73 create builder (#74)

* builder

* notebooks corrected

* remove build_portfolio

* return all timestamps

* notebooks

* return all timestamps

README.md

@@ -15,15 +15,16 @@ This tool shall help to simplify the accounting. It keeps track of the available
 The simulator shall be completely agnostic as to the trading policy/strategy.
 Our approach follows a rather common pattern:
 
-* [Create the portfolio object](#create-the-portfolio-object)
+* [Create the builder object](#create-the-builder-object)
 * [Loop through time](#loop-through-time)
 * [Analyse results](#analyse-results)
 
 We demonstrate those steps with somewhat silly policies. They are never good strategies, but are always valid ones.
 
-### Create the portfolio object
+### Create the builder object
 
-The user defines a portfolio object by loading a frame of prices and initialize the initial amount of cash used in our experiment:
+The user defines a builder object by loading a frame of prices 
+and initialize the initial amount of cash used in our experiment:
 
 ```python
 from pathlib import Path
@@ -32,7 +33,7 @@ import pandas as pd
 from cvx.simulator.portfolio import build_portfolio
 
 prices = pd.read_csv(Path("resources") / "price.csv", index_col=0, parse_dates=True, header=0).ffill()
-portfolio = build_portfolio(prices=prices, initial_cash=1e6)
+b = builder(prices=prices, initial_cash=1e6)
 ```
 
 It is also possible to specify a model for trading costs.
@@ -44,14 +45,14 @@ Let's start with a first strategy. Each day we choose two names from the univers
 Buy one (say 0.1 of your portfolio wealth) and short one the same amount.
 
 ```python
-for before, now, state in portfolio:
+for t, state in b:
     # pick two assets at random
-    pair = np.random.choice(portfolio.assets, 2, replace=False)
+    pair = np.random.choice(b.assets, 2, replace=False)
     # compute the pair
-    stocks = pd.Series(index=portfolio.assets, data=0.0)
+    stocks = pd.Series(index=b.assets, data=0.0)
     stocks[pair] = [state.nav, -state.nav] / state.prices[pair].values
     # update the position 
-    portfolio[now] = 0.1 * stocks
+    b[t[-1]] = 0.1 * stocks
 ```
 
 A lot of magic is hidden in the state variable. 
@@ -60,18 +61,24 @@ The state gives access to the currently available cash, the current prices and t
 Here's a slightly more realistic loop. Given a set of $4$ assets we want to implmenent the popular $1/n$ strategy.
 
 ```python
-for _, now, state in portfolio:
+for t, state in b:
     # each day we invest a quarter of the capital in the assets
-    portfolio[now] = 0.25 * state.nav / state.prices
+    b[t[-1]] = 0.25 * state.nav / state.prices
 ```
 
 Note that we update the position at time `now` using a series of actual stocks rather than weights or cashpositions.
-The portfolio class also exposes setters for such conventions.
+The builder class also exposes setters for such conventions.
 
 ```python
-for _, now, state in portfolio:
+for t, state in b:
     # each day we invest a quarter of the capital in the assets
-    portfolio.set_weights(now, pd.Series(index=portfolio.assets, data = 0.25))
+    b.set_weights(t[-1], pd.Series(index=b.assets, data = 0.25))
+```
+
+Once finished it is possible to build the portfolio object
+
+```python
+portfolio = b.build()
 ```
 
 ### Analyse results

book/docs/notebooks/quantstats.ipynb

@@ -30,10 +30,8 @@
     "\n",
     "import quantstats as qs\n",
     "\n",
-    "from cvx.simulator.portfolio import build_portfolio\n",
-    "from cvx.simulator.metrics import Metrics\n",
-    "\n",
-    "import matplotlib.font_manager"
+    "from cvx.simulator.builder import builder\n",
+    "from cvx.simulator.metrics import Metrics"
    ]
   },
   {
@@ -435,7 +433,7 @@
     }
    ],
    "source": [
-    "prices=pd.read_csv(\"data/stock_prices.csv\", header=0, index_col=0, parse_dates=True) \n",
+    "prices = pd.read_csv(\"data/stock_prices.csv\", header=0, index_col=0, parse_dates=True) \n",
     "prices"
    ]
   },
@@ -460,7 +458,7 @@
    },
    "outputs": [],
    "source": [
-    "portfolio = build_portfolio(prices=prices, initial_cash=capital)"
+    "b = builder(prices=prices, initial_cash=capital)"
    ]
   },
   {
@@ -472,15 +470,27 @@
    },
    "outputs": [],
    "source": [
-    "for before, now, state in portfolio:\n",
+    "for t, state in b:\n",
     "    # each day we invest a quarter of the capital in the assets\n",
-    "    portfolio[now] = 0.05 * state.nav / state.prices"
+    "    b[t[-1]] = (1.0 / len(b.assets)) * state.nav / state.prices"
    ]
   },
   {
    "cell_type": "code",
    "execution_count": 6,
-   "id": "a0ff35b2-2c52-49b9-bf79-0a538bbd9df6",
+   "id": "52a1e0bd-cdd5-40a2-a76f-e61306320288",
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [],
+   "source": [
+    "portfolio= b.build()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 7,
+   "id": "7f1438fe-59da-4ec5-92d5-34c21bce5705",
    "metadata": {
     "tags": []
    },

