def load_data_calc_output_and_check_forward_looking(strategy):
"""
:param strategy: function with data loading and output calculation
:return: whole output
"""
qdc.MAX_DATE_LIMIT = None
qdc.MAX_DATETIME_LIMIT = None
log_info("Computing of the whole output...")
whole_output = strategy()
last_date = datetime.datetime.now().date()
last_date = last_date - datetime.timedelta(
days=FORWARD_LOOKING_TEST_OFFSET)
qdc.MAX_DATE_LIMIT = last_date
qdc.MAX_DATETIME_LIMIT = datetime.datetime.combine(last_date,
datetime.time.min)
log_info("Computing of the cropped output...")
cropped_output = strategy()
qdc.MAX_DATE_LIMIT = None
qdc.MAX_DATETIME_LIMIT = None
check_forward_looking(cropped_output, whole_output)
return whole_output
def check_forward_looking(cropped_output, whole_output):
cropped_output = sort_and_crop_output(cropped_output)
whole_output = sort_and_crop_output(whole_output)
max_time = min(cropped_output.coords[ds.TIME].values.max(),
whole_output.coords[ds.TIME].values.max())
cropped_output = cropped_output.loc[:max_time]
whole_output = whole_output.loc[:max_time]
cropped_output, whole_output = xr.align(cropped_output,
whole_output,
join='outer')
cropped_output = cropped_output.fillna(0)
whole_output = whole_output.fillna(0)
diff = whole_output - cropped_output
# print(diff.where(diff!=0).dropna('time', 'all').dropna('asset','all'))
delta = abs(diff).max().values
if delta > FORWARD_LOOKING_TEST_DELTA:
log_info('WARNING: This strategy uses forward looking! Delta = ' +
str(delta))
return True
else:
log_info('Ok. There is no forward looking.')
return False
def write(state):
if state is None:
return
path = get_env("OUT_STATE_PATH", "state.out.pickle.gz")
with gzip.open(path, 'wb') as gz:
pickle.dump(state, gz)
log_info("State saved.")
def load_data(
assets: tp.List[tp.Union[dict, str]] = None,
min_date: tp.Union[str, datetime.date, None] = None,
max_date: tp.Union[str, datetime.date, None] = None,
dims: tp.Tuple[str, str, str] = (ds.FIELD, ds.TIME, ds.ASSET),
forward_order: bool = True,
tail: tp.Union[datetime.timedelta, float,
int] = DEFAULT_TAIL) -> xr.DataArray:
"""
:param assets: list of ticker names to load
:param min_date: first date in data
:param max_date: last date of data
:param dims: tuple with ds.FIELD, ds.TIME, ds.ASSET in the specified order
:param forward_order: boolean, set true if you need the forward order of dates, otherwise the order is backward
:param tail: datetime.timedelta, tail size of data. min_date = max_date - tail
:return: xarray DataArray with historical data for selected assets
"""
t = time.time()
data = load_origin_data(assets=assets,
min_date=min_date,
max_date=max_date,
tail=tail)
log_info("Data loaded " + str(round(time.time() - t)) + "s")
data = adjust_by_splits(data, False)
data = data.transpose(*dims)
if forward_order:
data = data.sel(**{ds.TIME: slice(None, None, -1)})
data.name = "stocks"
return data
def calc_output_and_check_forward_looking(data, strategy):
"""
:param data: loaded data xarray
:param strategy: function, that calculates outputs using provided data
:return: output
"""
cropped_data = data
last_date = data.coords[ds.TIME].values.max()
last_date = str(last_date)[0:10]
last_date = datetime.datetime.strptime(last_date, '%Y-%m-%d').date()
last_date = last_date - datetime.timedelta(
days=FORWARD_LOOKING_TEST_OFFSET)
last_date = str(last_date)
if data.coords[ds.TIME][0] < data.coords[ds.TIME][-1]:
cropped_data = cropped_data.loc[{ds.TIME: slice(None, last_date)}]
else:
cropped_data = cropped_data.loc[{ds.TIME: slice(last_date, None)}]
cropped_data = cropped_data.dropna(ds.ASSET, 'all')
cropped_data = cropped_data.dropna(ds.TIME, 'all')
log_info("Computing of the cropped output...")
cropped_output = strategy(cropped_data)
log_info("Computing of the whole output...")
