Files
OpenBB/openbb_platform/extensions/quantitative
dlee-bq 53d4dcc46d [Feature] Drop Python 3.10 and Resolve Open Dependabot Alerts (#7804)
* Drop Python 3.10 support

Python 3.10 reached end of life on 2026-10-01, and the patched releases of
Pillow (13.0.0) and filelock (>=4.2.1) require Python >=3.11, so the 3.10
resolution fork kept vulnerable versions in every lockfile.

- requires-python = ">=3.11,<4" in all pyproject.toml files, the
  cookiecutter template, and the CLI codegen project template
- CI: drop the ubuntu 3.10 matrix rows, move the macOS/Windows minimum
  rows and the lint jobs to 3.11, drop 3.10 from the nox sessions
- READMEs: state 3.11 as the minimum supported version

* Relock with patched certifi, filelock, virtualenv, Pillow, and fastmcp

Regenerate all 38 uv.lock files against requires-python >=3.11 and upgrade
only the packages with open Dependabot advisories:

- certifi 2026.7.22 -> 2026.10.23 (GHSA-6q48-6c7w-9gw2, compromised emSign CAs)
- virtualenv 21.14.7 -> 21.14.13
- filelock 4.1.0/4.2.0 -> 4.2.4
- Pillow 12.3.0 -> 13.0.0
- fastmcp / fastmcp-slim 4.1.0 -> 4.1.3

All other changes are removed Python 3.10-only resolution forks; no other
package changes version for Python 3.11+.

* desktop: bump zod, @hookform/resolvers, and vitest

- zod ^3.25.76 -> ^4.6.7 (GHSA-mrhx-c7xc-m3w5; no patched 3.x exists)
- @hookform/resolvers ^3.10.0 -> ^5.9.2 for zod 4 support
- vitest ^4.1.11 -> ^4.1.12 (@vitest/mocker GHSA-qxg6-89mg-rqv8,
  GHSA-xp26-3454-mjgp)
- override zod to the root version so @openbb/ui-pro, which declares
  zod ^3 but never imports it, does not pull in a second, vulnerable copy

* desktop: remove Python 3.10 from environment pickers

- version pickers in InstallComponents and AddExtensionSelector start at 3.11
- create_environment_from_requirements accepts 3.11 through 3.14 and falls
  back to 3.12 otherwise (previously 3.10 through 3.13)
- component tests select 3.11 instead of 3.10

* Remove Python 3.10 tomli fallbacks

With requires-python >=3.11, tomllib is always available, so the
version-conditional tomli imports are dead code.

- import tomllib directly in the cli and core config loaders, the
  mcp_server and platform_api config validators, dev_install.py, and
  the cli and cookiecutter tests; dev_install.py no longer pip-installs
  tomli on the fly
- drop the tomli>=2.0; python_version<'3.11' dependency from cli, core,
  mcp_server, and platform_api, plus platform_api's backport comment
- raise the fake-extension fixtures in cli/conftest.py,
  core/integration/conftest.py, and the charting test metadata to
  >=3.11
- relock cli, core, mcp_server, and platform_api; only the tomli
  requires-dist entry is removed and resolution markers are reordered,
  no package versions change

* Target Python 3.11 in ruff and ty for cli, core, mcp_server, platform_api, cookiecutter

With ruff target-version py310 and ty python-version 3.10, both tools
reject an unconditional `import tomllib`: ty reports it as unresolved
(exit 1) and ruff's isort classifies it as third-party. Raise the targets
in the projects that now import tomllib directly, and in the root
ruff.toml that governs dev_install.py.

- ruff target-version = "py311" and ty python-version = "3.11" in cli,
  core, mcp_server, platform_api, and cookiecutter; root ruff.toml
  target-version = "py311"
- UP042: OutputMode, ChartLifecycle, MCPType, and HTTPMethod become
  StrEnum; every consumer uses .value or == comparisons, so only str()
  and format() output change
- UP017: datetime.timezone.utc -> datetime.UTC (ruff autofix) in the cli
  dispatchers, the cli test generator, and a core test

* Fix ruff and ty failures in packages this PR touches

CI installs unpinned dependencies, so the lint jobs ran against
pandas 3.1.0, ruff 0.17.2, and ty 0.0.91.

