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Copy file name to clipboardExpand all lines: CHANGELOG.md
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-*NO LONGER REQUIRES ARCTIC* Time series data is stored in parquet, install pyarrow
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- But does require newer versions of pandas and python, see requirements.txt
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- See the discussion [here](https://github.com/robcarver17/pysystemtrade/discussions/1290) to see how to switch from arctic to parquet
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- See the discussion [here](https://github.com/pst-group/pysystemtrade/discussions/1290) to see how to switch from arctic to parquet
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- added long only constraint to dynamic optimisation
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- various bugs fixed
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## Version 1.50
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- Added optional code to run price collection throughout the day, see [announcement](https://github.com/robcarver17/pysystemtrade/discussions/961)
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- Added optional code to run price collection throughout the day, see [announcement](https://github.com/pst-group/pysystemtrade/discussions/961)
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- Added ability to pass arguments to methods through control_config.yaml
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- Added regions to instrument.csv configuration; use interactive_controls, option 5, option 52 to apply
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## Version 1.48
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- Added new run_ processes, breaking out FX, update sampled contracts, and update multiple/adjusted prices from daily price updates. You will need to update your crontab and control_config.yaml, see **discussion here**
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- Refactoring syscore
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- Changed handling of expensive instruments, [see this discussion](https://github.com/robcarver17/pysystemtrade/discussions/938)
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- Added requirement for BLACK [see this discussion](https://github.com/robcarver17/pysystemtrade/discussions/921)
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- Roll report clean up format [discussed here](https://github.com/robcarver17/pysystemtrade/discussions/864)
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- Changed handling of expensive instruments, [see this discussion](https://github.com/pst-group/pysystemtrade/discussions/938)
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- Added requirement for BLACK [see this discussion](https://github.com/pst-group/pysystemtrade/discussions/921)
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- Roll report clean up format [discussed here](https://github.com/pst-group/pysystemtrade/discussions/864)
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- Gradual removal of missing_data, missing_contract type objects and replace with exceptions
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- Algos won't be allocated just before day end [discussed here](https://github.com/robcarver17/pysystemtrade/discussions/853)
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- Timezones can now be manually configured [discussed here](https://github.com/robcarver17/pysystemtrade/discussions/845)
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- Algos won't be allocated just before day end [discussed here](https://github.com/pst-group/pysystemtrade/discussions/853)
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- Timezones can now be manually configured [discussed here](https://github.com/pst-group/pysystemtrade/discussions/845)
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- Auto copying of instrument config data between db and csv
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- Utility to cross check IB configuration multipliers
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- Utility to delete instrument data
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- "Market movers" report added
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- Nicer functionality to get dates into reports interactively
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- Added volume limits to auto fill position limits
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- Fixed cost calculation for dynamic optimisation (see [discussion](https://github.com/robcarver17/pysystemtrade/discussions/647))
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- Private config now always pulled in, even for backtests (see [discussion](https://github.com/robcarver17/pysystemtrade/discussions/633))
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- Improved price cleaning (see [discussion](https://github.com/robcarver17/pysystemtrade/discussions/646))
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- Fixed cost calculation for dynamic optimisation (see [discussion](https://github.com/pst-group/pysystemtrade/discussions/647))
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- Private config now always pulled in, even for backtests (see [discussion](https://github.com/pst-group/pysystemtrade/discussions/633))
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- Improved price cleaning (see [discussion](https://github.com/pst-group/pysystemtrade/discussions/646))
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## Version 1.31 (didn't seem to do any notes for 1.30)
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## Version 0.12.0
