def test_historical_parsed(self):
# Sources directly
# BTC from Alphavantage Digital
result = historical('BTC', function='DIGITAL_CURRENCY_DAILY')
self.assertIsInstance(result, pd.DataFrame,
'BTC DIGITAL_CURRENCY_DAILY')
self.assertFalse(result.empty, 'BTC DIGITAL_CURRENCY_DAILY')
# BTC converted to BRL
result = historical_prices('BTC', fx='EUR')
self.assertIsInstance(result, pd.DataFrame, 'BTC BRL')
self.assertFalse(result.empty, 'BTC BRL')
# EUR from Alphavantage FX
result = historical('EUR', function='FX_DAILY')
self.assertIsInstance(result, pd.DataFrame, 'EUR FX_DAILY')
self.assertFalse(result.empty, 'EUR FX_DAILY')
# AAPL from Alphavantage TIME_SERIES_DAILY_ADJUSTED
result = historical('AAPL', function='TIME_SERIES_DAILY_ADJUSTED')
self.assertIsInstance(result, pd.DataFrame,
'AAPL TIME_SERIES_DAILY_ADJUSTED')
self.assertFalse(result.empty, 'AAPL TIME_SERIES_DAILY_ADJUSTED')
# BTC from Cryptocompare
result = cc_historical('BTC')
self.assertIsInstance(result, pd.DataFrame, 'BTC CC')
self.assertFalse(result.empty, 'BTC CC')
# GBTC from fmp
result = td_historical('GBTC')
# if FP API calls reached limit it will raise an error
self.assertIsInstance(result, pd.DataFrame, 'GBTC 12D')
self.assertFalse(result.empty, 'GBTC 12d')
# Test Auto grabber using engine.py historical_prices
ticker_list = ['BTC', 'GBTC', 'IBM']
for ticker in ticker_list:
results = historical_prices(ticker)
self.assertIsInstance(results, pd.DataFrame,
f'{ticker} - Auto historical')
self.assertFalse(results.empty, f'{ticker} - Auto historical')
def portfolio_compare_json():
if request.method == "GET":
tickers = request.args.get("tickers").upper()
tickers = tickers.split(",")
start_date = request.args.get("start")
method = request.args.get("method")
# Check if start and end dates exist, if not assign values
try:
start_date = datetime.strptime(start_date, "%Y-%m-%d")
except (ValueError, TypeError) as e:
logging.info(f"[portfolio_compare_json] Error: {e}, " +
"setting start_date to zero")
start_date = datetime.strptime('2011-01-01', "%Y-%m-%d")
end_date = request.args.get("end")
try:
end_date = datetime.strptime(end_date, "%Y-%m-%d")
except (ValueError, TypeError) as e:
logging.info(f"[portfolio_compare_json] Error: {e}, " +
"setting end_date to now")
end_date = datetime.now()
data = {}
logging.info("[portfolio_compare_json] NAV requested in list of " +
"tickers, requesting generatenav.")
nav = generatenav()
nav_only = nav["NAV_fx"]
# Now go over tickers and merge into nav_only df
messages = {}
meta_data = {}
fx = current_app.settings['PORTFOLIO']['base_fx']
if fx is None:
fx = 'USD'
for ticker in tickers:
if ticker == "NAV":
# Ticker was NAV, skipped
continue
# Generate price Table now for the ticker and trim to match portfolio
data = historical_prices(ticker, fx=fx)
data.index = data.index.astype('datetime64[ns]')
# If notification is an error, skip this ticker
if data is None:
messages = data.errors
return jsonify(messages)
data = data.rename(columns={'close_converted': ticker + '_price'})
data = data[ticker + '_price']
nav_only = pd.merge(nav_only, data, on="date", how="left")
nav_only[ticker + "_price"].fillna(method="bfill", inplace=True)
messages[ticker] = "ok"
logging.info(f"[portfolio_compare_json] {ticker}: Success - Merged OK")
nav_only.fillna(method="ffill", inplace=True)
# Trim this list only to start_date to end_date:
mask = (nav_only.index >= start_date) & (nav_only.index <= end_date)
nav_only = nav_only.loc[mask]
# Now create the list of normalized Returns for the available period
# Plus create a table with individual analysis for each ticker and NAV
nav_only["NAV_norm"] = (nav_only["NAV_fx"] / nav_only["NAV_fx"][0]) * 100
nav_only["NAV_ret"] = nav_only["NAV_norm"].pct_change()
table = {}
table["meta"] = {}
table["meta"]["start_date"] = nav_only.index[0].strftime("%m-%d-%Y")
table["meta"]["end_date"] = nav_only.index[-1].strftime("%m-%d-%Y")
table["meta"]["number_of_days"] = ((nav_only.index[-1] -
