def monthly_seasonality(self,
data_frame,
cum=True,
add_average=False,
price_index=False):
calculations = Calculations()
if price_index:
data_frame = data_frame.resample(
'BM').mean() # resample into month end
data_frame = calculations.calculate_returns(data_frame)
data_frame.index = pandas.to_datetime(data_frame.index)
monthly_seasonality = calculations.average_by_month(data_frame)
if add_average:
monthly_seasonality['Avg'] = monthly_seasonality.mean(axis=1)
if cum is True:
monthly_seasonality.loc[0] = numpy.zeros(
len(monthly_seasonality.columns))
monthly_seasonality = monthly_seasonality.sort_index()
monthly_seasonality = calculations.create_mult_index(
monthly_seasonality)
return monthly_seasonality
def bus_day_of_month_seasonality(self, data_frame,
month_list = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12], cum = True,
cal = "FX", partition_by_month = True, add_average = False, price_index = False):
calculations = Calculations()
filter = Filter()
if price_index:
data_frame = data_frame.resample('B') # resample into business days
data_frame = calculations.calculate_returns(data_frame)
data_frame.index = pandas.to_datetime(data_frame.index)
data_frame = filter.filter_time_series_by_holidays(data_frame, cal)
monthly_seasonality = calculations.average_by_month_day_by_bus_day(data_frame, cal)
monthly_seasonality = monthly_seasonality.loc[month_list]
if partition_by_month:
monthly_seasonality = monthly_seasonality.unstack(level=0)
if add_average:
monthly_seasonality['Avg'] = monthly_seasonality.mean(axis=1)
if cum is True:
if partition_by_month:
monthly_seasonality.loc[0] = numpy.zeros(len(monthly_seasonality.columns))
# monthly_seasonality.index = monthly_seasonality.index + 1 # shifting index
monthly_seasonality = monthly_seasonality.sort_index()
monthly_seasonality = calculations.create_mult_index(monthly_seasonality)
return monthly_seasonality
def bus_day_of_month_seasonality(
self,
data_frame,
month_list=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12],
cum=True,
cal="FX",
partition_by_month=True,
add_average=False,
price_index=False,
resample_freq='B'):
calculations = Calculations()
filter = Filter()
if price_index:
data_frame = data_frame.resample(
resample_freq).mean() # resample into business days
data_frame = calculations.calculate_returns(data_frame)
data_frame.index = pandas.to_datetime(data_frame.index)
data_frame = filter.filter_time_series_by_holidays(data_frame, cal)
if resample_freq == 'B': # business days
monthly_seasonality = calculations.average_by_month_day_by_bus_day(
data_frame, cal)
elif resample_freq == 'D': # calendar days
monthly_seasonality = calculations.average_by_month_day_by_day(
data_frame)
monthly_seasonality = monthly_seasonality.loc[month_list]
if partition_by_month:
monthly_seasonality = monthly_seasonality.unstack(level=0)
if add_average:
monthly_seasonality['Avg'] = monthly_seasonality.mean(axis=1)
if cum is True:
if partition_by_month:
monthly_seasonality.loc[0] = numpy.zeros(
len(monthly_seasonality.columns))
# monthly_seasonality.index = monthly_seasonality.index + 1 # shifting index
monthly_seasonality = monthly_seasonality.sort_index()
monthly_seasonality = calculations.create_mult_index(
monthly_seasonality)
return monthly_seasonality
def calculate_vol_adjusted_index_from_prices(self, prices_df, br):
"""Adjusts an index of prices for a vol target
Parameters
----------
br : BacktestRequest
Parameters for the backtest specifying start date, finish data, transaction costs etc.
asset_a_df : pandas.DataFrame
Asset prices to be traded
Returns
-------
pandas.Dataframe containing vol adjusted index
"""
calculations = Calculations()
returns_df, leverage_df = self.calculate_vol_adjusted_returns(prices_df, br, returns=False)
return calculations.create_mult_index(returns_df)
def calculate_vol_adjusted_index_from_prices(self, prices_df, br):
"""
calculate_vol_adjusted_index_from_price - Adjusts an index of prices for a vol target
Parameters
----------
br : BacktestRequest
Parameters for the backtest specifying start date, finish data, transaction costs etc.
asset_a_df : pandas.DataFrame
Asset prices to be traded
Returns
-------
pandas.Dataframe containing vol adjusted index
"""
calculations = Calculations()
returns_df, leverage_df = self.calculate_vol_adjusted_returns(prices_df, br, returns=False)
return calculations.create_mult_index(returns_df)
def monthly_seasonality(self, data_frame,
cum = True,
add_average = False, price_index = False):
calculations = Calculations()
if price_index:
data_frame = data_frame.resample('BM').mean() # resample into month end
data_frame = calculations.calculate_returns(data_frame)
data_frame.index = pandas.to_datetime(data_frame.index)
monthly_seasonality = calculations.average_by_month(data_frame)
if add_average:
monthly_seasonality['Avg'] = monthly_seasonality.mean(axis=1)
if cum is True:
monthly_seasonality.loc[0] = numpy.zeros(len(monthly_seasonality.columns))
monthly_seasonality = monthly_seasonality.sort_index()
monthly_seasonality = calculations.create_mult_index(monthly_seasonality)
return monthly_seasonality
class FXCrossFactory(object):
"""Generates FX spot time series and FX total return time series (assuming we already have
total return indices available from xxxUSD form) from underlying series. Can also produce cross rates from the USD
crosses.
"""
def __init__(self, market_data_generator=None):
self.fxconv = FXConv()
self.cache = {}
self._calculations = Calculations()
self._market_data_generator = market_data_generator
return
def get_fx_cross_tick(self,
start,
end,
cross,
cut="NYC",
data_source="dukascopy",
cache_algo='internet_load_return',
type='spot',
environment='backtest',
fields=['bid', 'ask']):
if isinstance(cross, str):
cross = [cross]
market_data_request = MarketDataRequest(
gran_freq="tick",
freq_mult=1,
freq='tick',
cut=cut,
fields=['bid', 'ask', 'bidv', 'askv'],
cache_algo=cache_algo,
environment=environment,
start_date=start,
finish_date=end,
data_source=data_source,
category='fx')
market_data_generator = self._market_data_generator
data_frame_agg = None
for cr in cross:
if (type == 'spot'):
market_data_request.tickers = cr
cross_vals = market_data_generator.fetch_market_data(
market_data_request)
if cross_vals is not None:
# If user only wants 'close' calculate that from the bid/ask fields
if fields == ['close']:
cross_vals = cross_vals[[cr + '.bid',
cr + '.ask']].mean(axis=1)
cross_vals.columns = [cr + '.close']
else:
filter = Filter()
filter_columns = [cr + '.' + f for f in fields]
cross_vals = filter.filter_time_series_by_columns(
filter_columns, cross_vals)
if data_frame_agg is None:
data_frame_agg = cross_vals
else:
data_frame_agg = data_frame_agg.join(cross_vals, how='outer')
if data_frame_agg is not None:
# Strip the nan elements
data_frame_agg = data_frame_agg.dropna()
return data_frame_agg
def get_fx_cross(self,
start,
end,
cross,
cut="NYC",
data_source="bloomberg",
freq="intraday",
cache_algo='internet_load_return',
type='spot',
environment='backtest',
fields=['close']):
if data_source == "gain" or data_source == 'dukascopy' or freq == 'tick':
return self.get_fx_cross_tick(start,
end,
cross,
cut=cut,
data_source=data_source,
cache_algo=cache_algo,
type='spot',
fields=fields)
if isinstance(cross, str):
cross = [cross]
market_data_request_list = []
freq_list = []
type_list = []
for cr in cross:
market_data_request = MarketDataRequest(freq_mult=1,
cut=cut,
fields=['close'],
freq=freq,
cache_algo=cache_algo,
start_date=start,
finish_date=end,
data_source=data_source,
environment=environment)
market_data_request.type = type
market_data_request.cross = cr
if freq == 'intraday':
market_data_request.gran_freq = "minute" # intraday
elif freq == 'daily':
market_data_request.gran_freq = "daily" # daily
market_data_request_list.append(market_data_request)
data_frame_agg = []
# Depends on the nature of operation as to whether we should use threading or multiprocessing library
if constants.market_thread_technique is "thread":
from multiprocessing.dummy import Pool
else:
# Most of the time is spend waiting for Bloomberg to return, so can use threads rather than multiprocessing
# must use the multiprocess library otherwise can't pickle objects correctly
# note: currently not very stable
from multiprocess import Pool
thread_no = constants.market_thread_no['other']
if market_data_request_list[
0].data_source in constants.market_thread_no:
thread_no = constants.market_thread_no[
market_data_request_list[0].data_source]
# Fudge, issue with multithreading and accessing HDF5 files
# if self._market_data_generator.__class__.__name__ == 'CachedMarketDataGenerator':
# thread_no = 0
thread_no = 0
if (thread_no > 0):
pool = Pool(thread_no)
# Open the market data downloads in their own threads and return the results
df_list = pool.map_async(self._get_individual_fx_cross,
market_data_request_list).get()
data_frame_agg = self._calculations.iterative_outer_join(df_list)
# data_frame_agg = self._calculations.pandas_outer_join(result.get())
try:
pool.close()
pool.join()
except:
pass
else:
for md_request in market_data_request_list:
data_frame_agg.append(
self._get_individual_fx_cross(md_request))
data_frame_agg = self._calculations.pandas_outer_join(
data_frame_agg)
# Strip the nan elements
data_frame_agg = data_frame_agg.dropna(how='all')
# self.speed_cache.put_dataframe(key, data_frame_agg)
return data_frame_agg
def _get_individual_fx_cross(self, market_data_request):
cr = market_data_request.cross
type = market_data_request.type
freq = market_data_request.freq
base = cr[0:3]
terms = cr[3:6]
if (type == 'spot'):
# Non-USD crosses
if base != 'USD' and terms != 'USD':
base_USD = self.fxconv.correct_notation('USD' + base)
terms_USD = self.fxconv.correct_notation('USD' + terms)
# TODO check if the cross exists in the database
# Download base USD cross
market_data_request.tickers = base_USD
market_data_request.category = 'fx'
base_vals = self._market_data_generator.fetch_market_data(
market_data_request)
# Download terms USD cross
market_data_request.tickers = terms_USD
market_data_request.category = 'fx'
terms_vals = self._market_data_generator.fetch_market_data(
market_data_request)
# If quoted USD/base flip to get USD terms
if (base_USD[0:3] == 'USD'):
base_vals = 1 / base_vals
# If quoted USD/terms flip to get USD terms
if (terms_USD[0:3] == 'USD'):
terms_vals = 1 / terms_vals
base_vals.columns = ['temp']
terms_vals.columns = ['temp']
cross_vals = base_vals.div(terms_vals, axis='index')
cross_vals.columns = [cr + '.close']
base_vals.columns = [base_USD + '.close']
terms_vals.columns = [terms_USD + '.close']
else:
# if base == 'USD': non_USD = terms
# if terms == 'USD': non_USD = base
correct_cr = self.fxconv.correct_notation(cr)
market_data_request.tickers = correct_cr
market_data_request.category = 'fx'
cross_vals = self._market_data_generator.fetch_market_data(
market_data_request)
