def index_board_logic_op(crypto_asset, logic_one_arr, daily_ewma,
curr_reb_start, next_reb_start, curr_board_eve):
# turn the first logic row into a dataframe and add the 'Time' column
# the first logic row will be used for the next quarter weights computation
first_logic_row = pd.DataFrame(logic_one_arr, columns=crypto_asset)
# computing the new second logic row that is used to compute the
# weights relative to the next rebalance period
ewma_fraction = daily_ewma_fraction(daily_ewma, first_logic_row,
curr_reb_start, curr_board_eve)
print("ewma_fraction")
print(ewma_fraction)
daily_ewma_double_row = index_norm_logic_op(crypto_asset, daily_ewma)
print(daily_ewma_double_row)
second_logic_row = (ewma_fraction >= 0.02) * 1
double_checked_ewma = daily_double_log_check(first_logic_row,
second_logic_row, daily_ewma,
curr_reb_start,
curr_board_eve)
# adding the Time columns to the double checked ewma
human_curr_start = timestamp_to_human([curr_reb_start],
date_format="%m-%d-%y")
human_curr_board = timestamp_to_human([curr_board_eve],
date_format="%m-%d-%y")
period_date_list = date_gen(human_curr_start[0],
human_curr_board[0],
EoD="N")
double_checked_ewma["Time"] = period_date_list
print(double_checked_ewma)
# giving "Time" and "Date" columns to the df containing the logic rows
human_next_start = timestamp_to_human([next_reb_start],
date_format="%m-%d-%y")
first_logic_row["Time"] = next_reb_start
first_logic_row["Date"] = human_next_start
second_logic_row["Time"] = next_reb_start
second_logic_row["Date"] = human_next_start
# computing the new weights that will be used starting from the
# next rebalance date
weights_for_board = quarter_weights(double_checked_ewma,
[int(curr_board_eve)], crypto_asset)
weights_for_board["Time"] = next_reb_start
weights_for_board["Date"] = human_next_start
return first_logic_row, second_logic_row, weights_for_board, daily_ewma_double_row
def test_timestamp_to_human():
# date in format yyyy-mm-dd
check_list = [
'2020-01-01', '2020-01-02', '2020-01-03', '2020-01-04', '2020-01-05'
]
# array of dates in timestamp format
ts_array = np.array(
[1577836800, 1577923200, 1578009600, 1578096000, 1578182400])
date = timestamp_to_human(ts_array)
assert date == check_list
collection_index_raw = db.index_level_raw
# collection for index level base 1000
collection_index_1000 = db.index_level_1000
# ################ DATE SETTINGS ########################
# define the start date as MM-DD-YYYY
start_date = "01-01-2016"
# define today in various format
today_str = datetime.now().strftime("%Y-%m-%d")
today = datetime.strptime(today_str, "%Y-%m-%d")
today_TS = int(today.replace(tzinfo=timezone.utc).timestamp())
y_TS = today_TS - 86400
two_before_TS = y_TS - 86400
today_human = data_setup.timestamp_to_human([today_TS])
yesterday_human = data_setup.timestamp_to_human([y_TS])
two_before_human = data_setup.timestamp_to_human([two_before_TS])
