import warnings from pandas.core.common import SettingWithCopyWarning from src.library.dynamo.Client import Client from src.library.helpers.dates import get_dates from src.library.osmv.Osmv import Osmv from src.library.params import param warnings.simplefilter(action="ignore", category=SettingWithCopyWarning) osmv = Osmv(param.IS_LOCAL,param.BUCKET_NAME) (dbr, dbc, s3r, s3c, bucket, db_dict) = osmv.create_env("test",param.db_dict,param.db_schema) Client(dbc).add_index("data_test", "reverse", "trade_date", "S", "ref", "S") (list_of_dates,list_obj_dates) = get_dates()
import pandas as pd from src.library.dynamo.Client import Client from src.library.dynamo.Table import Table from src.library.helpers.dates import get_dates from src.library.helpers.general import bring_columns_first from src.library.osmv.Osmv import Osmv from src.library.params import param from src.library.params import rviv as param_rviv osmv = Osmv(param.IS_LOCAL, param.BUCKET_NAME) (dbr, dbc, s3r, s3c, bucket, db_dict) = osmv.select_env(param.ENV_USED) (list_of_dates, list_obj_dates) = get_dates() DB = Client(dbc) data_table = Table(dbr.Table(db_dict["data_table"])) vols_table = Table(dbr.Table(db_dict["vols_table"])) rv_table = Table(dbr.Table(db_dict["rv_table"])) iv_table = Table(dbr.Table(db_dict["iv_table"])) iv_windows = param_rviv.IV_WINDOWS AF = param_rviv.AF rv_windows = {("rv_" + k): int(AF / 365 * v) for k, v in iv_windows.items()} rv_cols = list(rv_windows.keys()) def query_rviv(ticker): rv = pd.DataFrame(rv_table.query("ticker", ticker)).set_index("trade_date") iv = pd.DataFrame(iv_table.query("ticker", ticker)).set_index("trade_date") df = pd.concat((rv, iv), axis=1)
# import logging # # import pandas as pd # # from src.library.backtest.backtester import backtest_bo # from src.library.backtest.greekneutral import greek_neutral_ts # from src.library.backtest.multiname import greek_neutral_ts # from src.library.backtest.singlename import ticker_bo_ts from src.library.dynamo.Client import Client # from src.library.dynamo.Table import Table # from src.library.helpers.lists import list_dates from src.library.osmv.Osmv import Osmv from src.library.params import param # osmv = Osmv(param.IS_LOCAL, param.BUCKET_NAME) # # (dbr, dbc, s3r, s3c, bucket, db_dict) = osmv.select_env(param.ENV_USED) # list_of_dates = list_dates() # # from pandas.core.common import SettingWithCopyWarning # import warnings # # warnings.simplefilter(action="ignore", category=SettingWithCopyWarning) # data_table = Table(dbr.Table(db_dict["data_table"])) # stock_splits_table = Table(dbr.Table(db_dict["splits_table"])) # rv_table = Table(dbr.Table(db_dict["rv_table"])) # errors_table = Table(dbr.Table(db_dict["errors_table"])) if __name__ == '__main__': # df = pd.DataFrame( # data_table.query_index_range_begins_with("reverse", "trade_date", dd, "ref", ticker + "-"))