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* Capital correction now works. New methods: system.accounts.capital_multiplier, system.accounts.portfolio_with_multiplier, system.portfolio.get_actual_positon, system.portfolio.get_actual_buffers_with_position, system.accounts.get_buffered_position_with_multiplier. See this [blog post](https://qoppac.blogspot.com/2016/06/capital-correction-pysystemtrade.html) and [the guide](https://github.com/robcarver17/pysystemtrade/blob/master/docs/userguide.md#capcorrection)
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* Capital correction now works. New methods: system.accounts.capital_multiplier, system.accounts.portfolio_with_multiplier, system.portfolio.get_actual_positon, system.portfolio.get_actual_buffers_with_position, system.accounts.get_buffered_position_with_multiplier. See this [blog post](https://qoppac.blogspot.com/2016/06/capital-correction-pysystemtrade.html) and [the guide](https://github.com/pst-group/pysystemtrade/blob/master/docs/backtesting.md#capital-correction---varying-capital)
The *upstream* remote links your fork of the project with the original
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The following names will be used to differentiate between the different repositories:
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***upstream** - The 'official' pysystemtrade [repository](https://github.com/robcarver17/pysystemtrade.git) (what is on Rob's GitHub account)
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***upstream** - The 'official' pysystemtrade [repository](https://github.com/pst-group/pysystemtrade.git) (what is on the pst-group GitHub account)
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***origin** - Your fork of the official repository on GitHub (what is on your GitHub account)
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***local** - This will be your local clone of **origin** (what is on your computer)
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@@ -177,7 +177,7 @@ Or, configure your local git install to automatically check and fix your code as
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### Black version
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Black needs to be consistent between the version running in the CI build and your local environment. To check the currently used version, see the `[tool.black]` section of the project [TOML file](https://github.com/robcarver17/pysystemtrade/blob/develop/pyproject.toml)
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Black needs to be consistent between the version running in the CI build and your local environment. To check the currently used version, see the `[tool.black]` section of the project [TOML file](https://github.com/pst-group/pysystemtrade/blob/develop/pyproject.toml)
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## General code guidelines (INCOMPLETE)
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- For classes, I prefer mixedCase to CamelCase, but single word names should always be Camels.
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- Common methods are `get`, `calculate`, `read`, `write`.
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- There is a specific procedure for naming objects which form part of the data heirarchy, see [here](https://github.com/robcarver17/pysystemtrade/blob/master/docs/data.md#part-2-overview-of-futures-data-in-pysystemtrade). If this is not followed, then the [automated abstraction of data inside Data 'blob' instances](https://github.com/robcarver17/pysystemtrade/blob/master/docs/data.md#data-blobs) won't work.
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- There is a specific procedure for naming objects which form part of the data heirarchy, see [here](https://github.com/pst-group/pysystemtrade/blob/master/docs/data.md#part-2-overview-of-futures-data-in-pysystemtrade). If this is not followed, then the [automated abstraction of data inside Data 'blob' instances](https://github.com/pst-group/pysystemtrade/blob/master/docs/data.md#data-blobs) won't work.
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- Although arguably redundant, I am a fan of describing eg objects that inherit from dicts with a dict_ prefix. This gives hints as to how they behave without having to look at their code.
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### A note on support
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This is an open source project, designed for people who are already comfortable using and writing python code, are capable of installing the dependencies, and who want a head start on implementing a system of their own. If you need a higher level of support then you are better off with another project. The most efficient way of getting support is by [opening an issue on github](https://github.com/robcarver17/pysystemtrade/issues/new). If you discover a bug please include:
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This is an open source project, designed for people who are already comfortable using and writing python code, are capable of installing the dependencies, and who want a head start on implementing a system of their own. If you need a higher level of support then you are better off with another project. The most efficient way of getting support is by [opening an issue on github](https://github.com/pst-group/pysystemtrade/issues/new). If you discover a bug please include:
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- The full script that produces the error, including all `import` statements, or if it's a standard example file a pointer to the file. Ideally this should be a "minimal example" - the shortest possible script that produces the problem.
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- Versions of any necessary libraries you have installed
Early versions of this project used [Arctic](https://github.com/manahl/arctic) for storing time series data. Since November 2023, Parquet is the default. See [the reasoning behind the change](https://github.com/robcarver17/pysystemtrade/discussions/466), [switchover instructions](https://github.com/robcarver17/pysystemtrade/discussions/1290), and [required scheduling config changes](https://github.com/robcarver17/pysystemtrade/discussions/1291).
