fagan2888
fagan2888
/ holoviz_linked_brushing.py
Created
May 21, 2021 16:54
— forked from MarcSkovMadsen/holoviz_linked_brushing.py
Linked brushing with HoloViz
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| # pip install pandas hvplot==0.7.1 holoviews==1.14.3 bokeh panel==0.11.3 | |
| # panel serve holoviz_linked_brushing.py --auto --show | |
| import hvplot.pandas | |
| import holoviews as hv | |
| import panel as pn | |
| from bokeh.sampledata.iris import flowers | |
| pn.extension(sizing_mode="stretch_width") | |
| hv.extension("bokeh") |
fagan2888
/ star_wars_ep4_network.ipynb
Created
May 5, 2021 02:51
— forked from EricPostMaster/star_wars_ep4_network.ipynb
Star Wars Episode 4 Character Network
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fagan2888
/ historicalfuturesticks.py
Created
March 22, 2021 04:53
Historical Tick Data for Futures Contracts from IBKR API using ib_insync
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| import ib_insync as ib | |
| import pandas as pd | |
| import numpy as np | |
| import time | |
| def fetch_data( | |
| symbol: str = 'MES', | |
| expiry="202106", # YYYY + Month: 03, 06, 09, 12 for MES | |
| start_date_time: str = '20210319 09:30:00', |
fagan2888
/ atrvsvol.py
Created
November 3, 2020 22:48
— forked from robcarver17/atrvsvol.py
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| from sysdata.quandl.quandl_futures import quandlFuturesConfiguration, quandlFuturesContractPriceData | |
| from sysdata.futures.contracts import listOfFuturesContracts | |
| from sysdata.futures.instruments import futuresInstrument | |
| from sysdata.mongodb.mongo_roll_data import mongoRollParametersData | |
| import numpy as np | |
| import pandas as pd | |
| def get_roll_parameters_from_mongo(instrument_code): |
fagan2888
/ scratch_16.py
Created
November 3, 2020 22:47
— forked from robcarver17/scratch_16.py
get system risk
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| import pandas as pd | |
| import numpy as np | |
| def get_positions_as_proportion_of_capital(system): | |
| list_of_instruments = system.get_instrument_list() | |
| positions = [system.portfolio.get_actual_position(instrument_code) for instrument_code in list_of_instruments] | |
| positions = pd.concat(positions, axis=1) | |
| positions.columns = list_of_instruments | |
| positions[positions.isna()] = 0.0 |
fagan2888
/ scratch_16.py
Created
November 3, 2020 22:47
— forked from robcarver17/scratch_16.py
Bin plotting
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| import matplotlib | |
| matplotlib.use("TkAgg") | |
| import matplotlib.pyplot as plt | |
| import scipy.stats as stats | |
| import numpy as np | |
| def plot_results_for_bin_size(size, pd_result, centre_on_mean = False): | |
| bins = get_bins_for_size(size, pd_result, centre_on_mean = centre_on_mean) |
fagan2888
/ kings_college.py
Created
November 3, 2020 22:46
— forked from robcarver17/portfolio_construction.py
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| #import matplotlib | |
| #matplotlib.use("TkAgg") | |
| import matplotlib.pyplot as plt | |
| from scipy.optimize import minimize | |
| import numpy as np | |
| ### Following is the optimisation code: | |
| ### First the main function. | |
| def optimise_with_sigma(sigma, mean_list): |
fagan2888
/ temp.py
Created
November 3, 2020 22:45
— forked from robcarver17/temp.py
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| from copy import copy | |
| seq_length = 20 | |
| def decimalToBinary(n): | |
| # return padded binary number as list | |
| binary_number_as_str=bin(n) | |
| binary_number_as_str = binary_number_as_str[2:] | |
| binary_number_as_str = binary_number_as_str.zfill(seq_length) | |
| binary_number_as_list = [int(x) for x in binary_number_as_str] |
fagan2888
/ coinflips.py
Created
November 3, 2020 22:45
— forked from robcarver17/coinflips.py
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| import random | |
| from copy import copy | |
| def ishead(): | |
| result=random.uniform(0,1) | |
| if result>=0.5: | |
| return 1 | |
| else: | |
| return 0 |
fagan2888
/ get_expected_risk.py
Created
November 3, 2020 22:44
— forked from robcarver17/get_expected_risk.py
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| import pandas as pd | |
| import numpy as np | |
| def get_expected_risk_for_system(system): | |
| value_of_positions_proportion_capital = get_positions_as_proportion_of_capital(system) | |
| instrument_returns = get_instrument_returns(system) | |
| instrument_returns = instrument_returns.ffill().reindex(value_of_positions_proportion_capital.index) |
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