whole_output = strategy(data)
check_forward_looking(cropped_output, whole_output)
return whole_output
def show_table(row_offset, column_offset):
try:
from IPython.display import display
display(output.iloc[row_offset:row_offset + tail_r,
column_offset:column_offset + tail_c])
except:
log_info(output.iloc[row_offset:row_offset + tail_r,
column_offset:column_offset + tail_c])
def calc_correlation(relative_returns, suppress_exception=True):
try:
if "SUBMISSION_ID" in os.environ and os.environ["SUBMISSION_ID"] != "":
log_info("correlation check disabled")
return []
ENGINE_CORRELATION_URL = get_env(
"ENGINE_CORRELATION_URL",
"https://quantiacs.io/referee/submission/forCorrelation")
STATAN_CORRELATION_URL = get_env(
"STATAN_CORRELATION_URL",
"https://quantiacs.io/statan/correlation")
PARTICIPANT_ID = get_env("PARTICIPANT_ID", "0")
with request.urlopen(ENGINE_CORRELATION_URL + "?participantId=" +
PARTICIPANT_ID) as response:
submissions = response.read()
submissions = json.loads(submissions)
submission_ids = [s['id'] for s in submissions]
rr = relative_returns.to_netcdf(compute=True)
rr = gzip.compress(rr)
rr = base64.b64encode(rr)
rr = rr.decode()
cofactors = []
chunks = [
submission_ids[x:x + 50] for x in range(0, len(submission_ids), 50)
]
for c in chunks:
r = {"relative_returns": rr, "submission_ids": c}
r = json.dumps(r)
r = r.encode()
with request.urlopen(STATAN_CORRELATION_URL, r) as response:
cs = response.read()
cs = json.loads(cs)
cofactors = cofactors + cs
result = []
for c in cofactors:
sub = next(
(s for s in submissions if str(c['id']) == str(s['id'])))
sub['cofactor'] = c['cofactor']
sub['sharpe_ratio'] = c['sharpe_ratio']
result.append(sub)
return result
except Exception as e:
log_err("WARNING! Can't calculate correlation.")
if suppress_exception:
import logging
logging.exception("network error")
return []
else:
raise e
def load_output(fn, date):
output = xr.open_dataarray(fn, cache=False)
output = output.compute()
if 'time' not in output.coords:
log_info('append dimension')
output = xr.concat([output], pd.DatetimeIndex([date], name='time'))
output.coords['asset'] = [
idt.translate_server_id_to_user_id(id) for id in output.asset.values
]
return output
def read(path=None):
if path is None:
path = get_env("IN_STATE_PATH", "state.in.pickle.gz")
try:
with gzip.open(path, 'rb') as gz:
res = pickle.load(gz)
log_info("State loaded.")
return res
except Exception as e:
log_err("Can't load state.", e)
return None
def check_output(output, data_type='stocks'):
if data_type != 'stocks' and data_type != 'stocks_long' and data_type != 'futures' \
and data_type != 'crypto' and data_type != 'crypto_futures' and data_type != 'cryptofutures':
log_err("Unsupported data_type", data_type)
return
in_sample_points = qnt.stats.get_default_is_period_for_type(data_type)
min_date = qnt.stats.get_default_is_start_date_for_type(data_type)
output_tail = output.where(output.time > np.datetime64(min_date)).dropna(
'time', 'all')
if len(output_tail) < in_sample_points:
log_err("ERROR! In sample period does not contain enough points. " +
str(len(output_tail)) + " < " + str(in_sample_points))
else:
log_info("Ok. In sample period contains enough points." +
str(len(output_tail)) + " >= " + str(in_sample_points))
log_info()
log_info("Load data...")
data = qnt.data.load_data_by_type(
data_type,
assets=output.asset.values.tolist(),
min_date=(pd.Timestamp(min_date) -
pd.Timedelta(days=60)).to_pydatetime())
log_info()
qnt.output.check(output, data)
def run_iterations(time_series, data, window, start_date, lookback_period,
strategy, step, collect_all_states):
def copy_window(data, dt, tail):
return copy.deepcopy(window(data, dt, tail))
log_info("Run iterations...\n")
ts = np.sort(time_series)
outputs = []
all_states = []
output_time_coord = ts[ts >= start_date]
output_time_coord = output_time_coord[::step]
i = 0
sys.stdout.flush()
with progressbar.ProgressBar(max_value=len(output_time_coord),
poll_interval=1) as p:
state = None
for t in output_time_coord:
tail = copy_window(data, t, lookback_period)
result = strategy(tail, copy.deepcopy(state))
output, state = unpack_result(result)
if type(output) != xr.DataArray:
log_err("Output is not xarray!")
return
if set(output.dims) != {'asset'} and set(
output.dims) != {'asset', 'time'}:
log_err("Wrong output dimensions. ", output.dims,
"Should contain only:", {'asset', 'time'})
return
if 'time' in output.dims:
output = output.sel(time=t)
output = output.drop(['field', 'time'], errors='ignore')
outputs.append(output)
if collect_all_states:
all_states.append(state)
i += 1
p.update(i)
sys.stderr.flush()
log_info("Merge outputs...")
output = xr.concat(outputs, pd.Index(output_time_coord,
name=qndata.ds.TIME))
return output, all_states if collect_all_states else state
def calc_sharpe_ratio_for_check(data, output, kind=None, check_dates=True):
"""
Calculates sharpe ratio for check according to the rules
:param data:
:param output:
:param kind: competition type
:param check_dates: do you need to check the sharpe ratio dates?
:return:
"""
import qnt.stats as qns
if kind is None:
kind = data.name
start_date = qns.get_default_is_start_date_for_type(kind)
sdd = pd.Timestamp(start_date)
osd = pd.Timestamp(
output.where(abs(output).sum('asset') > 0).dropna(
'time', 'all').time.min().values)
dsd = pd.Timestamp(data.time.min().values)
if check_dates:
if (dsd - sdd).days > 10:
log_err("WARNING! There are not enough points in the data")
log_err("The first point(" + str(dsd.date()) +
") should be earlier than " + str(sdd.date()))
log_err("Load data more historical data.")
else:
if len(data.sel(time=slice(None, sdd)).time) < 15:
log_err(
"WARNING! There are not enough points in the data for the slippage calculation."
)
log_err(
"Add 15 extra data points to the data head (load data more historical data)."
