Merge pull request #5 from quantmind/ls-deribit

Add command line client

.github/workflows/build.yml

@@ -16,7 +16,7 @@ jobs:
       FMP_API_KEY: ${{ secrets.FMP_API_KEY }}
     strategy:
       matrix:
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
 
     steps:
       - uses: actions/checkout@v3

dev/lint

@@ -12,7 +12,7 @@ fi
 echo black
 black quantflow quantflow_tests ${BLACK_ARG}
 echo ruff
-ruff quantflow quantflow_tests ${RUFF_ARG}
+ruff check quantflow quantflow_tests ${RUFF_ARG}
 echo mypy
 mypy quantflow
 echo mypy tests

notebooks/data/fmp.md

@@ -5,7 +5,7 @@ jupytext:
     extension: .md
     format_name: myst
     format_version: 0.13
-    jupytext_version: 1.14.7
+    jupytext_version: 1.16.1
 kernelspec:
   display_name: Python 3 (ipykernel)
   language: python

notebooks/data/timeseries.md

@@ -0,0 +1,39 @@
+---
+jupytext:
+  text_representation:
+    extension: .md
+    format_name: myst
+    format_version: 0.13
+    jupytext_version: 1.16.1
+kernelspec:
+  display_name: Python 3 (ipykernel)
+  language: python
+  name: python3
+---
+
+## Timeseries
+
+```{code-cell} ipython3
+from quantflow.data.fmp import FMP
+from quantflow.utils.plot import candlestick_plot
+cli = FMP()
+```
+
+```{code-cell} ipython3
+prices = await cli.prices("ethusd", frequency="")
+```
+
+```{code-cell} ipython3
+candlestick_plot(prices).update_layout(height=500)
+```
+
+```{code-cell} ipython3
+from quantflow.utils.df import DFutils
+
+df = DFutils(prices).with_rogers_satchel().with_parkinson()
+df
+```
+
+```{code-cell} ipython3
+
+```

pyproject.toml

@@ -12,20 +12,24 @@ Repository = "https://github.com/quantmind/quantflow"
 Documentation = "https://quantmind.github.io/quantflow/"
 
 [tool.poetry.dependencies]
-python = ">=3.10,<3.13"
+python = ">=3.11,<3.13"
 numpy = "^1.22.3"
 scipy = "^1.10.1"
-pandas = "^2.0.1"
 aiohttp = {version = "^3.8.1", optional = true}
 pydantic = "^2.0.2"
-pyarrow = "^15.0.0"
+ccy = {version="^1.4.0", extras=["cli"]}
+asciichart = "^0.1"
+python-dotenv = "^1.0.1"
+asciichartpy = "^1.5.25"
+prompt-toolkit = "^3.0.43"
+polars = {version = "^0.20.16", extras=["pandas", "pyarrow"]}
 
 [tool.poetry.group.dev.dependencies]
 black = "^24.1.1"
 pytest-cov = "^4.0.0"
-mypy = "^1.4.0"
+mypy = "^1.9.0"
 ghp-import = "^2.0.2"
-ruff = "^0.1.14"
+ruff = "^0.3.4"
 pytest-asyncio = "^0.23.3"
 
 
@@ -36,14 +40,17 @@ data = ["aiohttp"]
 optional = true
 
 [tool.poetry.group.book.dependencies]
-jupyter-book = "^0.15.1"
-nbconvert = "^6.4.5"
+jupyter-book = "^1.0.0"
+nbconvert = "^7.16.3"
 jupytext = "^1.13.8"
-plotly = "^5.7.0"
+plotly = "^5.20.0"
 jupyterlab = "^4.0.2"
 sympy = "^1.12"
 ipywidgets = "^8.0.7"
 
+[tool.poetry.scripts]
+qf = "quantflow.cli:main"
+
 [build-system]
 requires = ["poetry-core>=1.0.0"]
 build-backend = "poetry.core.masonry.api"
@@ -64,7 +71,7 @@ filterwarnings = [
 profile = "black"
 