nav_only.index[0])).days
table["meta"]["count_of_points"] = nav_only["NAV_fx"].count().astype(float)
table["NAV"] = {}
table["NAV"]["start"] = nav_only["NAV_fx"][0]
table["NAV"]["end"] = nav_only["NAV_fx"][-1]
table["NAV"]["return"] = (nav_only["NAV_fx"][-1] /
nav_only["NAV_fx"][0]) - 1
table["NAV"]["avg_return"] = nav_only["NAV_ret"].mean()
table["NAV"]["ann_std_dev"] = nav_only["NAV_ret"].std() * math.sqrt(365)
for ticker in tickers:
if messages[ticker] == "ok":
# Include new columns for return and normalized data
nav_only[ticker + "_norm"] = (nav_only[ticker + "_price"] /
nav_only[ticker + "_price"][0]) * 100
nav_only[ticker + "_ret"] = nav_only[ticker + "_norm"].pct_change()
# Create Metadata
table[ticker] = {}
table[ticker]["start"] = nav_only[ticker + "_price"][0]
table[ticker]["end"] = nav_only[ticker + "_price"][-1]
table[ticker]["return"] = (nav_only[ticker + "_price"][-1] /
nav_only[ticker + "_price"][0]) - 1
table[ticker]["comp2nav"] = table[ticker]["return"] - \
table["NAV"]["return"]
table[ticker]["avg_return"] = nav_only[ticker + "_ret"].mean()
table[ticker]["ann_std_dev"] = nav_only[
ticker + "_ret"].std() * math.sqrt(365)
logging.info("[portfolio_compare_json] Success")
# Create Correlation Matrix
filter_col = [col for col in nav_only if col.endswith("_ret")]
nav_matrix = nav_only[filter_col]
corr_matrix = nav_matrix.corr(method="pearson").round(2)
corr_html = corr_matrix.to_html(classes="table small text-center",
border=0,
justify="center")
# Now, let's return the data in the correct format as requested
if method == "chart":
return_data = {
"data": nav_only.to_json(),
"messages": messages,
"meta_data": meta_data,
"table": table,
"corr_html": corr_html,
}
return jsonify(return_data)
return nav_only.to_json()
def heatmapbenchmark_json():
# Get portfolio data first
heatmap_gen, heatmap_stats, years, cols = heatmap_generator()
# Now get the ticker information and run comparison
if request.method == "GET":
ticker = request.args.get("ticker")
# Defaults to king BTC
if not ticker:
ticker = "BTC"
# Gather the first trade date in portfolio and store
# used to match the matrixes later
# Panda dataframe with transactions
df = transactions_fx()
# Filter the df acccoring to filter passed as arguments
df["trade_date"] = pd.to_datetime(df["trade_date"])
start_date = df["trade_date"].min()
start_date -= timedelta(days=1) # start on t-1 of first trade
# Generate price Table now for the ticker and trim to match portfolio
fx = current_app.settings['PORTFOLIO']['base_fx']
data = historical_prices(ticker, fx)
mask = data.index >= start_date
data = data.loc[mask]
# If notification is an error, skip this ticker
if data is None:
messages = data.errors
return jsonify(messages)
data = data.rename(columns={'close_converted': ticker + '_price'})
data = data[[ticker + '_price']]
data.sort_index(ascending=True, inplace=True)
data["pchange"] = (data / data.shift(1)) - 1
# Run the mrh function to generate heapmap table
heatmap = mrh.get(data["pchange"], eoy=True)
heatmap_stats = heatmap
cols = [
"Jan",
"Feb",
"Mar",
"Apr",
"May",
"Jun",
"Jul",
"Aug",
"Sep",
"Oct",
"Nov",
"Dec",
"eoy",
]
cols_months = [
"Jan",
"Feb",
"Mar",
"Apr",
"May",
"Jun",
"Jul",
"Aug",
"Sep",
"Oct",
"Nov",
"Dec",
]
years = heatmap.index.tolist()
# Create summary stats for the Ticker
heatmap_stats["MAX"] = heatmap_stats[heatmap_stats[cols_months] != 0].max(
axis=1)
heatmap_stats["MIN"] = heatmap_stats[heatmap_stats[cols_months] != 0].min(
axis=1)
heatmap_stats["POSITIVES"] = heatmap_stats[
heatmap_stats[cols_months] > 0].count(axis=1)
heatmap_stats["NEGATIVES"] = heatmap_stats[
heatmap_stats[cols_months] < 0].count(axis=1)
heatmap_stats["POS_MEAN"] = heatmap_stats[
heatmap_stats[cols_months] > 0].mean(axis=1)
heatmap_stats["NEG_MEAN"] = heatmap_stats[
heatmap_stats[cols_months] < 0].mean(axis=1)
heatmap_stats["MEAN"] = heatmap_stats[
heatmap_stats[cols_months] != 0].mean(axis=1)