# define the variable containing all the date from start_date to today.
# the date are displayed as timestamp and each day refers to 12:00 am UTC
reference_date_vector = data_setup.date_gen(start_date)
# define all the useful arrays containing the rebalance start
# date, stop date, board meeting date
rebalance_start_date = calc.start_q("01-01-2016")
rebalance_stop_date = calc.stop_q(rebalance_start_date)
board_date = calc.board_meeting_day()
board_date_eve = calc.day_before_board()
next_rebalance_date = calc.next_start()
last_five_days_mongo = date_list[(len(date_list) - 5):len(date_list)]
last_five_days_mongo = [
str(single_date) for single_date in last_five_days_mongo
]
print(last_five_days_mongo)
# finding the date to download as difference between
# complete array of date and date now stored on MongoDB
date_to_add = Diff(last_five_days, last_five_days_mongo)
if date_to_add != []:
if len(date_to_add) > 1:
date_to_add.sort()
start_date = timestamp_to_human([date_to_add[0]],
date_format="%m-%d-%Y")
start_date = start_date[0]
end_date = timestamp_to_human([date_to_add[len(date_to_add) - 1]],
date_format="%m-%d-%Y")
end_date = end_date[0]
else:
start_date = datetime.fromtimestamp(int(date_to_add[0]))
start_date = start_date.strftime("%m-%d-%Y")
end_date = start_date
# #### data download part #####
for Crypto in CRYPTO_ASSET:
from cryptoindex.index_hist import hist_time_single_date
from cryptoindex.data_setup import (timestamp_to_human)
from cryptoindex.index_func import days_variable
day = None
start_q_list = next_start()
board_eve_list = day_before_board()
board_day = board_meeting_day()
start_q = start_q()
print(start_q_list)
print(board_eve_list)
print(board_day)
print(start_q)
print(timestamp_to_human(start_q_list[1:len(start_q_list)]))
day_TS, _ = days_variable(day)
# day_TS = day_TS + 86400
print(day_TS)
if day_TS in start_q_list:
print("First day of the quarter")
elif day_TS in board_eve_list:
print("Board day")
else:
def index_hist_uploader(crypto_asset_price, crypto_asset_vol, exc_vol_tot,
price_ret, weights_for_board, first_logic_matrix_df,
second_logic_matrix_df, ewma_df, double_checked_EWMA,
syntethic, syntethic_relative_matrix, divisor_array,
reshaped_divisor, index_values, index_1000_base):
# creating the array with human readable Date
ref_date_arr = date_gen()
human_date = timestamp_to_human(ref_date_arr)
# put the "Crypto_Asset_Prices" dataframe on MongoDB
crypto_asset_price["Date"] = human_date
mongo_upload(crypto_asset_price,
"collection_price",
reorder="Y",
column_set_val="complete")
# put the "Crypto_Asset_Volumes" dataframe on MongoDB
crypto_asset_vol["Date"] = human_date
mongo_upload(crypto_asset_vol,
"collection_volume",
reorder="Y",
column_set_val="complete")
# put the exchange volumes on MongoDB
mongo_upload(exc_vol_tot, "collection_all_exc_vol")
# put the "price_ret" dataframe on MongoDB
price_ret["Date"] = human_date
mongo_upload(price_ret,
"collection_price_ret",
reorder="Y",
column_set_val="complete")
# put the "weights" dataframe on MongoDB
weight_human_date = timestamp_to_human(weights_for_board["Time"])
weights_for_board["Date"] = weight_human_date
mongo_upload(weights_for_board,
"collection_weights",
reorder="Y",
column_set_val="complete")
print(weights_for_board)
# put the first logic matrix on MongoDB
first_date = timestamp_to_human(first_logic_matrix_df["Time"])
first_logic_matrix_df["Date"] = first_date
mongo_upload(first_logic_matrix_df,
"collection_logic_one",
reorder="Y",
column_set_val="complete")
# put the second logic matrix on MongoDB
second_date = timestamp_to_human(second_logic_matrix_df["Time"])
second_logic_matrix_df["Date"] = second_date
mongo_upload(second_logic_matrix_df,
