def upload_portfolio_allocations(user_id, portfolio_id, filename, name):
df = pd.read_excel(filename)
db = Connection()
table = db.get_table("Portfolio")
info = lambda f: {
"HashKey": f["CoinID"],
"Name": f["Name"],
"Allocation": Decimal(str(f["Allocation"]))
}
allocs = [info(df.iloc[i]) for i in range(len(df))]
for a in allocs:
coin = db.get_coin(a['HashKey'], get_ts=True)
if len(coin.Performance) < 6:
a['Allocation'] = Decimal(0)
updates = {"Allocations": {"Value": allocs, "Action": "PUT"}}
key = {"CompanyID": user_id, "HashKey": portfolio_id}
table.update_item(Key=key, AttributeUpdates=updates)
port = Portfolio({
"HashKey": portfolio_id,
"Allocations": allocs,
"Name": name
})
proforma = port.calc_proforma(db)
recalculate_portfolio_coin(portfolio_id, user_id, proforma, name, db)
def create_allocation_template(userid, portfolio_id, target_file):
"""
Creates excel file with current allocations as well as all Coins
that can be included in portfolios
"""
try:
db = Connection()
watched_coins = sorted(db.get_watched_coins(userid, get_ts=True),
key=alloc_sort)
port = db.get_portfolio(userid, portfolio_id)
allocs = port.Allocations
alloc_ids = [a['HashKey'] for a in allocs]
wb = xlwt.Workbook()
wsh = wb.add_sheet('Allocations')
wsh.write(0, 0, "CoinID")
wsh.write(0, 1, "Name")
wsh.write(0, 2, "Allocation")
wsh.write(0, 3, "T")
wsh.write(0, 4, "Start Date")
wsh.write(0, 5, "End Date")
wsh.write(0, 6, "Frequency")
def write_coin_stats(coin, i):
wsh.write(i + 1, 3, len(coin.Performance))
if (len(coin.Performance)) > 0:
wsh.write(
i + 1, 4,
min(coin.Performance.index).to_datetime().strftime(
"%m/%d/%Y"))
wsh.write(
i + 1, 5,
max(coin.Performance.index).to_datetime().strftime(
"%m/%d/%Y"))
wsh.write(i + 1, 6, get_frequency(coin.Performance))
for i, alloc in enumerate(allocs):
hashkey = alloc['HashKey']
name = alloc['Name']
coin = db.get_coin(hashkey)
w = alloc['Allocation']
wsh.write(i + 1, 0, hashkey)
wsh.write(i + 1, 1, name)
wsh.write(i + 1, 2, w)
write_coin_stats(coin, i)
i = len(allocs)
for coin in watched_coins:
if coin.HashKey not in alloc_ids:
wsh.write(i + 1, 0, coin.HashKey)
wsh.write(i + 1, 1, coin.Name)
wsh.write(i + 1, 2, 0)
write_coin_stats(coin, i)
i = i + 1
wb.save(target_file)
except Exception as ex:
return False
return True
def save_session(session):
db = Connection()
table = db.get_table("Session")
table.put_item(Item=session)
async def import_regime_model(tab_name):
with open(output_path + "%s.json" % tab_name, 'r') as load_f:
items = json.load(load_f)
db = Connection.getInstance()
for index, obj in enumerate(items):
history = obj["history"]
history = json.dumps(history)
res = await findRegimeModel(obj["model_name"])
if res:
model = await RegimeModel.find(res.id)
historys = await update_regime_model(db, obj["model_name"],
obj["factor_code"],
obj["ngegimes"])
historys = [{
"Regime": history["Regime"],
"Date": float(history["Date"])
} for history in historys]
model.factor_code = obj["factor_code"]
model.ngegimes = int(obj["ngegimes"])
model.history = json.dumps(historys)
await model.update()
else:
factor = RegimeModel(factor_code=obj["factor_code"],
model_name=obj["model_name"],
ngegimes=obj["ngegimes"],
history=history)
await factor.save()
def __init__(self, folio, userid=None, model_ticker=None,regime_model_name=None):
self.db = Connection.getInstance()
self.folio = folio
self.Name = folio.Name
self.user_id = userid
self.model_ticker = model_ticker
self.regime_model_name = regime_model_name
async def toFolioPerformance(user_id, folio_id, folio, timestamp, allocations):
port = port_folio({"folio_id": folio.id, "Allocations": allocations, "Name": folio.name})
modify_at = toPreTimestamp(folio.created_at, day_num=365)