# Special case for USDUSD!
if base + terms == 'USDUSD':
if freq == 'daily':
cross_vals = pd.DataFrame(1,
index=cross_vals.index,
columns=cross_vals.columns)
filter = Filter()
cross_vals = filter.filter_time_series_by_holidays(
cross_vals, cal='WEEKDAY')
else:
# Flip if not convention (eg. JPYUSD)
if (correct_cr != cr):
cross_vals = 1 / cross_vals
# cross_vals = self._market_data_generator.harvest_time_series(market_data_request)
cross_vals.columns = [cr + '.close']
elif type[0:3] == "tot":
if freq == 'daily':
# Download base USD cross
market_data_request.tickers = base + 'USD'
market_data_request.category = 'fx-' + type
if type[0:3] == "tot":
base_vals = self._market_data_generator.fetch_market_data(
market_data_request)
# Download terms USD cross
market_data_request.tickers = terms + 'USD'
market_data_request.category = 'fx-' + type
if type[0:3] == "tot":
terms_vals = self._market_data_generator.fetch_market_data(
market_data_request)
# base_rets = self._calculations.calculate_returns(base_vals)
# terms_rets = self._calculations.calculate_returns(terms_vals)
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == 'USDUSD':
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0,
index=base_rets.index,
columns=base_rets.columns)
elif base + 'USD' == 'USDUSD':
cross_rets = -self._calculations.calculate_returns(
terms_vals)
elif terms + 'USD' == 'USDUSD':
cross_rets = self._calculations.calculate_returns(
base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(
terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [cr + '-' + type + '.close']
elif freq == 'intraday':
LoggerManager().getLogger(__name__).info(
'Total calculated returns for intraday not implemented yet'
)
return None
return cross_vals
class FXCrossFactory(object):
def __init__(self, market_data_generator=None):
self.logger = LoggerManager().getLogger(__name__)
self.fxconv = FXConv()
self.cache = {}
self.calculations = Calculations()
self.market_data_generator = market_data_generator
return
def flush_cache(self):
self.cache = {}
def get_fx_cross_tick(self,
start,
end,
cross,
cut="NYC",
source="dukascopy",
cache_algo='internet_load_return',
type='spot',
environment='backtest',
fields=['bid', 'ask']):
if isinstance(cross, str):
cross = [cross]
market_data_request = MarketDataRequest(
gran_freq="tick",
freq_mult=1,
freq='tick',
cut=cut,
fields=['bid', 'ask', 'bidv', 'askv'],
cache_algo=cache_algo,
environment=environment,
start_date=start,
finish_date=end,
data_source=source,
category='fx')
market_data_generator = self.market_data_generator
data_frame_agg = None
for cr in cross:
if (type == 'spot'):
market_data_request.tickers = cr
cross_vals = market_data_generator.fetch_market_data(
market_data_request)
# if user only wants 'close' calculate that from the bid/ask fields
if fields == ['close']:
cross_vals = cross_vals[[cr + '.bid',
cr + '.ask']].mean(axis=1)
cross_vals.columns = [cr + '.close']
if data_frame_agg is None:
data_frame_agg = cross_vals
else:
data_frame_agg = data_frame_agg.join(cross_vals, how='outer')
# strip the nan elements
data_frame_agg = data_frame_agg.dropna()
return data_frame_agg
def get_fx_cross(self,
start,
end,
cross,
cut="NYC",
source="bloomberg",
freq="intraday",
cache_algo='internet_load_return',
type='spot',
environment='backtest',
fields=['close']):
if source == "gain" or source == 'dukascopy' or freq == 'tick':
return self.get_fx_cross_tick(start,
end,
cross,
cut=cut,
source=source,
cache_algo=cache_algo,
type='spot',
fields=fields)
if isinstance(cross, str):
cross = [cross]
market_data_request_list = []
freq_list = []
type_list = []
for cr in cross:
market_data_request = MarketDataRequest(freq_mult=1,
cut=cut,
fields=['close'],
freq=freq,
cache_algo=cache_algo,
start_date=start,
finish_date=end,
data_source=source,
environment=environment)
market_data_request.type = type
market_data_request.cross = cr
if freq == 'intraday':
market_data_request.gran_freq = "minute" # intraday
elif freq == 'daily':
market_data_request.gran_freq = "daily" # daily
market_data_request_list.append(market_data_request)
data_frame_agg = []
# depends on the nature of operation as to whether we should use threading or multiprocessing library
if DataConstants().market_thread_technique is "thread":
from multiprocessing.dummy import Pool
else:
# most of the time is spend waiting for Bloomberg to return, so can use threads rather than multiprocessing
# must use the multiprocessing_on_dill library otherwise can't pickle objects correctly
# note: currently not very stable
from multiprocessing_on_dill import Pool
thread_no = DataConstants().market_thread_no['other']
if market_data_request_list[0].data_source in DataConstants(
).market_thread_no:
thread_no = DataConstants().market_thread_no[
market_data_request_list[0].data_source]
# fudge, issue with multithreading and accessing HDF5 files
# if self.market_data_generator.__class__.__name__ == 'CachedMarketDataGenerator':
# thread_no = 0
if (thread_no > 0):
pool = Pool(thread_no)
# open the market data downloads in their own threads and return the results
result = pool.map_async(self._get_individual_fx_cross,
market_data_request_list)
data_frame_agg = self.calculations.iterative_outer_join(
result.get())
# data_frame_agg = self.calculations.pandas_outer_join(result.get())
# pool would have already been closed earlier
# try:
# pool.close()
# pool.join()
# except: pass
else:
for md_request in market_data_request_list:
data_frame_agg.append(
self._get_individual_fx_cross(md_request))
data_frame_agg = self.calculations.pandas_outer_join(
data_frame_agg)
# strip the nan elements
data_frame_agg = data_frame_agg.dropna()
return data_frame_agg
def _get_individual_fx_cross(self, market_data_request):
cr = market_data_request.cross
type = market_data_request.type
freq = market_data_request.freq
base = cr[0:3]
terms = cr[3:6]
if (type == 'spot'):
# non-USD crosses
if base != 'USD' and terms != 'USD':
base_USD = self.fxconv.correct_notation('USD' + base)
terms_USD = self.fxconv.correct_notation('USD' + terms)
# TODO check if the cross exists in the database
# download base USD cross
market_data_request.tickers = base_USD
market_data_request.category = 'fx'
if base_USD + '.close' in self.cache:
base_vals = self.cache[base_USD + '.close']
else:
base_vals = self.market_data_generator.fetch_market_data(
market_data_request)
self.cache[base_USD + '.close'] = base_vals
# download terms USD cross
market_data_request.tickers = terms_USD
market_data_request.category = 'fx'
if terms_USD + '.close' in self.cache:
terms_vals = self.cache[terms_USD + '.close']
else:
terms_vals = self.market_data_generator.fetch_market_data(
market_data_request)
self.cache[terms_USD + '.close'] = terms_vals
# if quoted USD/base flip to get USD terms
if (base_USD[0:3] == 'USD'):
if 'USD' + base in '.close' in self.cache:
base_vals = self.cache['USD' + base + '.close']
else:
base_vals = 1 / base_vals
self.cache['USD' + base + '.close'] = base_vals
# if quoted USD/terms flip to get USD terms
if (terms_USD[0:3] == 'USD'):
if 'USD' + terms in '.close' in self.cache:
terms_vals = self.cache['USD' + terms + '.close']
else:
terms_vals = 1 / terms_vals
self.cache['USD' + terms + '.close'] = base_vals
base_vals.columns = ['temp']
terms_vals.columns = ['temp']
cross_vals = base_vals.div(terms_vals, axis='index')
cross_vals.columns = [cr + '.close']
base_vals.columns = [base_USD + '.close']
terms_vals.columns = [terms_USD + '.close']
else:
# if base == 'USD': non_USD = terms
# if terms == 'USD': non_USD = base
correct_cr = self.fxconv.correct_notation(cr)
market_data_request.tickers = correct_cr
market_data_request.category = 'fx'
if correct_cr + '.close' in self.cache:
cross_vals = self.cache[correct_cr + '.close']
else:
cross_vals = self.market_data_generator.fetch_market_data(
market_data_request)
# flip if not convention
if (correct_cr != cr):
if cr + '.close' in self.cache:
cross_vals = self.cache[cr + '.close']
else:
cross_vals = 1 / cross_vals
self.cache[cr + '.close'] = cross_vals
self.cache[correct_cr + '.close'] = cross_vals
# cross_vals = self.market_data_generator.harvest_time_series(market_data_request)
cross_vals.columns.names = [cr + '.close']
elif type[0:3] == "tot":
if freq == 'daily':
# download base USD cross
market_data_request.tickers = base + 'USD'
market_data_request.category = 'fx-tot'
if type == "tot":
base_vals = self.market_data_generator.fetch_market_data(
market_data_request)
else:
x = 0
# download terms USD cross
market_data_request.tickers = terms + 'USD'
market_data_request.category = 'fx-tot'
if type == "tot":
terms_vals = self.market_data_generator.fetch_market_data(
market_data_request)
else:
pass
base_rets = self.calculations.calculate_returns(base_vals)
terms_rets = self.calculations.calculate_returns(terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# first returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self.calculations.create_mult_index(cross_rets)
cross_vals.columns = [cr + '-tot.close']
elif freq == 'intraday':
self.logger.info(
'Total calculated returns for intraday not implemented yet'
)
return None
return cross_vals
class FXSpotCurve(object):
"""Construct total return (spot) indices for FX. In future will also convert assets from local currency to foreign currency
denomination and construct indices from forwards series.
"""
def __init__(self,
market_data_generator=None,
depo_tenor='ON',
construct_via_currency='no'):
self._market_data_generator = market_data_generator
self._calculations = Calculations()
self._depo_tenor = depo_tenor
self._construct_via_currency = construct_via_currency
def generate_key(self):
from findatapy.market.ioengine import SpeedCache
# Don't include any "large" objects in the key
return SpeedCache().generate_key(
self, ['_market_data_generator', '_calculations'])
def fetch_continuous_time_series(self,
md_request,
market_data_generator,
construct_via_currency=None):
if market_data_generator is None:
market_data_generator = self._market_data_generator
if construct_via_currency is None:
construct_via_currency = self._construct_via_currency
# Eg. we construct AUDJPY via AUDJPY directly
if construct_via_currency == 'no':
base_depo_tickers = [
x[0:3] + self._depo_tenor for x in md_request.tickers
]
terms_depo_tickers = [
x[3:6] + self._depo_tenor for x in md_request.tickers
]
depo_tickers = list(set(base_depo_tickers + terms_depo_tickers))
market = Market(market_data_generator=market_data_generator)
# Deposit data for base and terms currency
md_request_download = MarketDataRequest(md_request=md_request)
md_request_download.tickers = depo_tickers
md_request_download.category = 'base-depos'
md_request_download.fields = 'close'
md_request_download.abstract_curve = None
depo_df = market.fetch_market(md_request_download)
# Spot data
md_request_download.tickers = md_request.tickers
md_request_download.category = 'fx'
spot_df = market.fetch_market(md_request_download)
return self.construct_total_return_index(md_request.tickers,
self._depo_tenor, spot_df,
depo_df)
else:
# eg. we calculate via your domestic currency such as USD, so returns will be in your domestic currency
# Hence AUDJPY would be calculated via AUDUSD and JPYUSD (subtracting the difference in returns)
total_return_indices = []
for tick in md_request.tickers:
base = tick[0:3]
terms = tick[3:6]
md_request_base = MarketDataRequest(md_request=md_request)
md_request_base.tickers = base + construct_via_currency
md_request_terms = MarketDataRequest(md_request=md_request)
md_request_terms.tickers = terms + construct_via_currency
base_vals = self.fetch_continuous_time_series(
md_request_base,
market_data_generator,
construct_via_currency='no')
terms_vals = self.fetch_continuous_time_series(
md_request_terms,
market_data_generator,
construct_via_currency='no')
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == 'USDUSD':
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0,
index=base_rets.index,
columns=base_rets.columns)
elif base + 'USD' == 'USDUSD':
cross_rets = -self._calculations.calculate_returns(
terms_vals)
elif terms + 'USD' == 'USDUSD':
cross_rets = self._calculations.calculate_returns(
base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(
terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [tick + '-tot.close']
total_return_indices.append(cross_vals)
return self._calculations.pandas_outer_join(total_return_indices)
def unhedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None):
pass
def hedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None,
total_return_indices_df=None):
pass
def get_day_count_conv(self, currency):
if currency in ['AUD', 'CAD', 'GBP', 'NZD']:
return 365.0
return 360.0
def construct_total_return_index(self, cross_fx, tenor, spot_df,
deposit_df):
"""Creates total return index for selected FX crosses from spot and deposit data
Parameters
----------
cross_fx : String
Crosses to construct total return indices (can be a list)
tenor : String
Tenor of deposit rates to use to compute carry (typically ON for spot)
spot_df : pd.DataFrame
Spot data (must include crosses we select)
deposit_df : pd.DataFrame
Deposit data
Returns
-------
pd.DataFrame
"""
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
total_return_index_agg = []
for cross in cross_fx:
# Get the spot series, base deposit
base_deposit = deposit_df[cross[0:3] + tenor + ".close"].to_frame()
terms_deposit = deposit_df[cross[3:6] + tenor +
".close"].to_frame()
# Eg. if we specify USDUSD
if cross[0:3] == cross[3:6]:
total_return_index_agg.append(
pd.DataFrame(100,
index=base_deposit.index,
columns=[cross + "-tot.close"]))
else:
carry = base_deposit.join(terms_deposit, how='inner')
spot = spot_df[cross + ".close"].to_frame()
base_daycount = self.get_day_count_conv(cross[0:3])
terms_daycount = self.get_day_count_conv(cross[4:6])
# Align the base & terms deposits series to spot
spot, carry = spot.align(carry, join='left', axis=0)
# Sometimes depo data can be patchy, ok to fill down, given not very volatile (don't do this with spot!)
carry = carry.fillna(method='ffill') / 100.0
# In case there are values missing at start of list (fudge for old data!)
carry = carry.fillna(method='bfill')
spot = spot[cross + ".close"].to_frame()
base_deposit = carry[base_deposit.columns]
terms_deposit = carry[terms_deposit.columns]
# Calculate the time difference between each data point
spot['index_col'] = spot.index
time = spot['index_col'].diff()
spot = spot.drop('index_col', 1)
total_return_index = pd.DataFrame(
index=spot.index, columns=[cross + "-tot.close"])
total_return_index.iloc[0] = 100
time_diff = time.values.astype(
float) / 86400000000000.0 # get time difference in days
for i in range(1, len(total_return_index.index)):
# TODO vectorise this formulae or use Numba
# Calculate total return index as product of yesterday, changes in spot and carry accrued
total_return_index.values[i] = total_return_index.values[i - 1] * \
(1 + (1 + base_deposit.values[i] * time_diff[i] / base_daycount) *
(spot.values[i] / spot.values[i - 1]) \
- (1 + terms_deposit.values[i] * time_diff[i] / terms_daycount))
total_return_index_agg.append(total_return_index)
return self._calculations.pandas_outer_join(total_return_index_agg)
def get_intraday_moves_over_custom_event(self, data_frame_rets, ef_time_frame, vol=False,
minute_start = 5, mins = 3 * 60, min_offset = 0 , create_index = False,
resample = False, freq = 'minutes'):
filter = Filter()
ef_time_frame = filter.filter_time_series_by_date(data_frame_rets.index[0], data_frame_rets.index[-1], ef_time_frame)
ef_time = ef_time_frame.index
if freq == 'minutes':
ef_time_start = ef_time - timedelta(minutes = minute_start)
ef_time_end = ef_time + timedelta(minutes = mins)
ann_factor = 252 * 1440
elif freq == 'days':
ef_time = ef_time_frame.index.normalize()
ef_time_start = ef_time - timedelta(days = minute_start)
ef_time_end = ef_time + timedelta(days = mins)
ann_factor = 252
ords = range(-minute_start + min_offset, mins + min_offset)
# all data needs to be equally spaced
if resample:
# make sure time series is properly sampled at 1 min intervals
data_frame_rets = data_frame_rets.resample('1min')
data_frame_rets = data_frame_rets.fillna(value = 0)
data_frame_rets = filter.remove_out_FX_out_of_hours(data_frame_rets)
data_frame_rets['Ind'] = numpy.nan
start_index = data_frame_rets.index.searchsorted(ef_time_start)
finish_index = data_frame_rets.index.searchsorted(ef_time_end)
