dxlib 0.3.1

Quantitative Methods for Finance

Quantitative Analysis library

This library contains basic methods, interfaces, and integration calls for statistical tools, as well as data gathering functions.

Installation

Use the package manager pip to install dxlib.

pip install dxlib

Quickstart

Research Module

from dxlib import finite_differences

import numpy as np
import matplotlib.pyplot as plt

x = np.arange(-3, 3, 0.1)
y = np.tanh(x)

dy = finite_differences(x, y)
plt.plot(x, dy)
plt.show()

Simulation Module

[Note: The Simulation Module's example needs to be provided]

Trading Module

from dxlib.models import trading

features, labels = trading.prepare_data(data)
train, test = trading.train_test_split(features, labels, 0.5)
clf = trading.train_model(train["x"], train["y"])
y_pred = trading.predict_model(clf, features)
pred_changes, returns = trading.simulate_trade_allocation(y_pred, basis)
print(f"Predicted changes: {pred_changes}, \nReturns: {returns}")

Sample Output:

Predicted changes: [0.01, -0.02, 0.03, ...]
Returns: 0.07

API Module

from dxlib.api import AlphaVantageAPI as av

print("Realtime exchange rates from the last 5 minutes:")

alpha_vantage = av("<api_key>")
for i in range(5):
  currencies_to_query = ['JPY', 'EUR', 'GBP', 'CAD', 'AUD']
  exchange_rates_df = alpha_vantage.fetch_currency_exchange_rates(currencies_to_query)
  print(exchange_rates_df)
  time.sleep(60)

Sample Output:

Realtime exchange rates from the last 5 minutes:
   JPY     EUR     GBP     CAD     AUD
0  103.76  0.83   0.72   1.27   1.32
1  103.76  0.83   0.72   1.27   1.32
2  103.75  0.83   0.72   1.27   1.32
3  103.76  0.83   0.72   1.27   1.32
4  103.77  0.83   0.72   1.27   1.32

Data Module

...

Note: In the finite differences method, the numerical values for the differentiation at the point x are returned, and a visual graph of the finite differences can be plotted using matplotlib. For the API module, replace "<api_key>" with your AlphaVantage API key. The module will fetch real-time exchange rates for the past five minutes for the specified currencies.

Contribution

Contributions are welcome! If you're interested in contributing, feel free to fork the repository and submit a pull request. Please make sure to test the changes thoroughly. We're looking forward to your enhancements!