"collection_logic_two",
reorder="Y",
column_set_val="complete")
# put the EWMA dataframe on MongoDB
ewma_df["Date"] = human_date
ewma_df["Time"] = ref_date_arr
mongo_upload(ewma_df,
"collection_EWMA",
reorder="Y",
column_set_val="complete")
# put the double checked EWMA on MongoDB
double_checked_EWMA["Date"] = human_date
mongo_upload(double_checked_EWMA,
"collection_EWMA_check",
reorder="Y",
column_set_val="complete")
# put the synth matrix on MongoDB
syntethic["Date"] = human_date
syntethic["Time"] = ref_date_arr
mongo_upload(syntethic,
"collection_synth",
reorder="Y",
column_set_val="complete")
# put the relative synth matrix on MongoDB
syntethic_relative_matrix["Date"] = human_date
syntethic_relative_matrix["Time"] = ref_date_arr
mongo_upload(syntethic_relative_matrix,
"collection_relative_synth",
reorder="Y",
column_set_val="complete")
# put the divisor array on MongoDB
divisor_date = timestamp_to_human(divisor_array["Time"])
divisor_array["Date"] = divisor_date
mongo_upload(divisor_array,
"collection_divisor",
reorder="Y",
column_set_val="divisor")
# put the reshaped divisor array on MongoDB
reshaped_divisor_date = timestamp_to_human(reshaped_divisor["Time"])
reshaped_divisor["Date"] = reshaped_divisor_date
mongo_upload(reshaped_divisor,
"collection_divisor_reshaped",
reorder="Y",
column_set_val="divisor")
# put the index level raw on MongoDB
index_values["Date"] = human_date
index_values["Time"] = ref_date_arr
mongo_upload(index_values,
"collection_index_level_raw",
reorder="Y",
column_set_val="index")
# put the index level 1000 on MongoDB
index_1000_base["Date"] = human_date
index_1000_base["Time"] = ref_date_arr
mongo_upload(index_1000_base,
"collection_index_level_1000",
reorder="Y",
column_set_val="index")
reference_date_vector,
)
print(divisor_array)
reshaped_divisor = divisor_reshape(divisor_array, reference_date_vector)
index_values = index_level_calc(Crypto_Asset_Prices, syntethic_relative_matrix,
divisor_array, reference_date_vector)
index_1000_base = index_based(index_values)
# pd.set_option('display.max_rows', None)
# #################### MONGO DB UPLOADS ###########################
# creating the array with human readable Date
human_date = timestamp_to_human(reference_date_vector)
# put the "Crypto_Asset_Prices" dataframe on MongoDB
Crypto_Asset_Prices["Date"] = human_date
mongo_upload(Crypto_Asset_Prices,
"collection_price",
reorder="Y",
column_set_val="complete")
# put the "Crypto_Asset_Volumes" dataframe on MongoDB
Crypto_Asset_Volume["Date"] = human_date
mongo_upload(Crypto_Asset_Volume,
"collection_volume",
reorder="Y",
column_set_val="complete")
# adding Currency (USDT/USD), Time (timestamp),
# and Standard Date (YYYY-MM-DD) columns
usdt_rates["Currency"] = np.zeros(len(usdt_rates["Rate"]))
usdt_rates["Currency"] = [
str(x).replace("0.0", "USDT/USD") for x in usdt_rates["Currency"]
]
usdt_rates["Time"] = first_call["Time"]
usdt_rates.fillna("NaN", inplace=True)
index_to_remove = usdt_rates[usdt_rates.Time == "NaN"].index
usdt_rates = usdt_rates.drop(index_to_remove)
print(usdt_rates)
usdt_rates["Standard Date"] = timestamp_to_human(first_call["Time"])
print(usdt_rates)
# correcting the date 2016-10-02 using the previous day rate
prev_rate = np.array(usdt_rates.loc[usdt_rates.Time == '1475280000', "Rate"])
usdt_rates.loc[usdt_rates.Time == '1475366400', "Rate"] = prev_rate
# USDT mongoDB upload
mongo_upload(usdt_rates, "collection_stable_rate")
# usdt_data = usdt_rates.to_dict(orient="records")
# collection_stable.insert_many(usdt_data)
# ############# USDC exchange rates computation ############
# BTC/USDC is traded on Poloniex, Kraken and bittrex
# Poloniex has the entire historoical values from 01/01/2016
def index_daily_uploader(crypto_asset_price,
