Merge pull request #2 from bbcho/make_py

Make py

Author: bbcho

.github/workflows/ci.yml

@@ -0,0 +1,37 @@
+name: Python package
+
+on: [push]
+
+jobs:
+  build:
+
+    runs-on: ubuntu-latest
+    strategy:
+      matrix:
+        python-version: [3.6, 3.7, 3.8]
+
+    steps:
+    - uses: actions/checkout@v2
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v2
+      with:
+        python-version: ${{ matrix.python-version }}
+    - name: Install dependencies
+      run: |
+        python -m pip install --upgrade pip
+        pip install flake8 pytest
+        if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
+    - name: Lint with flake8
+      run: |
+        # stop the build if there are Python syntax errors or undefined names
+        flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
+        # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
+        flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
+    - name: Test with pytest
+      env: # Or as an environment variable
+        EIA: ${{ secrets.EIA }}
+        QUANDL: ${{ secrets.QUANDL }}
+        MS_USER: ${{ secrets.MS_USER }}
+        MS_PASS: ${{ secrets.MS_PASS }}
+      run: |
+        pytest

.gitignore

@@ -4,7 +4,8 @@
 .vscode/
 .ipynb_checkpoints/
 
-/mytest/
+# saved data in pytest folder
+# pytest/*.json
 
 # Byte-compiled / optimized / DLL files
 __pycache__/
@@ -55,4 +56,10 @@ coverage.xml
 *.pot
 
 # Sphinx documentation
-docs/_build/
+docs/_build/
+
+# conda env
+env/
+
+# misc files
+*.ipynb

.travis.yml

@@ -0,0 +1,34 @@
+language: python
+python:
+  - "3.6"      # current default Python on Travis CI
+  - "3.7"
+  - "3.8"
+# command to install dependencies
+install:
+  - pip install -r requirements.txt
+# command to run tests
+script:
+  - pytest
+matrix:
+  include:      
+    - name: "Python 3.8 on macOS 10.13"
+      os: osx
+      osx_image: xcode9.4  # Python 3.8 running on macOS 10.13
+      language: shell  # 'language: python' is an error on Travis CI macOS
+      before_install:
+        - python3 --version 3.8
+        - pip3 install -U pip
+        - pip3 install -U pytest
+        - pip3 install codecov
+      script: python3 -m pytest
+      after_success: python 3 -m codecov
+    # - name: "Python 3.8 on Windows"
+    #   os: windows           # Windows 10.0.17134 N/A Build 17134
+    #   language: shell       # 'language: python' is an error on Travis CI Windows
+    #   before_install:
+    #     - choco install python --version 3.8
+    #     - python --version
+    #     - python -m pip install --upgrade pip
+    #     - pip3 install --upgrade pytest
+    #     - pip3 install codecov
+    #   env: PATH=/c/Python38:/c/Python38/Scripts:$PATH

README.md

@@ -1,23 +1,61 @@
 # risktools
 
-Python wrapper for R library RTL found at https://github.com/risktoollib/RTL
+Python implementation of the R package RTL.  
 
-NOTES: 
-* Only works with rpy2 version >= 3.0. Verified working with version 3.2.6
-* All datetimes are given in UTC
-* Verified working for RTL version 0.1.1
+See CRAN for original R version
 
-Must have the following R libraries already installed on host machine:
+https://cran.r-project.org/web/packages/RTL/index.html
 
-* RTL
-* devtools
-* tidyverse
-* tidyquant
-* Quandl
+Purpose
 
-And the following Python libaries:
+    Purposely designed functions for trading, trading analytics and risk practitioners in Commodities and Finance.
+    Build to support delivery of Finance classes from one of the co-authors of RTL at the Alberta School of Business.
 
