"""Quantitative Analysis Controller Module""" __docformat__ = "numpy" import argparse import logging from typing import List, Optional import numpy as np import pandas as pd from openbb_terminal.common.quantitative_analysis import qa_view, rolling_view from openbb_terminal.core.session.current_user import get_current_user from openbb_terminal.custom_prompt_toolkit import NestedCompleter from openbb_terminal.decorators import log_start_end from openbb_terminal.helper_funcs import ( EXPORT_ONLY_FIGURES_ALLOWED, EXPORT_ONLY_RAW_DATA_ALLOWED, check_list_dates, check_positive, check_proportion_range, ) from openbb_terminal.menu import session from openbb_terminal.parent_classes import CryptoBaseController from openbb_terminal.rich_config import MenuText, console logger = logging.getLogger(__name__) class QaController(CryptoBaseController): """Quantitative Analysis Controller class""" CHOICES_COMMANDS = [ "pick", "raw", "summary", "line", "hist", "cdf", "bw", "rolling", "decompose", "cusum", "acf", "spread", "quantile", "skew", "kurtosis", "normality", "qqplot", "unitroot", "unitroot", ] FULLER_REG = ["c", "ct", "ctt", "nc"] KPS_REG = ["c", "ct"] PATH = "/forex/qa/" CHOICES_GENERATION = True def __init__( self, from_symbol: str, to_symbol: str, data: pd.DataFrame, queue: Optional[List[str]] = None, ): """Constructor""" super().__init__(queue) data["Returns"] = data["Close"].pct_change() data["LogRet"] = np.log(data["Close"]) - np.log(data["Close"].shift(1)) data = data.dropna() self.data = data self.from_symbol = from_symbol self.to_symbol = to_symbol self.ticker = f"{from_symbol}/{to_symbol}" self.target = "Close" if session and get_current_user().preferences.USE_PROMPT_TOOLKIT: choices: dict = self.choices_default choices["pick"].update({c: {} for c in list(data.columns)}) choices["load"] = { "--interval": { c: {} for c in [ "1", "5", "15", "30", "60", "240", "1440", "10080", "43200", ] }, "-i": "--interval", "--exchange": {c: {} for c in self.exchanges}, "--source": {c: {} for c in ["CCXT", "YahooFinance", "CoingGecko"]}, "--vs": {c: {} for c in ["usd", "eur"]}, "--start": None, "-s": "--start", "--end": None, "-e": "--end", } self.completer = NestedCompleter.from_nested_dict(choices) def print_help(self): """Print help""" mt = MenuText("forex/qa/") mt.add_cmd("pick") mt.add_raw("\n") mt.add_param("_pair", self.ticker) mt.add_param("_target", self.target) mt.add_raw("\n") mt.add_info("_statistics_") mt.add_cmd("summary") mt.add_cmd("normality") mt.add_cmd("unitroot") mt.add_info("_plots_") mt.add_cmd("line") mt.add_cmd("hist") mt.add_cmd("cdf") mt.add_cmd("bw") mt.add_cmd("acf") mt.add_cmd("qqplot") mt.add_info("_rolling_metrics_") mt.add_cmd("rolling") mt.add_cmd("spread") mt.add_cmd("quantile") mt.add_cmd("skew") mt.add_cmd("kurtosis") mt.add_info("_other_") mt.add_cmd("raw") mt.add_cmd("decompose") mt.add_cmd("cusum") console.print(text=mt.menu_text, menu="Forex - Quantitative Analysis") def custom_reset(self): """Class specific component of reset command""" if self.ticker: return [ "forex", f"from {self.from_symbol}", f"to {self.to_symbol}", "load", "qa", ] return [] @log_start_end(log=logger) def call_pick(self, other_args: List[str]): """Process pick command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="pick", description=""" Change target variable """, ) parser.add_argument( "-t", "--target", dest="target", choices=list(self.data.columns), help="Select variable to analyze", ) if other_args and "-t" not in other_args and "-h" not in other_args: other_args.insert(0, "-t") ns_parser = self.parse_known_args_and_warn(parser, other_args) if ns_parser: self.target = ns_parser.target @log_start_end(log=logger) def call_raw(self, other_args: List[str]): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="raw", description=""" Print raw data to console """, ) parser.add_argument( "-l", "--limit", help="Number to show", type=check_positive, default=20, dest="limit", ) parser.add_argument( "-r", "--reverse", action="store_true", dest="reverse", default=False, help=( "Data is sorted in descending order by default. " "Reverse flag will sort it in an ascending way. " "Only works when raw data is displayed." ), ) parser.add_argument( "-s", "--sortby", help="The column to sort by", type=str.lower, choices=[x.lower().replace(" ", "") for x in self.data.columns], dest="sortby", ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: qa_view.display_raw( data=self.data, limit=ns_parser.limit, sortby=ns_parser.sortby, ascend=ns_parser.reverse, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_summary(self, other_args: List[str]): """Process summary command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="summary", description=""" Summary statistics """, ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: qa_view.display_summary( data=self.data, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_line(self, other_args: List[str]): """Process line command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="line", description="Show line plot of selected data or highlight specific datetimes.", ) parser.add_argument( "--log", help="Plot with y on log scale", dest="log", action="store_true", default=False, ) parser.add_argument( "--ml", help="Draw vertical line markers to highlight certain events", dest="ml", type=check_list_dates, default="", ) parser.add_argument( "--ms", help="Draw scatter markers to highlight certain events", dest="ms", type=check_list_dates, default="", ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_FIGURES_ALLOWED ) if ns_parser: qa_view.display_line( self.data[self.target], title=f"{self.ticker} {self.target}", log_y=ns_parser.log, markers_lines=ns_parser.ml, markers_scatter=ns_parser.ms, export=ns_parser.export, ) @log_start_end(log=logger) def