def construct_ibo_portfolio_4date(**kwargs):
# date_to
ibo_output = ibo.generate_ibo_sheet_4date(**kwargs)
sheet_4date = ibo_output['sheet_4date']
cov_output = ibo_output['cov_output']
cov_data_integrity = cov_output['cov_data_integrity']
if cov_data_integrity < 80:
return {'success': False}
cov_matrix = cov_output['cov_matrix']
sheet_4date['qty'] = sheet_4date['ticker_head'].apply(lambda x: round(1000/m.sqrt(cov_matrix[x][x])))
sheet_4date['pnl_scaled'] = sheet_4date['pnl']*sheet_4date['qty']
return {'success': True, 'sheet_4date': sheet_4date}
def generate_ibo_formatted_output(**kwargs):
if 'report_date' in kwargs.keys():
report_date = kwargs['report_date']
else:
report_date = exp.doubledate_shift_bus_days()
output_dir = ts.create_strategy_output_dir(strategy_class='ibo', report_date=report_date)
out_dictionary = ibo.generate_ibo_sheet_4date(date_to=report_date)
cov_matrix = out_dictionary['cov_output']['cov_matrix']
cov_matrix.reset_index(drop=False,inplace=True)
writer = pd.ExcelWriter(output_dir + '/' + 'cov_matrix.xlsx', engine='xlsxwriter')
cov_matrix.to_excel(writer, sheet_name='cov_matrix')
writer.save()
cov_data_integrity = round(out_dictionary['cov_output']['cov_data_integrity'], 2)
with open(output_dir + '/' + 'covDataIntegrity.txt','w') as text_file:
text_file.write(str(cov_data_integrity))
def generate_ibo_formatted_output(**kwargs):
if 'report_date' in kwargs.keys():
report_date = kwargs['report_date']
else:
report_date = exp.doubledate_shift_bus_days()
output_dir = ts.create_strategy_output_dir(strategy_class='ibo',
report_date=report_date)
out_dictionary = ibo.generate_ibo_sheet_4date(date_to=report_date)
cov_matrix = out_dictionary['cov_output']['cov_matrix']
cov_matrix.reset_index(drop=False, inplace=True)
writer = pd.ExcelWriter(output_dir + '/' + 'cov_matrix.xlsx',
engine='xlsxwriter')
cov_matrix.to_excel(writer, sheet_name='cov_matrix')
writer.save()
cov_data_integrity = round(
out_dictionary['cov_output']['cov_data_integrity'], 2)
with open(output_dir + '/' + 'covDataIntegrity.txt', 'w') as text_file:
text_file.write(str(cov_data_integrity))
sheet_4date = out_dictionary['sheet_4date']
writer = pd.ExcelWriter(output_dir + '/summary.xlsx', engine='xlsxwriter')
sheet_4date.to_excel(writer, sheet_name='all')
worksheet_all = writer.sheets['all']
worksheet_all.freeze_panes(1, 0)
worksheet_all.autofilter(0, 0, len(sheet_4date.index),
len(sheet_4date.columns))