# Create the difference between the 2 df - Pandas is cool!
heatmap_difference = heatmap_gen - heatmap
# return (heatmap, heatmap_stats, years, cols, ticker, heatmap_diff)
return simplejson.dumps(
{
"heatmap": heatmap.to_dict(),
"heatmap_stats": heatmap_stats.to_dict(),
"cols": cols,
"years": years,
"ticker": ticker,
"heatmap_diff": heatmap_difference.to_dict(),
},
ignore_nan=True,
default=datetime.isoformat,
)
def price_and_position():
# Gets price and position data for a specific ticker
ticker = request.args.get("ticker")
fx = request.args.get("fx")
if fx is None:
fx = fx_rate()['base']
# Gets Price and market data first
realtime_data = realtime_price(ticker=ticker, fx=fx)
historical_data = historical_prices(ticker=ticker, fx=fx)
historical_data.index = historical_data.index.astype('datetime64[ns]')
filemeta = (ticker + "_" + fx + ".meta")
historical_meta = pickle_it(action='load', filename=filemeta)
price_chart = historical_data[["close_converted", "close"]].copy()
# dates need to be in Epoch time for Highcharts
price_chart.index = price_chart.index.astype('datetime64[ns]')
price_chart.index = (price_chart.index -
datetime(1970, 1, 1)).total_seconds()
price_chart.index = price_chart.index * 1000
price_chart.index = price_chart.index.astype(np.int64)
price_chart = price_chart.to_dict()
price_chart_usd = price_chart["close"]
price_chart = price_chart["close_converted"]
# Now gets position data
df = positions()
if isinstance(df, pd.DataFrame):
if not df.empty:
df = df[df['trade_asset_ticker'] == ticker]
df_trades = transactions_fx()
position_chart = None
if isinstance(df_trades, pd.DataFrame):
df_trades = df_trades[df_trades['trade_asset_ticker'] == ticker]
if not df_trades.empty:
df_trades = df_trades.sort_index(ascending=True)
df_trades['trade_quantity_cum'] = df_trades[
'trade_quantity'].cumsum()
position_chart = df_trades[["trade_quantity_cum"]].copy()
# dates need to be in Epoch time for Highcharts
position_chart.index = position_chart.index.astype(
'datetime64[ns]')
position_chart.index = (position_chart.index -
datetime(1970, 1, 1)).total_seconds()
position_chart.index = position_chart.index * 1000
position_chart.index = position_chart.index.astype(np.int64)
position_chart = position_chart.to_dict()
position_chart = position_chart["trade_quantity_cum"]
if ticker == 'GBTC':
from pricing_engine.engine import GBTC_premium
from parseNumbers import parseNumber
GBTC_price = parseNumber(realtime_data['price'])
GBTC_fairvalue, GBTC_premium = GBTC_premium(GBTC_price)
else:
GBTC_premium = GBTC_fairvalue = None
return render_template("warden/price_and_position.html",
title="Ticker Price and Positions",
current_app=current_app,
current_user=fx_rate(),
realtime_data=realtime_data,
historical_data=historical_data,
historical_meta=historical_meta,
positions=df,
ticker=ticker,
fx=fx,
price_chart=price_chart,
price_chart_usd=price_chart_usd,
position_chart=position_chart,
GBTC_premium=GBTC_premium,
GBTC_fairvalue=GBTC_fairvalue)
def simulate_portfolio(
assets=['BTC'], # List of asset tickers
weights=[1], # List of weights, 1 = 100%
rebalance='never', # never, daily, weekly, monthly, quarterly, annually
save=False, # saves the variables above under a name
name=None, # string of name to save
initial_investment=1000, # in fx values
load=False,
start_date=datetime(2000, 1, 1),
end_date=datetime.today(),
fx='USD',
short_term_tax_rate=0):
# Create an empty df
merged_df = pd.DataFrame(columns=['date'])
# Fill the dates from first trade until today
merged_df['date'] = pd.date_range(start=start_date, end=end_date)
merged_df = merged_df.set_index('date')
