stock-analysis-engine 1.1.2

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

Analyze information about publicly traded companies from Yahoo and IEX Real-Time Price (supported data includes: news, quotes, dividends, daily, intraday, statistics, financials, earnings, options, and more). Once collected the data is archived in s3 (using minio) and automatically cached in redis. Deploys with Kubernetes or docker compose.

The engine provides an automated, horizontally scalable stock data collection and archive pipeline with a simple extraction interface above a redis datastore.

Once collected and cached, you can quickly extract datasets with:

from analysis_engine.api_requests import get_ds_dict
from analysis_engine.yahoo.extract_df_from_redis import extract_option_calls_dataset
dataset_req = get_ds_dict(ticker='NFLX', label='nflx-test')
extract_status, netflix_call_options_df = extract_option_calls_dataset(dataset_req)
print(netflix_call_options_df)

Please refer to the Stock Analysis Intro Extracting Datasets Jupyter Notebook for the latest usage examples.

Build	Docs

Getting Started

The engine uses Celery workers to process all tasks and is a horizontally scalable worker pool that natively plugs into many transports and backends

If your stack is already running, please refer to the Intro Stock Analysis using Jupyter Notebook for 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 OS X, please make sure to add /data (and /data/sa/notebooks for Jupyter notebooks) 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

Running on Ubuntu and CentOS

1. Install Packages

   Ubuntu

   sudo apt-get install make cmake gcc python3-distutils python3-tk python3 python3-apport python3-certifi python3-dev python3-pip python3-venv python3.6 redis-tools

   CentOS

   sudo yum install build-essential tkinter curl-devel make cmake python-devel python-setuptools python-pip python-virtualenv redis

2. Create and Load Python 3 Virtual Environment

   virtualenv -p python3 /opt/venv
   source /opt/venv/bin/activate
   pip install --upgrade pip setuptools

3. Install Analysis Pip

   pip install -e .

4. Verify Pip installed

   pip list | grep stock-analysis-engine

Running on 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 Packages

   brew install openssl
   brew install pyenv-virtualenv
   brew install redis

3. Create and Load Python 3 Virtual Environment

   python3 -m venv /opt/venv
   source /opt/venv/bin/activate
   pip install --upgrade pip setuptools

4. Install Certs

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

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

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 --upgrade pip setuptools
   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:

Collect all datasets for a Ticker or Symbol

Collect all datasets for the ticker SPY:

run_ticker_analysis.py -t SPY

Note

This requires the following services are listening on:

• redis localhost:6379

• minio localhost:9000

View the Engine Worker Logs

docker logs sa-workers-${USER}

Running Inside Docker Containers

If you are using an engine that is running inside a docker container, then localhost is probably not the correct network hostname for finding redis and minio.

Please set these values as needed to publish and archive the dataset artifacts if you are using the integration or notebook integration docker compose files for deploying the analysis engine stack:

run_ticker_analysis.py -t SPY -a minio-${USER}:9000 -r redis-${USER}:6379

Warning

It is not recommended sharing the same Redis server with multiple engine workers from inside docker containers and outside docker. This is because the REDIS_ADDRESS and S3_ADDRESS can only be one string value at the moment. So if a job is picked up by the wrong engine (which cannot connect to the correct Redis and Minio), then it can lead to data not being cached or archived correctly and show up as connectivity failures.

Detailed Usage Example

The run_ticker_analysis.py script supports many parameters. Here is how to set it up if you have custom redis and minio deployments like on kubernetes as minio-service:9000 and redis-master:6379:

• S3 authentication (-k and -s)

• S3 endpoint (-a)

• Redis endoint (-r)

• Custom S3 Key and Redis Key Name (-n)

run_ticker_analysis.py -t SPY -g all -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

Usage

Please refer to the run_ticker_analysis.py script for the latest supported usage if some of these are out of date:

usage: run_ticker_analysis.py [-h] -t TICKER [-g FETCH_MODE] [-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
-g FETCH_MODE       optional - fetch mode: all = fetch from all data sources
                    (default), yahoo = fetch from just Yahoo sources, iex =
                    fetch from just IEX sources
-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 *
   keys *
   1) "SPY_demo_daily"
   2) "SPY_demo_minute"
   3) "SPY_demo_company"
   4) "integration-test-v1"
   5) "SPY_demo_stats"
   6) "SPY_demo"
   7) "SPY_demo_quote"
   8) "SPY_demo_peers"
   9) "SPY_demo_dividends"
   10) "SPY_demo_news1"
   11) "SPY_demo_news"
   12) "SPY_demo_options"
   13) "SPY_demo_pricing"
   127.0.0.1:6379[4]>

