Merge remote-tracking branch 'robcarver17/master' into missing-data-2

Author: todd

Diff for: sysbrokers/IB/client/ib_price_client.py

@@ -24,6 +24,8 @@
 from sysobjects.contracts import futuresContract
 from sysexecution.trade_qty import tradeQuantity
 
+TIMEOUT_SECONDS_ON_HISTORICAL_DATA = 20
+
 
 class tickerWithBS(object):
     def __init__(self, ticker, BorS: str):
@@ -272,6 +274,7 @@ def _ib_get_historical_data_of_duration_and_barSize(
             whatToShow=whatToShow,
             useRTH=True,
             formatDate=2,
+            timeout=TIMEOUT_SECONDS_ON_HISTORICAL_DATA,
         )
         df = util.df(bars)
 

Diff for: sysproduction/data/capital.py

@@ -12,6 +12,8 @@
 
 from sysproduction.data.generic_production_data import productionDataLayerGeneric
 
+from systems.accounts.from_returns import account_curve_from_returns
+
 
 class dataCapital(productionDataLayerGeneric):
     def _add_required_classes_to_data(self, data) -> dataBlob:
@@ -26,7 +28,7 @@ def db_capital_data(self) -> capitalData:
     ## TOTAL CAPITAL...
 
     def get_percentage_returns_as_account_curve(self) -> pd.DataFrame:
-        return self.total_capital_calculator.get_percentage_returns_as_pd()
+        return account_curve_from_returns(self.get_percentage_returns_as_pd())
 
     def get_percentage_returns_as_pd(self) -> pd.DataFrame:
         return self.total_capital_calculator.get_percentage_returns_as_pd()

Diff for: systems/accounts/curves/account_curve_analysis.py

@@ -68,8 +68,8 @@ def _prepare_returns_data_for_t_test(
     return standardised_df_returns
 
 
-def get_system_level_results(system):
-    acc = system.accounts.portfolio().percent
+def standard_statistics(account_curve: accountCurve):
+    acc = account_curve.percent
     costs = acc.costs.ann_mean()
     print("Ann Mean %.1f" % acc.ann_mean())
     print("Gross ann mean %.1f" % acc.gross.ann_mean())

Diff for: systems/accounts/from_returns.py

@@ -0,0 +1,41 @@
+"""
+Functions to do calculations just from percentage returns
+"""
+from typing import Union
+import pandas as pd
+from systems.accounts.curves.account_curve import accountCurve
+
+from syscore.constants import arg_not_supplied
+from systems.accounts.pandl_calculators.pandl_cash_costs import (
+    pandlCalculationWithCashCostsAndFills,
+)
+
+
+def account_curve_from_returns(
+    returns: pd.Series,
+    costs: pd.Series = arg_not_supplied,
+    capital: pd.Series = arg_not_supplied,
+):
+    returns = returns.dropna()
+    if costs is arg_not_supplied:
+        costs = pd.Series(0.0, index=returns.index)
+
+    pandl_calculator = pandlCalculationWithCashCostsAndFillsFromReturns(
+        price=returns.cumsum(),
+        positions=pd.Series(1.0, index=returns.index),
+        capital=capital,
+        raw_costs=costs,  # ignore warning, not used
+        rolls_per_year=0,
+        vol_normalise_currency_costs=False,
+    )
+
+    account_curve = accountCurve(pandl_calculator)
+
+    return account_curve
+
+
+class pandlCalculationWithCashCostsAndFillsFromReturns(
+    pandlCalculationWithCashCostsAndFills
+):
+    def costs_pandl_in_points(self) -> pd.Series:
+        return self._raw_costs  # ignore warning