added calendar functionality

Author: atkinson

margot/backtest/backtest.py

@@ -42,7 +42,8 @@ def calculate_returns(self):
         You should construct your MargotDataFrame to be indexed by the trading
         periods (e.g. days).
         """
-        #TODO Remove the assumption about log_returns
+        #TODO Remove the assumption about log_returns. i reckon look for the
+        # column, then derive simple then log returns.
 
         returns = self.positions.shift()
         for column in returns.columns: 
@@ -116,4 +117,4 @@ def run(self, periods=None):
         # caclulate lookback rolling volatility
         # simulate resizing at trading time, according to a target volatility
         # simulate volatility sized returns.
-        return self.positions
+        return self.returns

margot/signals/__init__.py

@@ -1,6 +1,5 @@
 from margot.signals.algos import BaseAlgo
 
-
 class Position(object):
     """Represents a Position with a symbol and a weight.
 
@@ -10,9 +9,10 @@ class Position(object):
             the weight of this symbol in the position list.
     """
 
-    def __init__(self, symbol: str, weight: float):  # noqa: D107
+    def __init__(self, symbol: str, weight: float, order_type: str):  # noqa: D107
         self.symbol = symbol
         self.weight = weight
+        # TODO order_type should be checked.
         if self.weight > 1.0 or self.weight < -1.0:
             raise ValueError('weight must be a value between -1.0 and +1.0')
 

margot/signals/algos.py

@@ -10,7 +10,8 @@
 from trading_calendars import get_calendar
 
 import pytz
-from margot.signals.periods import DAILY
+
+from margot.signals.order_types import MOC, MKT, LMT
 from margot.data import MargotDataFrame
 
 
@@ -22,7 +23,8 @@ class BaseAlgo(object):
 
     Args:
         env (dict): a dictionary of environment variables, e.g. API keys.
-                    Overrides anything provided in sys env.
+            Overrides anything provided in sys env.
+        market (str): The ISO code for the market we will use.
 
     Raises:
         ValueError: the attribute, 'data' must be a reference to a MargotDataFrame.
@@ -31,15 +33,71 @@ class BaseAlgo(object):
 
     """
 
-    frequency = DAILY
+    MOC = MOC
+    MKT = MKT
+    LMT = LMT
+
+    MONDAY = 'MON'
+    TUESDAY = 'TUE'
+    WEDNESDAY = 'WED'
+    THURSDAY = 'THU'
+    FRIDAY = 'FRI'
+    SATURDAY = 'SAT'
+    SUNDAY = 'SUN'
+
     data = None
 
-    def __init__(self, env: dict = {}, calendar='XNYS'):  # noqa: D107
+    def __init__(self, env: dict = {}, market='XNYS'):  # noqa: D107
         self.env = env
-        self.calendar = calendar
+        self.market = get_calendar(market)
+        self.when = None
         if not isinstance(self.data, MargotDataFrame):
             raise ValueError('Please set data to reference a MargotDataFrame')
 
+    def weekday(self, dt):
+        """Return a human readable three letter day of week.
+
+        Convert the Python integer representation of day of week into a string.
+
+        e.g::
+
+            0: 'MON' (also known as self.MONDAY)
+
+        .. note::
+            You should always use the built in constants when passing days of
+            the week. e.g. self.MONDAY, self.TUESDAY, ... these map to the three
+            charater strings.
+
+
+        Args:
+            dt (datetime or pd.Timestamp): The datetime to check
+
+        Returns:
+            str: One of; 'MON', 'TUE', 'WED', 'THU', 'FRI', 'SAT', 'SUN'
+        """
+        days = {
+            0: self.MONDAY,
+            1: self.TUESDAY,
+            2: self.WEDNESDAY,
+            3: self.THURSDAY,
+            4: self.FRIDAY,
+            5: self.SATURDAY,
+            6: self.SUNDAY
+        }
+        return days.get(dt.weekday())
+
+    @property
+    def next_close(self):
+        """Return a UTC pd.Timestamp of the next close of trading session.
+
+        Returns:
+            pd.Timestamp: Timestamp of the next close of cash session in UTC.
+        """
+        return self.market.next_close(
+            getattr(self, 'when', 
+            pd.Timestamp(datetime.now(tz=pytz.UTC)))
+            )
+
     def signal(self) -> list:
         """Return a list of Position objects for a given datetime."""
         raise NotImplementedError("You must implement signal")
@@ -61,6 +119,7 @@ def simulate_signal(self, when: datetime):
             list: a list of Position objects.
         """
         self.data.simulate(when)
+        self.when = when
         positions = self.signal()
         self.data.end_simulation()
         return positions

margot/signals/order_types.py

@@ -0,0 +1,3 @@
+MOC = 'Market On Close'
+MKT = 'Market'
+LMT = 'Limit'

todo.md

@@ -8,7 +8,6 @@
 
 * pairs trading
 * decouple positions + returns from rebalancing
-* add 3DMA filter back to the vix basis
 * risk management
 * live trading
 * accounting