209 lines
7.3 KiB
Python
209 lines
7.3 KiB
Python
from typing import Any, Dict, List, Optional
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import pandas as pd # type:ignore
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from statsmodels.tsa.vector_ar.vecm import VECM, VECMResults # type:ignore
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class TradingPair:
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market_data_: pd.DataFrame
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symbol_a_: str
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symbol_b_: str
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price_column_: str
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training_mu_: float
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training_std_: float
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training_df_: pd.DataFrame
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testing_df_: pd.DataFrame
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vecm_fit_: VECMResults
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user_data_: Dict[str, Any]
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def __init__(
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self, market_data: pd.DataFrame, symbol_a: str, symbol_b: str, price_column: str
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):
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self.symbol_a_ = symbol_a
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self.symbol_b_ = symbol_b
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self.price_column_ = price_column
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self.market_data_ = pd.DataFrame(
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self._transform_dataframe(market_data)[["tstamp"] + self.colnames()]
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)
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self.user_data_ = {}
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def _transform_dataframe(self, df: pd.DataFrame) -> pd.DataFrame:
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# Select only the columns we need
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df_selected: pd.DataFrame = pd.DataFrame(
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df[["tstamp", "symbol", self.price_column_]]
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)
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# Start with unique timestamps
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result_df: pd.DataFrame = (
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pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
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)
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# For each unique symbol, add a corresponding close price column
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symbols = df_selected["symbol"].unique()
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for symbol in symbols:
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# Filter rows for this symbol
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df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(
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drop=True
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)
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# Create column name like "close-COIN"
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new_price_column = f"{self.price_column_}_{symbol}"
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# Create temporary dataframe with timestamp and price
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temp_df = pd.DataFrame(
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{
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"tstamp": df_symbol["tstamp"],
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new_price_column: df_symbol[self.price_column_],
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}
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)
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# Join with our result dataframe
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result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
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result_df = result_df.reset_index(
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drop=True
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) # do not dropna() since irrelevant symbol would affect dataset
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return result_df
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def get_datasets(
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self,
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training_minutes: int,
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training_start_index: int = 0,
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testing_size: Optional[int] = None,
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) -> None:
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testing_start_index = training_start_index + training_minutes
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self.training_df_ = self.market_data_.iloc[
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training_start_index:testing_start_index, :
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].copy()
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assert self.training_df_ is not None
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self.training_df_ = self.training_df_.dropna().reset_index(drop=True)
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testing_start_index = training_start_index + training_minutes
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if testing_size is None:
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self.testing_df_ = self.market_data_.iloc[testing_start_index:, :].copy()
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else:
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self.testing_df_ = self.market_data_.iloc[
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testing_start_index : testing_start_index + testing_size, :
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].copy()
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assert self.testing_df_ is not None
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self.testing_df_ = self.testing_df_.dropna().reset_index(drop=True)
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def colnames(self) -> List[str]:
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return [
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f"{self.price_column_}_{self.symbol_a_}",
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f"{self.price_column_}_{self.symbol_b_}",
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]
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def fit_VECM(self):
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assert self.training_df_ is not None
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vecm_df = self.training_df_[self.colnames()].reset_index(drop=True)
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vecm_model = VECM(vecm_df, coint_rank=1)
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vecm_fit = vecm_model.fit()
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assert vecm_fit is not None
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# URGENT check beta and alpha
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# Check if the model converged properly
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if not hasattr(vecm_fit, "beta") or vecm_fit.beta is None:
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print(f"{self}: VECM model failed to converge properly")
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self.vecm_fit_ = vecm_fit
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# print(f"{self}: beta={self.vecm_fit_.beta} alpha={self.vecm_fit_.alpha}" )
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# print(f"{self}: {self.vecm_fit_.summary()}")
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pass
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def check_cointegration_johansen(self):
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assert self.training_df_ is not None
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from statsmodels.tsa.vector_ar.vecm import coint_johansen
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df = self.training_df_[self.colnames()].reset_index(drop=True)
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result = coint_johansen(df, det_order=0, k_ar_diff=1)
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print(
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f"{self}: lr1={result.lr1[0]} > cvt={result.cvt[0, 1]}? {result.lr1[0] > result.cvt[0, 1]}"
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)
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is_cointegrated = result.lr1[0] > result.cvt[0, 1]
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return is_cointegrated
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def check_cointegration_engle_granger(self):
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from statsmodels.tsa.stattools import coint
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col1, col2 = self.colnames()
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assert self.training_df_ is not None
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series1 = self.training_df_[col1].reset_index(drop=True)
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series2 = self.training_df_[col2].reset_index(drop=True)
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# Run Engle-Granger cointegration test
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pvalue = coint(series1, series2)[1]
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# Define cointegration if p-value < 0.05 (i.e., reject null of no cointegration)
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is_cointegrated = pvalue < 0.05
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print(f"{self}: is_cointegrated={is_cointegrated} pvalue={pvalue}")
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return is_cointegrated
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def train_pair(self) -> bool:
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is_cointegrated_johansen = self.check_cointegration_johansen()
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is_cointegrated_engle_granger = self.check_cointegration_engle_granger()
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if not is_cointegrated_johansen and not is_cointegrated_engle_granger:
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return False
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pass
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# print('*' * 80 + '\n' + f"**************** {self} IS COINTEGRATED ****************\n" + '*' * 80)
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self.fit_VECM()
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assert self.training_df_ is not None and self.vecm_fit_ is not None
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diseq_series = self.training_df_[self.colnames()] @ self.vecm_fit_.beta
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print(diseq_series.shape)
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self.training_mu_ = float(diseq_series[0].mean())
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self.training_std_ = float(diseq_series[0].std())
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self.training_df_["dis-equilibrium"] = (
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self.training_df_[self.colnames()] @ self.vecm_fit_.beta
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)
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# Normalize the dis-equilibrium
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self.training_df_["scaled_dis-equilibrium"] = (
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diseq_series - self.training_mu_
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) / self.training_std_
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return True
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def predict(self) -> pd.DataFrame:
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assert self.testing_df_ is not None
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assert self.vecm_fit_ is not None
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predicted_prices = self.vecm_fit_.predict(steps=len(self.testing_df_))
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# Convert prediction to a DataFrame for readability
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# predicted_df =
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self.predicted_df_ = pd.merge(
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self.testing_df_.reset_index(drop=True),
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pd.DataFrame(
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predicted_prices, columns=pd.Index(self.colnames()), dtype=float
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),
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left_index=True,
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right_index=True,
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suffixes=("", "_pred"),
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).dropna()
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self.predicted_df_["disequilibrium"] = (
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self.predicted_df_[self.colnames()] @ self.vecm_fit_.beta
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)
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self.predicted_df_["scaled_disequilibrium"] = (
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abs(self.predicted_df_["disequilibrium"] - self.training_mu_)
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/ self.training_std_
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)
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# Reset index to ensure proper indexing
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self.predicted_df_ = self.predicted_df_.reset_index()
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return self.predicted_df_
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def __repr__(self) -> str:
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return f"{self.symbol_a_} & {self.symbol_b_}"
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