Release v1.0.2
This commit is contained in:
Oleg Sheynin
+93
-96
@@ -30,6 +30,7 @@
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"from IPython.display import display\n",
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"import ipywidgets as widgets\n",
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"import pandas as pd\n",
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"import panel as pn\n",
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"\n",
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"START_DIR = Path.cwd().resolve()\n",
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"for candidate in (START_DIR, *START_DIR.parents):\n",
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@@ -41,21 +42,27 @@
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"import scripts.spbt_day as spbt_day\n",
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"\n",
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"spbt_day = importlib.reload(spbt_day)\n",
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"pn.extension(\"tabulator\", \"plotly\")\n",
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"\n",
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"ANALYZE_BUTTON_COLUMN = spbt_day.ANALYZE_BUTTON_COLUMN\n",
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"SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS = spbt_day.SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS\n",
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"add_total_pnl = spbt_day.add_total_pnl\n",
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"calculate_pair_theo_executions = spbt_day.calculate_pair_theo_executions\n",
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"calculate_ranked_pairs_theo_ret = spbt_day.calculate_ranked_pairs_theo_ret\n",
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"create_database_file_selector = spbt_day.create_database_file_selector\n",
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"create_pair_name_dropdown = spbt_day.create_pair_name_dropdown\n",
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"create_pair_theo_ret_analyze_grid = spbt_day.create_pair_theo_ret_analyze_grid\n",
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"create_pair_trades_market_plot = spbt_day.create_pair_trades_market_plot\n",
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"create_selected_pair_executions_grid = spbt_day.create_selected_pair_executions_grid\n",
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"create_total_pnl_histogram = spbt_day.create_total_pnl_histogram\n",
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"find_repo_root = spbt_day.find_repo_root\n",
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"format_pair_name_for_display = spbt_day.format_pair_name_for_display\n",
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"format_pair_names_for_display = spbt_day.format_pair_names_for_display\n",
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"format_pair_theo_ret_for_analyze_grid = spbt_day.format_pair_theo_ret_for_analyze_grid\n",
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"infer_trading_day_start_ns = spbt_day.infer_trading_day_start_ns\n",
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"load_selector_pair_rankings = spbt_day.load_selector_pair_rankings\n",
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"load_pair_market_data = spbt_day.load_pair_market_data\n",
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"load_trading_instructions = spbt_day.load_trading_instructions\n",
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"pair_name_from_analyze_event = spbt_day.pair_name_from_analyze_event\n",
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"show_interactive_dataframe = spbt_day.show_interactive_dataframe\n",
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"\n",
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"REPO_ROOT = find_repo_root()\n",
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@@ -190,12 +197,12 @@
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" kind=\"mergesort\",\n",
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").drop(columns=\"total_pnl\").reset_index(drop=True)\n",
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"\n",
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"pair_theo_ret_display = format_pair_names_for_display(pair_theo_ret)\n",
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"\n",
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"show_interactive_dataframe(\n",
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"pair_theo_ret_display = format_pair_theo_ret_for_analyze_grid(pair_theo_ret)\n",
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"pair_theo_ret_grid = create_pair_theo_ret_analyze_grid(\n",
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" pair_theo_ret_display,\n",
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" table_id=\"pair-theo-ret-grid\",\n",
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")"
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" height=520,\n",
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")\n",
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"display(pair_theo_ret_grid)"
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]
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},
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{
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@@ -216,8 +223,13 @@
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"outputs": [],
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"source": [
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"total_pnl_histogram = create_total_pnl_histogram(pair_theo_ret)\n",
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"total_pnl_histogram_pane = pn.pane.Plotly(\n",
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" total_pnl_histogram,\n",
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" height=360,\n",
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" sizing_mode=\"stretch_width\",\n",
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")\n",
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"\n",
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"total_pnl_histogram"
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"display(total_pnl_histogram_pane)"
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]
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},
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{
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@@ -227,109 +239,94 @@
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"source": [
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"## Individual Pair Analysis\n",
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"\n",
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"Choose one pair for detailed follow-up analysis. Pair names are sorted alphabetically."