db = Connection.getInstance()
effective_date = datetime.datetime.utcfromtimestamp(int(folio.created_at))
effective_date = str(effective_date).split(" ")[0] + " 00:00:00"
pre_at = int(time.mktime(time.strptime(effective_date, '%Y-%m-%d %H:%M:%S')))
proforma = await port.calc_proforma(db, modify_at, pre_at, folioPerformance=False, modify_num=365)
if len(proforma):
dates = proforma.index
rets = proforma.values
performance = {int(d.timestamp()):float(str(p)) for d, p in zip(dates, rets)}
await updateFolioPerformance(folio_id, user_id, proforma=performance, pre=1, modify_at=timestamp)
async def get_benchmarks(db=None, modify_time=time.time()):
"""
returns list of benchmarks
"""
if not db:
db = Connection.getInstance()
benchdata = await report_dao.findReferenceData("DefaultBenchmarks")
if benchdata:
data_dict = {}
for t in benchdata.data.decode().split(','):
data_dict[t.split("^")[-1]] = await db.get_risk_factor(
t.strip(), modify_time)
return data_dict
else:
return {}
self.help_dict[field_name] = field
def help(self, obj):
obj_dict = obj.__dict__
fields = [self.help_dict[f] for f in self.field_list if f in obj_dict]
return [[
f.label,
f.format(obj_dict[f.key]) if float(obj_dict[f.key]) *
100 < 1000 else ">1000%"
] if f.key == "ann_return" else [f.label,
f.format(obj_dict[f.key])]
for f in fields]
def init_help(self):
fields = [self.help_dict[f] for f in self.field_list]
return [[f.label, "0"] for f in fields]
if __name__ == '__main__':
helper = StatsHelper()
from analytics.basicstats import BasicStats
from datalib.datalib import Connection
coinid = 'e042001c-9a43-11e6-bfb2-14109fdf0df7'
db = Connection.getInstance()
coin = db.get_coin(coinid)
stats = BasicStats(coin.Performance)
res = helper.help(stats)
def get_session(sessionid):
db = Connection()
table = db.get_table("Session")
res = table.get_item(Key={"HashKey":sessionid})
return res['Item'] if res_ok(res) else def_sess(sessionid)
for field_info in fields:
field_name = field_info['Key']
field_label = field_info['Label']
if 'Format' in field_info:
fmt = field_info['Format']
else:
fmt = "{0}"
field = FieldInfo(field_name, field_label, fmt)
self.field_list.append(field_name)
self.help_dict[field_name] = field
def help(self, obj):
obj_dict = obj.__dict__
fields = [self.help_dict[f] for f in self.field_list if f in obj_dict]
return [(f.label, f.format(obj_dict[f.key])) for f in fields]
if __name__ == '__main__':
helper = StatsHelper()
from analytics.basicstats import BasicStats
from datalib.datalib import Connection
coinid = 'e042001c-9a43-11e6-bfb2-14109fdf0df7'
db = Connection()
coin = db.get_coin(coinid)
stats = BasicStats(coin.Performance)
res = helper.help(stats)
#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""
Created on Mon Oct 31 13:11:48 2016
@author: coin-ai
"""
from datalib.datalib import Connection
from datalib.coin import Coin
from datetime import datetime
from analytics.time_series import get_frequency
db = Connection()
COINS = db.get_all_coins()
table = db.get_table("COIN")
for COIN in COINS:
# print(COIN.Name)
ts = COIN.Performance
T = len(ts)
mx = int(max(ts.index).timestamp())
mn = int(min(ts.index).timestamp())
item = COIN.to_db_item()
item['MaxDate'] = mx
item['MinDate'] = mn
item['Frequency'] = get_frequency(ts)
item['T'] = T
table.put_item(Item=item)
# print("COIN updated: %s" % COIN.Name)
def __init__(self, item_id, tickers, isPortfolio=True, started_at=""):
self.db = Connection.getInstance()
self.item_id = item_id
self.tickers = tickers
self.started_at = started_at
self.isPortfolio = isPortfolio
def __init__(self, item_id, start_at=None, isPortFolio=True):
self.db = Connection.getInstance()
self.item_id = item_id
self.start_at = start_at
self.isPortFolio = isPortFolio