# not all observation windows will be same length (eg. last one?)
# fill the indices which represent minutes
# TODO vectorise this!
for i in range(0, len(ef_time_frame.index)):
try:
data_frame_rets.ix[start_index[i]:finish_index[i], 'Ind'] = ords
except:
data_frame_rets.ix[start_index[i]:finish_index[i], 'Ind'] = ords[0:(finish_index[i] - start_index[i])]
# set the release dates
data_frame_rets.ix[start_index,'Rel'] = ef_time # set entry points
data_frame_rets.ix[finish_index + 1,'Rel'] = numpy.zeros(len(start_index)) # set exit points
data_frame_rets['Rel'] = data_frame_rets['Rel'].fillna(method = 'pad') # fill down signals
data_frame_rets = data_frame_rets[pandas.notnull(data_frame_rets['Ind'])] # get rid of other
data_frame = data_frame_rets.pivot(index='Ind',
columns='Rel', values=data_frame_rets.columns[0])
data_frame.index.names = [None]
if create_index:
calculations = Calculations()
data_frame.ix[-minute_start + min_offset,:] = numpy.nan
data_frame = calculations.create_mult_index(data_frame)
else:
if vol is True:
# annualise (if vol)
data_frame = data_frame.rolling(center=False,window=5).std() * math.sqrt(ann_factor)
else:
data_frame = data_frame.cumsum()
return data_frame
def get_intraday_moves_over_custom_event(self, data_frame_rets, ef_time_frame, vol=False,
minute_start = 5, mins = 3 * 60, min_offset = 0 , create_index = False,
resample = False, freq = 'minutes', cumsum = True):
filter = Filter()
ef_time_frame = filter.filter_time_series_by_date(data_frame_rets.index[0], data_frame_rets.index[-1], ef_time_frame)
ef_time = ef_time_frame.index
if freq == 'minutes':
ef_time_start = ef_time - timedelta(minutes = minute_start)
ef_time_end = ef_time + timedelta(minutes = mins)
#annualization factor
ann_factor = 252 * 1440
elif freq == 'days':
ef_time = ef_time_frame.index.normalize()
ef_time_start = ef_time - timedelta(days = minute_start)
ef_time_end = ef_time + timedelta(days = mins)
ann_factor = 252
ords = range(-minute_start + min_offset, mins + min_offset)
# all data needs to be equally spaced
if resample:
# make sure time series is properly sampled at 1 min intervals
data_frame_rets = data_frame_rets.resample('1min')
data_frame_rets = data_frame_rets.fillna(value = 0)
data_frame_rets = filter.remove_out_FX_out_of_hours(data_frame_rets)
#clear our indicator signals
data_frame_rets['Ind'] = numpy.nan
start_index = data_frame_rets.index.searchsorted(ef_time_start)
finish_index = data_frame_rets.index.searchsorted(ef_time_end)
# not all observation windows will be same length (eg. last one?)
# fill the indices which represent minutes
# TODO vectorise this!
for i in range(0, len(ef_time_frame.index)):
try:
data_frame_rets.ix[start_index[i]:finish_index[i], 'Ind'] = ords
except:
data_frame_rets.ix[start_index[i]:finish_index[i], 'Ind'] = ords[0:(finish_index[i] - start_index[i])]
# set the release dates
data_frame_rets.ix[start_index,'Rel'] = ef_time # set entry points
data_frame_rets.ix[finish_index + 1,'Rel'] = numpy.zeros(len(start_index)) # set exit points
data_frame_rets['Rel'] = data_frame_rets['Rel'].fillna(method = 'pad') # fill down signals
data_frame_rets = data_frame_rets[pandas.notnull(data_frame_rets['Ind'])] # get rid of other
data_frame = data_frame_rets.pivot(index='Ind',
columns='Rel', values=data_frame_rets.columns[0])
data_frame.index.names = [None]
if create_index:
calculations = Calculations()
data_frame.ix[-minute_start + min_offset,:] = numpy.nan
data_frame = calculations.create_mult_index(data_frame)
else:
if vol is True:
# annualise (if vol)
data_frame = data_frame.rolling(center=False,window=5).std() * math.sqrt(ann_factor)
elif cumsum:
data_frame = data_frame.cumsum()
return data_frame
class FXOptionsCurve(object):
"""Constructs continuous forwards time series total return indices from underlying forwards contracts.
"""
def __init__(
self,
market_data_generator=None,
fx_vol_surface=None,
enter_trading_dates=None,
fx_options_trading_tenor=market_constants.fx_options_trading_tenor,
roll_days_before=market_constants.fx_options_roll_days_before,
roll_event=market_constants.fx_options_roll_event,
construct_via_currency='no',
fx_options_tenor_for_interpolation=market_constants.
fx_options_tenor_for_interpolation,
base_depos_tenor=data_constants.base_depos_tenor,
roll_months=market_constants.fx_options_roll_months,
cum_index=market_constants.fx_options_cum_index,
strike=market_constants.fx_options_index_strike,
contract_type=market_constants.fx_options_index_contract_type,
premium_output=market_constants.fx_options_index_premium_output,
position_multiplier=1,
depo_tenor_for_option=market_constants.fx_options_depo_tenor,
freeze_implied_vol=market_constants.fx_options_freeze_implied_vol,
tot_label='',
cal=None,
output_calculation_fields=market_constants.
output_calculation_fields):
"""Initializes FXForwardsCurve
Parameters
----------
market_data_generator : MarketDataGenerator
Used for downloading market data
fx_vol_surface : FXVolSurface
We can specify the FX vol surface beforehand if we want
fx_options_trading_tenor : str
What is primary forward contract being used to trade (default - '1M')
roll_days_before : int
Number of days before roll event to enter into a new forwards contract
roll_event : str
What constitutes a roll event? ('month-end', 'quarter-end', 'year-end', 'expiry')
cum_index : str
In total return index, do we compute in additive or multiplicative way ('add' or 'mult')
construct_via_currency : str
What currency should we construct the forward via? Eg. if we asked for AUDJPY we can construct it via
AUDUSD & JPYUSD forwards, as opposed to AUDJPY forwards (default - 'no')
fx_options_tenor_for_interpolation : str(list)
Which forwards should we use for interpolation
base_depos_tenor : str(list)
Which base deposits tenors do we need (this is only necessary if we want to start inferring depos)
roll_months : int
After how many months should we initiate a roll. Typically for trading 1M this should 1, 3M this should be 3
etc.
tot_label : str
Postfix for the total returns field
cal : str
Calendar to use for expiry (if None, uses that of FX pair)
output_calculation_fields : bool
Also output additional data should forward expiries etc. alongside total returns indices
"""
self._market_data_generator = market_data_generator
self._calculations = Calculations()
self._calendar = Calendar()
self._filter = Filter()
self._fx_vol_surface = fx_vol_surface
self._enter_trading_dates = enter_trading_dates
self._fx_options_trading_tenor = fx_options_trading_tenor
self._roll_days_before = roll_days_before
self._roll_event = roll_event
self._construct_via_currency = construct_via_currency
self._fx_options_tenor_for_interpolation = fx_options_tenor_for_interpolation
self._base_depos_tenor = base_depos_tenor
self._roll_months = roll_months
self._cum_index = cum_index
self._contact_type = contract_type
self._strike = strike
self._premium_output = premium_output
self._position_multiplier = position_multiplier
self._depo_tenor_for_option = depo_tenor_for_option
self._freeze_implied_vol = freeze_implied_vol
self._tot_label = tot_label
self._cal = cal
self._output_calculation_fields = output_calculation_fields
def generate_key(self):
from findatapy.market.ioengine import SpeedCache
# Don't include any "large" objects in the key
return SpeedCache().generate_key(self, [
'_market_data_generator', '_calculations', '_calendar', '_filter'
])
def fetch_continuous_time_series(self,
md_request,
market_data_generator,
fx_vol_surface=None,
enter_trading_dates=None,
fx_options_trading_tenor=None,
roll_days_before=None,
roll_event=None,
construct_via_currency=None,
fx_options_tenor_for_interpolation=None,
base_depos_tenor=None,
roll_months=None,
cum_index=None,
strike=None,
contract_type=None,
premium_output=None,
position_multiplier=None,
depo_tenor_for_option=None,
freeze_implied_vol=None,
tot_label=None,
cal=None,
output_calculation_fields=None):
if fx_vol_surface is None: fx_vol_surface = self._fx_vol_surface
if enter_trading_dates is None:
enter_trading_dates = self._enter_trading_dates
if market_data_generator is None:
market_data_generator = self._market_data_generator
if fx_options_trading_tenor is None:
fx_options_trading_tenor = self._fx_options_trading_tenor
if roll_days_before is None: roll_days_before = self._roll_days_before
if roll_event is None: roll_event = self._roll_event
if construct_via_currency is None:
construct_via_currency = self._construct_via_currency
if fx_options_tenor_for_interpolation is None:
fx_options_tenor_for_interpolation = self._fx_options_tenor_for_interpolation
if base_depos_tenor is None: base_depos_tenor = self._base_depos_tenor
if roll_months is None: roll_months = self._roll_months
if strike is None: strike = self._strike
if contract_type is None: contract_type = self._contact_type
if premium_output is None: premium_output = self._premium_output
if position_multiplier is None:
position_multiplier = self._position_multiplier
if depo_tenor_for_option is None:
depo_tenor_for_option = self._depo_tenor_for_option
if freeze_implied_vol is None:
freeze_implied_vol = self._freeze_implied_vol
if tot_label is None: tot_label = self._tot_label
if cal is None: cal = self._cal
if output_calculation_fields is None:
output_calculation_fields = self._output_calculation_fields
# Eg. we construct EURJPY via EURJPY directly (note: would need to have sufficient options/forward data for this)
if construct_via_currency == 'no':
if fx_vol_surface is None:
