stock-analysis-engine 1.7.4

Backtest 1000s of minute-by-minute trading algorithms. Automated pricing data ingestion from: IEX (https://iexcloud.io), Tradier (https://tradier.com) and FinViz. Datasets and trading performance automatically compressed and published to S3 for building AI training datasets for teaching DNNs how to trade. Runs on Kubernetes and docker-compose. >150 million trading history rows generated from +5000 algorithms

=====================

Build and tune investment algorithms for use with `artificial intelligence (deep neural networks) <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Comparing-3-Deep-Neural-Networks-Trained-to-Predict-a-Stocks-Closing-Price-Using-The-Analysis-Engine.ipynb>`__ with a distributed stack for running backtests using live pricing data on publicly traded companies with automated datafeeds from: `IEX Real-Time Price <https://iexcloud.io/>`__, `Tradier <https://tradier.com/>`__ and `FinViz <https://finviz.com>`__ (includes: pricing, options, news, dividends, daily, intraday, screeners, statistics, financials, earnings, and more).

.. image:: https://i.imgur.com/tw2wJ6t.png

Fetch the Latest Pricing Data
=============================

Supported fetch methods for getting pricing data:

- Command line using ``fetch`` command
- Docker-compose using ``./compose/start.sh -c``
- Kubernetes `Fetch from IEX and Tradier job <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/k8/datasets/job.yml>`__ or `Fetch from only Trader job <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/k8/datasets/pull_tradier_per_minute.yml>`__

Fetch using the Command Line
----------------------------

Here is a video showing how to fetch the latest pricing data for a ticker using the command line:

.. image:: https://asciinema.org/a/220460.png
:target: https://asciinema.org/a/220460?autoplay=1
:alt: Fetch Pricing Data using the Command Line

#. Clone to ``/opt/sa``

::

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

#. Create Docker Mounts and Start Redis and Minio

This will pull `Redis <https://hub.docker.com/_/redis>`__ and `Minio <https://hub.docker.com/r/minio/minio>`__ docker images.

::

./compose/start.sh -a

#. Fetch All Pricing Data

#. `Run through the Getting Started section <https://github.com/AlgoTraders/stock-analysis-engine#getting-started>`__

#. Fetch pricing data from `IEX (requires an account) <https://iexcloud.io/cloud-login#/register/>`__ and `Tradier (requires an account) <https://developer.tradier.com/getting_started>`__):

- Set the **IEX_TOKEN** environment variable to fetch from the IEX datafeeds:

::

export IEX_TOKEN=YOUR_IEX_TOKEN

- Set the **TD_TOKEN** environment variable to fetch from the Tradier datafeeds:

::

export TD_TOKEN=YOUR_TRADIER_TOKEN

- Fetch with:

::

fetch -t SPY

- Fetch only from **IEX** with **-g iex**:

::

fetch -t SPY -g iex
# and fetch from just Tradier with:
# fetch -t SPY -g td

.. note:: Yahoo `disabled the YQL finance API so fetching pricing data from yahoo is disabled by default <https://developer.yahoo.com/yql/>`__

#. View the Compressed Pricing Data in Redis

::

redis-cli keys "SPY_*"
redis-cli get "<key like SPY_2019-01-08_minute>"

Run Backtests with the Algorithm Runner API
===========================================

Run a backtest with the latest pricing data:

.. code-block:: python

import analysis_engine.algo_runner as algo_runner
import analysis_engine.plot_trading_history as plot
runner = algo_runner.AlgoRunner('SPY')
# run the algorithm with the latest 200 minutes:
df = runner.latest()
print(df[['minute', 'close']].tail(5))
plot.plot_trading_history(
title=(
f'SPY - ${df["close"].iloc[-1]} at: '
f'{df["minute"].iloc[-1]}'),
df=df)
# start a full backtest with:
# runner.start()

Check out the `backtest_with_runner.py script <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/backtest_with_runner.py>`__ for a command line example of using the `Algorithm Runner API <https://stock-analysis-engine.readthedocs.io/en/latest/algo_runner.html>`__ to run and plot from an `Algorithm backtest config file <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/cfg/default_algo.json>`__.