def __init__(self, item, bench_ticker=None, modify_at=None):
self.item = item
self.db = Connection.getInstance()
self.bench_ticker = bench_ticker
self.modify_at = modify_at
async def portfolio_ratios(port_folio=None, folio_id="", db=None, lang="en"):
try:
if not db:
db = Connection.getInstance()
if not port_folio:
if folio_id:
port_folio = await folios_dao.findFolio(folio_id)
if not port_folio:
return None
else:
return None
helper = StatsHelper(lang=lang)
proforma = await folios_dao.GetFolioPerformance(port_folio.id)
if proforma:
fts = proforma["pre_data"]["data"]
now_data = [nowData["data"] for nowData in proforma["now_data"]]
now_fts = []
for d in now_data:
fts.extend(d)
now_fts.extend(d)
prof_fts = [perf["NetReturn"] for perf in now_fts]
dates = [
datetime.fromtimestamp(p['EffectiveDate']) for p in now_fts
]
fts_data = calculate_fts(prof_fts, dates)
dates = [datetime.fromtimestamp(p['EffectiveDate']) for p in fts]
prof_array = [perf["NetReturn"] for perf in fts]
fts = Series(data=prof_array, index=dates, name=port_folio.name)
T = len(fts)
referenceData = await report_dao.findReferenceData('Risk Free Rate'
)
if referenceData:
rf = float(referenceData.data) * 0.01
else:
rf = 0
stats_all = BasicStats(fts,
risk_free=rf,
folio_name=port_folio.name)
roll_windows = windows[stats_all.freq[0]]
roll_results = []
ratio_items = {
"Cumulative Return": [],
"Period volatility": {
"volatility": "",
"day_7_volatility": ""
},
"Max Drawdown": {
"max_drawdown": "",
"day_7_drawdown": ""
},
"entire_history": "",
"day_7_history": ""
}
resultsAll = helper.help(stats_all)
result_dict = dict(resultsAll)
ratio_items["entire_history"] = fts_data[
"entire_history"] if fts_data else 0.0
ratio_items["day_7_history"] = fts_data[
"day_7_history"] if fts_data else 0.0
ratio_items["Period volatility"]["volatility"] = fts_data[
"total_volatility"] if fts_data else 0.0
ratio_items["Max Drawdown"]["max_drawdown"] = fts_data[
"total_max_drawdown"] if fts_data else 0.0
ratio_items["Cumulative Return"].append(
result_dict.get(_("Cumulative Return", lang), ""))
for index, w in enumerate(roll_windows):
if T >= w:
roll_fts = fts[-1 * w:]
ratio_data = helper.help(BasicStats(roll_fts,
risk_free=rf))
ratio_dict = dict(ratio_data)
val = ratio_dict.get(_("Cumulative Return", lang), "")
ratio_items["Cumulative Return"].append(val)
if index == 0:
ratio_items["Max Drawdown"][
"day_7_drawdown"] = fts_data[
"week_max_drawdown"] if fts_data else 0.0
ratio_items["Period volatility"][
"day_7_volatility"] = fts_data[
"week_volatility"] if fts_data else 0.0
roll_results.append([w, ratio_data])
await folios_dao.updateFolioHistory(port_folio.id, ratio_items)
reportData = {
"ResultsAll": resultsAll,
"RollResults": roll_results,
"Coin": {
"Name": port_folio.name
}
}
params = "ratios_%s" % lang
await db.set_cache(port_folio.id,
"portfolio",
params,
data=reportData,
modify_at=port_folio.modify_at)
else:
roll_results = []
ratio_items = {
"Cumulative Return": [],
"Period volatility": {
"volatility": ""
},
"Max Drawdown": {
"max_drawdown": "",
"day_7_drawdown": ""
}
}
resultsAll = helper.init_help()
result_dict = dict(resultsAll)
ratio_items["Period volatility"]["volatility"] = result_dict.get(
"% Volatility", "")
ratio_items["Max Drawdown"]["max_drawdown"] = result_dict.get(
"Max Drawdown", "")
ratio_items["Cumulative Return"].append(
result_dict.get("Cumulative Return", ""))
await folios_dao.updateFolioHistory(port_folio.id, ratio_items)
reportData = {
"ResultsAll": resultsAll,
"RollResults": roll_results,
"Coin": {
"Name": port_folio.name
}
}
except Exception as e:
errMsg = getErrorMsg()
error("portfolio_ratios exception is: %s, errMsg: %s" %
(str(e), str(errMsg)))
reportData = {}
return reportData