# Download FX spot, FX forwards points and base depos etc.
market = Market(market_data_generator=market_data_generator)
md_request_download = MarketDataRequest(md_request=md_request)
fx_conv = FXConv()
# CAREFUL: convert the tickers to correct notation, eg. USDEUR => EURUSD, because our data
# should be fetched in correct convention
md_request_download.tickers = [
fx_conv.correct_notation(x) for x in md_request.tickers
]
md_request_download.category = 'fx-vol-market'
md_request_download.fields = 'close'
md_request_download.abstract_curve = None
md_request_download.fx_options_tenor = fx_options_tenor_for_interpolation
md_request_download.base_depos_tenor = base_depos_tenor
# md_request_download.base_depos_currencies = []
forwards_market_df = market.fetch_market(md_request_download)
else:
forwards_market_df = None
# Now use the original tickers
return self.construct_total_return_index(
md_request.tickers,
forwards_market_df,
fx_vol_surface=fx_vol_surface,
enter_trading_dates=enter_trading_dates,
fx_options_trading_tenor=fx_options_trading_tenor,
roll_days_before=roll_days_before,
roll_event=roll_event,
fx_options_tenor_for_interpolation=
fx_options_tenor_for_interpolation,
roll_months=roll_months,
cum_index=cum_index,
strike=strike,
contract_type=contract_type,
premium_output=premium_output,
position_multiplier=position_multiplier,
freeze_implied_vol=freeze_implied_vol,
depo_tenor_for_option=depo_tenor_for_option,
tot_label=tot_label,
cal=cal,
output_calculation_fields=output_calculation_fields)
else:
# eg. we calculate via your domestic currency such as USD, so returns will be in your domestic currency
# Hence AUDJPY would be calculated via AUDUSD and JPYUSD (subtracting the difference in returns)
total_return_indices = []
for tick in md_request.tickers:
base = tick[0:3]
terms = tick[3:6]
md_request_base = MarketDataRequest(md_request=md_request)
md_request_base.tickers = base + construct_via_currency
md_request_terms = MarketDataRequest(md_request=md_request)
md_request_terms.tickers = terms + construct_via_currency
# Construct the base and terms separately (ie. AUDJPY => AUDUSD & JPYUSD)
base_vals = self.fetch_continuous_time_series(
md_request_base,
market_data_generator,
fx_vol_surface=fx_vol_surface,
enter_trading_dates=enter_trading_dates,
fx_options_trading_tenor=fx_options_trading_tenor,
roll_days_before=roll_days_before,
roll_event=roll_event,
fx_options_tenor_for_interpolation=
fx_options_tenor_for_interpolation,
base_depos_tenor=base_depos_tenor,
roll_months=roll_months,
cum_index=cum_index,
strike=strike,
contract_type=contract_type,
premium_output=premium_output,
position_multiplier=position_multiplier,
depo_tenor_for_option=depo_tenor_for_option,
freeze_implied_vol=freeze_implied_vol,
tot_label=tot_label,
cal=cal,
output_calculation_fields=output_calculation_fields,
construct_via_currency='no')
terms_vals = self.fetch_continuous_time_series(
md_request_terms,
market_data_generator,
fx_vol_surface=fx_vol_surface,
enter_trading_dates=enter_trading_dates,
fx_options_trading_tenor=fx_options_trading_tenor,
roll_days_before=roll_days_before,
roll_event=roll_event,
fx_options_tenor_for_interpolation=
fx_options_tenor_for_interpolation,
base_depos_tenor=base_depos_tenor,
roll_months=roll_months,
cum_index=cum_index,
strike=strike,
contract_type=contract_type,
position_multiplier=position_multiplier,
depo_tenor_for_option=depo_tenor_for_option,
freeze_implied_vol=freeze_implied_vol,
tot_label=tot_label,
cal=cal,
output_calculation_fields=output_calculation_fields,
construct_via_currency='no')
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == construct_via_currency + construct_via_currency:
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0,
index=base_rets.index,
columns=base_rets.columns)
elif base + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = -self._calculations.calculate_returns(
terms_vals)
elif terms + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = self._calculations.calculate_returns(
base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(
terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [tick + '-option-tot.close']
total_return_indices.append(cross_vals)
return self._calculations.join(total_return_indices, how='outer')
def unhedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None):
pass
def hedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None,
total_return_indices_df=None):
pass
def get_day_count_conv(self, currency):
if currency in market_constants.currencies_with_365_basis:
return 365.0
return 360.0
def construct_total_return_index(self,
cross_fx,
market_df,
fx_vol_surface=None,
enter_trading_dates=None,
fx_options_trading_tenor=None,
roll_days_before=None,
roll_event=None,
roll_months=None,
cum_index=None,
strike=None,
contract_type=None,
premium_output=None,
position_multiplier=None,
fx_options_tenor_for_interpolation=None,
freeze_implied_vol=None,
depo_tenor_for_option=None,
tot_label=None,
cal=None,
output_calculation_fields=None):
if fx_vol_surface is None: fx_vol_surface = self._fx_vol_surface
if enter_trading_dates is None:
enter_trading_dates = self._enter_trading_dates
if fx_options_trading_tenor is None:
fx_options_trading_tenor = self._fx_options_trading_tenor
if roll_days_before is None: roll_days_before = self._roll_days_before
if roll_event is None: roll_event = self._roll_event
if roll_months is None: roll_months = self._roll_months
if cum_index is None: cum_index = self._cum_index
if strike is None: strike = self._strike
if contract_type is None: contract_type = self._contact_type
if premium_output is None: premium_output = self._premium_output
if position_multiplier is None:
position_multiplier = self._position_multiplier
if fx_options_tenor_for_interpolation is None:
fx_options_tenor_for_interpolation = self._fx_options_tenor_for_interpolation
if freeze_implied_vol is None:
freeze_implied_vol = self._freeze_implied_vol
if depo_tenor_for_option is None:
depo_tenor_for_option = self._depo_tenor_for_option
if tot_label is None: tot_label = self._tot_label
if cal is None: cal = self._cal
if output_calculation_fields is None:
output_calculation_fields = self._output_calculation_fields
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
total_return_index_df_agg = []
# Remove columns where there is no data (because these vols typically aren't quoted)
if market_df is not None:
market_df = market_df.dropna(how='all', axis=1)
fx_options_pricer = FXOptionsPricer(premium_output=premium_output)
def get_roll_date(horizon_d, expiry_d, asset_hols, month_adj=0):
if roll_event == 'month-end':
roll_d = horizon_d + CustomBusinessMonthEnd(
roll_months + month_adj, holidays=asset_hols)
# Special case so always rolls on month end date, if specify 0 days
if roll_days_before > 0:
return (roll_d - CustomBusinessDay(n=roll_days_before,
holidays=asset_hols))
elif roll_event == 'expiry-date':
roll_d = expiry_d
# Special case so always rolls on expiry date, if specify 0 days
if roll_days_before > 0:
return (roll_d - CustomBusinessDay(n=roll_days_before,
holidays=asset_hols))
return roll_d
for cross in cross_fx:
if cal is None:
cal = cross
# Eg. if we specify USDUSD
if cross[0:3] == cross[3:6]:
total_return_index_df_agg.append(
pd.DataFrame(100,
index=market_df.index,
columns=[cross + "-option-tot.close"]))
else:
# Is the FX cross in the correct convention
old_cross = cross
cross = FXConv().correct_notation(cross)
# TODO also specification of non-standard crosses like USDGBP
if old_cross != cross:
pass
if fx_vol_surface is None:
fx_vol_surface = FXVolSurface(
market_df=market_df,
asset=cross,
tenors=fx_options_tenor_for_interpolation,
depo_tenor=depo_tenor_for_option)
market_df = fx_vol_surface.get_all_market_data()
horizon_date = market_df.index
expiry_date = np.zeros(len(horizon_date), dtype=object)
roll_date = np.zeros(len(horizon_date), dtype=object)
new_trade = np.full(len(horizon_date), False, dtype=bool)
exit_trade = np.full(len(horizon_date), False, dtype=bool)
has_position = np.full(len(horizon_date), False, dtype=bool)
asset_holidays = self._calendar.get_holidays(cal=cross)
# If no entry dates specified, assume we just keep rolling
if enter_trading_dates is None:
# Get first expiry date
expiry_date[
0] = self._calendar.get_expiry_date_from_horizon_date(
pd.DatetimeIndex([horizon_date[0]]),
fx_options_trading_tenor,
cal=cal,
asset_class='fx-vol')[0]
# For first month want it to expire within that month (for consistency), hence month_adj=0 ONLY here
roll_date[0] = get_roll_date(horizon_date[0],
expiry_date[0],
asset_holidays,
month_adj=0)
# New trade => entry at beginning AND on every roll
new_trade[0] = True
exit_trade[0] = False
has_position[0] = True
# Get all the expiry dates and roll dates
# At each "roll/trade" day we need to reset them for the new contract
for i in range(1, len(horizon_date)):
has_position[i] = True
# If the horizon date has reached the roll date (from yesterday), we're done, and we have a
# new roll/trade
if (horizon_date[i] - roll_date[i - 1]).days >= 0:
new_trade[i] = True
else:
new_trade[i] = False
# If we're entering a new trade/contract (and exiting an old trade) we need to get new expiry and roll dates
if new_trade[i]:
exp = self._calendar.get_expiry_date_from_horizon_date(
pd.DatetimeIndex([horizon_date[i]]),
fx_options_trading_tenor,
cal=cal,
asset_class='fx-vol')[0]
# Make sure we don't expire on a date in the history where there isn't market data
# It is ok for future values to expire after market data (just not in the backtest!)
if exp not in market_df.index:
exp_index = market_df.index.searchsorted(exp)
if exp_index < len(market_df.index):
exp_index = min(exp_index,
len(market_df.index))
exp = market_df.index[exp_index]
expiry_date[i] = exp
roll_date[i] = get_roll_date(
horizon_date[i], expiry_date[i],
asset_holidays)
exit_trade[i] = True
else:
if horizon_date[i] <= expiry_date[i - 1]:
# Otherwise use previous expiry and roll dates, because we're still holding same contract
expiry_date[i] = expiry_date[i - 1]
roll_date[i] = roll_date[i - 1]
exit_trade[i] = False
else:
exit_trade[i] = True
else:
new_trade[horizon_date.searchsorted(
enter_trading_dates)] = True
has_position[horizon_date.searchsorted(
enter_trading_dates)] = True
# Get first expiry date
#expiry_date[0] = \
# self._calendar.get_expiry_date_from_horizon_date(pd.DatetimeIndex([horizon_date[0]]),
# fx_options_trading_tenor, cal=cal,
# asset_class='fx-vol')[0]
# For first month want it to expire within that month (for consistency), hence month_adj=0 ONLY here
#roll_date[0] = get_roll_date(horizon_date[0], expiry_date[0], asset_holidays, month_adj=0)
# New trade => entry at beginning AND on every roll
#new_trade[0] = True
#exit_trade[0] = False
#has_position[0] = True
# Get all the expiry dates and roll dates
# At each "roll/trade" day we need to reset them for the new contract
for i in range(0, len(horizon_date)):
# If we're entering a new trade/contract (and exiting an old trade) we need to get new expiry and roll dates
if new_trade[i]:
exp = \
self._calendar.get_expiry_date_from_horizon_date(pd.DatetimeIndex([horizon_date[i]]),
fx_options_trading_tenor, cal=cal,
asset_class='fx-vol')[0]
# Make sure we don't expire on a date in the history where there isn't market data
# It is ok for future values to expire after market data (just not in the backtest!)
if exp not in market_df.index:
exp_index = market_df.index.searchsorted(exp)
if exp_index < len(market_df.index):
exp_index = min(exp_index,
len(market_df.index))
exp = market_df.index[exp_index]
expiry_date[i] = exp
# roll_date[i] = get_roll_date(horizon_date[i], expiry_date[i], asset_holidays)
# if i > 0:
# Makes the assumption we aren't rolling contracts
exit_trade[i] = False
else:
if i > 0:
