def get_slippage_data(data) -> pd.DataFrame:
reporting_api = reportingApi(data,
calendar_days_back=CALENDAR_DAYS_IN_YEAR)
print("Getting data might take a while...")
slippage_comparison_pd = reporting_api.combined_df_costs()
return slippage_comparison_pd
def costs_report(
data: dataBlob = arg_not_supplied,
calendar_days_back: int = 250,
end_date: datetime.datetime = arg_not_supplied,
start_date: datetime.datetime = arg_not_supplied,
):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(
data,
start_date=start_date,
end_date=end_date,
calendar_days_back=calendar_days_back,
)
formatted_output = []
formatted_output.append(reporting_api.std_header("Costs report"))
formatted_output.append(reporting_api.table_of_slippage_comparison())
formatted_output.append(body_text("* indicates currently held position"))
formatted_output.append(reporting_api.table_of_sr_costs())
formatted_output.append(body_text("* indicates currently held position"))
formatted_output.append(reporting_api.footer())
return formatted_output
def system_status(data: dataBlob = arg_not_supplied):
"""
Report on system status
:param: data blob
:return: list of formatted output items
"""
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Status report"))
list_of_func_names = [
"table_of_control_config_list_for_all_processes",
"table_of_control_status_list_for_all_processes",
"table_of_process_status_list_for_all_processes",
"table_of_control_data_list_for_all_methods",
"table_of_last_price_updates",
"table_of_last_optimal_position_updates",
"table_of_trade_limits",
"table_of_position_limits",
"table_of_overrides",
"body_text_of_position_locks",
]
for func_name in list_of_func_names:
func = getattr(reporting_api, func_name)
formatted_output.append(func())
formatted_output.append(reporting_api.footer())
return formatted_output
def instrument_risk_report(
data: dataBlob = arg_not_supplied,
):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(
data
)
formatted_output = []
formatted_output.append(
reporting_api.terse_header("Instrument risk report"))
formatted_output.append(HEADER_TEXT)
formatted_output.append(reporting_api.table_of_risk_all_instruments(sort_by='annual_perc_stdev',
table_header="Risk of all instruments with data - sorted by annualised % standard deviation"))
formatted_output.append(reporting_api.table_of_risk_all_instruments(sort_by='annual_risk_per_contract',
table_header ="Risk of all instruments with data - sorted by annualised currency risk per contract"))
formatted_output.append(reporting_api.table_of_risk_all_instruments(sort_by='contract_exposure',
table_header ="Risk of all instruments with data - sorted by notional exposure per contract"))
formatted_output.append(reporting_api.footer())
return formatted_output
def risk_report(data: dataBlob = arg_not_supplied):
"""
Get risk report info
"""
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Risk report"))
list_of_func_names = [
"body_text_portfolio_risk_total",
"body_text_margin_usage",
"table_of_strategy_risk",
"table_of_instrument_risk",
"body_text_abs_total_all_risk_perc_capital",
"body_text_abs_total_all_risk_annualised",
"body_text_net_total_all_risk_annualised",
"table_of_correlations",
]
for func_name in list_of_func_names:
func = getattr(reporting_api, func_name)
formatted_output.append(func())
formatted_output.append(reporting_api.footer())
return formatted_output
def duplicate_market_report(
data: dataBlob = arg_not_supplied,
):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(
data
)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Duplicate markets report"))
formatted_output.append(HEADER_TEXT)
list_of_duplicate_market_tables = reporting_api.list_of_duplicate_market_tables()
formatted_output.append(reporting_api.body_text_suggest_changes_to_duplicate_markets())
formatted_output = formatted_output + list_of_duplicate_market_tables
formatted_output.append(reporting_api.footer())
return formatted_output
def remove_markets_report(data: dataBlob = arg_not_supplied, ):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(
reporting_api.terse_header("Removed markets report"))
formatted_output.append(HEADER_TEXT)
list_of_func_names = [
"body_text_existing_markets_remove",
"body_text_removed_markets_addback", "body_text_expensive_markets",
"body_text_markets_without_enough_volume_risk",
"body_text_markets_without_enough_volume_contracts",
"body_text_too_safe_markets", "body_text_explain_safety"
]
for func_name in list_of_func_names:
func = getattr(reporting_api, func_name)
formatted_output.append(func())
formatted_output.append(body_text("\n\n"))
formatted_output.append(reporting_api.footer())
return formatted_output
def reconcile_info(data=arg_not_supplied):
"""
Report on system status
:param: data blob
:return: list of formatted output items
"""
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Reconcile report"))
list_of_func_names = [
"body_text_position_breaks", "table_of_my_positions",
"table_of_ib_positions", "table_of_my_recent_trades_from_db",
"table_of_recent_ib_trades", "table_of_optimal_positions"
]
for func_name in list_of_func_names:
func = getattr(reporting_api, func_name)
formatted_output.append(func())
formatted_output.append(reporting_api.footer())
return formatted_output
def get_data_for_markets(data):
api = reportingApi(data)