)
if (osd - sdd).days > 7:
log_err("WARNING! There are not enough points in the output.")
log_err("The output series should start from " + str(sdd.date()) +
" or earlier instead of " + str(osd.date()))
sd = max(sdd, dsd)
sd = sd.to_pydatetime()
fd = pd.Timestamp(data.time.max().values).to_pydatetime()
log_info("Period: " + str(sd.date()) + " - " + str(fd.date()))
output_slice = align(output, data.time, sd, fd)
rr = qns.calc_relative_return(data, output_slice)
sr = qns.calc_sharpe_ratio_annualized(rr)
sr = sr.isel(time=-1).values
return sr
def write(output):
"""
writes output in the file for submission
:param output: xarray with daily weights
"""
import qnt.data.id_translation as idt
from qnt.data.common import ds, get_env, track_event
output = output.copy()
output.coords[ds.ASSET] = [idt.translate_user_id_to_server_id(id) for id in output.coords[ds.ASSET].values]
output = normalize(output)
data = output.to_netcdf(compute=True)
data = gzip.compress(data)
path = get_env("OUTPUT_PATH", "fractions.nc.gz")
log_info("Write output: " + path)
with open(path, 'wb') as out:
out.write(data)
track_event("OUTPUT_WRITE")
def run_init():
if os.path.exists("init.ipynb"):
log_info("Run init.ipynb..")
cmd = " jupyter nbconvert --to html --ExecutePreprocessor.timeout=1800 --execute init.ipynb --stdout " + \
"| html2text -utf8"
# "\\\n 2>&1"
log_info("cmd:", cmd)
log_info("output:")
proc = subprocess.Popen(cmd,
shell=True,
stdout=subprocess.PIPE,
stderr=subprocess.STDOUT,
executable='bash')
for line in io.TextIOWrapper(proc.stdout, encoding="utf-8"):
sys.stdout.write(line)
proc.wait()
code = proc.returncode
log_info("return code:", code)
def show_asset_stat(asset):
if asset in stat_per_asset.asset.values.tolist():
out = output.sel(asset=[asset])
stat = stat_per_asset.sel(asset=asset)
else:
out = output
stat = stat_global
log_info("Output:")
display_scrollable_output_table(out)
log_info("Stats:")
display_scrollable_stats_table(stat)
make_major_plots(stat)
log_info("---")
def assemble_output(add_mode='all'):
log_info("Merge outputs...")
files = os.listdir(result_dir)
files = [f for f in files if f.endswith(".fractions.nc.gz")]
files.sort()
output = None
if len(files) == 0:
log_err("ERROR! There are no outputs.")
for f in files:
date = f.split(".")[0]
date = datetime.date.fromisoformat(date)
fn = result_dir + "/" + f
_output = load_output(fn, date)
_output = _output.where(_output.time <= np.datetime64(date)).dropna(
'time', 'all')
if len(_output) == 0:
continue
if output is None:
log_info("init output:", fn,
str(_output.time.min().values)[:10],
str(_output.time.max().values)[:10])
output = _output
else:
if add_mode == 'all':
_output = _output.where(
_output.time > output.time.max()).dropna('time', 'all')
elif add_mode == 'one':
_output = _output.where(
_output.time == np.datetime64(date)).dropna('time', 'all')
else:
raise Exception("wrong add_mode")
if len(_output) == 0:
continue
log_info("add output:", fn,
str(_output.time.min().values)[:10],
str(_output.time.max().values)[:10])
output = xr.concat([output, _output], dim="time")
return output
def load_facts(
ciks: tp.List[str],
facts: tp.List[str],
types: tp.Union[None, tp.List[str]] = None,
skip_segment: bool = False,
period: tp.Union[str, None] = None, # 'A', 'S', 'Q'
columns: tp.Union[tp.List[str], None] = None,
min_date: tp.Union[str, datetime.date, None] = None,
max_date: tp.Union[str, datetime.date, None] = None,
tail: tp.Union[datetime.timedelta, float, int] = DEFAULT_TAIL,
group_by_cik: bool = False) -> tp.Generator[dict, None, None]:
"""
Load SEC Forms (Fundamental data)
:param ciks: list of cik (you can get cik from asset id)
:param types: list of form types: ['10-K', '10-Q', '10-K/A', '10-Q/A']
:param facts: list of facts for extraction, for example: ['us-gaap:Goodwill']
:param skip_segment: skip facts with segment
:param period: fact periods ('Q', 'A' or 'S')
:param columns: list of columns to load: ['fact_name','unit_type','unit','segment','period_type','period','period_length','report_type','report_url','report_date']
:param min_date: min form date
:param max_date: max form date
:param tail: datetime.timedelta, tail size of data. min_date = max_date - tail
:return: generator
"""
track_event("DATA_SECGOV_FACTS")
max_date = parse_date(max_date)
if min_date is not None:
min_date = parse_date(min_date)
else:
min_date = max_date - parse_tail(tail)
params = {
'ciks': list(set(ciks)),
'types': list(set(types)) if types is not None else None,
'facts': list(set(facts)),
'skip_segment': skip_segment,
'columns': list(set(columns)) if columns is not None else None,
'period': period,
'min_date': min_date.isoformat(),
'max_date': max_date.isoformat()
}
max_batch_size = min(50, SECGOV_BATCH_SIZE // len(facts))
log_info("load secgov facts...")