# Check there's valid expiry on previous day (if not then we're not in an option trade here!)
if expiry_date[i - 1] == 0:
has_position[i] = False
else:
if horizon_date[i] <= expiry_date[i - 1]:
# Otherwise use previous expiry and roll dates, because we're still holding same contract
expiry_date[i] = expiry_date[i - 1]
# roll_date[i] = roll_date[i - 1]
has_position[i] = True
if horizon_date[i] == expiry_date[i]:
exit_trade[i] = True
else:
exit_trade[i] = False
# Note: may need to add discount factor when marking to market option
mtm = np.zeros(len(horizon_date))
calculated_strike = np.zeros(len(horizon_date))
interpolated_option = np.zeros(len(horizon_date))
implied_vol = np.zeros(len(horizon_date))
delta = np.zeros(len(horizon_date))
# For debugging
df_temp = pd.DataFrame()
df_temp['expiry-date'] = expiry_date
df_temp['horizon-date'] = horizon_date
df_temp['roll-date'] = roll_date
df_temp['new-trade'] = new_trade
df_temp['exit-trade'] = exit_trade
df_temp['has-position'] = has_position
if has_position[0]:
# Special case: for first day of history (given have no previous positions)
option_values_, spot_, strike_, vol_, delta_, expiry_date_, intrinsic_values_ = \
fx_options_pricer.price_instrument(cross, horizon_date[0], strike, expiry_date[0],
contract_type=contract_type,
tenor=fx_options_trading_tenor,
fx_vol_surface=fx_vol_surface,
return_as_df=False)
interpolated_option[0] = option_values_
calculated_strike[0] = strike_
implied_vol[0] = vol_
mtm[0] = 0
# Now price options for rest of history
# On rolling dates: MTM will be the previous option contract (interpolated)
# On non-rolling dates: it will be the current option contract
for i in range(1, len(horizon_date)):
if exit_trade[i]:
# Price option trade being exited
option_values_, spot_, strike_, vol_, delta_, expiry_date_, intrinsic_values_ = \
fx_options_pricer.price_instrument(cross, horizon_date[i], calculated_strike[i-1], expiry_date[i-1],
contract_type=contract_type,
tenor=fx_options_trading_tenor,
fx_vol_surface=fx_vol_surface,
return_as_df=False)
# Store as MTM
mtm[i] = option_values_
delta[
i] = 0 # Note: this will get overwritten if there's a new trade
calculated_strike[i] = calculated_strike[
i -
1] # Note: this will get overwritten if there's a new trade
if new_trade[i]:
# Price new option trade being entered
option_values_, spot_, strike_, vol_, delta_, expiry_date_, intrinsic_values_ = \
fx_options_pricer.price_instrument(cross, horizon_date[i], strike, expiry_date[i],
contract_type=contract_type,
tenor=fx_options_trading_tenor,
fx_vol_surface=fx_vol_surface,
return_as_df=False)
calculated_strike[
i] = strike_ # option_output[cross + '-strike.close'].values
implied_vol[i] = vol_
interpolated_option[i] = option_values_
delta[i] = delta_
elif has_position[i] and not (exit_trade[i]):
# Price current option trade
# - strike/expiry the same as yesterday
# - other market inputs taken live, closer to expiry
calculated_strike[i] = calculated_strike[i - 1]
if freeze_implied_vol:
frozen_vol = implied_vol[i - 1]
else:
frozen_vol = None
option_values_, spot_, strike_, vol_, delta_, expiry_date_, intrinsic_values_ = \
fx_options_pricer.price_instrument(cross, horizon_date[i], calculated_strike[i],
expiry_date[i],
vol=frozen_vol,
contract_type=contract_type,
tenor=fx_options_trading_tenor,
fx_vol_surface=fx_vol_surface,
return_as_df=False)
interpolated_option[i] = option_values_
implied_vol[i] = vol_
mtm[i] = interpolated_option[i]
delta[i] = delta_
# Calculate delta hedging P&L
spot_rets = (market_df[cross + ".close"] /
market_df[cross + ".close"].shift(1) - 1).values
if tot_label == '':
tot_rets = spot_rets
else:
tot_rets = (
market_df[cross + "-" + tot_label + ".close"] /
market_df[cross + "-" + tot_label + ".close"].shift(1)
- 1).values
# Remember to take the inverted sign, eg. if call is +20%, we need to -20% of spot to flatten delta
# Also invest for whether we are long or short the option
delta_hedging_pnl = -np.roll(
delta, 1) * tot_rets * position_multiplier
delta_hedging_pnl[0] = 0
# Calculate options P&L (given option premium is already percentage, only need to subtract)
# Again need to invert if we are short option
option_rets = (mtm - np.roll(interpolated_option,
1)) * position_multiplier
option_rets[0] = 0
# Calculate option + delta hedging P&L
option_delta_rets = delta_hedging_pnl + option_rets
if cum_index == 'mult':
cum_rets = 100 * np.cumprod(1.0 + option_rets)
cum_delta_rets = 100 * np.cumprod(1.0 + delta_hedging_pnl)
cum_option_delta_rets = 100 * np.cumprod(1.0 +
option_delta_rets)
elif cum_index == 'add':
cum_rets = 100 + 100 * np.cumsum(option_rets)
cum_delta_rets = 100 + 100 * np.cumsum(delta_hedging_pnl)
cum_option_delta_rets = 100 + 100 * np.cumsum(
option_delta_rets)
total_return_index_df = pd.DataFrame(
index=horizon_date, columns=[cross + "-option-tot.close"])
total_return_index_df[cross + "-option-tot.close"] = cum_rets
if output_calculation_fields:
total_return_index_df[
cross +
'-interpolated-option.close'] = interpolated_option
total_return_index_df[cross + '-mtm.close'] = mtm
total_return_index_df[cross + ".close"] = market_df[
cross + ".close"].values
total_return_index_df[cross +
'-implied-vol.close'] = implied_vol
total_return_index_df[cross +
'-new-trade.close'] = new_trade
total_return_index_df[cross + '.roll-date'] = roll_date
total_return_index_df[cross +
'-exit-trade.close'] = exit_trade
total_return_index_df[cross + '.expiry-date'] = expiry_date
total_return_index_df[
cross + '-calculated-strike.close'] = calculated_strike
total_return_index_df[cross +
'-option-return.close'] = option_rets
total_return_index_df[cross +
'-spot-return.close'] = spot_rets
total_return_index_df[cross +
'-tot-return.close'] = tot_rets
total_return_index_df[cross + '-delta.close'] = delta
total_return_index_df[
cross + '-delta-pnl-return.close'] = delta_hedging_pnl
total_return_index_df[
cross + '-delta-pnl-index.close'] = cum_delta_rets
total_return_index_df[
cross +
'-option-delta-return.close'] = option_delta_rets
total_return_index_df[
cross +
'-option-delta-tot.close'] = cum_option_delta_rets
total_return_index_df_agg.append(total_return_index_df)
return self._calculations.join(total_return_index_df_agg, how='outer')
def apply_tc_signals_to_total_return_index(self,
cross_fx,
total_return_index_orig_df,
option_tc_bp,
spot_tc_bp,
signal_df=None,
cum_index=None):
# TODO signal not implemented yet
if cum_index is None: cum_index = self._cum_index
total_return_index_df_agg = []
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
option_tc = option_tc_bp / (2 * 100 * 100)
spot_tc = spot_tc_bp / (2 * 100 * 100)
total_return_index_df = total_return_index_orig_df.copy()
for cross in cross_fx:
# p = abs(total_return_index_df[cross + '-roll.close'].shift(1)) * option_tc
# q = abs(total_return_index_df[cross + '-delta.close'] - total_return_index_df[cross + '-delta.close'].shift(1)) * spot_tc
# Additional columns to include P&L with transaction costs
total_return_index_df[cross + '-option-return-with-tc.close'] = \
total_return_index_df[cross + '-option-return.close'] - abs(total_return_index_df[cross + '-new-trade.close'].shift(1)) * option_tc
total_return_index_df[cross + '-delta-pnl-return-with-tc.close'] = \
total_return_index_df[cross + '-delta-pnl-return.close'] \
- abs(total_return_index_df[cross + '-delta.close'] - total_return_index_df[cross + '-delta.close'].shift(1)) * spot_tc
total_return_index_df[cross +
'-option-return-with-tc.close'][0] = 0
total_return_index_df[cross +
'-delta-pnl-return-with-tc.close'][0] = 0
total_return_index_df[cross + '-option-delta-return-with-tc.close'] = \
total_return_index_df[cross + '-option-return-with-tc.close'] + total_return_index_df[cross + '-delta-pnl-return-with-tc.close']
if cum_index == 'mult':
cum_rets = 100 * np.cumprod(1.0 + total_return_index_df[
cross + '-option-return-with-tc.close'].values)
cum_delta_rets = 100 * np.cumprod(1.0 + total_return_index_df[
cross + '-delta-pnl-return-with-tc.close'].values)
cum_option_delta_rets = 100 * np.cumprod(
1.0 + total_return_index_df[
cross + '-option-delta-return-with-tc.close'].values)
elif cum_index == 'add':
cum_rets = 100 + 100 * np.cumsum(total_return_index_df[
cross + '-option-return-with-tc.close'].values)
cum_delta_rets = 100 + 100 * np.cumsum(total_return_index_df[
cross + '-delta-pnl-return-with-tc.close'].values)
cum_option_delta_rets = 100 + 100 * np.cumsum(
total_return_index_df[
cross + '-option-delta-return-with-tc.close'].values)
total_return_index_df[cross +
"-option-tot-with-tc.close"] = cum_rets
total_return_index_df[
cross + '-delta-pnl-index-with-tc.close'] = cum_delta_rets
total_return_index_df[
cross +
'-option-delta-tot-with-tc.close'] = cum_option_delta_rets
total_return_index_df_agg.append(total_return_index_df)
return self._calculations.join(total_return_index_df_agg, how='outer')
def calculate_trading_PnL(self, br, asset_a_df, signal_df):
"""
calculate_trading_PnL - Calculates P&L of a trading strategy and statistics to be retrieved later
Parameters
----------
br : BacktestRequest
Parameters for the backtest specifying start date, finish data, transaction costs etc.
asset_a_df : pandas.DataFrame
Asset prices to be traded
signal_df : pandas.DataFrame
Signals for the trading strategy
"""
calculations = Calculations()
# signal_df.to_csv('e:/temp0.csv')
# make sure the dates of both traded asset and signal are aligned properly
asset_df, signal_df = asset_a_df.align(signal_df,
join='left',
axis='index')
# only allow signals to change on the days when we can trade assets
signal_df = signal_df.mask(numpy.isnan(
asset_df.values)) # fill asset holidays with NaN signals
signal_df = signal_df.fillna(method='ffill') # fill these down
asset_df = asset_df.fillna(method='ffill') # fill down asset holidays
returns_df = calculations.calculate_returns(asset_df)
tc = br.spot_tc_bp
signal_cols = signal_df.columns.values
returns_cols = returns_df.columns.values
pnl_cols = []
for i in range(0, len(returns_cols)):
pnl_cols.append(returns_cols[i] + " / " + signal_cols[i])
# do we have a vol target for individual signals?
if hasattr(br, 'signal_vol_adjust'):
if br.signal_vol_adjust is True:
risk_engine = RiskEngine()
if not (hasattr(br, 'signal_vol_resample_type')):
br.signal_vol_resample_type = 'mean'
if not (hasattr(br, 'signal_vol_resample_freq')):
br.signal_vol_resample_freq = None
leverage_df = risk_engine.calculate_leverage_factor(
returns_df, br.signal_vol_target,
br.signal_vol_max_leverage, br.signal_vol_periods,
br.signal_vol_obs_in_year, br.signal_vol_rebalance_freq,
br.signal_vol_resample_freq, br.signal_vol_resample_type)
signal_df = pandas.DataFrame(signal_df.values *
leverage_df.values,
index=signal_df.index,
columns=signal_df.columns)
self._individual_leverage = leverage_df # contains leverage of individual signal (before portfolio vol target)
_pnl = calculations.calculate_signal_returns_with_tc_matrix(signal_df,
returns_df,
tc=tc)
_pnl.columns = pnl_cols
# portfolio is average of the underlying signals: should we sum them or average them?
if hasattr(br, 'portfolio_combination'):
if br.portfolio_combination == 'sum':
portfolio = pandas.DataFrame(data=_pnl.sum(axis=1),
index=_pnl.index,
columns=['Portfolio'])
elif br.portfolio_combination == 'mean':
portfolio = pandas.DataFrame(data=_pnl.mean(axis=1),
index=_pnl.index,
columns=['Portfolio'])
else:
portfolio = pandas.DataFrame(data=_pnl.mean(axis=1),
index=_pnl.index,
columns=['Portfolio'])
portfolio_leverage_df = pandas.DataFrame(data=numpy.ones(
len(_pnl.index)),
index=_pnl.index,
columns=['Portfolio'])
# should we apply vol target on a portfolio level basis?
if hasattr(br, 'portfolio_vol_adjust'):
if br.portfolio_vol_adjust is True:
risk_engine = RiskEngine()
portfolio, portfolio_leverage_df = risk_engine.calculate_vol_adjusted_returns(
portfolio, br=br)
self._portfolio = portfolio
self._signal = signal_df # individual signals (before portfolio leverage)
self._portfolio_leverage = portfolio_leverage_df # leverage on portfolio
# multiply portfolio leverage * individual signals to get final position signals
length_cols = len(signal_df.columns)
leverage_matrix = numpy.repeat(
portfolio_leverage_df.values.flatten()[numpy.newaxis, :],
length_cols, 0)
# final portfolio signals (including signal & portfolio leverage)
self._portfolio_signal = pandas.DataFrame(data=numpy.multiply(
numpy.transpose(leverage_matrix), signal_df.values),
index=signal_df.index,
columns=signal_df.columns)
if hasattr(br, 'portfolio_combination'):
if br.portfolio_combination == 'sum':
pass
elif br.portfolio_combination == 'mean':
self._portfolio_signal = self._portfolio_signal / float(
length_cols)
else:
self._portfolio_signal = self._portfolio_signal / float(
length_cols)
self._pnl = _pnl # individual signals P&L
# TODO FIX very slow - hence only calculate on demand
_pnl_trades = None
# _pnl_trades = calculations.calculate_individual_trade_gains(signal_df, _pnl)
self._pnl_trades = _pnl_trades
self._ret_stats_pnl = RetStats()
self._ret_stats_pnl.calculate_ret_stats(self._pnl, br.ann_factor)
self._portfolio.columns = ['Port']
self._ret_stats_portfolio = RetStats()
self._ret_stats_portfolio.calculate_ret_stats(self._portfolio,
br.ann_factor)
self._cumpnl = calculations.create_mult_index(
self._pnl) # individual signals cumulative P&L
self._cumpnl.columns = pnl_cols
self._cumportfolio = calculations.create_mult_index(
self._portfolio) # portfolio cumulative P&L
self._cumportfolio.columns = ['Port']
def get_intraday_moves_over_custom_event(self,
data_frame_rets,
ef_time_frame,
vol=False,
minute_start=5,
mins=3 * 60,
min_offset=0,
create_index=False,
resample=False,
freq='minutes',
cumsum=True,
adj_cumsum_zero_point=False,
adj_zero_point=2):
filter = Filter()
ef_time_frame = filter.filter_time_series_by_date(
data_frame_rets.index[0], data_frame_rets.index[-1], ef_time_frame)
ef_time = ef_time_frame.index
if freq == 'minutes':
ef_time_start = ef_time - timedelta(minutes=minute_start)
ef_time_end = ef_time + timedelta(minutes=mins)
ann_factor = 252 * 1440
elif freq == 'days':
ef_time = ef_time_frame.index.normalize()
ef_time_start = ef_time - pandas.tseries.offsets.BusinessDay(
) * minute_start
ef_time_end = ef_time + pandas.tseries.offsets.BusinessDay() * mins
ann_factor = 252
elif freq == 'weeks':
ef_time = ef_time_frame.index.normalize()
ef_time_start = ef_time - pandas.tseries.offsets.Week(
) * minute_start
ef_time_end = ef_time + pandas.tseries.offsets.Week() * mins
ann_factor = 52
ords = list(range(-minute_start + min_offset, mins + min_offset))
lst_ords = list(ords)
# All data needs to be equally spaced
if resample:
# Make sure time series is properly sampled at 1 min intervals
if freq == 'minutes':
data_frame_rets = data_frame_rets.resample('1min').last()
data_frame_rets = data_frame_rets.fillna(value=0)
data_frame_rets = filter.remove_out_FX_out_of_hours(
data_frame_rets)
elif freq == 'daily':
data_frame_rets = data_frame_rets.resample('B').last()
data_frame_rets = data_frame_rets.fillna(value=0)
elif freq == 'weekly':
data_frame_rets = data_frame_rets.resample('W').last()
data_frame_rets = data_frame_rets.fillna(value=0)
start_index = data_frame_rets.index.searchsorted(ef_time_start)
finish_index = data_frame_rets.index.searchsorted(ef_time_end)
data_frame = pandas.DataFrame(index=ords, columns=ef_time_frame.index)
for i in range(0, len(ef_time_frame.index)):
vals = data_frame_rets.iloc[start_index[i]:finish_index[i]].values
st = ef_time_start[i]
en = ef_time_end[i]
# Add extra "future" history in case we are doing an event study which goes outside our data window
# (will just be filled with NaN)
if len(vals) < len(lst_ords):
extend = np.zeros((len(lst_ords) - len(vals), 1)) * np.nan
# If start window date is before we have data
if st < data_frame_rets.index[0]:
vals = np.append(extend, vals)
# If end date window is after we have data
else:
vals = np.append(vals, extend)
data_frame[ef_time_frame.index[i]] = vals
data_frame.index.names = [None]
if create_index:
calculations = Calculations()
data_frame.iloc[-minute_start + min_offset] = numpy.nan
data_frame = calculations.create_mult_index(data_frame)
else:
if vol is True:
# Annualise (if vol)
data_frame = data_frame.rolling(
center=False, window=5).std() * math.sqrt(ann_factor)
elif cumsum:
data_frame = data_frame.cumsum()
# Adjust DataFrame so zero point shows zero returns
if adj_cumsum_zero_point:
ind = abs(minute_start) - adj_zero_point
for i, c in enumerate(data_frame.columns):
data_frame[
c] = data_frame[c] - data_frame[c].values[ind]
return data_frame
class FXForwardsCurve(object):
"""Constructs continuous forwards time series total return indices from underlying forwards contracts.
