stock-analysis-engine 1.0.9

Stock Analysis Engine - Use this to get pricing data for tickers (news, quotes and options right now) and archive it in s3 (using minio) and cache it in redis. Analysis tasks coming soon!

Stock Analysis Engine

Use this to get pricing data for tickers (news, quotes and options right now) and archive it in s3 (using minio) and cache it in redis.

It uses Celery workers to process all tasks and is a horizontally scalable worker pool that works with many transports and backends

Build	Docs

Getting Started

1. Clone

   git clone https://github.com/AlgoTraders/stock-analysis-engine.git /opt/sa
   cd /opt/sa

2. Start Redis and Minio

   Note

   The Minio container is set up to save data to /data so S3 files can survive a restart/reboot. On Mac, please make sure to add /data on the Docker Preferences -> File Sharing tab and let the docker daemon restart before trying to start the containers. If not, you will likely see errors like:

   ERROR: for minio  Cannot start service minio:
   b'Mounts denied: \r\nThe path /data/minio/data\r\nis not shared from OS X

   ./compose/start.sh

3. Verify Redis and Minio are Running

   docker ps
   CONTAINER ID        IMAGE                COMMAND                  CREATED             STATUS                   PORTS                    NAMES
   c2d46e73c355        minio/minio          "/usr/bin/docker-ent…"   4 hours ago         Up 4 hours (healthy)                              minio
   b32838e43edb        redis:4.0.9-alpine   "docker-entrypoint.s…"   4 days ago          Up 4 hours               0.0.0.0:6379->6379/tcp   redis

Ubuntu and CentOS

virtualenv -p python3 /opt/venv && source /opt/venv/bin/activate && pip install -e .

Mac OS X

1. Download Python 3.6

   Note

   Python 3.7 is not supported by celery so please ensure it is python 3.6

   https://www.python.org/downloads/mac-osx/

2. Install Certs

   After hitting ssl verify errors, I found this stack overflow which shows there’s an additional step for setitng up python 3.6:

   /Applications/Python\ 3.6/Install\ Certificates.command ; exit;

3. Install Packages

   brew install openssl
   brew install pyenv-virtualenv

4. Create and Load Virtual Environment

   virtualenv -p python3 /opt/venv
   source /opt/venv/bin/activate

5. Install PyCurl with OpenSSL

   PYCURL_SSL_LIBRARY=openssl LDFLAGS="-L/usr/local/opt/openssl/lib" CPPFLAGS="-I/usr/local/opt/openssl/include" pip install --no-cache-dir pycurl

6. Install Analysis Pip

   pip install -e .

7. Verify Pip installed

   pip list | grep stock-analysis-engine

Start Workers

./start-workers.sh

Get and Publish Pricing data

Please refer to the lastest API docs in the repo:

https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/api_requests.py

Run Ticker Analysis

Run the ticker analysis using the ./analysis_engine/scripts/run_ticker_analysis.py:

run_ticker_analysis.py -t SPY -e 2018-09-21 -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n SPY_demo -P 1 -N 1 -O 1 -U 1 -R 1

run_ticker_analysis.py -h
usage: run_ticker_analysis.py [-h] -t TICKER [-i TICKER_ID] [-e EXP_DATE_STR]
                            [-l LOG_CONFIG_PATH] [-b BROKER_URL]
                            [-B BACKEND_URL] [-k S3_ACCESS_KEY]
                            [-s S3_SECRET_KEY] [-a S3_ADDRESS]
                            [-S S3_SECURE] [-u S3_BUCKET_NAME]
                            [-g S3_REGION_NAME] [-p REDIS_PASSWORD]
                            [-r REDIS_ADDRESS] [-n KEYNAME] [-m REDIS_DB]
                            [-x REDIS_EXPIRE] [-z STRIKE] [-c CONTRACT_TYPE]
                            [-P GET_PRICING] [-N GET_NEWS] [-O GET_OPTIONS]
                            [-U S3_ENABLED] [-R REDIS_ENABLED] [-d]

Download and store the latest stock pricing, news, and options chain data and
store it in S3 and Redis. Once stored, this will also start the buy and sell
trading analysis.

optional arguments:
-h, --help          show this help message and exit
-t TICKER           ticker
-i TICKER_ID        optional - ticker id not used without a database
-e EXP_DATE_STR     optional - options expiration date
-l LOG_CONFIG_PATH  optional - path to the log config file
-b BROKER_URL       optional - broker url for Celery
-B BACKEND_URL      optional - backend url for Celery
-k S3_ACCESS_KEY    optional - s3 access key
-s S3_SECRET_KEY    optional - s3 secret key
-a S3_ADDRESS       optional - s3 address format: <host:port>
-S S3_SECURE        optional - s3 ssl or not
-u S3_BUCKET_NAME   optional - s3 bucket name
-g S3_REGION_NAME   optional - s3 region name
-p REDIS_PASSWORD   optional - redis_password
-r REDIS_ADDRESS    optional - redis_address format: <host:port>
-n KEYNAME          optional - redis and s3 key name
-m REDIS_DB         optional - redis database number (4 by default)
-x REDIS_EXPIRE     optional - redis expiration in seconds
-z STRIKE           optional - strike price
-c CONTRACT_TYPE    optional - contract type "C" for calls "P" for puts
-P GET_PRICING      optional - get pricing data if "1" or "0" disabled
-N GET_NEWS         optional - get news data if "1" or "0" disabled
-O GET_OPTIONS      optional - get options data if "1" or "0" disabled
-U S3_ENABLED       optional - s3 enabled for publishing if "1" or "0" is
                    disabled
-R REDIS_ENABLED    optional - redis enabled for publishing if "1" or "0" is
                    disabled
-d                  debug