Backups
=======

Pricing data is automatically compressed in redis and there is an `example Kubernetes job for backing up all stored pricing data to AWS S3 <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/k8/backups/backup-to-aws-job.yml>`__.

Running the Full Stack Locally for Backtesting and Live Trading Analysis
========================================================================

While not required for backtesting, running the full stack is required for running algorithms during a live trading session. Here is a video on how to deploy the full stack locally using docker compose and the commands from the video.

.. image:: https://asciinema.org/a/220487.png
:target: https://asciinema.org/a/220487?autoplay=1
:alt: Running the Full Stack Locally for Backtesting and Live Trading Analysis

#. Start Workers, Backtester, Pricing Data Collection, Jupyter, Redis and Minio

Now start the rest of the stack with the command below. This will pull the `~3.0 GB stock-analysis-engine docker image <https://hub.docker.com/r/jayjohnson/stock-analysis-engine>`__ and start the workers, backtester, dataset collection and `Jupyter image <https://hub.docker.com/r/jayjohnson/stock-analysis-jupyter>`__. It will start `Redis <https://hub.docker.com/_/redis>`__ and `Minio <https://hub.docker.com/r/minio/minio>`__ if they are not running already.

::

./compose/start.sh

.. tip:: Mac OS X users just a note that `there is a known docker compose issue with network_mode: "host" <https://github.com/docker/for-mac/issues/1031>`__ so you may have issues trying to connect to your services.

#. Check the Docker Containers

::

docker ps -a

#. View for dataset collection logs

::

logs-dataset-collection.sh

#. Wait for pricing engine logs to stop with ``ctrl+c``

::

logs-workers.sh

#. Verify Pricing Data is in Redis

::

redis-cli keys "*"

#. Optional - Automating `pricing data collection with the automation-dataset-collection.yml docker compose file <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/automation-dataset-collection.yml>`__:

.. note:: Depending on how fast you want to run intraday algorithms, you can use this docker compose job or the `Kubernetes job <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/k8/datasets/job.yml>`__ or the `Fetch from Only Tradier Kubernetes job <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/k8/datasets/pull_tradier_per_minute.yml>`__ to collect the most recent pricing information

::

./compose/start.sh -c

Run a Custom Minute-by-Minute Intraday Algorithm Backtest and Plot the Trading History
======================================================================================

With pricing data in redis, you can start running backtests a few ways:

- `Comparing 3 Deep Neural Networks Trained to Predict a Stocks Closing Price in a Jupyter Notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Comparing-3-Deep-Neural-Networks-Trained-to-Predict-a-Stocks-Closing-Price-Using-The-Analysis-Engine.ipynb>`__
- `Build, run and tune within a Jupyter Notebook and plot the balance vs the stock's closing price while running <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Run-a-Custom-Trading-Algorithm-Backtest-with-Minute-Timeseries-Pricing-Data.ipynb>`__
- `Analyze and replay algorithm trading histories stored in s3 with this Jupyter Notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Analyze%20Compressed%20Algorithm%20Trading%20Histories%20Stored%20in%20S3.ipynb>`__
- `Run with the command line backtest tool <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/run_backtest_and_plot_history.py>`__
- `Advanced - building a standalone algorithm as a class for running trading analysis <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/mocks/example_algo_minute.py>`__

Running an Algorithm with Live Intraday Pricing Data
====================================================

Here is a video showing how to run it:

.. image:: https://asciinema.org/a/220498.png
:target: https://asciinema.org/a/220498?autoplay=1
:alt: Running an Algorithm with Live Intraday Pricing Data

The `backtest command line tool <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/run_backtest_and_plot_history.py>`__ uses an `algorithm config dictionary <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/tests/algo_configs/test_5_days_ahead.json>`__ to build multiple `Williams %R indicators <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/run_backtest_and_plot_history.py#L49>`__ into an algorithm with a **10,000.00 USD** starting balance. Once configured, the backtest iterates through each trading dataset and evaluates if it should buy or sell based off the pricing data. After it finishes, the tool will display a chart showing the algorithm's **balance** and the stock's **close price** per minute using matplotlib and seaborn.