"""
def __init__(self, market_data_generator=None, fx_forwards_trading_tenor=market_constants.fx_forwards_trading_tenor,
roll_days_before=market_constants.fx_forwards_roll_days_before,
roll_event=market_constants.fx_forwards_roll_event, construct_via_currency='no',
fx_forwards_tenor_for_interpolation=market_constants.fx_forwards_tenor_for_interpolation,
base_depos_tenor=data_constants.base_depos_tenor,
roll_months=market_constants.fx_forwards_roll_months,
cum_index=market_constants.fx_forwards_cum_index,
output_calculation_fields=market_constants.output_calculation_fields):
"""Initializes FXForwardsCurve
Parameters
----------
market_data_generator : MarketDataGenerator
Used for downloading market data
fx_forwards_trading_tenor : str
What is primary forward contract being used to trade (default - '1M')
roll_days_before : int
Number of days before roll event to enter into a new forwards contract
roll_event : str
What constitutes a roll event? ('month-end', 'quarter-end', 'year-end', 'expiry')
construct_via_currency : str
What currency should we construct the forward via? Eg. if we asked for AUDJPY we can construct it via
AUDUSD & JPYUSD forwards, as opposed to AUDJPY forwards (default - 'no')
fx_forwards_tenor_for_interpolation : str(list)
Which forwards should we use for interpolation
base_depos_tenor : str(list)
Which base deposits tenors do we need (this is only necessary if we want to start inferring depos)
roll_months : int
After how many months should we initiate a roll. Typically for trading 1M this should 1, 3M this should be 3
etc.
cum_index : str
In total return index, do we compute in additive or multiplicative way ('add' or 'mult')
output_calculation_fields : bool
Also output additional data should forward expiries etc. alongside total returns indices
"""
self._market_data_generator = market_data_generator
self._calculations = Calculations()
self._calendar = Calendar()
self._filter = Filter()
self._fx_forwards_trading_tenor = fx_forwards_trading_tenor
self._roll_days_before = roll_days_before
self._roll_event = roll_event
self._construct_via_currency = construct_via_currency
self._fx_forwards_tenor_for_interpolation = fx_forwards_tenor_for_interpolation
self._base_depos_tenor = base_depos_tenor
self._roll_months = roll_months
self._cum_index = cum_index
self._output_calcultion_fields = output_calculation_fields
def generate_key(self):
from findatapy.market.ioengine import SpeedCache
# Don't include any "large" objects in the key
return SpeedCache().generate_key(self, ['_market_data_generator', '_calculations', '_calendar', '_filter'])
def fetch_continuous_time_series(self, md_request, market_data_generator, fx_forwards_trading_tenor=None,
roll_days_before=None, roll_event=None,
construct_via_currency=None, fx_forwards_tenor_for_interpolation=None, base_depos_tenor=None,
roll_months=None, cum_index=None, output_calculation_fields=False):
if market_data_generator is None: market_data_generator = self._market_data_generator
if fx_forwards_trading_tenor is None: fx_forwards_trading_tenor = self._fx_forwards_trading_tenor
if roll_days_before is None: roll_days_before = self._roll_days_before
if roll_event is None: roll_event = self._roll_event
if construct_via_currency is None: construct_via_currency = self._construct_via_currency
if fx_forwards_tenor_for_interpolation is None: fx_forwards_tenor_for_interpolation = self._fx_forwards_tenor_for_interpolation
if base_depos_tenor is None: base_depos_tenor = self._base_depos_tenor
if roll_months is None: roll_months = self._roll_months
if cum_index is None: cum_index = self._cum_index
if output_calculation_fields is None: output_calculation_fields
# Eg. we construct EURJPY via EURJPY directly (note: would need to have sufficient forward data for this)
if construct_via_currency == 'no':
# Download FX spot, FX forwards points and base depos etc.
market = Market(market_data_generator=market_data_generator)
md_request_download = MarketDataRequest(md_request=md_request)
fx_conv = FXConv()
# CAREFUL: convert the tickers to correct notation, eg. USDEUR => EURUSD, because our data
# should be fetched in correct convention
md_request_download.tickers = [fx_conv.correct_notation(x) for x in md_request.tickers]
md_request_download.category = 'fx-forwards-market'
md_request_download.fields = 'close'
md_request_download.abstract_curve = None
md_request_download.fx_forwards_tenor = fx_forwards_tenor_for_interpolation
md_request_download.base_depos_tenor = base_depos_tenor
forwards_market_df = market.fetch_market(md_request_download)
# Now use the original tickers
return self.construct_total_return_index(md_request.tickers, forwards_market_df,
fx_forwards_trading_tenor=fx_forwards_trading_tenor,
roll_days_before=roll_days_before, roll_event=roll_event,
fx_forwards_tenor_for_interpolation=fx_forwards_tenor_for_interpolation,
roll_months=roll_months,
cum_index=cum_index,
output_calculation_fields=output_calculation_fields)
else:
# eg. we calculate via your domestic currency such as USD, so returns will be in your domestic currency
# Hence AUDJPY would be calculated via AUDUSD and JPYUSD (subtracting the difference in returns)
total_return_indices = []
for tick in md_request.tickers:
base = tick[0:3]
terms = tick[3:6]
md_request_base = MarketDataRequest(md_request=md_request)
md_request_base.tickers = base + construct_via_currency
md_request_terms = MarketDataRequest(md_request=md_request)
md_request_terms.tickers = terms + construct_via_currency
# Construct the base and terms separately (ie. AUDJPY => AUDUSD & JPYUSD)
base_vals = self.fetch_continuous_time_series(md_request_base, market_data_generator,
fx_forwards_trading_tenor=fx_forwards_trading_tenor,
roll_days_before=roll_days_before, roll_event=roll_event,
fx_forwards_tenor_for_interpolation=fx_forwards_tenor_for_interpolation,
base_depos_tenor=base_depos_tenor,
roll_months=roll_months, output_calculation_fields=False,
cum_index=cum_index,
construct_via_currency='no')
terms_vals = self.fetch_continuous_time_series(md_request_terms, market_data_generator,
fx_forwards_trading_tenor=fx_forwards_trading_tenor,
roll_days_before=roll_days_before, roll_event=roll_event,
fx_forwards_tenor_for_interpolation=fx_forwards_tenor_for_interpolation,
base_depos_tenor=base_depos_tenor,
roll_months=roll_months,
cum_index=cum_index,
output_calculation_fields=False,
construct_via_currency='no')
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == construct_via_currency + construct_via_currency:
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0, index=base_rets.index, columns=base_rets.columns)
elif base + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = -self._calculations.calculate_returns(terms_vals)
elif terms + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = self._calculations.calculate_returns(base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [tick + '-forward-tot.close']
total_return_indices.append(cross_vals)
return self._calculations.pandas_outer_join(total_return_indices)
def unhedged_asset_fx(self, assets_df, asset_currency, home_curr, start_date, finish_date, spot_df=None):
pass
def hedged_asset_fx(self, assets_df, asset_currency, home_curr, start_date, finish_date, spot_df=None,
total_return_indices_df=None):
pass
def get_day_count_conv(self, currency):
if currency in market_constants.currencies_with_365_basis:
return 365.0
return 360.0
def construct_total_return_index(self, cross_fx, forwards_market_df,
fx_forwards_trading_tenor=None,
roll_days_before=None,
roll_event=None,
roll_months=None,
fx_forwards_tenor_for_interpolation=None,
cum_index=None,
output_calculation_fields=False):
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
if fx_forwards_trading_tenor is None: fx_forwards_trading_tenor = self._fx_forwards_trading_tenor
if roll_days_before is None: roll_days_before = self._roll_days_before
if roll_event is None: roll_event = self._roll_event
if roll_months is None: roll_months = self._roll_months
if fx_forwards_tenor_for_interpolation is None: fx_forwards_tenor_for_interpolation = self._fx_forwards_tenor_for_interpolation
if cum_index is None: cum_index = self._cum_index
total_return_index_df_agg = []
# Remove columns where there is no data (because these points typically aren't quoted)
forwards_market_df = forwards_market_df.dropna(how='all', axis=1)
fx_forwards_pricer = FXForwardsPricer()
def get_roll_date(horizon_d, delivery_d, asset_hols, month_adj=1):
if roll_event == 'month-end':
roll_d = horizon_d + CustomBusinessMonthEnd(roll_months + month_adj, holidays=asset_hols)
elif roll_event == 'delivery-date':
roll_d = delivery_d
return (roll_d - CustomBusinessDay(n=roll_days_before, holidays=asset_hols))
for cross in cross_fx:
# Eg. if we specify USDUSD
if cross[0:3] == cross[3:6]:
total_return_index_df_agg.append(
pd.DataFrame(100, index=forwards_market_df.index, columns=[cross + "-forward-tot.close"]))
else:
# Is the FX cross in the correct convention
old_cross = cross
cross = FXConv().correct_notation(cross)
horizon_date = forwards_market_df.index
delivery_date = []
roll_date = []
new_trade = np.full(len(horizon_date), False, dtype=bool)
asset_holidays = self._calendar.get_holidays(cal=cross)
# Get first delivery date
delivery_date.append(
self._calendar.get_delivery_date_from_horizon_date(horizon_date[0],
fx_forwards_trading_tenor, cal=cross, asset_class='fx')[0])
# For first month want it to expire within that month (for consistency), hence month_adj=0 ONLY here
roll_date.append(get_roll_date(horizon_date[0], delivery_date[0], asset_holidays, month_adj=0))
# New trade => entry at beginning AND on every roll
new_trade[0] = True
# Get all the delivery dates and roll dates
# At each "roll/trade" day we need to reset them for the new contract
for i in range(1, len(horizon_date)):
# If the horizon date has reached the roll date (from yesterday), we're done, and we have a
# new roll/trade
if (horizon_date[i] - roll_date[i-1]).days == 0:
new_trade[i] = True
# else:
# new_trade[i] = False
# If we're entering a new trade/contract, we need to get new delivery and roll dates
if new_trade[i]:
delivery_date.append(self._calendar.get_delivery_date_from_horizon_date(horizon_date[i],
fx_forwards_trading_tenor, cal=cross, asset_class='fx')[0])
roll_date.append(get_roll_date(horizon_date[i], delivery_date[i], asset_holidays))
else:
# Otherwise use previous delivery and roll dates, because we're still holding same contract
delivery_date.append(delivery_date[i-1])
roll_date.append(roll_date[i-1])
interpolated_forward = fx_forwards_pricer.price_instrument(cross, horizon_date, delivery_date, market_df=forwards_market_df,
fx_forwards_tenor_for_interpolation=fx_forwards_tenor_for_interpolation)[cross + '-interpolated-outright-forward.close'].values
# To record MTM prices
mtm = np.copy(interpolated_forward)
# Note: may need to add discount factor when marking to market forwards?
# Special case: for very first trading day
# mtm[0] = interpolated_forward[0]
# On rolling dates, MTM will be the previous forward contract (interpolated)
# otherwise it will be the current forward contract
for i in range(1, len(horizon_date)):
if new_trade[i]:
mtm[i] = fx_forwards_pricer.price_instrument(cross, horizon_date[i], delivery_date[i-1],
market_df=forwards_market_df,
fx_forwards_tenor_for_interpolation=fx_forwards_tenor_for_interpolation) \
[cross + '-interpolated-outright-forward.close'].values
# else:
# mtm[i] = interpolated_forward[i]
# Eg. if we asked for USDEUR, we first constructed spot/forwards for EURUSD
# and then need to invert it
if old_cross != cross:
mtm = 1.0 / mtm
interpolated_forward = 1.0 / interpolated_forward
forward_rets = mtm / np.roll(interpolated_forward, 1) - 1.0
forward_rets[0] = 0
if cum_index == 'mult':
cum_rets = 100 * np.cumprod(1.0 + forward_rets)
elif cum_index == 'add':
cum_rets = 100 + 100 * np.cumsum(forward_rets)
total_return_index_df = pd.DataFrame(index=horizon_date, columns=[cross + "-forward-tot.close"])
total_return_index_df[cross + "-forward-tot.close"] = cum_rets
if output_calculation_fields:
total_return_index_df[cross + '-interpolated-outright-forward.close'] = interpolated_forward
total_return_index_df[cross + '-mtm.close'] = mtm
total_return_index_df[cross + '-roll.close'] = new_trade
total_return_index_df[cross + '.roll-date'] = roll_date
total_return_index_df[cross + '.delivery-date'] = delivery_date
total_return_index_df[cross + '-forward-return.close'] = forward_rets
total_return_index_df_agg.append(total_return_index_df)
return self._calculations.pandas_outer_join(total_return_index_df_agg)
class FXForwardsCurve(object):
"""Constructs continuous forwards time series total return indices from underlying forwards contracts. Incomplete!