t = time.time()
for offset in range(0, len(ciks), max_batch_size):
batch_ciks = []
if offset + max_batch_size > len(ciks):
batch_ciks = ciks[offset:]
else:
batch_ciks = ciks[offset:(offset + max_batch_size)]
params['ciks'] = batch_ciks
params_js = json.dumps(params)
raw = request_with_retry("sec.gov/facts", params_js.encode())
js = raw.decode()
facts = json.loads(js)
if group_by_cik:
facts = sorted(facts, key=lambda k: k['cik'])
groups = itertools.groupby(facts, key=lambda f: f['cik'])
for g in groups:
yield (g[0], list(g[1]))
else:
for f in facts:
yield f
log_info("fetched chunk", (offset // max_batch_size + 1), '/',
math.ceil(len(ciks) / max_batch_size),
math.ceil(time.time() - t), 's')
log_info("facts loaded.")
def check_correlation(portfolio_history, data, print_stack_trace=True):
""" Checks correlation for current output. """
track_event("CHECK_CORRELATION")
portfolio_history = output_normalize(portfolio_history)
rr = calc_relative_return(data, portfolio_history)
try:
cr_list = calc_correlation(rr, False)
except:
import logging
if print_stack_trace:
logging.exception("Correlation check failed.")
else:
log_err("Correlation check failed.")
return
log_info()
if len(cr_list) == 0:
log_info("Ok. This strategy does not correlate with other strategies.")
return
log_err(
"WARNING! This strategy correlates with other strategies and will be rejected."
)
log_err("Modify the strategy to produce the different output.")
log_info(
"The number of systems with a larger Sharpe ratio and correlation larger than 0.9:",
len(cr_list))
log_info(
"The max correlation value (with systems with a larger Sharpe ratio):",
max([i['cofactor'] for i in cr_list]))
my_cr = [i for i in cr_list if i['my']]
log_info(
"Current sharpe ratio(3y):",
calc_sharpe_ratio_annualized(rr,
calc_avg_points_per_year(data) *
3)[-1].values.item())
log_info()
if len(my_cr) > 0:
log_info("My correlated submissions:\n")
headers = ['Name', "Coefficient", "Sharpe ratio"]
rows = []
for i in my_cr:
rows.append([i['name'], i['cofactor'], i['sharpe_ratio']])
log_info(tabulate(rows, headers))
ex_cr = [i for i in cr_list if i['template']]
if len(ex_cr) > 0:
log_info("Correlated examples:\n")
headers = ['Name', "Coefficient", "Sharpe ratio"]
rows = []
for i in ex_cr:
rows.append([i['name'], i['cofactor'], i['sharpe_ratio']])
log_info(tabulate(rows, headers))
def check_exposure(portfolio_history,
soft_limit=0.05,
hard_limit=0.1,
days_tolerance=0.02,
excess_tolerance=0.02,
avg_period=252,
check_period=252 * 5):
"""
Checks exposure according to the submission filters.
:param portfolio_history: output DataArray
:param soft_limit: soft limit for exposure
:param hard_limit: hard limit for exposure
:param days_tolerance: the number of days when exposure may be in range 0.05..0.1
:param excess_tolerance: max allowed average excess
:param avg_period: period for the ratio calculation
:param check_period: period for checking
:return:
"""
portfolio_history = portfolio_history.loc[{
ds.TIME:
np.sort(portfolio_history.coords[ds.TIME])
}]
exposure = calc_exposure(portfolio_history)
max_exposure = exposure.max(ds.ASSET)
max_exposure_over_limit = max_exposure.where(
max_exposure > soft_limit).dropna(ds.TIME)
if len(max_exposure_over_limit) > 0:
max_exposure_asset = exposure.sel({
ds.TIME:
max_exposure_over_limit.coords[ds.TIME]
}).idxmax(ds.ASSET)
log_info("Positions with max exposure over the limit:")
pos = xr.concat([max_exposure_over_limit, max_exposure_asset],
pd.Index(['exposure', 'asset'], name='field'))
log_info(pos.to_pandas().T)
periods = min(avg_period, len(portfolio_history.coords[ds.TIME]))
bad_days = xr.where(max_exposure > soft_limit, 1.0, 0.0)
bad_days_proportion = bad_days[-check_period:].rolling(dim={
ds.TIME: periods
}).mean()
days_ok = xr.where(bad_days_proportion > days_tolerance, 1,
0).sum().values == 0
excess = exposure - soft_limit
excess = excess.where(excess > 0, 0).sum(ds.ASSET)
excess = excess[-check_period:].rolling(dim={ds.TIME: periods}).mean()
excess_ok = xr.where(excess > excess_tolerance, 1, 0).sum().values == 0
hard_limit_ok = xr.where(max_exposure > hard_limit, 1, 0).sum().values == 0
if hard_limit_ok and (days_ok or excess_ok):
log_info("Ok. The exposure check succeed.")
return True
else:
log_err("WARNING! The exposure check failed.")
log_info("Hard limit check: ", 'Ok.' if hard_limit_ok else 'Failed.')
log_info("Days check: ", 'Ok.' if days_ok else 'Failed.')
log_info("Excess check:", 'Ok.' if excess_ok else 'Failed.')