- cli/conftest.py: guard the find_spec("openbb") lookup so ty no longer
  reports an Optional ModuleSpec/origin (failing Lint openbb-cli)
- quantitative: pandas 3.1 types Index.max() as object; cast max_date to
  Timestamp before period_start in attribution, factors, and
  risk_decomposition (failing ty)
- federal_reserve: use Series(...).dt.date instead of
  DatetimeIndex.date so neither pandas 3.0 nor 3.1 needs a ty: ignore
  (pandas 3.1 made the existing ignores unused, failing ty)
- core tests: type the filter_by_dates doubles as Data subclasses and
  cast the deliberate bad arguments in test_helpers.py; apply ruff format
  to test_docstring_generator_helpers.py
- platform_api README: apply ruff format to the Python code blocks

* Fix pandas 3.1 deprecations failing fred, sec, and eia tests

These suites turn warnings into errors, and pandas 3.1.0 adds
Pandas4Warning deprecations for several patterns they use. Every change
also passes with the locked pandas 3.0.6.

- fred, sec: replace inplace=True sort_values/reset_index/rename/
  set_index/drop with reassignment
- fred balance_of_payments, sec as_filed_widget: replace fillna with a
  string on float columns by astype(object).where(notna, ...)
- sec: build quarter start dates from ISO strings instead of parsing
  "2024Q2"-style strings; use the DataFrame constructor instead of
  DataFrame.from_records for column dicts; pad CIK lookup rows to two
  fields instead of constructing a ragged DataFrame
- eia: read EIA workbooks with the calamine engine (xlrd is deprecated);
  replace the xlrd dependency with python-calamine and relock; calamine
  workbooks are not safe for concurrent reads, so the petroleum status
  report serializes its sheet reads with a lock

* imf: fall back to the published catalog when the IMF API is unreachable

imf_cache.json.xz is generated at build time and is not committed, so
every CI build of openbb-imf needed a live api.imf.org. The only fallback
was actions/cache, and caches saved by pull_request runs are scoped to
that PR, so a new PR never had one. With api.imf.org returning
"503 no healthy upstream" during IMF's data portal maintenance window,
the build failed.

When live generation fails on a non-forced build, the hook now copies
imf_cache.json.xz from the latest openbb-imf wheel on PyPI, after
checking the wheel's sha256 against the digest PyPI publishes. Builds
with OPENBB_IMF_FORCE_CACHE_REBUILD=1, which the publish workflow sets,
still fail hard, so a release never ships a stale catalog.

---------

Co-authored-by: dlee-bq <325002271+dlee-bq@users.noreply.github.com>
2026-11-01 18:16:45 +00:00
..
2026-09-29 14:45:53 +00:00
2026-09-29 14:45:53 +00:00
2026-09-29 14:45:53 +00:00

OpenBB Quantitative Extension

This package adds the openbb-quantitative extension to the Open Data Platform by OpenBB.

It provides a quantitative analysis toolkit — normality and unit root tests, CAPM risk measures, descriptive statistics, rolling-window statistics, risk-adjusted performance ratios, and multi-factor regression / attribution / risk-decomposition — that operate on any tabular dataset passed in as data.

Installation

Install from PyPI with:

pip install openbb-quantitative

Then build the Python static assets by running:

openbb-build

Quick Start

Every command is a POST endpoint that takes a data payload (a list of records, e.g. the .results of another OpenBB command) plus typed parameters, and returns an OBBject.

from openbb import obb

prices = obb.equity.price.historical(
    symbol="AAPL", start_date="2023-01-01", provider="yfinance"
).results

# Descriptive summary statistics of a series.
obb.quantitative.summary(data=prices, target="close")

# Augmented Dickey-Fuller and KPSS unit root tests.
obb.quantitative.unitroot_test(data=prices, target="close")

# Rolling standard deviation over a moving window.
obb.quantitative.rolling.stdev(data=prices, target="close", window=21)

# Rolling annualized Sharpe ratio of the closing prices.
obb.quantitative.performance.sharpe_ratio(data=prices, target="close")