View Archives in S3 - Minio

Here’s a screenshot showing the stock market dataset archives created while running on the 3-node Kubernetes cluster for distributed AI predictions

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
   2018-10-02 22:24:06 company
   2018-10-02 22:24:02 daily
   2018-10-02 22:24:06 dividends
   2018-10-02 22:33:15 integration-tests
   2018-10-02 22:24:03 minute
   2018-10-02 22:24:05 news
   2018-10-02 22:24:04 peers
   2018-10-02 22:24:06 pricing
   2018-10-02 22:24:04 stats
   2018-10-02 22:24:04 quote

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 | grep -i spy_demo
   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"

Jupyter

You can run the Jupyter notebooks by starting the notebook-integration.yml stack with the command:

./compose/start.sh -j

Warning

On Mac OS X, please make sure /data/sa/notebooks is a shared directory on the Docker Preferences -> File Sharing tab and restart the docker daemon.

With the included Jupyter container running, you can access the Stock Analysis Intro notebook at the url (default login password is admin):

http://localhost:8888/notebooks/Stock-Analysis-Intro.ipynb

Distributed Automation with Docker

Note

Automation requires the integration stack running (redis + minio + engine) and docker-compose.

Dataset Collection

Start automated dataset collection with docker compose:

./compose/start.sh -c

Datasets in Redis

After running the dataset collection container, the datasets should be auto-cached in Minio (http://localhost:9000/minio/pricing/) and Redis:

redis-cli
127.0.0.1:6379> select 4
OK
127.0.0.1:6379[4]> keys *
1) "SPY_2018-10-06"
2) "AMZN_2018-10-06_peers"
3) "AMZN_2018-10-06_pricing"
4) "TSLA_2018-10-06_options"
5) "SPY_2018-10-06_dividends"
6) "NFLX_2018-10-06_minute"
7) "TSLA_2018-10-06_news"
8) "SPY_2018-10-06_quote"
9) "AMZN_2018-10-06_company"
10) "TSLA_2018-10-06"
11) "TSLA_2018-10-06_pricing"
12) "SPY_2018-10-06_company"
13) "SPY_2018-10-06_stats"
14) "NFLX_2018-10-06_peers"
15) "NFLX_2018-10-06_quote"
16) "SPY_2018-10-06_news1"
17) "AMZN_2018-10-06_stats"
18) "TSLA_2018-10-06_news1"
19) "AMZN_2018-10-06_news"
20) "TSLA_2018-10-06_company"
21) "AMZN_2018-10-06_minute"
22) "AMZN_2018-10-06_quote"
23) "NFLX_2018-10-06_dividends"
24) "NFLX_2018-10-06_options"
25) "TSLA_2018-10-06_daily"
26) "SPY_2018-10-06_news"
27) "SPY_2018-10-06_options"
28) "NFLX_2018-10-06"
29) "NFLX_2018-10-06_daily"
30) "AMZN_2018-10-06"
31) "AMZN_2018-10-06_options"
32) "NFLX_2018-10-06_pricing"
33) "TSLA_2018-10-06_stats"
34) "TSLA_2018-10-06_minute"
35) "SPY_2018-10-06_peers"
36) "AMZN_2018-10-06_dividends"
37) "TSLA_2018-10-06_dividends"
38) "NFLX_2018-10-06_company"
39) "NFLX_2018-10-06_news"
40) "SPY_2018-10-06_pricing"
41) "SPY_2018-10-06_daily"
42) "TSLA_2018-10-06_quote"
43) "AMZN_2018-10-06_news1"
44) "AMZN_2018-10-06_daily"
45) "TSLA_2018-10-06_peers"
46) "SPY_2018-10-06_minute"
47) "NFLX_2018-10-06_stats"
48) "NFLX_2018-10-06_news1"

Running on Kubernetes

Kubernetes Deployments - Engine

Deploy the engine with:

kubectl apply -f ./k8/engine/deployment.yml

Kubernetes Job - Dataset Collection

Start the dataset collection job with:

kubectl apply -f ./k8/datasets/job.yml

Testing

Note

There is a known pandas issue that logs a warning about _timelex, and it will show as a warning until it is fixed in pandas. Please ignore this warning for now.