merged_df.index = merged_df.index.astype('datetime64[ns]')
# Create empty columns for later
merged_df['fiat_value'] = 0
merged_df['rebalance_date'] = False
for ticker in assets:
prices = historical_prices(ticker, fx=fx)
prices.index = prices.index.astype('datetime64[ns]')
if prices.empty:
merged_df[id + '_price'] = 0
flash(
f"Prices for ticker {id} could not be downloaded." +
" {id} was not included in analysis.", "warning")
save = False
start_date_ticker = prices.index.min()
if start_date_ticker > start_date:
try:
flash(
f"Requested start date was {start_date.strftime('%b-%d-%y')} "
+ f"but the ticker {id} only has pricing data from " +
f"{start_date_ticker.strftime('%b-%d-%y')}. Adjusted start date.",
"warning")
except Exception:
pass
start_date = start_date_ticker
prices = prices.rename(columns={'close_converted': ticker + '_price'})
prices[ticker + '_price'] = prices[ticker + '_price'].astype(float)
prices = prices[ticker + '_price']
# Check if prices is a Series. If so, convert to dataframe
if isinstance(prices, pd.Series):
prices = prices.to_frame()
merged_df = pd.merge(merged_df, prices, on='date', how='left')
# Replace NaN with prev value, if no prev value then zero
merged_df[ticker + '_price'].fillna(method='backfill', inplace=True)
merged_df[ticker + '_price'].fillna(method='ffill', inplace=True)
merged_df[ticker +
'_return'] = merged_df[ticker +
'_price'].pct_change().fillna(0)
# Trim the dataframe so it starts at the new start date
# start date is adjusted to the first date when both datas are
# available -- see code above
mask = (merged_df.index >= start_date)
merged_df = merged_df.loc[mask]
# With the dataframe trimmed, calculate cum returns
for ticker in assets:
# Calculate cum_returns
merged_df[ticker +
'_cum_return'] = (1 +
merged_df[ticker + '_return']).cumprod()
# Calculate the unrebalanced positions
merged_df[ticker +
'_fiat_pos_unbalanced'] = (weights[assets.index(ticker)] *
initial_investment *
merged_df[ticker + '_cum_return'])
merged_df[ticker + '_fiat_pos_balanced'] = np.nan
# Portfolio Value unrebalanced
merged_df['port_fiat_pos_unbalanced'] = (merged_df[[
col for col in merged_df.columns
if col.endswith('_fiat_pos_unbalanced')
]].sum(axis=1))
for ticker in assets:
merged_df[ticker +
'_weight'] = (merged_df[ticker + '_fiat_pos_unbalanced'] /
merged_df['port_fiat_pos_unbalanced'])
# Create a list of rebalancing dates
rebalance_days = [('never', None), ('daily', timedelta(days=1)),
('weekly', timedelta(days=7)),
('monthly', relativedelta(months=+1)),
('quarterly', relativedelta(months=+3)),
('annualy', relativedelta(months=+12))]
rebalancing_delta = dict(rebalance_days)[rebalance]
# Fill the df with these checks for rebalancing dates
loop_date = start_date
if rebalancing_delta is not None:
while loop_date < end_date:
merged_df.at[loop_date, 'rebalance_date'] = True
loop_date += rebalancing_delta
previous_date = start_date
# Rebalance the portfolio on rebalancing dates
for loop_date in merged_df.index.tolist():
if loop_date == start_date:
for ticker in assets:
merged_df.at[loop_date, ticker +
'_costbasis'] = (weights[assets.index(ticker)] *
initial_investment)
continue
# NOT REBALANCE DATE:
if not merged_df.at[loop_date, 'rebalance_date']:
# Repeat the cost basis from before, nothing changed
for ticker in assets:
merged_df.at[loop_date, ticker +
'_costbasis'] = (merged_df.at[previous_date,
ticker +
'_costbasis'])
merged_df.at[loop_date, ticker + '_fiat_pos_balanced'] = (
merged_df.at[previous_date, ticker + '_fiat_pos_balanced']
* (1 + merged_df.at[loop_date, ticker + '_return']))