return False
forward_order=True)
data_pd = (data.sel(field="high").to_pandas(),
data.sel(field="low").to_pandas(),
data.sel(field="close").to_pandas())
t1 = time.time()
adx1 = ADX(data, 14)
t2 = time.time()
_plus_di, _minus_di, _adx, _adxr = dms(data.sel(field="high"),
data.sel(field="low"),
data.sel(field="close"), 14, 14, 14)
t3 = time.time()
(pd_res) = dms(data_pd[0], data_pd[1], data_pd[2], 14, 14, 14)
t4 = time.time()
log_info(t2 - t1, t3 - t2, t4 - t3, "relative delta =",
abs(adx1 - _adx).mean().values, "t(talib)/t(this) =",
(t2 - t1) / (t3 - t2))
import matplotlib.pyplot as plt
plt.plot(adx1.coords[ds.TIME].values,
adx1.sel(asset='NASDAQ:AAPL').values, 'r')
plt.plot(_adx.coords[ds.TIME].values,
_adx.sel(asset='NASDAQ:AAPL').values, 'g')
plt.show()
def clean(output, data, kind=None, debug=True):
"""
Checks the output and fix common errors:
- liquidity
- missed dates
- exposure
- normalization
:param output:
:param data:
:param kind:
:return:
"""
import qnt.stats as qns
import qnt.exposure as qne
from qnt.data.common import ds, f, track_event
if kind is None:
kind = data.name
output = output.drop(ds.FIELD, errors='ignore')
with LogSettings(err2info=True):
log_info("Output cleaning...")
single_day = ds.TIME not in output.dims
if not single_day:
track_event("OUTPUT_CLEAN")
if single_day:
output = output.drop(ds.TIME, errors='ignore')
output = xr.concat([output], pd.Index([data.coords[ds.TIME].values.max()], name=ds.TIME))
else:
log_info("ffill if the current price is None...")
output = output.fillna(0)
output = output.where(np.isfinite(data.sel(field='close')))
output = output.ffill('time')
output = output.fillna(0)
if kind == "stocks" or kind == "stocks_long":
log_info("Check liquidity...")
non_liquid = qns.calc_non_liquid(data, output)
if len(non_liquid.coords[ds.TIME]) > 0:
log_info("WARNING! Strategy trades non-liquid assets.")
log_info("Fix liquidity...")
is_liquid = data.sel(field=f.IS_LIQUID)
is_liquid = xr.align(is_liquid, output, join='right')[0]
output = xr.where(is_liquid == 0, 0, output)
log_info("Ok.")
if not single_day:
log_info("Check missed dates...")
missed_dates = qns.find_missed_dates(output, data)
if len(missed_dates) > 0:
log_info("WARNING! Output contain missed dates.")
log_info("Adding missed dates and set zero...")
add = xr.concat([output.isel(time=-1)] * len(missed_dates), pd.DatetimeIndex(missed_dates, name="time"))
add = xr.full_like(add, np.nan)
output = xr.concat([output, add], dim='time')
output = output.fillna(0)
if kind == "stocks" or kind == "stocks_long":
output = output.where(data.sel(field='is_liquid') > 0)
output = output.dropna('asset', 'all').dropna('time', 'all').fillna(0)
output = normalize(output)
else:
log_info("Ok.")
if kind == 'stocks_long':
log_info("Check positive positions...")
neg = output.where(output < 0).dropna(ds.TIME, 'all')
if len(neg.time) > 0:
log_info("WARNING! Output contains negative positions. Clean...")
output = output.where(output >= 0).fillna(0)
else:
log_info("Ok.")
if kind == "stocks" or kind == "stocks_long":
log_info("Check exposure...")
if not qns.check_exposure(output):
log_info("Cut big positions...")
output = qne.cut_big_positions(output)
log_info("Check exposure...")
if not qns.check_exposure(output):
log_info("Drop bad days...")
output = qne.drop_bad_days(output)
if kind == "crypto":
log_info("Check BTC...")
if output.where(output != 0).dropna("asset", "all").coords[ds.ASSET].values.tolist() != ['BTC']:
log_info("WARNING! Output contains not only BTC.")
log_info("Fixing...")
output=output.sel(asset=['BTC'])
else:
log_info("Ok.")
log_info("Normalization...")
output = normalize(output)
log_info("Output cleaning is complete.")
return output
url = tracking_host + '/engine/tracklib?apiKey=' + api_key + '&event=' + event
if 'STRATEGY_ID' in os.environ:
url = url + '&strategyId=' + os.environ.get('STRATEGY_ID', '')
t = threading.Thread(target=get_url_silent, args=(url,))
t.start()
def get_url_silent(url):
try:
urllib.request.urlopen(url)
except:
pass
if __name__ == '__main__':
log_info(parse_max_datetime_from_url('http://hl.datarelay:7070/last/2020-10-07T10/'))
log_info(parse_max_datetime_from_url('http://hl.datarelay:7070/last/2016-10-28/'))
# t = parse_max_datetime_from_url('http://hl.datarelay:7070/last/2020-10-07T10/')
# print(datetime.datetime.combine(t.date(), datetime.time.min))
# TODO Strange stuff, need to check usage
def from_xarray_3d_to_dict_of_pandas_df(xarray_data):
assets_names = xarray_data.coords[ds.ASSET].values
pandas_df_dict = {}
for asset_name in assets_names:
pandas_df_dict[asset_name] = xarray_data.loc[:, :, asset_name].to_pandas()
return pandas_df_dict
def check(output, data, kind=None):
"""
This function checks your output and warn you if it contains errors.