Run Publish from an Existing S3 Key to Redis

1. Upload Integration Test Key to S3

   export INT_TESTS=1
   python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_integration_s3_upload

2. Confirm the Integration Test Key is in S3

   http://localhost:9000/minio/integration-tests/

3. Run an analysis with an existing S3 key using ./analysis_engine/scripts/publish_from_s3_to_redis.py

   publish_from_s3_to_redis.py -t SPY -u integration-tests -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n integration-test-v1

4. Confirm the Key is now in Redis

   redis-cli
   127.0.0.1:6379> select 4
   OK
   127.0.0.1:6379[4]> keys *
   1) "integration-test-v1"
   127.0.0.1:6379[4]>

View Archives in S3 - Minio

http://localhost:9000/minio/pricing/

Login

• username: trexaccesskey

• password: trex123321

Using the AWS CLI to List the Pricing Bucket

Please refer to the official steps for using the awscli pip with minio:

https://docs.minio.io/docs/aws-cli-with-minio.html

1. Export Credentials

   export AWS_SECRET_ACCESS_KEY=trex123321
   export AWS_ACCESS_KEY_ID=trexaccesskey

2. List Buckets

   aws --endpoint-url http://localhost:9000 s3 ls
   2018-09-16 07:23:31 integration-tests
   2018-09-16 07:22:31 pricing

3. List Pricing Bucket Contents

   aws --endpoint-url http://localhost:9000 s3 ls s3://pricing

4. Get the Latest SPY Pricing Key

   aws --endpoint-url http://localhost:9000 s3 ls s3://pricing | tail -1 | awk '{print $NF}' | grep -i spy
   SPY_demo

View Caches in Redis

redis-cli
127.0.0.1:6379> select 4
OK
127.0.0.1:6379[4]> keys *
1) "SPY_demo"

Testing

Run all

py.test --maxfail=1

Run a test case

python -m unittest tests.test_update_prices.TestUpdatePrices.test_success_update_prices

Test Publishing

S3 Upload

python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_success_s3_upload

Publish from S3 to Redis

python -m unittest tests.test_publish_from_s3_to_redis.TestPublishFromS3ToRedis.test_success_publish_from_s3_to_redis

Redis Cache Set

python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_success_redis_set

End-to-End Integration Testing

Start all the containers for full end-to-end integration testing with real docker containers with the script:

./compose/start.sh -a
-------------
starting end-to-end integration stack: redis, minio, workers and jupyter
Creating network "compose_default" with the default driver
Creating redis ... done
Creating minio ... done
Creating sa-jupyter ... done
Creating sa-workers ... done
started end-to-end integration stack: redis, minio, workers and jupyter

Verify Containers are running:

docker ps
CONTAINER ID        IMAGE                                     COMMAND                  CREATED             STATUS                    PORTS                    NAMES
f1b81a91c215        jayjohnson/stock-analysis-engine:latest   "/opt/antinex/core/d…"   35 seconds ago      Up 34 seconds                                      sa-jupyter
183b01928d1f        jayjohnson/stock-analysis-engine:latest   "/bin/sh -c 'cd /opt…"   35 seconds ago      Up 34 seconds                                      sa-workers
11d46bf1f0f7        minio/minio:latest                        "/usr/bin/docker-ent…"   36 seconds ago      Up 35 seconds (healthy)                            minio
9669494b49a2        redis:4.0.9-alpine                        "docker-entrypoint.s…"   36 seconds ago      Up 35 seconds             0.0.0.0:6379->6379/tcp   redis

Stop End-to-End Stack:

./compose/stop.sh -a
-------------
stopping integration stack: redis, minio, workers and jupyter
Stopping sa-jupyter ... done
Stopping sa-workers ... done
Stopping minio      ... done
Stopping redis      ... done
Removing sa-jupyter ... done
Removing sa-workers ... done
Removing minio      ... done
Removing redis      ... done
Removing network compose_default
stopped end-to-end integration stack: redis, minio, workers and jupyter

Integration UnitTests

Note

please start redis and minio before running these tests.

Please enable integration tests

export INT_TESTS=1

Redis

python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_integration_redis_set

S3 Upload

python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_integration_s3_upload

Publish from S3 to Redis

python -m unittest tests.test_publish_from_s3_to_redis.TestPublishFromS3ToRedis.test_integration_publish_from_s3_to_redis

Prepare a Dataset

ticker=SPY
sa.py -t ${ticker} -f -o ${ticker}_latest_v1 -j prepared -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n ${ticker}_demo

Debugging

Most of the scripts support running without Celery workers. To run without workers in a synchronous mode use the command:

export CELERY_DISABLED=1

ticker=SPY
publish_from_s3_to_redis.py -t ${ticker} -u integration-tests -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n integration-test-v1
sa.py -t ${ticker} -f -o ${ticker}_latest_v1 -j prepared -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n ${ticker}_demo
run_ticker_analysis.py -t ${ticker} -e 2018-09-21 -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 4 -n ${ticker}_demo -P 1 -N 1 -O 1 -U 1 -R 1

Linting

flake8 .

pycodestyle .

License

Apache 2.0 - Please refer to the LICENSE for more details