fixed OLS model

lib/cvtt_client/mkt_data.py

@@ -1,21 +1,17 @@
 #!/usr/bin/env python3
 
-import argparse
-from ast import Sub
 import asyncio
-from functools import partial
 import json
-import logging
 import uuid
 from dataclasses import dataclass
-from typing import Callable, Coroutine, Dict, List, Optional
+from functools import partial
+from typing import Callable, Coroutine, Dict, Optional
 
 import websockets
+from cvttpy_tools.settings.cvtt_types import JsonDictT
+from cvttpy_tools.tools.logger import Log
 from websockets.asyncio.client import ClientConnection
 
-from cvttpy_base.settings.cvtt_types import JsonDictT
-from cvttpy_base.tools.logger import Log
-
 MessageTypeT = str
 SubscriptionIdT = str
 MessageT = Dict

lib/pt_strategy/live/live_strategy.py

@@ -1,14 +1,12 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
-from functools import partial
 from typing import Any, Dict, List, Optional
 
 import pandas as pd
-from cvttpy_base.settings.cvtt_types import JsonDictT
-from cvttpy_base.tools.base import NamedObject
-from cvttpy_base.tools.logger import Log
-
+from cvttpy_tools.settings.cvtt_types import JsonDictT
+from cvttpy_tools.tools.base import NamedObject
+from cvttpy_tools.tools.logger import Log
 from pt_strategy.live.ti_sender import TradingInstructionsSender
 from pt_strategy.model_data_policy import ModelDataPolicy
 from pt_strategy.pt_market_data import RealTimeMarketData

lib/pt_strategy/live/pricer_md_client.py

@@ -1,21 +1,16 @@
 from __future__ import annotations
 
 from functools import partial
-from typing import Any, Dict, List, Optional
+from typing import Dict, List
 
-import pandas as pd
-from cvttpy_base.tools.app import App
-from cvttpy_base.tools.config import Config
-from cvttpy_base.settings.cvtt_types import JsonDictT
-from cvttpy_base.tools.base import NamedObject
-from cvttpy_base.tools.logger import Log
-
-from cvtt_client.mkt_data import (
-    CvttPricerWebSockClient,
-    CvttPricesSubscription,
-    MessageTypeT,
-    SubscriptionIdT,
-)
+from cvtt_client.mkt_data import (CvttPricerWebSockClient,
+                                  CvttPricesSubscription, MessageTypeT,
+                                  SubscriptionIdT)
+from cvttpy_tools.settings.cvtt_types import JsonDictT
+from cvttpy_tools.tools.app import App
+from cvttpy_tools.tools.base import NamedObject
+from cvttpy_tools.tools.config import Config
+from cvttpy_tools.tools.logger import Log
 from pt_strategy.live.live_strategy import PtLiveStrategy
 from pt_strategy.trading_pair import TradingPair
 

lib/pt_strategy/live/ti_sender.py

@@ -1,14 +1,15 @@
-from enum import Enum
-from typing import Dict, Any, Tuple
 import time
+from enum import Enum
+from typing import Tuple
+
 # import aiohttp
-from cvttpy_base.tools.app import App
-from cvttpy_base.tools.base import NamedObject
-from cvttpy_base.tools.config import Config
-from cvttpy_base.tools.logger import Log
-from cvttpy_base.tools.web.rest_client import REST_RequestProcessor
-from cvttpy_base.tools.timeutils import NanoPerSec
-from cvttpy_base.tools.timer import Timer
+from cvttpy_tools.tools.app import App
+from cvttpy_tools.tools.base import NamedObject
+from cvttpy_tools.tools.config import Config
+from cvttpy_tools.tools.logger import Log
+from cvttpy_tools.tools.timer import Timer
+from cvttpy_tools.tools.timeutils import NanoPerSec
+from cvttpy_tools.tools.web.rest_client import REST_RequestProcessor
 
 
 class TradingInstructionsSender(NamedObject):

lib/pt_strategy/models.py

@@ -11,7 +11,7 @@ from pt_strategy.trading_pair import TradingPair
 
 
 class OLSModel(PairsTradingModel):
-    zscore_model_: Optional[sm.regression.linear_model.RegressionResultsWrapper]
+    model_: Optional[sm.regression.linear_model.RegressionResultsWrapper]
     pair_predict_result_: Optional[pd.DataFrame]
     zscore_df_: Optional[pd.DataFrame]
 
@@ -42,11 +42,13 @@ class OLSModel(PairsTradingModel):
         )
 
         X = sm.add_constant(symbol_b_px_series)
-        self.zscore_model_ = sm.OLS(symbol_a_px_series, X).fit()
-        assert self.zscore_model_ is not None
-        hedge_ratio = self.zscore_model_.params.iloc[1]
+        self.model_ = sm.OLS(symbol_a_px_series, X).fit()
+        assert self.model_ is not None
 
-        spread = symbol_a_px_series - hedge_ratio * symbol_b_px_series
+        # alternate way would be to use models residuals (will give identical results)
+        # alpha, beta = self.model_.params
+        # spread = symbol_a_px_series - (alpha + beta * symbol_b_px_series)
+        spread = self.model_.resid
         return pd.DataFrame((spread - spread.mean()) / spread.std())
 
 

lib/pt_strategy/pt_market_data.py

@@ -1,12 +1,11 @@
 from __future__ import annotations
 
 from typing import Any, Dict, List, Optional
+
 import pandas as pd
-
-from cvttpy_base.settings.cvtt_types import JsonDictT
-
+from cvttpy_tools.settings.cvtt_types import JsonDictT
 from tools.data_loader import load_market_data
-from pt_strategy.trading_pair import TradingPair
+
 
 class PtMarketData():
     config_: Dict[str, Any]