 [tool.ruff]
-select = ["E", "F"]
+lint.select = ["E", "F"]
 extend-exclude = ["fluid_apps/db/migrations"]
 line-length = 88
 
@@ -78,21 +85,13 @@ disallow_untyped_defs = true
 warn_no_return = true
 
 [[tool.mypy.overrides]]
-module = "quantflow_tests.*"
-disallow_untyped_defs = false
-
-[[tool.mypy.overrides]]
-module = "IPython.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "pandas.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "plotly.*"
-ignore_missing_imports = true
-
-[[tool.mypy.overrides]]
-module = "scipy.*"
+module = [
+    "asciichartpy.*",
+    "quantflow_tests.*",
+    "IPython.*",
+    "pandas.*",
+    "plotly.*",
+    "scipy.*"
+]
 ignore_missing_imports = true
+disallow_untyped_defs = false

quantflow/cli/__init__.py

@@ -0,0 +1,131 @@
+import asyncio
+import os
+from dataclasses import dataclass, field
+from typing import Any
+
+import click
+import dotenv
+import pandas as pd
+from asciichartpy import plot
+from ccy.cli.console import df_to_rich
+from prompt_toolkit import PromptSession
+from prompt_toolkit.history import FileHistory
+from rich.console import Console
+from rich.text import Text
+
+from quantflow.data.fmp import FMP
+
+from . import settings
+
+dotenv.load_dotenv()
+
+FREQUENCIES = tuple(FMP().historical_frequencies())
+
+
+@click.group()
+def qf() -> None:
+    pass
+
+
+@qf.command()
+@click.argument("symbol")
+def profile(symbol: str) -> None:
+    """Company profile"""
+    data = asyncio.run(get_profile(symbol))[0]
+    main.print(data.pop("description"))
+    df = pd.DataFrame(data.items(), columns=["Key", "Value"])
+    main.print(df_to_rich(df))
+
+
+@qf.command()
+@click.argument("symbol")
+@click.option(
+    "-h",
+    "--height",
+    type=int,
+    default=20,
+    show_default=True,
+    help="Chart height",
+)
+@click.option(
+    "-l",
+    "--length",
+    type=int,
+    default=100,
+    show_default=True,
+    help="Number of data points",
+)
+@click.option(
+    "-f",
+    "--frequency",
+    type=click.Choice(FREQUENCIES),
+    default="",
+    help="Number of data points",
+)
+def chart(symbol: str, height: int, length: int, frequency: str) -> None:
+    """Symbol chart"""
+    df = asyncio.run(get_prices(symbol, frequency))
+    data = list(reversed(df["close"].tolist()[:length]))
+    print(plot(data, {"height": height}))
+
+
+async def get_prices(symbol: str, frequency: str) -> pd.DataFrame:
+    async with FMP() as cli:
+        return await cli.prices(symbol, frequency)
+
+
+async def get_profile(symbol: str) -> list[dict]:
+    async with FMP() as cli:
+        return await cli.profile(symbol)
+
+
+@dataclass
+class App:
+    console: Console = field(default_factory=Console)
+
+    def __call__(self) -> None:
+        os.makedirs(settings.SETTINGS_DIRECTORY, exist_ok=True)
+        history = FileHistory(str(settings.HIST_FILE_PATH))
+        session: PromptSession = PromptSession(history=history)
+
+        self.print("Welcome to QuantFlow!", style="bold green")
+        self.handle_command("help")
+
+        try:
+            while True:
+                try:
+                    text = session.prompt("quantflow> ")
+                except KeyboardInterrupt:
+                    break
+                else:
+                    self.handle_command(text)
+        except click.Abort:
+            self.console.print(Text("Bye!", style="bold magenta"))
+
+    def print(self, text_alike: Any, style: str = "") -> None:
+        if isinstance(text_alike, str):
+            style = style or "cyan"
+            text_alike = Text(f"\n{text_alike}\n", style="cyan")
+        self.console.print(text_alike)
+
+    def error(self, err: str | Exception) -> None:
+        self.console.print(Text(f"\n{err}\n", style="bold red"))
+
+    def handle_command(self, text: str) -> None:
+        self.current_command = text.split(" ")[0].strip()
+        if not text:
+            return
+        elif text == "help":
+            return qf.main(["--help"], standalone_mode=False)
+        elif text == "exit":
+            raise click.Abort()
+
+        try:
+            qf.main(text.split(), standalone_mode=False)
+        except click.exceptions.MissingParameter as e:
+            self.error(e)
+        except click.exceptions.NoSuchOption as e:
+            self.error(e)
+
+
+main = App()