:return:
"""
import qnt.stats as qns
from qnt.data.common import ds, f, get_env, track_event
if kind is None:
kind = data.name
single_day = ds.TIME not in output.dims
if single_day:
output = xr.concat([output], pd.Index([data.coords[ds.TIME].values.max()], name=ds.TIME))
try:
if kind == "stocks" or kind == "stocks_long":
log_info("Check liquidity...")
non_liquid = qns.calc_non_liquid(data, output)
if len(non_liquid.coords[ds.TIME]) > 0:
log_err("ERROR! Strategy trades non-liquid assets.")
log_err("Multiply the output by data.sel(field='is_liquid') or use qnt.output.clean")
else:
log_info("Ok.")
if not single_day:
log_info("Check missed dates...")
missed_dates = qns.find_missed_dates(output, data)
if len(missed_dates) > 0:
log_err("ERROR! Some dates were missed)")
log_err("Your strategy dropped some days, your strategy should produce a continuous series.")
else:
log_info("Ok.")
track_event("OUTPUT_CHECK")
if kind == "stocks" or kind == "stocks_long":
log_info("Check exposure...")
if not qns.check_exposure(output):
log_err("Use more assets or/and use qnt.output.clean")
if kind == "crypto":
log_info("Check BTC...")
if output.where(output != 0).dropna("asset", "all").coords[ds.ASSET].values.tolist() != ['BTC']:
log_err("ERROR! Output contains not only BTC.\n")
log_err("Remove the other assets from the output or use qnt.output.clean")
else:
log_info("Ok.")
if not single_day:
if abs(output).sum() == 0:
log_err("ERROR! Output is empty. All positions are zero.")
else:
# if kind == 'crypto' or kind == 'cryptofutures' or kind == 'crypto_futures':
# log_info("Check holding time...")
# ht = qns.calc_avg_holding_time(output)
# ht = ht.isel(time=-1).values
# if ht < 4:
# log_err("ERROR! The holding time is too low.", ht, "<", 4)
# else:
# log_info("Ok.")
#
# if kind == 'stocks_long':
# log_info("Check holding time...")
# ht = qns.calc_avg_holding_time(output)
# ht = ht.isel(time=-1).values
# if ht < 15:
# log_err("ERROR! The holding time is too low.", ht, "<", 15)
# else:
# log_info("Ok.")
if kind == 'stocks_long':
log_info("Check positive positions...")
neg = output.where(output < 0).dropna(ds.TIME, 'all')
if len(neg.time) > 0:
log_err("ERROR! Output contains negative positions.")
log_err("Drop all negative positions.")
else:
log_info("Ok.")
log_info("Check the sharpe ratio...")
sr = calc_sharpe_ratio_for_check(data, output, kind, True)
log_info("Sharpe Ratio =", sr)
if sr < 1:
log_err("ERROR! The Sharpe Ratio is too low.", sr, '<', 1,)
log_err("Improve the strategy and make sure that the in-sample Sharpe Ratio more than 1.")
else:
log_info("Ok.")
log_info("Check correlation.")
qns.check_correlation(output, data, False)
except Exception as e:
log_err(e)
def load_origin_data(assets=None,
min_date=None,
max_date=None,
tail: tp.Union[datetime.timedelta, float, int] = 4 * 365):
track_event("DATA_STOCKS_SERIES")
setup_ids()
if assets is not None:
assets = [a['id'] if type(a) == dict else a for a in assets]
if assets is None:
assets_array = load_list(min_date=min_date,
max_date=max_date,
tail=tail)
assets_arg = [a['id'] for a in assets_array]
else:
assets_arg = assets
assets_arg = [idt.translate_user_id_to_server_id(id) for id in assets_arg]
assets_arg = list(set(assets_arg)) # rm duplicates
# load data from server
if max_date is None and "LAST_DATA_PATH" in os.environ:
whole_data_file_flag_name = get_env("LAST_DATA_PATH", "last_data.txt")
with open(whole_data_file_flag_name, "w") as text_file:
text_file.write("last")
max_date = parse_date(max_date)
if min_date is not None:
min_date = parse_date(min_date)
else:
min_date = max_date - parse_tail(tail)
# print(str(max_date))
if min_date > max_date:
raise Exception("min_date must be less than or equal to max_date")
start_time = time.time()
days = (max_date - min_date).days + 1
chunk_asset_count = math.floor(BATCH_LIMIT / days)
chunks = []
assets_arg.sort()
for offset in range(0, len(assets_arg), chunk_asset_count):