call_hist(self, other_args: List[str]): """Process hist command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="hist", description=""" Histogram with density and rug """, ) parser.add_argument( "-b", "--bins", type=check_positive, default=15, dest="n_bins", choices=range(10, 100), metavar="BINS", ) ns_parser = self.parse_known_args_and_warn(parser, other_args) if ns_parser: qa_view.display_hist( symbol=self.ticker, data=self.data, target=self.target, bins=ns_parser.n_bins, ) @log_start_end(log=logger) def call_cdf(self, other_args: List[str]): """Process cdf command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="cdf", description=""" Cumulative distribution function """, ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: qa_view.display_cdf( symbol=self.ticker, data=self.data, target=self.target, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_bw(self, other_args: List[str]): """Process bwy command""" parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, add_help=False, prog="bw", description=""" Box and Whisker plot """, ) parser.add_argument( "-y", "--yearly", action="store_true", default=False, dest="year", help="Flag to show yearly bw plot", ) ns_parser = self.parse_known_args_and_warn(parser, other_args) if ns_parser: qa_view.display_bw( symbol=self.ticker, data=self.data, target=self.target, yearly=ns_parser.year, ) @log_start_end(log=logger) def call_decompose(self, other_args: List[str]): """Process decompose command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="decompose", description=""" Decompose time series as: - Additive Time Series = Level + CyclicTrend + Residual + Seasonality - Multiplicative Time Series = Level * CyclicTrend * Residual * Seasonality """, ) parser.add_argument( "-m", "--multiplicative", action="store_true", default=False, dest="multiplicative", help="decompose using multiplicative model instead of additive", ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: qa_view.display_seasonal( symbol=self.ticker, data=self.data, target=self.target, multiplicative=ns_parser.multiplicative, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_cusum(self, other_args: List[str]): """Process cusum command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="cusum", description=""" Cumulative sum algorithm (CUSUM) to detect abrupt changes in data """, ) parser.add_argument( "-t", "--threshold", dest="threshold", type=float, default=( max(self.data[self.target].values) - min(self.data[self.target].values) ) / 40, help="threshold", ) parser.add_argument( "-d", "--drift", dest="drift", type=float, default=( max(self.data[self.target].values) - min(self.data[self.target].values) ) / 80, help="drift", ) ns_parser = self.parse_known_args_and_warn(parser, other_args) if ns_parser: qa_view.display_cusum( data=self.data, target=self.target, threshold=ns_parser.threshold, drift=ns_parser.drift, ) @log_start_end(log=logger) def call_acf(self, other_args: List[str]): """Process acf command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="acf", description=""" Auto-Correlation and Partial Auto-Correlation Functions for diff and diff diff forex data """, ) parser.add_argument( "-l", "--lags", dest="lags", type=check_positive, default=15, help="maximum lags to display in plots", choices=range(5, 100), metavar="LAGS", ) ns_parser = self.parse_known_args_and_warn(parser, other_args) if ns_parser: if self.target != "Close": console.print( "Target not Close. For best results, use `pick Close` first." ) qa_view.display_acf( symbol=self.ticker, data=self.data, target=self.target, lags=ns_parser.lags, ) @log_start_end(log=logger) def call_rolling(self, other_args: List[str]): """Process rolling command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="rolling", description=""" Rolling mean and std deviation """, ) parser.add_argument( "-w", "--window", action="store", dest="n_window", type=check_positive, default=14, help="Window length", choices=range(5, 100), metavar="N_WINDOW", ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: rolling_view.display_mean_std( symbol=self.ticker, data=self.data, target=self.target, window=ns_parser.n_window, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_spread(self, other_args: List[str]): """Process spread command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="spread", description="""Shows rolling spread measurement """, ) parser.add_argument( "-w", "--window", action="store", dest="n_window", type=check_positive, default=14, help="Window length", choices=range(5, 100), metavar="N_WINDOW", ) ns_parser = self.parse_known_args_and_warn( parser, other_args, export_allowed=EXPORT_ONLY_RAW_DATA_ALLOWED ) if ns_parser: rolling_view.display_spread( symbol=self.ticker, data=self.data, target=self.target, window=ns_parser.n_window, export=ns_parser.export, sheet_name=" ".join(ns_parser.sheet_name) if ns_parser.sheet_name else None, ) @log_start_end(log=logger) def call_quantile(self, other_args: List[str]): """Process quantile command""" parser = argparse.ArgumentParser( add_help=False, formatter_class=argparse.ArgumentDefaultsHelpFormatter, prog="quantile", description=""" The quantiles are values which divide the distribution such that there is a given proportion of observations below the quantile. For example, the median is a quantile. The median is the central value of the distribution, such that half the points are less than or equal to it and half are greater than or equal to it. By default, q is set at 0.5, which effectively is median. Change q to get the desired quantile (0