rename(columns = {'Date':'Date_ref'}).copy()
+        
+        self.df = self.df.rename(columns = {'Price_ref':'Price_to_use'})
+        
+        if type_func == 'min':
+            self.df[f'window_price'] = (self.df.sort_values("Date")["Price_to_use"].transform(lambda x: x.rolling(window, min_periods=1).min()))
+        elif type_func == 'max':
+            self.df[f'window_price'] = (self.df.sort_values("Date")["Price_to_use"].transform(lambda x: x.rolling(window, min_periods=1).max()))
+        
+        
+        self.df = self.df.merge(df_date, left_on = 'window_price', right_on = 'Price_ref', how = 'left')
+        self.df['date_span'] = self.df['Date'] - self.df['Date_ref']
+        
+        self.df['RN'] = self.df.sort_values(['date_span'], ascending=False).groupby(['Date']).cumcount() + 1
+        self.df = self.df[self.df['RN'] == 1]
+
+        if distance:
+            self.df[f'{type_func}_distance_to_price'] = pd.to_numeric(self.df['date_span'].dt.days, downcast='integer')
+
+        if not distance:
+            if type_func == 'min':
+                self.df[f'{type_func}_relprice'] = self.df['Price_to_use']/self.df['window_price']-1
+            
+            if type_func == 'max':
+                self.df[f'{type_func}_relprice'] = self.df['window_price']/self.df['Price_to_use']-1
+        
+        self.df = self.df.drop(columns = ['RN', 'date_span', 'Price_to_use', 'window_price', 'Date_ref','Price_ref'])
+        
+        end_shape = self.df.shape[0]
+
+        if init_shape != end_shape:
+            raise Exception("shapes are not the same")
+
+        if save_features:
+            if distance:
+                self.features.append(f'{type_func}_distance_to_price')
+                name_attr = f'{type_func}_distance'
+            if not distance:
+                self.features.append(f'{type_func}_relprice')
+                name_attr = f'{type_func}_relprice'
+                
+            setattr(self,f'settings_{name_attr}_pricefeature' , {'type_func': type_func, 'window': window, 'distance': distance})
+
     def pair_index_feature(self, pair_symbol, feature_label, window, threshold, plot = False, save_features = False):
         """
         perform additional asset ROC feature, then a new feature is created in the main dataframe
@@ -2297,7 +2363,9 @@ class stock_eda_panel(object):
         ## for now this is hard coded
         feature_list = ['spread_ma','relative_spread_ma','pair_feature','count_features','bidirect_count_features','price_range','relative_price_range','rsi_feature',
                         'rsi_feature_v2', 'days_features','days_features_v2', 'volume_feature','smooth_volume', 'roc_feature', 'stoch_feature', 'stochastic_feature',
-                        'william_feature', 'vortex_feature', 'pair_index_feature','hmm']
+                        'william_feature', 'vortex_feature', 'pair_index_feature','hmm',
+                        'min_distance_pricefeature', 'min_relprice_pricefeature', 'max_distance_pricefeature','max_relprice_pricefeature'
+                        ]
 
         for feature in feature_list:
             try:

{virgo_modules-0.0.86.dist-info → virgo_modules-0.0.88.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: virgo-modules
-Version: 0.0.86
+Version: 0.0.88
 Summary: data processing and statistical modeling using stock market data
 Home-page: https://github.com/miguelmayhem92/virgo_module
 Author: Miguel Mayhuire

{virgo_modules-0.0.86.dist-info → virgo_modules-0.0.88.dist-info}/RECORD

@@ -3,10 +3,10 @@ virgo_modules/src/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU
 virgo_modules/src/aws_utils.py,sha256=q0l7D7ofo09Lu1QQjv-esheQ06uiSy1Pdq3xMul8zvk,2571
 virgo_modules/src/edge_utils.py,sha256=tMpt0bfnoOyD_qqh4wD6TQeOhaMcGE59DbvIj3qnp-0,13732
 virgo_modules/src/pull_artifacts.py,sha256=5OPrgR7pcMSdpbevDRhf0ebk7g7ZRjff4NpTIIWAKjE,1989
-virgo_modules/src/re_utils.py,sha256=_JEtSB8kZ6RUImPcjwNeYlEYsjcBrlhDNkqXXLlHFf8,71603
-virgo_modules/src/ticketer_source.py,sha256=cEGgago1bl3tynRND30jqfiPWxF-KTTgiN9DRTbyB_k,143298
-virgo_modules-0.0.86.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
-virgo_modules-0.0.86.dist-info/METADATA,sha256=BK9xNcY4in86S40BuuN9Tppm81egldwJ6Ol0Y_Jrpc4,1429
-virgo_modules-0.0.86.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-virgo_modules-0.0.86.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
-virgo_modules-0.0.86.dist-info/RECORD,,
+virgo_modules/src/re_utils.py,sha256=ndPUW3F0QkljtKLR1dqtBm2I2LtceduSgLRIk3HszWk,72244
+virgo_modules/src/ticketer_source.py,sha256=mhNPWbluKYVqpX0E8Uh6fTXi1Bn7zsG6rHIp_TklZr0,146629
+virgo_modules-0.0.88.dist-info/LICENSE,sha256=pNgFyCYgmimaw0o6V20JupZLROycAnOA_HDDh1tX2V4,1097
+virgo_modules-0.0.88.dist-info/METADATA,sha256=C1I5H8ceh1-j9gZW7nykhZvzs952oy0Aqx9dWXkufBY,1429
+virgo_modules-0.0.88.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+virgo_modules-0.0.88.dist-info/top_level.txt,sha256=ZjI-qEkDtT-8mFwGAWnXfqPOKEGlIhWRW1es1VyXc60,14
+virgo_modules-0.0.88.dist-info/RECORD,,