chunk_assets = assets_arg[offset:(offset + chunk_asset_count)]
chunk = load_origin_data_chunk(chunk_assets, min_date.isoformat(),
max_date.isoformat())
if chunk is not None:
chunks.append(chunk)
log_info("fetched chunk " +
str(round(offset / chunk_asset_count + 1)) + "/" +
str(math.ceil(len(assets_arg) / chunk_asset_count)) + " " +
str(round(time.time() - start_time)) + "s")
fields = [
f.OPEN, f.LOW, f.HIGH, f.CLOSE, f.VOL, f.DIVS, f.SPLIT,
f.SPLIT_CUMPROD, f.IS_LIQUID
]
if len(chunks) == 0:
whole = xr.DataArray([[[np.nan]]] * len(fields),
dims=[ds.FIELD, ds.TIME, ds.ASSET],
coords={
ds.FIELD: fields,
ds.TIME: pd.DatetimeIndex([max_date]),
ds.ASSET: ['ignore']
})[:, 1:, 1:]
else:
whole = xr.concat(chunks, ds.ASSET)
whole.coords[ds.ASSET] = [
idt.translate_server_id_to_user_id(id)
for id in whole.coords[ds.ASSET].values
]
if assets is not None:
assets = sorted(assets)
assets = xr.DataArray(assets,
dims=[ds.ASSET],
coords={ds.ASSET: assets})
whole = whole.broadcast_like(assets)
whole = whole.transpose(ds.FIELD, ds.TIME, ds.ASSET)
whole = whole.loc[fields,
np.sort(whole.coords[ds.TIME])[::-1],
np.sort(whole.coords[ds.ASSET])]
return whole.dropna(ds.TIME, 'all')
return lwma(series, weights)
if type(weights) is list:
weights = np.array(weights, np.float64)
return nda.nd_universal_adapter(wma_np_1d, (series, ), (weights, ))
def lwma(series: nda.NdType, periods: int = 20):
return nda.nd_universal_adapter(lwma_np_1d, (series, ), (periods, ))
def vwma(price: nda.NdType, volume: nda.NdType, periods: int = 20):
return nda.nd_universal_adapter(vwma_np_1d, (price, volume), (periods, ))
if __name__ == '__main__':
log_info(np.divide(1., 0.))
d1_array = np.array([0, 1, 2, 3, 4, np.nan, 5, np.nan, 6, 7], np.double)
d1_result_lwma = lwma(d1_array, 3)
d1_result_wma = wma(d1_array, [3, 2, 1])
d1_result_vwma = vwma(d1_array, d1_array, 3)
log_info("d1_array:\n", d1_array, '\n')
log_info('d1_result_lwma:\n', d1_result_lwma)
log_info('d1_result_wma:\n', d1_result_wma)
log_info('d1_result_vwma:\n', d1_result_vwma)
log_info('---')
np_array = np.array([[
[1, 2, 3, 4],
[5, 6, 7, 8],
], [
def tema(series: nda.NdType,
periods: int = 20,
warm_periods: tp.Union[int, None] = None) -> nda.NdType:
"""
Triple Exponential Moving Average
"""
ma = ema(series, periods, warm_periods)
ma = ema(ma, periods, warm_periods)
ma = ema(ma, periods, warm_periods)
return ma
if __name__ == '__main__':
d1_array = np.array([0, 1, 2, 3, 4, np.nan, 5, np.nan, 6, 7], np.double)
d1_result = ema(d1_array, 3)
log_info("d1_array:\n", d1_array, '\n')
log_info('d1_result:\n', d1_result)
log_info('---')
date_rng = pd.date_range(start='2018-01-01', end='2018-01-10', freq='D')
series_in = pd.Series(d1_array, date_rng)
series_out = ema(series_in, 3)
log_info("series_in:\n", series_in, '\n')
log_info('series_out:\n', series_out)
log_info('---')
np_array = np.array([[
[1, 2, 3, 4],
[5, 6, 7, 8],
], [
[2, 3, 4, 5],
:return:
"""
if isinstance(prices, np.ndarray):
return ad_line_np(prices)
return nd_to_1d_universal_adapter(ad_line_np, (prices, ), ())
if __name__ == '__main__':
from qnt.data import load_data, load_assets, ds
assets = load_assets()
ids = [i['id'] for i in assets[0:2000]]
data = load_data(assets=ids,
dims=(ds.TIME, ds.ASSET, ds.FIELD),
forward_order=True).sel(field="close")
adr = ad_ratio(data)
adr_pd = ad_ratio(data.to_pandas())
log_info(adr.to_pandas() - adr_pd.T)
adl = ad_line(data)
import matplotlib.pyplot as plt
plt.plot(adr.coords[ds.TIME].values, adr.values, 'r')
plt.show()
plt.plot(adl.coords[ds.TIME].values, adl.values, 'g')
plt.show()
def evaluate_passes(data_type='stocks', passes=3, dates=None):
log_info("Output directory is:", result_dir)
os.makedirs(result_dir, exist_ok=True)
log_info("Rm previous results...")
for i in os.listdir(result_dir):
fn = result_dir + "/" + i
if os.path.isfile(fn):
log_info("rm:", fn)
os.remove(fn)
if dates is None:
log_info("Prepare test dates...")