-* rpy2
-* pandas
-* numpy
-* tzlocal
+Features
+
+    Historical forward curves charting.
+
+    Calendars and expiry dates data objects for a wide range of commodity futures contracts.
+
+    roll_adjust to adjust continuous contracts returns for roll adjustments using expiries above.
+
+    Morningstar Marketplace API functions getPrice(), getPrices() and getCurve() using your own Morningstar credentials. Current feeds included:
+        ICE_EuroFutures and ICE_EuroFutures_continuous.
+        CME_NymexFutures_EOD and CME_NymexFutures_EOD_continuous.
+        CME_NymexOptions_EOD.
+        CME_CbotFuturesEOD and CME_CbotFuturesEOD_continuous.
+        CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.
+        LME_AskBidPrices_Delayed.
+        CME_CmeFutures_EOD and CME_CmeFutures_EOD_continuous.
+        CME_STLCPC_Futures.
+        ICE_NybotCoffeeSugarCocoaFutures and ICE_NybotCoffeeSugarCocoaFutures_continuous.
+        Morningstar_FX_Forwards.
+        … see ?getPrice for up to date selection and examples.
+
+    chart_zscore() supports seasonality adjusted analysis of residuals, particularly useful when dealing with commodity stocks and/or days demand time series with trends as well as non-constant variance across seasonal periods.
+
+    chart_eia_steo() and chart_eia_sd() return either a chart or dataframe of supply demand balances from the EIA.
+
+    chart_spreads() to generate specific contract spreads across years e.g. ULSD March/April. Requires Morningstar credentials.
+
+    swapInfo() returns all information required to price first line futures contract averaging swap or CMA physical trade, including a current month instrument with prior settlements.
+
+Data Sets
+
+Accessible via risktools.data.open_data(datsetname). Also use risktools.data.get_names() to get list of available data.
+
+    expiry_table: Historical and forward futures contract metadata.
+    holidaysOil: Holiday calendars for ICE and NYMEX.
+    tickers_eia: Mapping of EIA tickers to crude and refined products markets for building supply demand balances.
+    usSwapIRDef: Data frame of definitions for instruments to build a curve for use with RQuantlib. Use getIRswapCurve() to extract the latest data from FRED and Morningstar.
+    usSwapIR: Sample data set output of getIRswapCurve.
+    usSwapCurves: Sample data set output of RQuantlib::DiscountCurve().
+    cancrudeassays contains historical Canadian crude assays by batch from Crudemonitor. cancrudeassayssum is a summarised average assays version.
+    crudeassaysXOM for all publicly available complete assays in Excel format from ExxonMobil
+    crudeassaysBP for all publicly available complete assays in Excel format from BP
+    eiaStocks: Sample data set of EIA.gov stocks for key commodiities.
+    eiaStorageCap: EIA crude storage capacity by PADD.
+    dflong and dfwide contain continuous futures prices sample data sets for Nymex (CL, HO, RB and NG contracts) and ICE Brent.
+    crudepipelines and refineries contain GIS information in the North American crude space.
+
+Usernames and password for API services are required.

TODO.md

@@ -0,0 +1,10 @@
+# TODO
+
+## Testing
+* finish testing module
+* figure out a way so that the prompt_beta results match RTL::promptBeta exactly.
+    Issue is that both use a linear regression to determine the beta, but they're
+    returning slightly different betas (on the order of 0.001). Need to determine if this is because of an error in my code or because of differences in implementation in linear regression models between R and Python.
+
+## Enhancements
+* npv: remove need for live ir curve if using fixed yield. Just need to get maturities

docs/Makefile

@@ -0,0 +1,20 @@
+# Minimal makefile for Sphinx documentation
+#
+
+# You can set these variables from the command line, and also
+# from the environment for the first two.
+SPHINXOPTS    ?=
+SPHINXBUILD   ?= sphinx-build
+SOURCEDIR     = source
+BUILDDIR      = build
+
+# Put it first so that "make" without argument is like "make help".
+help:
+	@$(SPHINXBUILD) -M help "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)
+
+.PHONY: help Makefile
+
+# Catch-all target: route all unknown targets to Sphinx using the new
+# "make mode" option.  $(O) is meant as a shortcut for $(SPHINXOPTS).
+%: Makefile
+	@$(SPHINXBUILD) -M $@ "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)

docs/build_instructions.txt

@@ -0,0 +1,2 @@
+sphinx-apidoc -f -o source ../src/risktools
+make html

docs/make.bat

@@ -0,0 +1,35 @@
+@ECHO OFF
+
+pushd %~dp0
+
+REM Command file for Sphinx documentation
+
+if "%SPHINXBUILD%" == "" (
+	set SPHINXBUILD=sphinx-build
+)
+set SOURCEDIR=source
+set BUILDDIR=build
+
+if "%1" == "" goto help
+
+%SPHINXBUILD% >NUL 2>NUL
+if errorlevel 9009 (
+	echo.
+	echo.The 'sphinx-build' command was not found. Make sure you have Sphinx
+	echo.installed, then set the SPHINXBUILD environment variable to point
+	echo.to the full path of the 'sphinx-build' executable. Alternatively you
+	echo.may add the Sphinx directory to PATH.
+	echo.
+	echo.If you don't have Sphinx installed, grab it from
+	echo.http://sphinx-doc.org/
+	exit /b 1
+)
+
+%SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+goto end
+
+:help
+%SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+
+:end
+popd

docs/source/_static/css/functions.css

@@ -0,0 +1,5 @@
+.function {
+    border-bottom: 3px solid #d0d0d0;
+    padding-bottom: 10px;
+    padding-top: 10px;
+}

docs/source/_templates/layout.html

@@ -0,0 +1,2 @@
+{% extends "!layout.html" %}
+{% set css_files = css_files + [ "_static/css/functions.css" ] %}