quantflow/cli/settings.py

@@ -0,0 +1,11 @@
+# IMPORTATION STANDARD
+from pathlib import Path
+
+# Installation related paths
+HOME_DIRECTORY = Path.home()
+PACKAGE_DIRECTORY = Path(__file__).parent.parent.parent
+REPOSITORY_DIRECTORY = PACKAGE_DIRECTORY.parent
+
+SETTINGS_DIRECTORY = HOME_DIRECTORY / ".quantflow"
+SETTINGS_ENV_FILE = SETTINGS_DIRECTORY / ".env"
+HIST_FILE_PATH = SETTINGS_DIRECTORY / ".quantflow.his"

quantflow/data/client.py

@@ -1,7 +1,7 @@
 import json
 import os
 from dataclasses import dataclass
-from typing import Any
+from typing import Any, Self
 
 from aiohttp import ClientResponse, ClientSession
 from aiohttp.client_exceptions import ContentTypeError
@@ -52,7 +52,7 @@ async def close(self) -> None:
             await self.session.close()
             self.session = None
 
-    async def __aenter__(self) -> "HttpClient":
+    async def __aenter__(self) -> Self:
         return self
 
     async def __aexit__(self, *args: Any) -> None:

quantflow/data/fmp.py

@@ -1,5 +1,5 @@
 import os
-from dataclasses import dataclass
+from dataclasses import dataclass, field
 from datetime import date, timedelta
 from typing import Any, cast
 
@@ -12,7 +12,7 @@
 @dataclass
 class FMP(HttpClient):
     url: str = "https://financialmodelingprep.com/api"
-    key: str = os.environ.get("FMP_API_KEY", "")
+    key: str = field(default_factory=lambda: os.environ.get("FMP_API_KEY", ""))
 
     async def stocks(self, **kw: Any) -> list[dict]:
         return await self.get_path("v3/stock/list", **kw)
@@ -62,7 +62,7 @@ async def insider_trading(self, ticker: str, **kw: Any) -> list[dict]:
     # Rating
 
     async def rating(self, ticker: str, **kw: Any) -> list[dict]:
-        """Company quote - real time"""
+        """Company rating - real time"""
         return await self.get_path(f"v3/rating/{ticker}", **kw)
 
     async def etf_holders(self, ticker: str, **kw: Any) -> list[dict]:
@@ -111,7 +111,9 @@ async def search(
             **self.params(compact(query=query, exchange=exchange, limit=limit), **kw),
         )
 
-    async def prices(self, ticker: str, frequency: str = "", **kw: Any) -> pd.DataFrame:
+    async def prices(
+        self, ticker: str, frequency: str = "", to_date: bool = False, **kw: Any
+    ) -> pd.DataFrame:
         base = (
             "historical-price-full/"
             if not frequency
@@ -121,10 +123,14 @@ async def prices(self, ticker: str, frequency: str = "", **kw: Any) -> pd.DataFr
         if isinstance(data, dict):
             data = data.get("historical", [])
         df = pd.DataFrame(data)
-        if "date" in df.columns:
+        if to_date and "date" in df.columns:
             df["date"] = pd.to_datetime(df["date"])
         return df
 
+    # forex
+    async def forex_list(self) -> list[dict]:
+        return await self.get_path("v3/symbol/available-forex-currency-pairs")
+
     def historical_frequencies(self) -> dict:
         return {
             "1min": 1,