::

# this can take a few minutes to evaluate
# as more data is collected
# because each day has 390 rows to process
bt -t SPY -f /tmp/history.json

.. note:: The algorithm's **trading history** dataset provides many additional columns to review for tuning indicators and custom buy/sell rules. To reduce the time spent waiting on an algorithm to finish processing, you can save the entire trading history to disk with the ``-f <save_to_file>`` argument.

View the Minute Algorithm's Trading History from a File
=======================================================

Once the **trading history** is saved to disk, you can open it back up and plot other columns within the dataset with:

.. image:: https://i.imgur.com/pH368gy.png

::

# by default the plot shows
# balance vs close per minute
plot-history -f /tmp/history.json

Run a Custom Algorithm and Save the Trading History with just Today's Pricing Data
==================================================================================

Here's how to run an algorithm during a live trading session. This approach assumes another process or cron is ``fetch-ing`` the pricing data using the engine so the algorithm(s) have access to the latest pricing data:

::

bt -t SPY -f /tmp/SPY-history-$(date +"%Y-%m-%d").json -j $(date +"%Y-%m-%d")

.. note:: Using ``-j <DATE>`` will make the algorithm **jump-to-this-date** before starting any trading. This is helpful for debugging indicators, algorithms, datasets issues, and buy/sell rules as well.

Run a Backtest using an External Algorithm Module and Config File
=================================================================

Run an algorithm backtest with a standalone algorithm class contained in a single python module file that can even be outside the repository using a config file on disk:

::

ticker=SPY
config=<CUSTOM_ALGO_CONFIG_DIR>/minute_algo.json
algo_mod=<CUSTOM_ALGO_MODULE_DIR>/minute_algo.py
bt -t ${ticker} -c ${algo_config} -g ${algo_mod}

Or the config can use ``"algo_path": "<PATH_TO_FILE>"`` to set the path to an external algorithm module file.

::

bt -t ${ticker} -c ${algo_config}

.. note:: Using a standalone algorithm class must derive from the ``analysis_engine.algo.BaseAlgo`` class

Building Your Own Trading Algorithms
====================================

Beyond running backtests, the included engine supports running many algorithms and fetching data for both live trading or backtesting all at the same time. As you start to use this approach, you will be generating lots of algorithm pricing datasets, history datasets and coming soon performance datasets for AI training. Because algorithm's utilize the same dataset structure, you can share **ready-to-go** datasets with a team and publish them to S3 for kicking off backtests using lambda functions or just archival for disaster recovery.

.. note:: Backtests can use **ready-to-go** datasets out of S3, redis or a file

The next section looks at how to build an `algorithm-ready datasets from cached pricing data in redis <https://github.com/AlgoTraders/stock-analysis-engine#extract-algorithm-ready-datasets>`__.

Run a Local Backtest and Publish Algorithm Trading History to S3
================================================================

::

ae -t SPY -p s3://algohistory/algo_training_SPY.json

Run distributed across the engine workers with ``-w``

::

ae -w -t SPY -p s3://algohistory/algo_training_SPY.json

Run a Local Backtest using an Algorithm Config and Extract an Algorithm-Ready Dataset
=====================================================================================

Use this command to start a local backtest with the included `algorithm config <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/tests/algo_configs/test_5_days_ahead.json>`__. This backtest will also generate a local algorithm-ready dataset saved to a file once it finishes.