cvx/simulator/builder.py

@@ -0,0 +1,124 @@
+from dataclasses import dataclass, field
+import pandas as pd
+
+from cvx.simulator.portfolio import EquityPortfolio
+from cvx.simulator.trading_costs import TradingCostModel
+
+
+@dataclass
+class _State:
+    prices: pd.Series = None
+    position: pd.Series = None
+    cash: float = 1e6
+
+    @property
+    def value(self):
+        return (self.prices * self.position).sum()
+
+    @property
+    def nav(self):
+        return self.value + self.cash
+
+    @property
+    def weights(self):
+        return (self.prices * self.position)/self.nav
+
+    @property
+    def leverage(self):
+        return self.weights.abs().sum()
+
+    def update(self, position, model=None, **kwargs):
+        trades = position - self.position
+        self.position = position
+        self.cash -= (trades * self.prices).sum()
+
+        if model is not None:
+            self.cash -= model.eval(self.prices,  trades=trades, **kwargs).sum()
+
+        return self
+
+
+def builder(prices, initial_cash=1e6, trading_cost_model=None):
+    assert isinstance(prices, pd.DataFrame)
+    assert prices.index.is_monotonic_increasing
+    assert prices.index.is_unique
+
+    stocks = pd.DataFrame(index=prices.index, columns=prices.columns, data=0.0, dtype=float)
+
+    trading_cost_model = trading_cost_model
+    return _Builder(stocks=stocks, prices=prices.ffill(), initial_cash=float(initial_cash),
+                    trading_cost_model=trading_cost_model)
+
+
+@dataclass(frozen=True)
+class _Builder:
+    prices: pd.DataFrame
+    stocks: pd.DataFrame
+    trading_cost_model: TradingCostModel
+    initial_cash: float = 1e6
+    _state: _State = field(default_factory=_State)
+
+    def __post_init__(self):
+        self._state.position = self.stocks.loc[self.index[0]]
+        self._state.prices = self.prices.loc[self.index[0]]
+        self._state.cash = self.initial_cash - self._state.value
+
+    @property
+    def index(self):
+        return self.prices.index
+
+    @property
+    def assets(self):
+        return self.prices.columns
+
+    def set_weights(self, time, weights):
+        """
+        Set the position via weights (e.g. fractions of the nav)
+
+        :param time: time
+        :param weights: series of weights
+        """
+        self[time] = (self._state.nav * weights) / self._state.prices
+
+    def set_cashposition(self, time, cashposition):
+        """
+        Set the position via cash positions (e.g. USD invested per asset)
+
+        :param time: time
+        :param cashposition: series of cash positions
+        """
+        self[time] = cashposition / self._state.prices
+
+    def set_position(self, time, position):
+        """
+        Set the position via number of assets (e.g. number of stocks)
+
+        :param time: time
+        :param position: series of number of stocks
+        """
+        self[time] = position
+
+    def __iter__(self):
+        for t in self.index[1:]:
+            # valuation of the current position
+            self._state.prices = self.prices.loc[t]
+
+            # this is probably very slow...
+            # portfolio = EquityPortfolio(prices=self.prices.truncate(after=now), stocks=self.stocks.truncate(after=now), initial_cash=self.initial_cash, trading_cost_model=self.trading_cost_model)
+
+            yield self.index[self.index <= t], self._state
+
+    def __setitem__(self, key, position):
+        assert isinstance(position, pd.Series)
+        assert set(position.index).issubset(set(self.assets))
+
+        self.stocks.loc[key, position.index] = position
+        self._state.update(position, model=self.trading_cost_model)
+
+    def __getitem__(self, item):
+        assert item in self.index
+        return self.stocks.loc[item]
+
+    def build(self):
+        return EquityPortfolio(prices=self.prices, stocks=self.stocks, initial_cash=self.initial_cash, trading_cost_model=self.trading_cost_model)
+