crypto_asset_vol,
exc_vol_tot,
price_ret,
daily_ewma,
daily_ewma_double_check,
daily_synth,
daily_rel,
curr_divisor,
daily_index_1000_df,
raw_index_df,
new_divisor=None,
new_logic_one=None,
new_logic_two=None,
new_weights=None,
day=None):
if day is None:
day_str = datetime.now().strftime("%Y-%m-%d")
day_date = datetime.strptime(day_str, "%Y-%m-%d")
day_TS = int(day_date.replace(tzinfo=timezone.utc).timestamp())
day_before_TS = day_TS - DAY_IN_SEC
yesterday_human = timestamp_to_human([day_before_TS])
else:
day_date = datetime.strptime(day, "%Y-%m-%d")
day_before_TS = int(day_date.replace(tzinfo=timezone.utc).timestamp())
yesterday_human = timestamp_to_human([day_before_TS])
# put the "crypto_asset_price" dataframe on MongoDB
crypto_asset_price["Date"] = yesterday_human
mongo_upload(crypto_asset_price,
"collection_price",
reorder="Y",
column_set_val="complete")
# put the "crypto_asset_vols" dataframe on MongoDB
crypto_asset_vol["Date"] = yesterday_human
mongo_upload(crypto_asset_vol,
"collection_volume",
reorder="Y",
column_set_val="complete")
# put the exchange volumes on MongoDB
mongo_upload(exc_vol_tot, "collection_all_exc_vol")
# put the "price_ret" dataframe on MongoDB
price_ret["Date"] = yesterday_human
mongo_upload(price_ret,
"collection_price_ret",
reorder="Y",
column_set_val="complete")
# put the EWMA dataframe on MongoDB
daily_ewma["Date"] = yesterday_human
daily_ewma["Time"] = day_before_TS
mongo_upload(daily_ewma,
"collection_EWMA",
reorder="Y",
column_set_val="complete")
# put the double checked EWMA on MongoDB
daily_ewma_double_check["Date"] = yesterday_human
daily_ewma_double_check["Time"] = day_before_TS
mongo_upload(daily_ewma_double_check,
"collection_EWMA_check",
reorder="Y",
column_set_val="complete")
# put the synth matrix on MongoDB
daily_synth["Date"] = yesterday_human
daily_synth["Time"] = day_before_TS
mongo_upload(daily_synth,
"collection_synth",
reorder="Y",
column_set_val="complete")
# put the relative synth matrix on MongoDB
daily_rel["Date"] = yesterday_human
daily_rel["Time"] = day_before_TS
mongo_upload(daily_rel,
"collection_relative_synth",
reorder="Y",
column_set_val="complete")
# put the reshaped divisor array on MongoDB
curr_divisor["Date"] = yesterday_human
curr_divisor["Time"] = day_before_TS
mongo_upload(curr_divisor,
"collection_divisor_reshaped",
reorder="Y",
column_set_val="divisor")
# put the index level 1000 on MongoDB
daily_index_1000_df["Date"] = yesterday_human
daily_index_1000_df["Time"] = day_before_TS
mongo_upload(daily_index_1000_df,
"collection_index_level_1000",
reorder="Y",
column_set_val="index")
# put the index level raw on MongoDB
raw_index_df["Date"] = yesterday_human
raw_index_df["Time"] = day_before_TS
mongo_upload(raw_index_df,
"collection_index_level_raw",
reorder="Y",
column_set_val="index")
if new_divisor is None:
pass
else:
new_divisor["Date"] = yesterday_human
new_divisor["Time"] = day_before_TS
mongo_upload(new_divisor,
"collection_divisor_reshaped",
reorder="Y",
column_set_val="divisor")
if new_logic_one is None:
pass
else:
mongo_upload(new_logic_one,
"collection_logic_one",
reorder="Y",
column_set_val="complete")
if new_logic_two is None:
pass
else:
mongo_upload(new_logic_two,
"collection_logic_one",
reorder="Y",
column_set_val="complete")
if new_weights is None:
pass
else:
mongo_upload(new_weights,
"collection_weights",
reorder="Y",
column_set_val="complete")
return None
def index_normal_day(crypto_asset, exc_list, pair_list, coll_to_use, day=None):
# create the indexing for MongoDB
mongo_indexing()
day_before_TS, two_before_TS = days_variable(day)
two_before_human = timestamp_to_human([two_before_TS])