min_date = (pd.Timestamp(
qnt.stats.get_default_is_start_date_for_type(data_type))
).to_pydatetime()
data = qnt.data.load_data_by_type(data_type, min_date=min_date)
if 'is_liquid' in data.field:
data = data.where(data.sel(field='is_liquid') > 0).dropna(
'time', 'all')
data = data.time
dates = [data.isel(time=-1).values, data.isel(time=1).values] \
+ [data.isel(time=round(len(data) * (i+1)/(passes-1))).values for i in range(passes-2)]
dates = list(set(dates))
dates.sort()
dates = [pd.Timestamp(i).date() for i in dates]
del data
else:
dates = [qnt.data.common.parse_date(d) for d in dates]
log_info("Dates:", *(i.isoformat() for i in dates))
i = 0
for date in dates:
try:
os.remove(fractions_fn)
except FileNotFoundError:
pass
try:
os.remove(last_data_fn)
except FileNotFoundError:
pass
try:
os.remove(html_fn)
except FileNotFoundError:
pass
log_info("---")
i += 1
log_info("pass:"******"/", len(dates), "max_date:", date.isoformat())
if data_type == 'stocks' or data_type == 'stocks_long':
timeout = 30 * 60
if data_type == 'futures':
timeout = 10 * 60
if data_type == 'crypto' or data_type == 'crypto_futures' or data_type == 'cryptofutures':
timeout = 5 * 60
data_url = urllib.parse.urljoin(
urllib.parse.urljoin(qnt.data.common.BASE_URL, 'last/'),
date.isoformat()) + "/"
cmd = "DATA_BASE_URL=" + data_url + " \\\n" + \
"LAST_DATA_PATH=" + last_data_fn + " \\\n" + \
"OUTPUT_PATH=" + fractions_fn + " \\\n" + \
"SUBMISSION_ID=-1\\\n" + \
" jupyter nbconvert --to html --ExecutePreprocessor.timeout=" + str(timeout)+ " --execute strategy.ipynb --output=" + html_fn # + \
# "\\\n 2>&1"
log_info("cmd:", cmd)
log_info("output:")
proc = subprocess.Popen(cmd,
shell=True,
stdout=subprocess.PIPE,
stderr=subprocess.STDOUT,
executable='bash')
for line in io.TextIOWrapper(proc.stdout, encoding="utf-8"):
sys.stdout.write(line)
proc.wait()
code = proc.returncode
log_info("return code:", code)
if not os.path.exists(fractions_fn):
log_err("ERROR! Output is not found.")
if not os.path.exists(last_data_fn):
log_err("ERROR! The strategy does not use all data.")
if not os.path.exists(html_fn):
log_err("ERROR! Conversion to html failed.")
if code != 0:
log_err("ERROR! Return code != 0.")
if os.path.exists(fractions_fn):
log_info("Check the output...")
output = load_output(fractions_fn, date)
if data_type == 'stocks' or data_type == 'stocks_long':
qnt.stats.check_exposure(output)
log_info("Load data...")
data = qnt.data.load_data_by_type(
data_type,
assets=output.asset.values.tolist(),
min_date=str(output.time.min().values)[:10],
max_date=date)
if data_type == 'stocks' or data_type == 'stocks_long':
non_liquid = qnt.stats.calc_non_liquid(data, output)
if len(non_liquid.time) > 0:
log_err("ERROR! The output contains illiquid positions.")
missed = qnt.stats.find_missed_dates(output, data)
if len(missed) > 0:
log_err("ERROR: some dates are missed in the output.", missed)
else:
log_info("There are no missed dates.")
del data
try:
shutil.move(
fractions_fn,
result_dir + "/" + date.isoformat() + ".fractions.nc.gz")
except FileNotFoundError:
pass
try:
shutil.move(last_data_fn,
result_dir + "/" + date.isoformat() + ".last_data.txt")
except FileNotFoundError:
pass
try:
shutil.move(html_fn,
result_dir + "/" + date.isoformat() + ".strategy.html")
except FileNotFoundError:
pass
log_info("---")
log_info("Evaluation complete.")
import numba as nb
import qnt.ta.ndadapter as nda
from qnt.log import log_info, log_err
@nb.jit(nb.float64[:](nb.float64[:], nb.int64), nopython=True)
def shift_np_1d(series: np.ndarray, periods: int) -> np.ndarray:
if periods < 0:
return np.flip(shift_np_1d(np.flip(series), -periods))
tail = np.empty((periods + 1,), dtype=np.double)
not_nan_cnt = 0
result = np.full(series.shape, np.nan, dtype=np.double)
for i in range(series.shape[0]):
if not np.isnan(series[i]):
idx = not_nan_cnt % tail.shape[0]
tail[idx] = series[i]
if not_nan_cnt >= periods:
result[i] = tail[idx - periods]
not_nan_cnt += 1
return result
def shift(series: nda.NdType, periods: int = 1) -> nda.NdType:
return nda.nd_universal_adapter(shift_np_1d, (series,), (periods,))
if __name__ == "__main__":
arr = np.array([1, 2, np.nan, 4, 5, np.nan, 7, 9, 0], np.double)
sh = shift(arr, 2)
log_info(sh)
return None
arr = xr.open_dataarray(raw, cache=False, decode_times=True)
arr = arr.compute()
return arr
FIRST = True
def setup_ids():
global FIRST
if idt.USE_ID_TRANSLATION and FIRST:
js = request_with_retry('assets', None)
js = js.decode()
tickers = json.loads(js)
idt.USE_ID_TRANSLATION = next(
(i for i in tickers if i.get('FIGI') is not None),
None) is not None
FIRST = False
if __name__ == '__main__':
# import qnt.id_translation
# qnt.id_translation.USE_ID_TRANSLATION = False
assets = load_list()
log_info(len(assets))
ids = [i['id'] for i in assets]
log_info(ids)
data = load_data(min_date='1998-11-09', assets=ids[-2000:])
log_info(data.sel(field='close').transpose().to_pandas())