"""
def __init__(self,
market_data_generator=None,
fx_forwards_trading_tenor='1M',
roll_date=0,
construct_via_currency='no',
fx_forwards_tenor=constants.fx_forwards_tenor,
base_depos_tenor=constants.base_depos_tenor):
self._market_data_generator = market_data_generator
self._calculations = Calculations()
self._calendar = Calendar()
self._fx_forwards_trading_tenor = fx_forwards_trading_tenor
self._roll_date = roll_date
self._construct_via_currency = construct_via_currency
self._fx_forwards_tenor = fx_forwards_tenor
self._base_depos_tenor = base_depos_tenor
def generate_key(self):
from findatapy.market.ioengine import SpeedCache
# Don't include any "large" objects in the key
return SpeedCache().generate_key(
self, ['_market_data_generator', '_calculations', '_calendar'])
def fetch_continuous_time_series(self,
md_request,
market_data_generator,
fx_forwards_trading_tenor=None,
roll_date=None,
construct_via_currency=None,
fx_forwards_tenor=None,
base_depos_tenor=None):
if market_data_generator is None:
market_data_generator = self._market_data_generator
if fx_forwards_trading_tenor is None:
fx_forwards_trading_tenor = self._fx_forwards_trading_tenor
if roll_date is None: roll_date = self._roll_date
if construct_via_currency is None:
construct_via_currency = self._construct_via_currency
if fx_forwards_tenor is None:
fx_forwards_tenor = self._fx_forwards_tenor
if base_depos_tenor is None: base_depos_tenor = self._base_depos_tenor
# Eg. we construct EURJPY via EURJPY directly (note: would need to have sufficient forward data for this)
if construct_via_currency == 'no':
# Download FX spot, FX forwards points and base depos
market = Market(market_data_generator=market_data_generator)
md_request_download = MarketDataRequest(md_request=md_request)
md_request_download.category = 'fx-forwards-market'
md_request_download.fields = 'close'
md_request_download.abstract_curve = None
md_request_download.fx_forwards_tenor = fx_forwards_tenor
md_request_download.base_depos_tenor = base_depos_tenor
forwards_market_df = market.fetch_market(md_request_download)
return self.construct_total_return_index(
md_request.tickers,
fx_forwards_trading_tenor,
roll_date,
forwards_market_df,
fx_forwards_tenor=fx_forwards_tenor,
base_depos_tenor=base_depos_tenor)
else:
# eg. we calculate via your domestic currency such as USD, so returns will be in your domestic currency
# Hence AUDJPY would be calculated via AUDUSD and JPYUSD (subtracting the difference in returns)
total_return_indices = []
for tick in md_request.tickers:
base = tick[0:3]
terms = tick[3:6]
md_request_base = MarketDataRequest(md_request=md_request)
md_request_base.tickers = base + construct_via_currency
md_request_terms = MarketDataRequest(md_request=md_request)
md_request_terms.tickers = terms + construct_via_currency
base_vals = self.fetch_continuous_time_series(
md_request_base,
market_data_generator,
construct_via_currency='no')
terms_vals = self.fetch_continuous_time_series(
md_request_terms,
market_data_generator,
construct_via_currency='no')
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == 'USDUSD':
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0,
index=base_rets.index,
columns=base_rets.columns)
elif base + 'USD' == 'USDUSD':
cross_rets = -self._calculations.calculate_returns(
terms_vals)
elif terms + 'USD' == 'USDUSD':
cross_rets = self._calculations.calculate_returns(
base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(
terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [tick + '-tot.close']
total_return_indices.append(cross_vals)
return self._calculations.pandas_outer_join(total_return_indices)
def unhedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None):
pass
def hedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None,
total_return_indices_df=None):
pass
def get_day_count_conv(self, currency):
if currency in ['AUD', 'CAD', 'GBP', 'NZD']:
return 365.0
return 360.0
def construct_total_return_index(
self,
cross_fx,
fx_forwards_trading_tenor,
roll_date,
forwards_market_df,
fx_forwards_tenor=constants.fx_forwards_tenor,
base_depos_tenor=constants.base_depos_tenor):
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
total_return_index_agg = []
# Remove columns where there is no data (because these points typically aren't quoted)
forwards_market_df = forwards_market_df.dropna(axis=1)
for cross in cross_fx:
# Eg. if we specify USDUSD
if cross[0:3] == cross[3:6]:
total_return_index_agg.append(
pd.DataFrame(100,
index=forwards_market_df.index,
columns=[cross + "-tot.close"]))
else:
spot = forwards_market_df[cross + ".close"].to_frame()
fx_forwards_tenor_pickout = []
for f in fx_forwards_tenor:
if f + ".close" in fx_forwards_tenor:
fx_forwards_tenor_pickout.append(f)
if f == fx_forwards_trading_tenor:
break
divisor = 10000.0
if cross[3:6] == 'JPY':
divisor = 100.0
forward_pts = forwards_market_df[[cross + x + ".close" for x in fx_forwards_tenor_pickout]].to_frame() \
/ divisor
outright = spot + forward_pts
# Calculate the time difference between each data point
spot['index_col'] = spot.index
time = spot['index_col'].diff()
spot = spot.drop('index_col', 1)
total_return_index = pd.DataFrame(
index=spot.index, columns=[cross + "-tot.close"])
total_return_index.iloc[0] = 100
time_diff = time.values.astype(
float) / 86400000000000.0 # get time difference in days
# TODO incomplete forwards calculations
total_return_index_agg.append(total_return_index)
return self._calculations.pandas_outer_join(total_return_index_agg)
chart.plot(
calculations.create_mult_index_from_prices(
prepare_indices(cross=cross,
df_option_tot=df_cuemacro_option_put_tot,
df_option_tc=df_cuemacro_option_put_tc,
df_spot_tot=df_bbg_tot)))
# P&L from put option + TC and total returns from spot
chart.plot(
calculations.create_mult_index_from_prices(
prepare_indices(cross=cross,
df_option_tc=df_cuemacro_option_put_tc,
df_spot_tot=df_bbg_tot)))
# P&L for total returns from spot and total returns from + 2*put option + TC (ie. hedged portfolio)
chart.plot(calculations.create_mult_index(df_hedged))
# Plot delta from put option
chart.plot(df_cuemacro_option_put_tot[cross + '-delta.close'])
###### Fetch market data for pricing EURUSD options from 2006-2020 (ie. FX spot, FX forwards, FX deposits and FX vol quotes)
###### Construct volatility surface using FinancePy library underneath, using polynomial interpolation
###### Enters a short 1W straddle, and MTM every day, and at expiry rolls into another 1W straddle
if run_example == 2 or run_example == 0:
# Warning make sure you choose dates, where there is full vol surface! If vol points in the tenors you are looking at
# are missing then interpolation will fail (or if eg. spot data is missing etc.)
start_date = '08 Mar 2007'
finish_date = '31 Dec 2020' # Monday
# start_date = '09 Mar 2007'; finish_date = '31 Dec 2014'
# start_date = '04 Jan 2006'; finish_date = '31 Dec 2008'
class FXSpotCurve(object):
"""Construct total return (spot) indices for FX. In future will also convert assets from local currency to foreign currency
denomination and construct indices from forwards series.
"""
def __init__(self,
market_data_generator=None,
depo_tenor=market_constants.spot_depo_tenor,
construct_via_currency='no',
output_calculation_fields=market_constants.
output_calculation_fields):
self._market_data_generator = market_data_generator
self._calculations = Calculations()
self._depo_tenor = depo_tenor
self._construct_via_currency = construct_via_currency
self._output_calculation_fields = output_calculation_fields
def generate_key(self):
from findatapy.market.ioengine import SpeedCache
# Don't include any "large" objects in the key
return SpeedCache().generate_key(
self, ['_market_data_generator', '_calculations'])
def fetch_continuous_time_series(self,
md_request,
market_data_generator,
depo_tenor=None,
construct_via_currency=None,
output_calculation_fields=None):
if market_data_generator is None:
market_data_generator = self._market_data_generator
if depo_tenor is None: depo_tenor = self._depo_tenor
if construct_via_currency is None:
construct_via_currency = self._construct_via_currency
if output_calculation_fields is None:
output_calculation_fields = self._output_calculation_fields
# Eg. we construct AUDJPY via AUDJPY directly
if construct_via_currency == 'no':
base_depo_tickers = [
x[0:3] + self._depo_tenor for x in md_request.tickers
]
terms_depo_tickers = [
x[3:6] + self._depo_tenor for x in md_request.tickers
]
depo_tickers = list(set(base_depo_tickers + terms_depo_tickers))
market = Market(market_data_generator=market_data_generator)
# Deposit data for base and terms currency
md_request_download = MarketDataRequest(md_request=md_request)
md_request_download.tickers = depo_tickers
md_request_download.category = 'base-depos'
md_request_download.fields = 'close'
md_request_download.abstract_curve = None
depo_df = market.fetch_market(md_request_download)
# Spot data
md_request_download.tickers = md_request.tickers
md_request_download.category = 'fx'
spot_df = market.fetch_market(md_request_download)
return self.construct_total_return_index(
md_request.tickers,
self._calculations.pandas_outer_join([spot_df, depo_df]),
depo_tenor=depo_tenor,
output_calculation_fields=output_calculation_fields)
else:
# eg. we calculate via your domestic currency such as USD, so returns will be in your domestic currency
# Hence AUDJPY would be calculated via AUDUSD and JPYUSD (subtracting the difference in returns)
total_return_indices = []
for tick in md_request.tickers:
base = tick[0:3]
terms = tick[3:6]
md_request_base = MarketDataRequest(md_request=md_request)
md_request_base.tickers = base + construct_via_currency
md_request_terms = MarketDataRequest(md_request=md_request)
md_request_terms.tickers = terms + construct_via_currency
base_vals = self.fetch_continuous_time_series(
md_request_base,
market_data_generator,
construct_via_currency='no')
terms_vals = self.fetch_continuous_time_series(
md_request_terms,
market_data_generator,
construct_via_currency='no')
# Special case for USDUSD case (and if base or terms USD are USDUSD
if base + terms == construct_via_currency + construct_via_currency:
base_rets = self._calculations.calculate_returns(base_vals)
cross_rets = pd.DataFrame(0,
index=base_rets.index,
columns=base_rets.columns)
elif base + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = -self._calculations.calculate_returns(
terms_vals)
elif terms + construct_via_currency == construct_via_currency + construct_via_currency:
cross_rets = self._calculations.calculate_returns(
base_vals)
else:
base_rets = self._calculations.calculate_returns(base_vals)
terms_rets = self._calculations.calculate_returns(
terms_vals)
cross_rets = base_rets.sub(terms_rets.iloc[:, 0], axis=0)
# First returns of a time series will by NaN, given we don't know previous point
cross_rets.iloc[0] = 0
cross_vals = self._calculations.create_mult_index(cross_rets)
cross_vals.columns = [tick + '-tot.close']
total_return_indices.append(cross_vals)
return self._calculations.pandas_outer_join(total_return_indices)
def unhedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None):
pass
def hedged_asset_fx(self,
assets_df,
asset_currency,
home_curr,
start_date,
finish_date,
spot_df=None,
total_return_indices_df=None):
pass
def get_day_count_conv(self, currency):
if currency in market_constants.currencies_with_365_basis:
return 365.0
return 360.0
def construct_total_return_index(self,
cross_fx,
market_df,
depo_tenor=None,
output_calculation_fields=False):
"""Creates total return index for selected FX crosses from spot and deposit data
Parameters
----------
cross_fx : String
Crosses to construct total return indices (can be a list)
tenor : String
Tenor of deposit rates to use to compute carry (typically ON for spot)
spot_df : pd.DataFrame
Spot data (must include crosses we select)
deposit_df : pd.DataFrame
Deposit data
Returns
-------
pd.DataFrame
"""
if not (isinstance(cross_fx, list)):
cross_fx = [cross_fx]
if depo_tenor is None: depo_tenor = self._depo_tenor
total_return_index_df_agg = []
for cross in cross_fx:
# Get the spot series, base deposit
base_deposit = market_df[cross[0:3] + depo_tenor +
".close"].to_frame()
terms_deposit = market_df[cross[3:6] + depo_tenor +
".close"].to_frame()
# Eg. if we specify USDUSD
if cross[0:3] == cross[3:6]:
total_return_index_df_agg.append(
pd.DataFrame(100,
index=base_deposit.index,
columns=[cross + "-tot.close"]))
else:
carry = base_deposit.join(terms_deposit, how='inner')
spot = market_df[cross + ".close"].to_frame()
base_daycount = self.get_day_count_conv(cross[0:3])
terms_daycount = self.get_day_count_conv(cross[4:6])