SR_costs = api.SR_costs()
SR_costs = SR_costs.dropna()
liquidity_data = api.liquidity_data()
risk_data = api.instrument_risk_data_all_instruments()
return SR_costs, liquidity_data, risk_data
def liquidity_report(data: dataBlob = arg_not_supplied):
if data is arg_not_supplied:
data = dataBlob()
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Liquidity report"))
formatted_output.append(reporting_api.table_of_liquidity_contract_sort())
formatted_output.append(reporting_api.table_of_liquidity_risk_sort())
formatted_output.append(reporting_api.footer())
return formatted_output
def minimum_capital_report(data: dataBlob = arg_not_supplied, ):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.std_header("Minimum capital report"))
formatted_output.append(HEADER_TEXT)
formatted_output.append(reporting_api.table_of_minimum_capital())
formatted_output.append(reporting_api.footer())
return formatted_output
def costs_report(data: dataBlob = arg_not_supplied, ):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.std_header("Costs report"))
formatted_output.append(COSTS_REPORT_TEXT)
formatted_output.append(reporting_api.table_of_sr_costs())
formatted_output.append(body_text("* indicates currently held position"))
formatted_output.append(reporting_api.footer())
return formatted_output
def account_curve_report(data: dataBlob = arg_not_supplied,
start_date = arg_not_supplied,
end_date = arg_not_supplied):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data, start_date=start_date, end_date=end_date)
if (start_date is arg_not_supplied) and (end_date is arg_not_supplied):
formatted_output = _account_curve_report_full(reporting_api)
else:
formatted_output = _account_curve_report_with_dates(reporting_api)
return formatted_output
def pandl_info(
data: dataBlob = arg_not_supplied,
calendar_days_back=7,
start_date=arg_not_supplied,
end_date=arg_not_supplied,
):
"""
To begin with we calculate::
- change in total p&l from total capital
- p&l for each instrument, by summing over p&l per contract
:param: data blob
:return: list of formatted output items
"""
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(
data,
start_date=start_date,
end_date=end_date,
calendar_days_back=calendar_days_back,
)
formatted_output = []
formatted_output.append(reporting_api.std_header("Profit and loss report"))
list_of_func_names = [
"body_text_total_capital_pandl",
"table_pandl_for_instruments_across_strategies",
"body_text_total_pandl_for_futures",
"body_text_residual_pandl",
"table_strategy_pandl_and_residual",
"table_sector_pandl",
]
for func_name in list_of_func_names:
func = getattr(reporting_api, func_name)
formatted_output.append(func())
formatted_output.append(reporting_api.footer())
return formatted_output
def trades_info(
data=arg_not_supplied,
calendar_days_back=1,
end_date=arg_not_supplied,
start_date=arg_not_supplied,
):
"""
Report on system status
:param: data blob
:return: list of formatted output items
"""
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(
data,
start_date=start_date,
end_date=end_date,
calendar_days_back=calendar_days_back,
)
formatted_output = []
formatted_output.append(reporting_api.std_header("Trades report"))
list_of_table_names = [
"table_of_orders_overview",
"table_of_order_delays",
"table_of_raw_slippage",
"table_of_vol_slippage",
"table_of_cash_slippage",
]
for table_name in list_of_table_names:
func = getattr(reporting_api, table_name)
formatted_output.append(func())
## special case
list_of_summary = reporting_api.list_of_cash_summary_text()
formatted_output = formatted_output + list_of_summary
formatted_output.append(reporting_api.footer())
return formatted_output
def market_monitor_report(data: dataBlob = arg_not_supplied,
start_date=arg_not_supplied,
end_date=arg_not_supplied):
if data is arg_not_supplied:
data = dataBlob()
reporting_api = reportingApi(data,
start_date=start_date,
end_date=end_date)
if (start_date is arg_not_supplied) and (end_date is arg_not_supplied):
formatted_output = _market_monitor_report_full(reporting_api)
else:
formatted_output = _market_monitor_with_dates(reporting_api)
formatted_output.append(reporting_api.footer())
return formatted_output
def roll_info(data, instrument_code=ALL_ROLL_INSTRUMENTS):
"""
Get some roll info. For all markets which are:
- currently rolling
- need to have roll status changed now or in the near future
We calculate:
- Volume data
- Curve data
- Length to expiry data (contract and/or carry)
- Current roll status
- Suggested roll status
:param: data blob
:return: list of pd.DataFrame
"""
reporting_api = reportingApi(data)
formatted_output = []
formatted_output.append(reporting_api.terse_header("Roll report"))
formatted_output.append(reporting_api.table_of_roll_data(instrument_code))
formatted_output.append(
body_text(
"Roll_exp is days until preferred roll set by roll parameters. Prc_exp is days until price contract expires, "
"Crry_exp is days until carry contract expires"))
formatted_output.append(
body_text("Contract suffix: p=price, f=forward, c=carry"))
formatted_output.append(
body_text(
"Contract volumes over recent days, normalised so largest volume is 1.0"
))
formatted_output.append(reporting_api.footer())
return formatted_output
def get_reporting_api():
return reportingApi(data, calendar_days_back=1)