#. Define common values

::

ticker=SPY
algo_config=tests/algo_configs/test_5_days_ahead.json
extract_loc=file:/tmp/algoready-SPY-latest.json
history_loc=file:/tmp/history-SPY-latest.json
load_loc=${extract_loc}

Run Algo with Extraction and History Publishing
-----------------------------------------------

::

run-algo-history-to-file.sh -t ${ticker} -c ${algo_config} -e ${extract_loc} -p ${history_loc}

Run a Local Backtest using an Algorithm Config and an Algorithm-Ready Dataset
=============================================================================

After generating the local algorithm-ready dataset (which can take some time), use this command to run another backtest using the file on disk:

::

dev_history_loc=file:/tmp/dev-history-${ticker}-latest.json
run-algo-history-to-file.sh -t ${ticker} -c ${algo_config} -l ${load_loc} -p ${dev_history_loc}

View Buy and Sell Transactions
------------------------------

::

run-algo-history-to-file.sh -t ${ticker} -c ${algo_config} -l ${load_loc} -p ${dev_history_loc} | grep "TRADE"

Plot Trading History Tools
==========================

Plot Timeseries Trading History with High + Low + Open + Close
--------------------------------------------------------------

::

sa -t SPY -H ${dev_history_loc}

Run and Publish Trading Performance Report for a Custom Algorithm
=================================================================

This will run a backtest over the past 60 days in order and run the `standalone algorithm as a class example <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/mocks/example_algo_minute.py>`__. Once done it will publish the trading performance report to a file or minio (s3).

Write the Trading Performance Report to a Local File
----------------------------------------------------

::

run-algo-report-to-file.sh -t SPY -b 60 -a /opt/sa/analysis_engine/mocks/example_algo_minute.py
# run-algo-report-to-file.sh -t <TICKER> -b <NUM_DAYS_BACK> -a <CUSTOM_ALGO_MODULE>
# run on specific date ranges with:
# -s <start date YYYY-MM-DD> -n <end date YYYY-MM-DD>

Write the Trading Performance Report to Minio (s3)
--------------------------------------------------

::

run-algo-report-to-s3.sh -t SPY -b 60 -a /opt/sa/analysis_engine/mocks/example_algo_minute.py

Run and Publish Trading History for a Custom Algorithm
======================================================

This will run a full backtest across the past 60 days in order and run the `example algorithm <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/mocks/example_algo_minute.py>`__. Once done it will publish the trading history to a file or minio (s3).

Write the Trading History to a Local File
-----------------------------------------

::

run-algo-history-to-file.sh -t SPY -b 60 -a /opt/sa/analysis_engine/mocks/example_algo_minute.py

Write the Trading History to Minio (s3)
---------------------------------------

::

run-algo-history-to-s3.sh -t SPY -b 60 -a /opt/sa/analysis_engine/mocks/example_algo_minute.py

Developing on AWS
=================

If you are comfortable with AWS S3 usage charges, then you can run just with a redis server to develop and tune algorithms. This works for teams and for archiving datasets for disaster recovery.

Environment Variables
---------------------

Export these based off your AWS IAM credentials and S3 endpoint.

::

export AWS_ACCESS_KEY_ID="ACCESS"
export AWS_SECRET_ACCESS_KEY="SECRET"
export S3_ADDRESS=s3.us-east-1.amazonaws.com

Extract and Publish to AWS S3
=============================

::

./tools/backup-datasets-on-s3.sh -t TICKER -q YOUR_BUCKET -k ${S3_ADDRESS} -r localhost:6379

Publish to Custom AWS S3 Bucket and Key
=======================================

::

extract_loc=s3://YOUR_BUCKET/TICKER-latest.json
./tools/backup-datasets-on-s3.sh -t TICKER -e ${extract_loc} -r localhost:6379

Backtest a Custom Algorithm with a Dataset on AWS S3
====================================================

::

backtest_loc=s3://YOUR_BUCKET/TICKER-latest.json
custom_algo_module=/opt/sa/analysis_engine/mocks/example_algo_minute.py
sa -t TICKER -a ${S3_ADDRESS} -r localhost:6379 -b ${backtest_loc} -g ${custom_algo_module}

Fetching New Pricing Tradier Every Minute with Kubernetes
=========================================================

If you want to fetch and append new option pricing data from `Tradier <https://developer.tradier.com/getting_started>`__, you can use the included kubernetes job with a cron to pull new data every minute:

::

kubectl -f apply /opt/sa/k8/datasets/pull_tradier_per_minute.yml

Run a Distributed 60-day Backtest on SPY and Publish the Trading Report, Trading History and Algorithm-Ready Dataset to S3
==========================================================================================================================

Publish backtests and live trading algorithms to the engine's workers for running many algorithms at the same time. Once done, the algorithm will publish results to s3, redis or a local file. By default, the included example below publishes all datasets into minio (s3) where they can be downloaded for offline backtests or restored back into redis.