# REBALANCE DATE, make changes
else:
print(loop_date)
previous_date = loop_date
print(merged_df)
def generatenav(user=None, force=False, filter=None):
if not user:
user = current_user.username
PORTFOLIO_MIN_SIZE_NAV = 1
RENEW_NAV = 10
FX = current_app.settings['PORTFOLIO']['base_fx']
# Portfolios smaller than this size do not account for NAV calculations
# Otherwise, there's an impact of dust left in the portfolio (in USD)
# This is set in config.ini file
min_size_for_calc = int(PORTFOLIO_MIN_SIZE_NAV)
save_nav = True
# This process can take some time and it's intensive to run NAV
# generation every time the NAV is needed. A compromise is to save
# the last NAV generation locally and only refresh after a period of time.
# This period of time is setup in config.ini as RENEW_NAV (in minutes).
# If last file is newer than 60 minutes (default), the local saved file
# will be used.
# Unless force is true, then a rebuild is done regardless
# Local files are saved under a hash of username.
filename = "warden/" + user + FX + ".nav"
filename = os.path.join(home_path(), filename)
if force:
# Since this function can be run as a thread, it's safer to delete
# the current NAV file if it exists. This avoids other tasks reading
# the local file which is outdated
try:
os.remove(filename)
except Exception:
pass
if not force:
try:
# Check if NAV saved file is recent enough to be used
# Local file has to have a saved time less than RENEW_NAV min old
modified = datetime.utcfromtimestamp(os.path.getmtime(filename))
elapsed_seconds = (datetime.utcnow() - modified).total_seconds()
if (elapsed_seconds / 60) < int(RENEW_NAV):
nav_pickle = pd.read_pickle(filename)
return (nav_pickle)
else:
pass
except Exception:
pass
# Pandas dataframe with transactions
df = transactions_fx()
# Make sure it is a dataframe
if isinstance(df, pd.Series):
df = df.to_frame()
# if a filter argument was passed, execute it
if filter:
df = df.query(filter)
start_date = df.index.min() - timedelta(
days=1) # start on t-1 of first trade
end_date = datetime.today()
# Create a list of all tickers that were traded in this portfolio
tickers = list_tickers()
if 'BTC' not in tickers:
tickers.append('BTC')
fx = current_app.settings['PORTFOLIO']['base_fx']
if fx is None:
fx = 'USD'
# Create an empty DF, fill with dates and fill with operation and prices then NAV
dailynav = pd.DataFrame(columns=['date'])
# Fill the dates from first trade until today
dailynav['date'] = pd.date_range(start=start_date, end=end_date)
dailynav = dailynav.set_index('date')
dailynav.index = dailynav.index.astype('datetime64[ns]')
# Create empty fields
dailynav['PORT_usd_pos'] = 0
dailynav['PORT_fx_pos'] = 0
dailynav['PORT_cash_value'] = 0
dailynav['PORT_cash_value_fx'] = 0
# Create a dataframe for each position's prices
for id in tickers:
if is_currency(id):
if id != 'BTC':
continue
try:
# Create a new PriceData class for this ticker
prices = historical_prices(id, fx=fx)
prices.index = prices.index.astype('datetime64[ns]')
if prices.empty:
dailynav[id + '_price'] = 0
flash(f"Prices for ticker {id} could not be downloaded",
"warning")
save_nav = False
raise ValueError(f"Ticker {id} had download issues")
start_date_ticker = prices.index.min()
if start_date_ticker > start_date:
flash(
f"NAV table starts on {start_date.strftime('%b-%d-%y')} but the ticker {id} only has pricing data from {start_date_ticker.strftime('%b-%d-%y')}. This may lead to wrong calculations on past performance.",
"warning")
prices = prices.rename(columns={'close_converted': id + '_price'})
prices = prices[id + '_price']
