def create_earnings_events(stocks: 'list of stocks'):
"""Create Earnings Events for a List of Stocks"""
event_names = ['Q1_2018', 'Q2_2018', 'Q3_2018', 'Q4_2018']
q1_date_range = list(
pd.date_range(dt.date(2018, 1, 1), dt.date(2018, 3, 30)))
earnings_events = []
for stock in stocks:
# Set Event Input
event_input = random.uniform(.03, .07)
# Set Earnings Dates
q1_date = random.choice(q1_date_range)
timing_descriptors = [
q1_date, q1_date + timedelta(90), q1_date + timedelta(180),
q1_date + timedelta(270)
]
# Instantiate Earnings Events and append to main list
for i in range(4):
earnings_evt = Earnings(stock, event_input, timing_descriptors[i],
event_names[i])
earnings_events.append(earnings_evt)
return earnings_events
def get_earnings_events(symbol=None):
if symbol is None:
c.execute("SELECT * FROM earnings")
else:
c.execute("SELECT * FROM earnings WHERE stock=:stock",
{'stock': symbol})
return [Earnings(*params) for params in c.fetchall()]
def get_earnings_events():
earns_evts = []
for earns in get_earnings_table().itertuples():
earns_evt = Earnings(
earns.stock, earns.event_input,
dt.datetime.strptime(earns.timing_descriptor, '%Y-%m-%d').date(),
earns.event_name)
earns_evts.append(earns_evt)
return earns_evts
def get_earnings_events(symbol=None):
if symbol is None:
earns_evts = []
for earns in get_earnings_table().itertuples():
earns_evt = Earnings(
earns.stock, earns.event_input,
dt.datetime.strptime(earns.timing_descriptor,
'%Y-%m-%d').date(), earns.event_name)
earns_evts.append(earns_evt)
return earns_evts
else:
c.execute("SELECT * FROM earnings WHERE stock=:stock",
{'stock': symbol})
return [instantiate_earnings_event(params) for params in c.fetchall()]
'Bucket'])
@property
def events(self):
return self.earnings_events + [self.takeout_event]
event8_info = pd.read_excel('CLVS_RiskScenarios.xlsx',
header=[0],
index_col=[0, 1],
sheet_name='Sub_States')
idio = IdiosyncraticVol('CLVS', .05)
takeout = TakeoutEvent('CLVS', 2)
pres_elec = SysEvt_PresElection('CLVS', .02)
earns_q2 = Earnings('CLVS', .05, dt.date(2018, 5, 15), 'Q2_2018')
earns_q3 = Earnings('CLVS', .05, dt.date(2018, 8, 15), 'Q3_2018')
earns_q4 = Earnings('CLVS', .05, dt.date(2018, 11, 15), 'Q4_2018')
fda_meeting = Event('CLVS', .1, 'Q2_2018', 'FDA Meeting')
data = Event('CLVS', Distribution(pd.read_csv('CLVS.csv')), 'Q2_2018',
'Ph3_Data')
elagolix = ComplexEvent('CLVS', Distribution_MultiIndex(event8_info),
dt.date(2018, 6, 1), 'Elagolix Approval')
events = [
idio, takeout, pres_elec, earns_q2, earns_q3, earns_q4, fda_meeting,
elagolix
]
earnings = get_earnings_events('CLVS')
sorted_events = sorted(
events, key=lambda evt: Timing(evt.timing_descriptor).center_date)
print(earnings)
def instantiate_earnings_event(params: 'tuple of Earnings params'):
evt = Earnings(params[0], params[1],
dt.datetime.strptime(params[2], '%Y-%m-%d').date(),
params[3])
return evt
def instantiate_earnings_event_2(params):
return Earnings(*params)
def instantiate(n=1):
for i in range(n):
evt = Earnings(*params)
def instantiate_earnings_event(
params: 'tuple of Earnings params from sqlite db'):
return Earnings(*params)
expiry7 = dt.date(2018, 11, 21)
expiry8 = dt.date(2018, 12, 21)
expiries = [expiry1, expiry2, expiry3, expiry4, expiry5, expiry6]
expiries = [expiry1, expiry3, expiry5]
expiries = [expiry3]
# Define Events
event8_info = pd.read_excel('CLVS_RiskScenarios.xlsx',
header = [0],
index_col = [0,1],
sheet_name = 'Sub_States')
idio = IdiosyncraticVol('CLVS', .05)
takeout = TakeoutEvent('CLVS', 2)
pres_elec = SysEvt_PresElection('CLVS', .02)
earns_q2 = Earnings('CLVS', .05, 'Q2_2018', 'Q2_Earnings')
earns_q3 = Earnings('CLVS', .05, 'Q3_2018', 'Q3_Earnings')
earns_q4 = Earnings('CLVS', .05, 'Q4_2018', 'Q4_Earnings')
event5 = Event('CLVS', .1, 'Q2_2018', 'FDA_Approval')
data = Event('CLVS', Distribution(pd.read_csv('CLVS.csv')), 'Q2_2018', 'Ph3_Data')
elagolix = ComplexEvent('CLVS', Distribution_MultiIndex(event8_info), 'Q2_2018', 'Elagolix_Approval')
events = [idio, takeout, earns_q2, earns_q3, earns_q4, elagolix]
#events = [takeout]
#events = [idio, elagolix]
events_bid = [event.event_bid for event in events]
events_ask = [event.event_ask for event in events]
events_high_POS = [idio, elagolix.event_high_prob_success]
events_low_POS = [idio, elagolix.event_low_prob_success]
events_max_optionality = [idio, elagolix.event_max_optionality]
def earnings_params_to_earnings_event(params):
evt = Earnings(params[0], params[1],
dt.datetime.strptime(params[2], '%Y-%m-%d').date(),
params[3])
return evt