.. note:: Running distributed algorithmic workloads requires redis, minio, and the engine running

::

num_days_back=60
./tools/run-algo-with-publishing.sh -t SPY -b ${num_days_back} -w

Run a Local 60-day Backtest on SPY and Publish Trading Report, Trading History and Algorithm-Ready Dataset to S3
================================================================================================================

::

num_days_back=60
./tools/run-algo-with-publishing.sh -t SPY -b ${num_days_back}

Or manually with:

::

ticker=SPY
num_days_back=60
use_date=$(date +"%Y-%m-%d")
ds_id=$(uuidgen | sed -e 's/-//g')
ticker_dataset="${ticker}-${use_date}_${ds_id}.json"
echo "creating ${ticker} dataset: ${ticker_dataset}"
extract_loc="s3://algoready/${ticker_dataset}"
history_loc="s3://algohistory/${ticker_dataset}"
report_loc="s3://algoreport/${ticker_dataset}"
backtest_loc="s3://algoready/${ticker_dataset}" # same as the extract_loc
processed_loc="s3://algoprocessed/${ticker_dataset}" # archive it when done
start_date=$(date --date="${num_days_back} day ago" +"%Y-%m-%d")
echo ""
echo "extracting algorithm-ready dataset: ${extract_loc}"
echo "sa -t SPY -e ${extract_loc} -s ${start_date} -n ${use_date}"
sa -t SPY -e ${extract_loc} -s ${start_date} -n ${use_date}
echo ""
echo "running algo with: ${backtest_loc}"
echo "sa -t SPY -p ${history_loc} -o ${report_loc} -b ${backtest_loc} -e ${processed_loc} -s ${start_date} -n ${use_date}"
sa -t SPY -p ${history_loc} -o ${report_loc} -b ${backtest_loc} -e ${processed_loc} -s ${start_date} -n ${use_date}

Jupyter on Kubernetes
=====================

This command runs Jupyter on an `AntiNex Kubernetes cluster <https://deploy-to-kubernetes.readthedocs.io/en/latest/>`__

::

./k8/jupyter/run.sh ceph dev

Kubernetes - Analyze and Tune Algorithms from a Trading History
===============================================================

With the Analysis Engine's Jupyter instance deployed you can tune algorithms from a trading history using this notebook:

https://aejupyter.example.com/notebooks/Analyze%20Compressed%20Algorithm%20Trading%20Histories%20Stored%20in%20S3.ipynb

Kubernetes Job - Export SPY Datasets and Publish to Minio
=========================================================

Manually run with an ``ssh-eng`` alias:

::

function ssheng() {
pod_name=$(kubectl get po | grep ae-engine | grep Running |tail -1 | awk '{print $1}')
echo "logging into ${pod_name}"
kubectl exec -it ${pod_name} bash
}
ssheng
# once inside the container on kubernetes
source /opt/venv/bin/activate
sa -a minio-service:9000 -r redis-master:6379 -e s3://backups/SPY-$(date +"%Y-%m-%d") -t SPY

View Algorithm-Ready Datasets
-----------------------------

With the AWS cli configured you can view available algorithm-ready datasets in your minio (s3) bucket with the command:

::

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

View Trading History Datasets
-----------------------------

With the AWS cli configured you can view available trading history datasets in your minio (s3) bucket with the command:

::

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

View Trading History Datasets
-----------------------------

With the AWS cli configured you can view available trading performance report datasets in your minio (s3) bucket with the command:

::

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

Advanced - Running Algorithm Backtests Offline
==============================================

With `extracted Algorithm-Ready datasets in minio (s3), redis or a file <https://github.com/AlgoTraders/stock-analysis-engine#extract-algorithm-ready-datasets>`__ you can develop and tune your own algorithms offline without having redis, minio, the analysis engine, or jupyter running locally.

