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src/tools/trading_pair.py

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+
+from typing import List, Optional
+
+
+class TradingPair:
+    symbol_a_: str
+    symbol_b_: str
+    price_column_: str
+
+    disequilibrium_mu_: Optional[float]
+    disequilibrium_std_: Optional[float]
+
+    def __init__(self, symbol_a: str, symbol_b: str, price_column: str):
+        self.symbol_a_ = symbol_a
+        self.symbol_b_ = symbol_b
+        self.price_column_ = price_column
+        self.disequilibrium_mu_ = None
+        self.disequilibrium_std_ = None
+
+    def colnames(self) -> List[str]:
+        return [f"{self.price_column_}_{self.symbol_a_}", f"{self.price_column_}_{self.symbol_b_}"]
+
+    def set_training_disequilibrium(self, disequilibrium_mu: float, disequilibrium_std: float):
+        self.disequilibrium_mu_ = disequilibrium_mu
+        self.disequilibrium_std_ = disequilibrium_std
+
+    def mu(self) -> float:
+        assert self.disequilibrium_mu_ is not None
+        return self.disequilibrium_mu_
+
+    def std(self) -> float:
+        assert self.disequilibrium_std_ is not None
+        return self.disequilibrium_std_
+
+    def __repr__(self) ->str:
+        return f"{self.symbol_a_} & {self.symbol_b_}"
+