def generate_reports(report_id, reports_folder, temps_folder, temp_file, data=None):
'''Given a report ID and format it returns a report
'''
code = 200
msg = None
filename = None
# Does the report exist?
try:
db_report = db.session.query(models.Reports).filter_by(id=report_id).one()
except NoResultFound:
code = 404
msg = f"report '{report_id}' not found"
else:
# ... Is the report being processed?
if db_report.processing:
msg = f"Report '{report_id}' is being generated"
else:
code = 301
# ... Do we need to generate a new report?
if not db_report.pdf_path:
# Set 'processing' flag to 1 to avoid others to regenerate the reports
db.session. \
query(models.Reports). \
filter_by(id=report_id). \
update({'processing': 1})
rep_gen = ReportGenerator(reports_folder=reports_folder,
temps_folder=temps_folder,
data=json.loads(db_report.content) if not data else data)
rep_gen.filename = join(reports_folder, str(report_id))
rep_gen.run(temp_file)
filename = rep_gen.filename
# Update paths and toggle 'processing' flag
db.session.\
query(models.Reports).\
filter_by(id=report_id).\
update({'xml_path': f'{filename}.xml', 'pdf_path': f'{filename}.pdf', 'processing': 0})
msg = f"Report {report_id} has just been generated"
# ... or does the report exist?
else:
filename, *rest = db_report.pdf_path.split('.')
msg = f"Report {report_id} is was already available"
return {
'code': code,
'msg': msg,
'filename': filename
}
def set_tickers():
global rg
global tickers
content = request.get_json()
tickers = content['tickers']
rfr = content['risk-free-rate']
rg = ReportGenerator(tickers, rfr)
return jsonify({"new_tickers": rg.tickers})
class DataCollector:
df_cols = ['contractSymbol','expiration','type','spot','strike','BSM Value','BSM% over ask', 'lastPrice', 'bid', 'ask', 'B/E','d% for BE','openInterest','Delta','Gamma','Theta','Vega','Rho','impliedVolatility', 'Annual Vol']
"""
Tickers: list of tickers who's options you want to trade
filename: output csv
rfr: risk free rate
"""
def __init__(self,tickers,filename,rfr,last_expiry_date=None):
self.tickers = tickers
self.filename = filename
self.rfr = rfr
self.rg = ReportGenerator(tickers,rfr)
self.end_expiry = last_expiry_date
def update(self,percent_above_below):
print("gathering below ATM")
below_ATM = self.rg.get_ATM_multi_report_plus_x_percent(percent_above_below,self.end_expiry)
print("gathering above ATM")
above_ATM = self.rg.get_ATM_multi_report_plus_x_percent(percent_above_below,self.end_expiry)
print("gathering ATM")
ATM = self.rg.get_ATM_multi_report(self.end_expiry)
print('retrieval complete')
below_ATM['Date Retrieved'] = [datetime.now() for i in range(len(below_ATM.index))]
above_ATM['Date Retrieved'] = [datetime.now() for i in range(len(above_ATM.index))]
ATM['Date Retrieved'] = [datetime.now() for i in range(len(ATM.index))]
try:
existing_data = pd.read_csv(self.filename)
except pd.errors.EmptyDataError:
existing_data = pd.DataFrame()
existing_data = existing_data.append(below_ATM)
existing_data = existing_data.append(above_ATM)
existing_data = existing_data.append(ATM)
existing_data = existing_data[self.df_cols]
existing_data = existing_data.reset_index(drop=True)
existing_data.to_csv(self.filename)
def rep_gen(tmp_path):
temp_reports = tmp_path / 'reports'
temp_reports.mkdir()
_rep_gen=ReportGenerator(reports_folder=temp_reports, temps_folder=test_utils.TEMPLATE_FOLDER, data=test_utils.data)
_rep_gen.filename = join(temp_reports, str(uuid.uuid4()).replace('-', ''))
return _rep_gen
from datetime import date from src.report_generator import ReportGenerator datafile = 'data/bonds.csv' eval_date = date(2020, 11, 30) report = ReportGenerator(datafile, eval_date)
def test(tkrs):
tic = time.perf_counter()
rg = ReportGenerator(tkrs,rfr)
report_atm = rg.get_ATM_multi_report()
toc = time.perf_counter()
return (toc-tic,len(report_atm.index),len(tkrs))
def specified_strikes_and_expirations():
strikes = {'AAPL': 140, 'GOOG': 2200, 'NVDA': 610}
expr_date = "2021-09-17"
rg = ReportGenerator(tickers, 0.012)
rg.get_report(expr_date, strikes).to_csv("outputfilename.csv")
def ATM_strikes_plus_relative_x_no_expirations():
rg = ReportGenerator(tickers, 0.012)
rg.get_ATM_multi_report_plus_x_percent(.10).to_csv("outputfilename.csv")
def ATM_strikes_plus_absolute_x_no_expirations():
rg = ReportGenerator(tickers, 0.012)
rg.get_ATM_multi_report_plus_x(10).to_csv("outputfilename.csv")
def ATM_strikes_plus_relative_x_with_expirations():
expr_date = "2021-09-17"
rg = ReportGenerator(tickers, 0.012)
rg.get_ATM_plus_x_percent(expr_date, .10).to_csv("outputfilename.csv")
def ATM_strikes_no_expiration():
rg = ReportGenerator(tickers, 0.012)
rg.get_ATM_multi_report().to_csv("outputfilename.csv")
def ATM_strikes_with_expiration():
expr_date = "2021-09-17"
rg = ReportGenerator(tickers, 0.012)
rg.get_ATM_report(expr_date).to_csv("outputfilename.csv")
def specified_strikes_no_expirations():
strikes = {'AAPL': 140, 'GOOG': 2200, 'NVDA': 610}
rg = ReportGenerator(tickers, 0.012)
rg.get_multi_expiration_report(strikes).to_csv("outputfilename.csv")
def __init__(self,tickers,filename,rfr,last_expiry_date=None):
self.tickers = tickers
self.filename = filename
self.rfr = rfr
self.rg = ReportGenerator(tickers,rfr)
self.end_expiry = last_expiry_date
from src.report_generator import ReportGenerator
import time
from datetime import date
if __name__ == '__main__':
tickers = [
'AAPL', 'AMD'
] # 'AMGN', 'AMZN', 'CSCO', 'FB', 'GOOG','IBM', 'INTC', 'MSFT', 'MU', 'NFLX', 'NVDA', 'SHOP']
rfr = 0.012 # risk free rate
#lower and upper date cutoffs
expr_begin = "2021-03-01"
expr_end = "2021-05-03"
# initialize report generator for tickers
report = ReportGenerator(tickers,
rfr).get_ATM_multi_report(dateRange=(expr_begin,
expr_end))
print(report)
# ReportGenerator(tickers, rfr).get_ATM_multi_report_plus_x_percent(-.4,(None,endDate)).to_csv('reports/report_ATM_-40%_' + str(date.today())+'.csv')