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Early versions of this project used [Arctic](https://github.com/manahl/arctic) for storing time series data. Since November 2023, Parquet is the default. See [the reasoning behind the change](https://github.com/pst-group/pysystemtrade/discussions/466), [switchover instructions](https://github.com/pst-group/pysystemtrade/discussions/1290), and [required scheduling config changes](https://github.com/pst-group/pysystemtrade/discussions/1291).
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The [original Arctic project](https://github.com/man-group/arctic) is no longer maintained - development has moved to [ArcticDB](https://github.com/man-group/ArcticDB)
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## Specifying weights as hierarchy
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It is possible to specify instrument and forecast weights as a hierarchical config. This has the advantage that the high-level characteristics of a trading strategy can be maintained, even when rules (or instruments) are excluded due to costs. Read more [here](https://github.com/robcarver17/pysystemtrade/discussions/1160). See below for example config snippets
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It is possible to specify instrument and forecast weights as a hierarchical config. This has the advantage that the high-level characteristics of a trading strategy can be maintained, even when rules (or instruments) are excluded due to costs. Read more [here](https://github.com/pst-group/pysystemtrade/discussions/1160). See below for example config snippets
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Because of this it's possible at (almost) every stage to store data in either CSV or databases (the exception are roll calendars, which only live in CSV format).
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### Note on outdated shipped CSV data
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The CSV multiple and adjusted files supplied with the project have not been updated since March 2024, when Rob stepped back from the project. You can find an updated (sub)set of files in [this project](https://github.com/bug-or-feature/pst-csv-data). See the [discussion here](https://github.com/robcarver17/pysystemtrade/discussions/1553)
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The CSV multiple and adjusted files supplied with the project have not been updated since March 2024, when Rob stepped back from the project. You can find an updated (sub)set of files in [this project](https://github.com/bug-or-feature/pst-csv-data). See the [discussion here](https://github.com/pst-group/pysystemtrade/discussions/1553)
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## Instrument configuration and spread costs
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### Updating shipped multiple prices
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See [this script](https://github.com/robcarver17/pysystemtrade/blob/develop/sysinit/futures/adhoc/update_provided_multiple_prices.py)
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See [this script](https://github.com/pst-group/pysystemtrade/blob/develop/sysinit/futures/adhoc/update_provided_multiple_prices.py)
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Assuming that you have an Interactive Brokers account, you might want to update the (stale) data that you have [downloaded from the repo](/docs/backtesting.md#setting-up-mongodb-and-parquet) before [calculating back adjusted prices](#creating-and-storing-back-adjusted-prices). [See this note](#note-on-outdated-shipped-csv-data)
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"id": "db9723dc",
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"metadata": {},
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"source": [
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"This is the trading rule example shown in [the introduction](https://github.com/robcarver17/pysystemtrade/blob/master/docs/introduction.md) but modified to use Interactive Brokers instead of CSV files as data source.\n",
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"This is the trading rule example shown in [the introduction](https://github.com/pst-group/pysystemtrade/blob/master/docs/introduction.md) but modified to use Interactive Brokers instead of CSV files as data source.\n",
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"\n",
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"IB requires a minimum equity and a monthly subscription to provide historical data on future contracts. This example was modified to use FX prices instead futures to make it runnable with free unfunded paper trading accounts. Note that Rob [does not recommend trading FX spot data with IB due to their high fees](https://github.com/robcarver17/pysystemtrade/issues/517#issuecomment-1010770678)."
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"IB requires a minimum equity and a monthly subscription to provide historical data on future contracts. This example was modified to use FX prices instead futures to make it runnable with free unfunded paper trading accounts. Note that Rob [does not recommend trading FX spot data with IB due to their high fees](https://github.com/pst-group/pysystemtrade/issues/517#issuecomment-1010770678)."
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Processes still need to be launched every day, since the pysystemtrade scheduler doesn't do that. However, their start time isn't critical, since separate start times can be configured in YAML files (more of that below).
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Because I use cron myself, there are is a [cron tab included in pysystemtrade](https://github.com/robcarver17/pysystemtrade/blob/master/sysproduction/linux/crontab).
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Because I use cron myself, there are is a [cron tab included in pysystemtrade](https://github.com/pst-group/pysystemtrade/blob/master/sysproduction/linux/crontab).
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