# Fill dailyNAV with prices for each ticker
# First check if prices is a Series. If so, convert to dataframe
if isinstance(prices, pd.Series):
prices = prices.to_frame()
dailynav = pd.merge(dailynav, prices, on='date', how='left')
# Replace NaN with prev value, if no prev value then zero
dailynav[id + '_price'].fillna(method='backfill', inplace=True)
dailynav[id + '_price'].fillna(method='ffill', inplace=True)
# Now let's find trades for this ticker and include in dailynav
tradedf = df[[
'trade_asset_ticker', 'trade_quantity', 'cash_value_fx'
]]
# Filter trades only for this ticker
tradedf = tradedf[tradedf['trade_asset_ticker'] == id]
# consolidate all trades in a single date Input
tradedf = tradedf.groupby(level=0).sum()
tradedf.sort_index(ascending=True, inplace=True)
# include column to cumsum quant
tradedf['cum_quant'] = tradedf['trade_quantity'].cumsum()
# merge with dailynav - 1st rename columns to match
tradedf.index.rename('date', inplace=True)
# rename columns to include ticker name so it's differentiated
# when merged with other ids
tradedf.rename(columns={
'trade_quantity': id + '_quant',
'cum_quant': id + '_pos',
'cash_value_fx': id + '_cash_value_fx'
},
inplace=True)
# merge
tradedf.index = tradedf.index.astype('datetime64[ns]')
dailynav = pd.merge(dailynav, tradedf, on='date', how='left')
# for empty days just trade quantity = 0, same for CV
dailynav[id + '_quant'].fillna(0, inplace=True)
dailynav[id + '_cash_value_fx'].fillna(0, inplace=True)
# Now, for positions, fill with previous values, NOT zero,
# unless there's no previous
dailynav[id + '_pos'].fillna(method='ffill', inplace=True)
dailynav[id + '_pos'].fillna(0, inplace=True)
# Calculate USD and fx position and % of portfolio at date
# Calculate USD position and % of portfolio at date
dailynav[id + '_fx_pos'] = dailynav[id + '_price'].astype(
float) * dailynav[id + '_pos'].astype(float)
# Before calculating NAV, clean the df for small
# dust positions. Otherwise, a portfolio close to zero but with
# 10 sats for example, would still have NAV changes
dailynav[id + '_fx_pos'].round(2)
except Exception as e:
flash(f"An error has ocurred {str(e)}", "danger")
# Another loop to sum the portfolio values - maybe there is a way to
# include this on the loop above. But this is not a huge time drag unless
# there are too many tickers in a portfolio
for id in tickers:
if is_currency(id):
continue
# Include totals in new columns
try:
dailynav['PORT_fx_pos'] = dailynav['PORT_fx_pos'] +\
dailynav[id + '_fx_pos']
except KeyError as e:
save_nav = False
flash(
"Ticker " + id + " was not found on NAV table. " +
"NAV calculations will be off. Error: " + str(e), "danger")
continue
dailynav['PORT_cash_value_fx'] = dailynav['PORT_cash_value_fx'] +\
dailynav[id + '_cash_value_fx']
# Now that we have the full portfolio value each day, calculate alloc %
for id in tickers:
if is_currency(id):
continue
try:
dailynav[id + "_fx_perc"] = dailynav[id + '_fx_pos'] /\
dailynav['PORT_fx_pos']
dailynav[id + "_fx_perc"].fillna(0, inplace=True)
except KeyError:
continue
# Drop duplicates
dailynav = dailynav[~dailynav.index.duplicated(keep='first')]
# Create a new column with the portfolio change only due to market move
# discounting all cash flows for that day
dailynav['adj_portfolio_fx'] = dailynav['PORT_fx_pos'] -\
dailynav['PORT_cash_value_fx']
# For the period return let's use the Modified Dietz Rate of return method
# more info here: https://tinyurl.com/y474gy36
# There is one caveat here. If end value is zero (i.e. portfolio fully
# redeemed, the formula needs to be adjusted)
dailynav.loc[dailynav.PORT_fx_pos > min_size_for_calc,
