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