# Align the base & terms deposits series to spot (this should already be done by construction)
# spot, carry = spot.align(carry, join='left', axis=0)
# Sometimes depo data can be patchy, ok to fill down, given not very volatile (don't do this with spot!)
carry = carry.fillna(method='ffill') / 100.0
# In case there are values missing at start of list (fudge for old data!)
carry = carry.fillna(method='bfill')
spot = spot[cross + ".close"].to_frame()
spot_vals = spot[cross + ".close"].values
base_deposit_vals = carry[cross[0:3] + depo_tenor +
".close"].values
terms_deposit_vals = carry[cross[3:6] + depo_tenor +
".close"].values
# Calculate the time difference between each data point (flooring it to whole days, because carry
# is accured when there's a new day)
spot['index_col'] = spot.index.floor('D')
time = spot['index_col'].diff()
spot = spot.drop('index_col', 1)
time_diff = time.values.astype(
float) / 86400000000000.0 # get time difference in days
time_diff[0] = 0.0
# Use Numba to do total return index calculation given has many loops
total_return_index_df = pd.DataFrame(
index=spot.index,
columns=[cross + "-tot.close"],
data=_spot_index_numba(spot_vals, time_diff,
base_deposit_vals,
terms_deposit_vals, base_daycount,
terms_daycount))
if output_calculation_fields:
total_return_index_df[cross + '-carry.close'] = carry
total_return_index_df[
cross +
'-tot-return.close'] = total_return_index_df / total_return_index_df.shift(
1) - 1.0
total_return_index_df[
cross +
'-spot-return.close'] = spot / spot.shift(1) - 1.0
total_return_index_df_agg.append(total_return_index_df)
return self._calculations.pandas_outer_join(total_return_index_df_agg)
def calculate_trading_PnL(self, br, asset_a_df, signal_df, contract_value_df = None):
"""Calculates P&L of a trading strategy and statistics to be retrieved later
Calculates the P&L for each asset/signal combination and also for the finally strategy applying appropriate
weighting in the portfolio, depending on predefined parameters, for example:
static weighting for each asset
static weighting for each asset + vol weighting for each asset
static weighting for each asset + vol weighting for each asset + vol weighting for the portfolio
Parameters
----------
br : BacktestRequest
Parameters for the backtest specifying start date, finish data, transaction costs etc.
asset_a_df : pandas.DataFrame
Asset prices to be traded
signal_df : pandas.DataFrame
Signals for the trading strategy
contract_value_df : pandas.DataFrame
Daily size of contracts
"""
calculations = Calculations()
# make sure the dates of both traded asset and signal are aligned properly
asset_df, signal_df = asset_a_df.align(signal_df, join='left', axis = 'index')
if (contract_value_df is not None):
asset_df, contract_value_df = asset_df.align(contract_value_df, join='left', axis='index')
contract_value_df = contract_value_df.fillna(method='ffill') # fill down asset holidays (we won't trade on these days)
# non-trading days
non_trading_days = numpy.isnan(asset_df.values)
# only allow signals to change on the days when we can trade assets
signal_df = signal_df.mask(non_trading_days) # fill asset holidays with NaN signals
signal_df = signal_df.fillna(method='ffill') # fill these down
tc = br.spot_tc_bp
signal_cols = signal_df.columns.values
asset_df_cols = asset_df.columns.values
pnl_cols = []
for i in range(0, len(asset_df_cols)):
pnl_cols.append(asset_df_cols[i] + " / " + signal_cols[i])
asset_df_copy = asset_df.copy()
asset_df = asset_df.fillna(method='ffill') # fill down asset holidays (we won't trade on these days)
returns_df = calculations.calculate_returns(asset_df)
# apply a stop loss/take profit to every trade if this has been specified
# do this before we start to do vol weighting etc.
if hasattr(br, 'take_profit') and hasattr(br, 'stop_loss'):
returns_df = calculations.calculate_returns(asset_df)
temp_strategy_rets_df = calculations.calculate_signal_returns(signal_df, returns_df)
trade_rets_df = calculations.calculate_cum_rets_trades(signal_df, temp_strategy_rets_df)
# pre_signal_df = signal_df.copy()
signal_df = calculations.calculate_risk_stop_signals(signal_df, trade_rets_df, br.stop_loss, br.take_profit)
# make sure we can't trade where asset price is undefined and carry over signal
signal_df = signal_df.mask(non_trading_days) # fill asset holidays with NaN signals
signal_df = signal_df.fillna(method='ffill') # fill these down (when asset is not trading
# signal_df.columns = [x + '_final_signal' for x in signal_df.columns]
# for debugging purposes
# if False:
# signal_df_copy = signal_df.copy()
# trade_rets_df_copy = trade_rets_df.copy()
#
# asset_df_copy.columns = [x + '_asset' for x in temp_strategy_rets_df.columns]
# temp_strategy_rets_df.columns = [x + '_strategy_rets' for x in temp_strategy_rets_df.columns]
# signal_df_copy.columns = [x + '_final_signal' for x in signal_df_copy.columns]
# trade_rets_df_copy.columns = [x + '_cum_trade' for x in trade_rets_df_copy.columns]
#
# to_plot = calculations.pandas_outer_join([asset_df_copy, pre_signal_df, signal_df_copy, trade_rets_df_copy, temp_strategy_rets_df])
# to_plot.to_csv('test.csv')
# do we have a vol target for individual signals?
if hasattr(br, 'signal_vol_adjust'):
if br.signal_vol_adjust is True:
risk_engine = RiskEngine()
if not(hasattr(br, 'signal_vol_resample_type')):
br.signal_vol_resample_type = 'mean'
if not(hasattr(br, 'signal_vol_resample_freq')):
br.signal_vol_resample_freq = None
if not(hasattr(br, 'signal_vol_period_shift')):
br.signal_vol_period_shift = 0
leverage_df = risk_engine.calculate_leverage_factor(returns_df, br.signal_vol_target, br.signal_vol_max_leverage,
br.signal_vol_periods, br.signal_vol_obs_in_year,
br.signal_vol_rebalance_freq, br.signal_vol_resample_freq,
br.signal_vol_resample_type, period_shift=br.signal_vol_period_shift)
signal_df = pandas.DataFrame(
signal_df.values * leverage_df.values, index = signal_df.index, columns = signal_df.columns)
self._individual_leverage = leverage_df # contains leverage of individual signal (before portfolio vol target)
_pnl = calculations.calculate_signal_returns_with_tc_matrix(signal_df, returns_df, tc = tc)
_pnl.columns = pnl_cols
adjusted_weights_matrix = None
# portfolio is average of the underlying signals: should we sum them or average them?
if hasattr(br, 'portfolio_combination'):
if br.portfolio_combination == 'sum':
portfolio = pandas.DataFrame(data = _pnl.sum(axis = 1), index = _pnl.index, columns = ['Portfolio'])
elif br.portfolio_combination == 'mean':
portfolio = pandas.DataFrame(data = _pnl.mean(axis = 1), index = _pnl.index, columns = ['Portfolio'])
adjusted_weights_matrix = self.create_portfolio_weights(br, _pnl, method='mean')
elif isinstance(br.portfolio_combination, dict):
# get the weights for each asset
adjusted_weights_matrix = self.create_portfolio_weights(br, _pnl, method='weighted')
portfolio = pandas.DataFrame(data=(_pnl.values * adjusted_weights_matrix), index=_pnl.index)
is_all_na = pandas.isnull(portfolio).all(axis=1)
portfolio = pandas.DataFrame(portfolio.sum(axis = 1), columns = ['Portfolio'])
# overwrite days when every asset PnL was null is NaN with nan
portfolio[is_all_na] = numpy.nan
else:
portfolio = pandas.DataFrame(data = _pnl.mean(axis = 1), index = _pnl.index, columns = ['Portfolio'])
adjusted_weights_matrix = self.create_portfolio_weights(br, _pnl, method='mean')
portfolio_leverage_df = pandas.DataFrame(data = numpy.ones(len(_pnl.index)), index = _pnl.index, columns = ['Portfolio'])
# should we apply vol target on a portfolio level basis?
if hasattr(br, 'portfolio_vol_adjust'):
if br.portfolio_vol_adjust is True:
risk_engine = RiskEngine()
portfolio, portfolio_leverage_df = risk_engine.calculate_vol_adjusted_returns(portfolio, br = br)
self._portfolio = portfolio
self._signal = signal_df # individual signals (before portfolio leverage)
self._portfolio_leverage = portfolio_leverage_df # leverage on portfolio
# multiply portfolio leverage * individual signals to get final position signals
length_cols = len(signal_df.columns)
leverage_matrix = numpy.repeat(portfolio_leverage_df.values.flatten()[numpy.newaxis,:], length_cols, 0)
# final portfolio signals (including signal & portfolio leverage)
self._portfolio_signal = pandas.DataFrame(
data = numpy.multiply(numpy.transpose(leverage_matrix), signal_df.values),
index = signal_df.index, columns = signal_df.columns)
if hasattr(br, 'portfolio_combination'):
if br.portfolio_combination == 'sum':
pass
elif br.portfolio_combination == 'mean' or isinstance(br.portfolio_combination, dict):
self._portfolio_signal = pandas.DataFrame(data=(self._portfolio_signal.values * adjusted_weights_matrix),
index=self._portfolio_signal.index,
columns=self._portfolio_signal.columns)
else:
self._portfolio_signal = pandas.DataFrame(data=(self._portfolio_signal.values * adjusted_weights_matrix),
index=self._portfolio_signal.index,
columns=self._portfolio_signal.columns)
# calculate each period of trades
self._portfolio_trade = self._portfolio_signal - self._portfolio_signal.shift(1)
self._portfolio_signal_notional = None
self._portfolio_signal_trade_notional = None
self._portfolio_signal_contracts = None
self._portfolio_signal_trade_contracts = None
# also create other measures of portfolio
# portfolio & trades in terms of a predefined notional (in USD)
# portfolio & trades in terms of contract sizes (particularly useful for futures)
if hasattr(br, 'portfolio_notional_size'):
# express positions in terms of the notional size specified
self._portfolio_signal_notional = self._portfolio_signal * br.portfolio_notional_size
self._portfolio_signal_trade_notional = self._portfolio_signal_notional - self._portfolio_signal_notional.shift(1)
# get the positions in terms of the contract sizes
notional_copy = self._portfolio_signal_notional.copy(deep=True)
notional_copy_cols = [x.split('.')[0] for x in notional_copy.columns]
notional_copy_cols = [x + '.contract-value' for x in notional_copy_cols]
notional_copy.columns = notional_copy_cols
contract_value_df = contract_value_df[notional_copy_cols]
notional_df, contract_value_df = notional_copy.align(contract_value_df, join='left', axis='index')
# careful make sure orders of magnitude are same for the notional and the contract value
self._portfolio_signal_contracts = notional_df / contract_value_df
self._portfolio_signal_contracts.columns = self._portfolio_signal_notional.columns
self._portfolio_signal_trade_contracts = self._portfolio_signal_contracts - self._portfolio_signal_contracts.shift(1)
self._pnl = _pnl # individual signals P&L
# TODO FIX very slow - hence only calculate on demand
_pnl_trades = None
# _pnl_trades = calculations.calculate_individual_trade_gains(signal_df, _pnl)
self._pnl_trades = _pnl_trades
self._ret_stats_pnl = RetStats()
self._ret_stats_pnl.calculate_ret_stats(self._pnl, br.ann_factor)
self._portfolio.columns = ['Port']
self._ret_stats_portfolio = RetStats()
self._ret_stats_portfolio.calculate_ret_stats(self._portfolio, br.ann_factor)
self._cumpnl = calculations.create_mult_index(self._pnl) # individual signals cumulative P&L
self._cumpnl.columns = pnl_cols
self._cumportfolio = calculations.create_mult_index(self._portfolio) # portfolio cumulative P&L
self._cumportfolio.columns = ['Port']