# defining the dictionary for the MongoDB query
query_dict = {"Time": int(day_before_TS)}
# retriving the needed information on MongoDB
daily_mat = query_mongo(DB_NAME, MONGO_DICT.get(coll_to_use), query_dict)
(crypto_asset_price, crypto_asset_vol, exc_vol_tot,
_) = index_daily_loop(daily_mat, crypto_asset, exc_list, pair_list,
day_before_TS)
# turn prices and volumes into pandas dataframe
crypto_asset_price = pd.DataFrame(crypto_asset_price, columns=CRYPTO_ASSET)
crypto_asset_vol = pd.DataFrame(crypto_asset_vol, columns=CRYPTO_ASSET)
# compute the price return of the day
two_before_price = query_mongo(DB_NAME, MONGO_DICT.get("coll_price"),
{"Time": two_before_TS})
two_before_price = two_before_price.drop(columns=["Time", "Date"])
return_df = two_before_price.append(crypto_asset_price)
price_ret = return_df.pct_change()
price_ret = price_ret.iloc[[1]]
price_ret = price_ret.replace(-1, 0)
price_ret.fillna(0, inplace=True)
# then add the 'Time' column
time_header = ["Time"]
time_header.extend(CRYPTO_ASSET)
crypto_asset_price = pd.DataFrame(crypto_asset_price, columns=time_header)
crypto_asset_price["Time"] = int(day_before_TS)
crypto_asset_vol = pd.DataFrame(crypto_asset_vol, columns=time_header)
crypto_asset_vol["Time"] = int(day_before_TS)
# adding the Time column to the price ret df
price_ret["Time"] = int(day_before_TS)
# computing the Exponential Weighted Moving Average of the day
hist_volume = query_mongo(DB_NAME, MONGO_DICT.get("coll_volume"))
hist_volume = hist_volume.drop(columns=["Date"])
hist_volume = hist_volume.append(crypto_asset_vol)
daily_ewma = daily_ewma_crypto_volume(hist_volume, CRYPTO_ASSET)
# downloading from mongoDB the current logic matrices (1 e 2)
logic_one = query_mongo(DB_NAME, MONGO_DICT.get("coll_log1"))
# taking only the logic value referred to the current period
current_logic_one = logic_one.iloc[[len(logic_one["Date"]) - 2]]
current_logic_one = current_logic_one.drop(columns=["Date", "Time"])
logic_two = query_mongo(DB_NAME, MONGO_DICT.get("coll_log2"))
# taking only the logic value referred to the current period
current_logic_two = logic_two.iloc[[len(logic_two["Date"]) - 2]]
current_logic_two = current_logic_two.drop(columns=["Date", "Time"])
# computing the ewma checked with both the first and second logic matrices
daily_ewma_first_check = np.array(daily_ewma) * np.array(current_logic_one)
daily_ewma_double_check = daily_ewma_first_check * \
np.array(current_logic_two)
daily_ewma_double_check = pd.DataFrame(daily_ewma_double_check,
columns=CRYPTO_ASSET)
# compute the daily syntethic matrix
yesterday_synt_matrix = query_mongo(DB_NAME, MONGO_DICT.get("coll_synt"),
{"Date": two_before_human[0]})
yesterday_synt_matrix = yesterday_synt_matrix.drop(
columns=["Date", "Time"])
daily_return = np.array(price_ret.loc[:, CRYPTO_ASSET])
new_synt = (1 + daily_return) * np.array(yesterday_synt_matrix)
daily_synth = pd.DataFrame(new_synt, columns=CRYPTO_ASSET)
# compute the daily relative syntethic matrix
daily_tot = np.array(daily_synth.sum(axis=1))
daily_rel = np.array(daily_synth) / daily_tot
daily_rel = pd.DataFrame(daily_rel, columns=CRYPTO_ASSET)
# daily index value computation
curr_divisor = query_mongo(DB_NAME, MONGO_DICT.get("coll_divisor_res"),
{"Date": two_before_human[0]})
curr_div_val = np.array(curr_divisor["Divisor Value"])
index_numerator = np.array(
crypto_asset_price[CRYPTO_ASSET]) * np.array(daily_rel)
numerator_sum = index_numerator.sum(axis=1)
num = pd.DataFrame(numerator_sum)
daily_index_value = np.array(num) / curr_div_val
raw_index_df = pd.DataFrame(daily_index_value, columns=["Index Value"])
# retrieving from mongoDB the yesterday value of the raw index
yesterday_raw_index = query_mongo(DB_NAME,