Working with factors

The factor endpoints take two payloads — a target return series and a factor return matrix — plus an optional risk-free column name. Both payloads must share the same dates, frequency, and units. Pair with any factor source; for Fama-French data the openbb-famafrench provider exposes the canonical research datasets. Its monthly factors are percentages dated the first of each month, so convert the target to monthly returns on the same dates and scale the factors to decimal fractions.

import pandas as pd

prices = obb.equity.price.historical(
    "SPY", start_date="2010-01-01", provider="yfinance"
).to_df()
prices.index = pd.to_datetime(prices.index)
monthly_returns = prices["close"].resample("MS").last().pct_change().dropna()
target = [{"date": d.date(), "return": r} for d, r in monthly_returns.items()]

factors = [
    {
        "date": row.date,
        "mkt_rf": row.mkt_rf / 100,
        "smb": row.smb / 100,
        "hml": row.hml / 100,
        "rf": row.rf / 100,
    }
    for row in obb.famafrench.factors(
        start_date="2010-01-01", provider="famafrench"
    ).results
]

# Multi-period regression: betas, p-values, CIs, R-squared per named window.
obb.quantitative.factors(
    data=target, factors_data=factors, target="return", risk_free_column="rf"
)

# Share of Var(target) attributable to each factor (residual sums to 1 - R^2).
obb.quantitative.risk_decomposition(
    data=target, factors_data=factors, target="return", risk_free_column="rf"
)

# Decompose the period's total return into factor contributions + alpha + residual.
obb.quantitative.attribution(
    data=target, factors_data=factors, target="return", risk_free_column="rf"
)

# Refit OLS on a 36-month sliding window to track time-varying factor exposures.
obb.quantitative.rolling.factors(
    data=target,
    factors_data=factors,
    target="return",
    window=36,
    step=1,
    risk_free_column="rf",
)

To use the extension over HTTP, start the API server with openbb-api and POST to /api/v1/quantitative/<command>.

Coverage

All commands are available under obb.quantitative.*.

Metrics

  • normality — kurtosis, skewness, Jarque-Bera, Shapiro-Wilk, and Kolmogorov-Smirnov (Lilliefors) normality tests
  • capm — Capital Asset Pricing Model risk measures from monthly returns and the Fama-French market factor
  • unitroot_test — Augmented Dickey-Fuller and KPSS unit root tests
  • summary — descriptive summary statistics of a series

Factor analysis

  • factors — multi-period OLS regression of a target series on a factor matrix; returns coefficient, p-value, 95% CI, and R-squared per (period, factor)
  • risk_decomposition — share of Var(target) attributable to each factor plus residual; per-period factor shares sum to R-squared and the residual share to 1 - R-squared
  • attribution — additive decomposition of the period's total target return into factor contributions, alpha, and residual

Rolling

  • rolling.skew — rolling skew over a moving window
  • rolling.variance — rolling variance over a moving window
  • rolling.stdev — rolling standard deviation over a moving window
  • rolling.kurtosis — rolling kurtosis over a moving window
  • rolling.mean — rolling mean over a moving window
  • rolling.quantile — rolling quantile over a moving window
  • rolling.factors — rolling-window factor regression; emits per-factor betas and t-statistics at each window end

Stats

  • stats.skew — skewness of a series
  • stats.variance — variance of a series
  • stats.stdev — standard deviation of a series
  • stats.kurtosis — kurtosis of a series
  • stats.mean — arithmetic mean of a series
  • stats.quantile — quantile of a series

Performance

  • performance.omega_ratio — Omega ratio of a periodic return series across a range of annualized return thresholds
  • performance.sharpe_ratio — rolling annualized Sharpe ratio of a price series
  • performance.sortino_ratio — rolling annualized Sortino ratio of a price series

The performance ratios annualize assuming 252 periods per year.

Charts

The extension also ships chart views, auto-discovered by openbb-charting:

  • factors — coefficient heatmap colored by p-value
  • risk_decomposition — stacked horizontal bars of variance shares per period
  • attribution — stacked horizontal bars of return contributions per period (signs preserved)
  • rolling.factors — stacked area chart of rolling factor exposure over time.

See the full docs here