DeprecationWarning: _timelex is a private class and may break without warning, it will be moved and or renamed in future versions.

Run all

py.test --maxfail=1

Run a test case

python -m unittest tests.test_publish_pricing_update.TestPublishPricingData.test_success_publish_pricing_data

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

Prepare Dataset

python -m unittest tests.test_prepare_pricing_dataset.TestPreparePricingDataset.test_prepare_pricing_data_success

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 Dataset

python -m unittest tests.test_prepare_pricing_dataset.TestPreparePricingDataset.test_integration_prepare_pricing_dataset

IEX Test - Fetching All Datasets

python -m unittest tests.test_iex_fetch_data

IEX Test - Fetch Daily

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_daily

IEX Test - Fetch Minute

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_minute

IEX Test - Fetch Stats

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_stats

IEX Test - Fetch Peers

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_peers

IEX Test - Fetch News

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_news

IEX Test - Fetch Financials

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_financials

IEX Test - Fetch Earnings

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_earnings

IEX Test - Fetch Dividends

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_dividends

IEX Test - Fetch Company

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_fetch_company

IEX Test - Fetch Financials Helper

python -m unittest tests.test_iex_fetch_data.TestIEXFetchData.test_integration_get_financials_helper

IEX Test - Extract Daily Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_daily_dataset

IEX Test - Extract Minute Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_minute_dataset

IEX Test - Extract Quote Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_quote_dataset

IEX Test - Extract Stats Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_stats_dataset

IEX Test - Extract Peers Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_peers_dataset

IEX Test - Extract News Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_news_dataset

IEX Test - Extract Financials Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_financials_dataset

IEX Test - Extract Earnings Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_earnings_dataset

IEX Test - Extract Dividends Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_dividends_dataset

IEX Test - Extract Company Dataset

python -m unittest tests.test_iex_dataset_extraction.TestIEXDatasetExtraction.test_integration_extract_company_dataset

Yahoo Test - Extract Pricing

python -m unittest tests.test_yahoo_dataset_extraction.TestYahooDatasetExtraction.test_integration_extract_pricing

Yahoo Test - Extract News

python -m unittest tests.test_yahoo_dataset_extraction.TestYahooDatasetExtraction.test_integration_extract_yahoo_news

Yahoo Test - Extract Option Calls

python -m unittest tests.test_yahoo_dataset_extraction.TestYahooDatasetExtraction.test_integration_extract_option_calls

Yahoo Test - Extract Option Puts

python -m unittest tests.test_yahoo_dataset_extraction.TestYahooDatasetExtraction.test_integration_extract_option_puts

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} -g all -e 2018-10-19 -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 and Other Tools

1. Linting

   flake8 .
   pycodestyle .

2. Sphinx Docs

   cd docs
   make html

3. Docker Admin - Pull Latest

   docker pull jayjohnson/stock-analysis-jupyter && docker pull jayjohnson/stock-analysis-engine

Deploy Fork Feature Branch to Running Containers

When developing features that impact multiple containers, you can deploy your own feature branch without redownloading or manually building docker images. With the containers running., you can deploy your own fork’s branch as a new image (which are automatically saved as new docker container images).

Deploy a public or private fork into running containers

./tools/update-stack.sh <git fork https uri> <optional - branch name (master by default)> <optional - fork repo name>

Example:

./tools/update-stack.sh https://github.com/jay-johnson/stock-analysis-engine.git timeseries-charts jay

Restore the containers back to the Master

Restore the container builds back to the master branch from https://github.com/AlgoTraders/stock-analysis-engine with:

./tools/update-stack.sh https://github.com/AlgoTraders/stock-analysis-engine.git master upstream

Deploy Fork Alias

Here’s a bashrc alias for quickly building containers from a fork’s feature branch:

alias bd='pushd /opt/sa >> /dev/null && source /opt/venv/bin/activate && /opt/sa/tools/update-stack.sh https://github.com/jay-johnson/stock-analysis-engine.git timeseries-charts jay && popd >> /dev/null'

License

Apache 2.0 - Please refer to the LICENSE for more details

Terms of Service

Data Attribution

This repository currently uses yahoo and IEX for pricing data. Usage of these feeds require the following agreements in the terms of service.

IEX Real-Time Price

If you redistribute our API data:

• Cite IEX using the following text and link: “Data provided for free by IEX.”

• Provide a link to https://iextrading.com/api-exhibit-a in your terms of service.

• Additionally, if you display our TOPS price data, cite “IEX Real-Time Price” near the price.