MONGO_DICT.get("coll_raw_index"),
{"Date": two_before_human[0]})
yesterday_raw_index = yesterday_raw_index.drop(columns=["Date", "Time"])
raw_curr = yesterday_raw_index.append(raw_index_df)
variation = raw_curr.pct_change()
variation = np.array(variation.iloc[1])
# retrieving from mongoDB the yesterday value of the raw index
yesterday_1000_index = query_mongo(DB_NAME,
MONGO_DICT.get("coll_1000_index"),
{"Date": two_before_human[0]})
daily_index_1000 = np.array(
yesterday_1000_index["Index Value"]) * (1 + variation)
daily_index_1000_df = pd.DataFrame(daily_index_1000,
columns=["Index Value"])
index_daily_uploader(crypto_asset_price,
crypto_asset_vol,
exc_vol_tot,
price_ret,
daily_ewma,
daily_ewma_double_check,
daily_synth,
daily_rel,
curr_divisor,
daily_index_1000_df,
raw_index_df,
day=day)
return None
def index_daily_operation(crypto_asset,
crypto_asset_price,
crypto_asset_vol,
day_before_TS,
curr_reb_start,
next_reb_start,
curr_board_eve,
logic_one_arr=None,
day_type=None,
day=None):
two_before_TS = day_before_TS - DAY_IN_SEC
two_before_human = timestamp_to_human([two_before_TS])
# turn prices and volumes into pandas dataframe
crypto_asset_price = pd.DataFrame(crypto_asset_price, columns=crypto_asset)
crypto_asset_vol = pd.DataFrame(crypto_asset_vol, columns=crypto_asset)
# compute the price return of the day
two_before_price = query_mongo(DB_NAME, MONGO_DICT.get("coll_price"),
{"Time": two_before_TS})
two_before_price = two_before_price.drop(columns=["Time", "Date"])
return_df = two_before_price.append(crypto_asset_price)
price_ret = return_df.pct_change()
price_ret = price_ret.iloc[[1]]
price_ret = price_ret.replace(-1, 0)
price_ret.fillna(0, inplace=True)
# then add the 'Time' column
time_header = ["Time"]
time_header.extend(crypto_asset)
crypto_asset_price = pd.DataFrame(crypto_asset_price, columns=time_header)
crypto_asset_price["Time"] = int(day_before_TS)
crypto_asset_vol = pd.DataFrame(crypto_asset_vol, columns=time_header)
crypto_asset_vol["Time"] = int(day_before_TS)
# adding the Time column to the price ret df
price_ret["Time"] = int(day_before_TS)
# computing the Exponential Weighted Moving Average of the day
hist_volume = query_mongo(DB_NAME, MONGO_DICT.get("coll_volume"))
hist_volume = hist_volume.drop(columns=["Date"])
hist_volume = hist_volume.append(crypto_asset_vol)
daily_ewma = daily_ewma_crypto_volume(hist_volume, crypto_asset)
if day_type == "board":
(first_logic_row, second_logic_row, weights_for_board,
daily_ewma_double_check) = index_board_logic_op(
crypto_asset, logic_one_arr, daily_ewma, curr_reb_start,
next_reb_start, curr_board_eve)
else:
daily_ewma_double_check = index_norm_logic_op(crypto_asset, daily_ewma)
first_logic_row = []
second_logic_row = []
# compute the daily syntethic matrix
if day_type == "start_q":
daily_synth = new_synth_op(crypto_asset, price_ret, SYNT_PTF_VALUE)
else:
yesterday_synt_matrix = query_mongo(DB_NAME,
MONGO_DICT.get("coll_synt"),
{"Date": two_before_human[0]})
yesterday_synt_matrix = yesterday_synt_matrix.drop(
columns=["Date", "Time"])
daily_return = np.array(price_ret.loc[:, crypto_asset])
new_synt = (1 + daily_return) * np.array(yesterday_synt_matrix)
daily_synth = pd.DataFrame(new_synt, columns=crypto_asset)
# compute the daily relative syntethic matrix
daily_tot = np.array(daily_synth.sum(axis=1))
daily_rel = np.array(daily_synth) / daily_tot
daily_rel = pd.DataFrame(daily_rel, columns=crypto_asset)
# daily index value computation
if day_type == "start_q":
new_divisor = new_divisor_comp(DB_NAME, two_before_price, crypto_asset)
curr_divisor = new_divisor
else:
curr_divisor = query_mongo(DB_NAME, MONGO_DICT.get("coll_divisor_res"),