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"Click the Analyze button in the Pair TheoRet grid to load detailed follow-up analysis for that row. The selected-pair execution table and market/trade chart are not calculated until an Analyze button is clicked."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "choose-individual-pair",
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"id": "individual-pair-analysis",
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"metadata": {},
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"outputs": [],
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"source": [
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"pair_name_dropdown = create_pair_name_dropdown(selector_pair_rankings)\n",
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"display(pair_name_dropdown)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "selected-individual-pair",
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"metadata": {},
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"outputs": [],
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"source": [
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"selected_pair_name = pair_name_dropdown.value\n",
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"format_pair_name_for_display(selected_pair_name)"
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]
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},
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{
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"cell_type": "markdown",
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"id": "selected-pair-theo-executions-context",
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"metadata": {},
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"source": [
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"### Selected Pair Theoretical Executions\n",
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"\n",
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"Create the theoretical asset-level executions used by the PnL calculation for the selected pair. `TARGET` rows trade the position difference from the current theoretical position to the new target position, where target size is `10000 * strength / reference_price`; `CLOSE` rows flatten the current theoretical position. Positive size is `BUY`; negative size is `SELL`; USD value is signed as the opposite cash movement."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "selected-pair-theo-executions",
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"metadata": {},
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"outputs": [],
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"source": [
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"selected_pair_theo_executions = calculate_pair_theo_executions(\n",
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" selected_pair_name,\n",
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" trading_instructions,\n",
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" min_pctg_change=MIN_TARGET_STRENGTH_CHANGE_PCTG,\n",
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"selected_pair_name = None\n",
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"selected_pair_theo_executions = pd.DataFrame()\n",
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"selected_pair_theo_executions_display = pd.DataFrame(\n",
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" columns=SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS\n",
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")\n",
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"selected_pair_market_data = pd.DataFrame()\n",
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"selected_pair_market_trades_plot = None\n",
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"\n",
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"selected_pair_theo_execution_columns = [\n",
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" \"time\",\n",
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" \"asset\",\n",
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" \"action\",\n",
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" \"side\",\n",
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" \"strength\",\n",
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" \"size\",\n",
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" \"price\",\n",
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" \"usd_value\",\n",
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"]\n",
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"selected_pair_theo_executions_display = selected_pair_theo_executions.reindex(\n",
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" columns=selected_pair_theo_execution_columns\n",
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"selected_pair_message = pn.pane.Markdown(\n",
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" \"Click Analyze in the Pair TheoRet grid to load individual-pair details.\"\n",
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")\n",
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"show_interactive_dataframe(\n",
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"selected_pair_theo_executions_grid = create_selected_pair_executions_grid(\n",
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" selected_pair_theo_executions_display,\n",
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" table_id=\"selected-pair-theo-executions-grid\",\n",
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")"
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]
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},
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{
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"cell_type": "markdown",
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"id": "selected-pair-market-trades-context",
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"metadata": {},
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"source": [
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"### Selected Pair Trades on Market Data\n",
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"\n",
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"Load full available 1-minute market data for the selected pair's instruments from `ohlcv_1min`, starting at midnight UTC of the trading day inferred from `trading_instructions`. Close prices are shown as relative prices from each instrument's close at that midnight. Theoretical executions are overlaid at their execution `reference_price`, normalized by the same midnight close. Execution markers use execution timestamps directly and do not require a matching OHLCV row."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "selected-pair-market-trades-plot",
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"metadata": {},
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"outputs": [],
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"source": [
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"trading_day_start_ns = infer_trading_day_start_ns(trading_instructions)\n",
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"\n",
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"conn = connect_selected_database()\n",
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"try:\n",
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" selected_pair_market_data = load_pair_market_data(\n",
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" conn,\n",
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" selected_pair_name,\n",
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" trading_day_start_ns=trading_day_start_ns,\n",
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" )\n",
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"finally:\n",
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" conn.close()\n",
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"\n",
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"selected_pair_market_trades_plot = create_pair_trades_market_plot(\n",
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" selected_pair_name,\n",
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" selected_pair_market_data,\n",
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" selected_pair_theo_executions,\n",
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" height=360,\n",
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")\n",
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"selected_pair_market_trades_plot_pane = pn.pane.Plotly(\n",
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" None,\n",
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" height=520,\n",
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" sizing_mode=\"stretch_width\",\n",
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")\n",
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"\n",
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"selected_pair_market_trades_plot"
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"\n",
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"def analyze_pair_click(event):\n",
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" global selected_pair_name\n",
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" global selected_pair_theo_executions\n",
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" global selected_pair_theo_executions_display\n",
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" global selected_pair_market_data\n",
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" global selected_pair_market_trades_plot\n",
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"\n",
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" try:\n",
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" selected_pair_name = pair_name_from_analyze_event(pair_theo_ret_grid, event)\n",
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" selected_pair_message.object = (\n",
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" f\"Selected pair: **{format_pair_name_for_display(selected_pair_name)}**\"\n",
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" )\n",
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"\n",
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" selected_pair_theo_executions = calculate_pair_theo_executions(\n",
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" selected_pair_name,\n",
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" trading_instructions,\n",
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" min_pctg_change=MIN_TARGET_STRENGTH_CHANGE_PCTG,\n",
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" )\n",
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" selected_pair_theo_executions_display = selected_pair_theo_executions.reindex(\n",
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" columns=SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS\n",
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" )\n",
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" selected_pair_theo_executions_grid.value = selected_pair_theo_executions_display\n",
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"\n",
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" trading_day_start_ns = infer_trading_day_start_ns(trading_instructions)\n",
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" conn = connect_selected_database()\n",
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" try:\n",
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" selected_pair_market_data = load_pair_market_data(\n",
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" conn,\n",
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" selected_pair_name,\n",
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" trading_day_start_ns=trading_day_start_ns,\n",
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" )\n",
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" finally:\n",
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" conn.close()\n",
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"\n",
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" selected_pair_market_trades_plot = create_pair_trades_market_plot(\n",
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" selected_pair_name,\n",
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" selected_pair_market_data,\n",
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" selected_pair_theo_executions,\n",
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" )\n",
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" selected_pair_market_trades_plot_pane.object = selected_pair_market_trades_plot\n",
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" except Exception as exc:\n",
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" selected_pair_message.object = f\"**Error:** {exc}\"\n",
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" selected_pair_market_trades_plot_pane.object = None\n",
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"\n",
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"\n",
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"pair_theo_ret_grid.on_click(analyze_pair_click, column=ANALYZE_BUTTON_COLUMN)\n",
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"\n",
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"display(\n",
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" pn.Column(\n",
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" selected_pair_message,\n",
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" \"### Theoretical Executions\",\n",
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" selected_pair_theo_executions_grid,\n",
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" \"### Trades on Market Data\",\n",
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" selected_pair_market_trades_plot_pane,\n",
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" )\n",
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")"
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]
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}
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],
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