'port_dietz_ret_fx'] = ((dailynav['PORT_fx_pos'] -
dailynav['PORT_fx_pos'].shift(1)) -
dailynav['PORT_cash_value_fx']) /\
(dailynav['PORT_fx_pos'].shift(1) +
abs(dailynav['PORT_cash_value_fx']))
# Fill empty and NaN with zero
dailynav['port_dietz_ret_fx'].fillna(0, inplace=True)
dailynav['adj_port_chg_fx'] = (
(dailynav['PORT_fx_pos'] - dailynav['PORT_fx_pos'].shift(1)) -
dailynav['PORT_cash_value_fx'])
# let's fill NaN with zeros
dailynav['adj_port_chg_fx'].fillna(0, inplace=True)
# Calculate the metrics
dailynav['port_perc_factor_fx'] = (dailynav['port_dietz_ret_fx']) + 1
dailynav['NAV_fx'] = dailynav['port_perc_factor_fx'].cumprod()
dailynav['NAV_fx'] = dailynav['NAV_fx'] * 100
dailynav['PORT_ac_CFs_fx'] = dailynav['PORT_cash_value_fx'].cumsum()
dailynav['PORT_VALUE_BTC'] = dailynav['PORT_fx_pos'] / \
dailynav['BTC_price']
# Save NAV Locally as Pickle
if save_nav:
filename = "warden/" + user + FX + ".nav"
filename = os.path.join(home_path(), filename)
# makesure file path exists
try:
os.makedirs(os.path.dirname(filename))
except OSError as e:
if e.errno != 17:
raise
dailynav.to_pickle(filename)
return dailynav
def find_data(ticker):
notes = None
last_up_source = None
source = None
try:
# Parse the cryptocompare data
price = multi_price["RAW"][ticker][fx]["PRICE"]
# GBTC should not be requested from multi_price as there is a
# coin with same ticker
if ticker in ['GBTC', 'MSTR', 'TSLA', 'SQ']:
raise KeyError
price = float(price)
high = float(multi_price["RAW"][ticker][fx]["HIGHDAY"])
low = float(multi_price["RAW"][ticker][fx]["LOWDAY"])
chg = multi_price["RAW"][ticker][fx]["CHANGEPCT24HOUR"]
mktcap = multi_price["DISPLAY"][ticker][fx]["MKTCAP"]
volume = multi_price["DISPLAY"][ticker][fx]["VOLUME24HOURTO"]
last_up_source = multi_price["RAW"][ticker][fx]["LASTUPDATE"]
source = multi_price["DISPLAY"][ticker][fx]["LASTMARKET"]
last_update = datetime.now()
except (KeyError, TypeError):
# Couldn't find price with CryptoCompare. Let's try a different source
# and populate data in the same format [aa = alphavantage]
try:
single_price = realtime_price(ticker)
if single_price is None:
raise KeyError
price = clean_float(single_price['price'])
last_up_source = last_update = single_price['time']
try:
chg = parseNumber(single_price['chg'])
except Exception:
chg = 0
try:
source = last_up_source = single_price['source']
except Exception:
source = last_up_source = '-'
try:
high = single_price['high']
low = single_price['low']
mktcap = volume = '-'
except Exception:
mktcap = high = low = volume = '-'
except Exception:
try:
# Finally, if realtime price is unavailable, find the latest
# saved value in historical prices
# Create a price class
price_class = historical_prices(ticker, fx)
if price_class is None:
raise KeyError
price = clean_float(
price_class.df['close_converted'].iloc[0])
high = '-'
low = '-'
volume = '-'
mktcap = chg = 0
source = last_up_source = 'Historical Data'
last_update = price_class.df.index[0]
except Exception as e:
price = high = low = chg = mktcap = last_up_source = last_update = volume = 0
source = '-'
logging.error(
f"There was an error getting the price for {ticker}." +
f"Error: {e}")
if ticker.upper() == 'BTC':
nonlocal btc_price
btc_price = price
# check if 24hr change is indeed 24h or data is old, if so 24hr change = 0
try:
checker = last_update
if not isinstance(checker, datetime):
checker = parser.parse(last_update)
if checker < (datetime.now() - timedelta(days=1)):
chg = 0
except Exception:
pass
return price, last_update, high, low, chg, mktcap, last_up_source, volume, source, notes