{"Date": two_before_human[0]})
curr_div_val = np.array(curr_divisor["Divisor Value"])
index_numerator = np.array(
crypto_asset_price[crypto_asset]) * np.array(daily_rel)
numerator_sum = index_numerator.sum(axis=1)
num = pd.DataFrame(numerator_sum)
daily_index_value = np.array(num) / curr_div_val
raw_index_df = pd.DataFrame(daily_index_value, columns=["Index Value"])
# retrieving from mongoDB the yesterday value of the raw index
yesterday_raw_index = query_mongo(DB_NAME,
MONGO_DICT.get("coll_raw_index"),
{"Date": two_before_human[0]})
yesterday_raw_index = yesterday_raw_index.drop(columns=["Date", "Time"])
raw_curr = yesterday_raw_index.append(raw_index_df)
variation = raw_curr.pct_change()
variation = np.array(variation.iloc[1])
# retrieving from mongoDB the yesterday value of the raw index
yesterday_1000_index = query_mongo(DB_NAME,
MONGO_DICT.get("coll_1000_index"),
{"Date": two_before_human[0]})
daily_index_1000 = np.array(
yesterday_1000_index["Index Value"]) * (1 + variation)
daily_index_1000_df = pd.DataFrame(daily_index_1000,
columns=["Index Value"])
return (crypto_asset_price, crypto_asset_vol, price_ret, daily_ewma,
daily_ewma_double_check, daily_synth, daily_rel, curr_divisor,
first_logic_row, second_logic_row, weights_for_board,
daily_index_1000_df, raw_index_df, new_divisor)
collection_index_raw = db.index_level_raw
# collection for index level base 1000
collection_index_1000 = db.index_level_1000
# ################ DATE SETTINGS ########################
# define the start date as MM-DD-YYYY
start_date = "01-01-2016"
# define today in various format
today_str = datetime.now().strftime("%Y-%m-%d")
today = datetime.strptime(today_str, "%Y-%m-%d")
today_TS = int(today.replace(tzinfo=timezone.utc).timestamp())
y_TS = today_TS - 86400
two_before_TS = y_TS - 86400
today_human = data_setup.timestamp_to_human([today_TS])
yesterday_human = data_setup.timestamp_to_human([y_TS])
two_before_human = data_setup.timestamp_to_human([two_before_TS])
# define the variable containing all the date from start_date to today.
# the date are displayed as timestamp and each day refers to 12:00 am UTC
reference_date_vector = data_setup.date_gen(start_date)
# define all the useful arrays containing the rebalance start
# date, stop date, board meeting date
rebalance_start_date = calc.start_q("01-01-2016")
rebalance_stop_date = calc.stop_q(rebalance_start_date)
board_date = calc.board_meeting_day()
board_date_eve = calc.day_before_board()
next_rebalance_date = calc.next_start()
collection_index_raw = db.index_level_raw
# collection for index level base 1000
collection_index_1000 = db.index_level_1000
# ################ DATE SETTINGS ########################
# define the start date as MM-DD-YYYY
start_date = "01-01-2016"
# define today in various format
today_str = datetime.now().strftime("%Y-%m-%d")
today = datetime.strptime(today_str, "%Y-%m-%d")
today_TS = int(today.replace(tzinfo=timezone.utc).timestamp())
y_TS = today_TS - 86400
two_before_TS = y_TS - 86400
today_human = data_setup.timestamp_to_human([today_TS])
yesterday_human = data_setup.timestamp_to_human([y_TS])
two_before_human = data_setup.timestamp_to_human([two_before_TS])
# define the variable containing all the date from start_date to today.
# the date are displayed as timestamp and each day refers to 12:00 am UTC
reference_date_vector = data_setup.date_gen(start_date)
# define all the useful arrays containing the rebalance start
# date, stop date, board meeting date
rebalance_start_date = calc.start_q("01-01-2016")
rebalance_stop_date = calc.stop_q(rebalance_start_date)
board_date = calc.board_meeting_day()
board_date_eve = calc.day_before_board()
next_rebalance_date = calc.next_start()