Run a Offline Custom Algorithm Backtest with an Algorithm-Ready File
--------------------------------------------------------------------

::

# extract with:
sa -t SPY -e file:/tmp/SPY-latest.json
sa -t SPY -b file:/tmp/SPY-latest.json -g /opt/sa/analysis_engine/mocks/example_algo_minute.py

Run the Intraday Minute-by-Minute Algorithm and Publish the Algorithm-Ready Dataset to S3
-----------------------------------------------------------------------------------------

Run the `included standalone algorithm <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/mocks/example_algo_minute.py>`__ with the latest pricing datasets use:

::

sa -t SPY -g /opt/sa/analysis_engine/mocks/example_algo_minute.py -e s3://algoready/SPY-$(date +"%Y-%m-%d").json

And to debug an algorithm's historical trading performance add the ``-d`` debug flag:

::

sa -d -t SPY -g /opt/sa/analysis_engine/mocks/example_algo_minute.py -e s3://algoready/SPY-$(date +"%Y-%m-%d").json

Extract Algorithm-Ready Datasets
================================

With pricing data cached in redis, you can extract algorithm-ready datasets and save them to a local file for offline historical backtesting analysis. This also serves as a local backup where all cached data for a single ticker is in a single local file.

Extract an Algorithm-Ready Dataset from Redis and Save it to a File
-------------------------------------------------------------------

::

sa -t SPY -e ~/SPY-latest.json

Create a Daily Backup
---------------------

::

sa -t SPY -e ~/SPY-$(date +"%Y-%m-%d").json

Validate the Daily Backup by Examining the Dataset File
-------------------------------------------------------

::

sa -t SPY -l ~/SPY-$(date +"%Y-%m-%d").json

Validate the Daily Backup by Examining the Dataset File
-------------------------------------------------------

::

sa -t SPY -l ~/SPY-$(date +"%Y-%m-%d").json

Restore Backup to Redis
-----------------------

Use this command to cache missing pricing datasets so algorithms have the correct data ready-to-go before making buy and sell predictions.

.. note:: By default, this command will not overwrite existing datasets in redis. It was built as a tool for merging redis pricing datasets after a VM restarted and pricing data was missing from the past few days (gaps in pricing data is bad for algorithms).

::

sa -t SPY -L ~/SPY-$(date +"%Y-%m-%d").json

Fetch
-----

With redis and minio running (``./compose/start.sh``), you can fetch, cache, archive and return all of the newest datasets for tickers:

.. code-block:: python

from analysis_engine.fetch import fetch
d = fetch(ticker='SPY')
for k in d['SPY']:
print('dataset key: {}\nvalue {}\n'.format(k, d['SPY'][k]))

Extract
-------

Once collected and cached, you can extract datasets:

.. code-block:: python

from analysis_engine.extract import extract
d = extract(ticker='SPY')
for k in d['SPY']:
print('dataset key: {}\nvalue {}\n'.format(k, d['SPY'][k]))

Please refer to the `Stock Analysis Intro Extracting Datasets Jupyter Notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Stock-Analysis-Intro-Extracting-Datasets.ipynb>`__ for the latest usage examples.

.. list-table::
:header-rows: 1

* - `Build <https://travis-ci.org/AlgoTraders/stock-analysis-engine>`__
* - .. image:: https://api.travis-ci.org/AlgoTraders/stock-analysis-engine.svg
:alt: Travis Tests
:target: https://travis-ci.org/AlgoTraders/stock-analysis-engine

Getting Started
===============

This section outlines how to get the Stock Analysis stack running locally with:

- Redis
- Minio (S3)
- Stock Analysis engine
- Jupyter

For background, the stack provides a data pipeline that automatically archives pricing data in `minio (s3) <https://minio.io>`__ and caches pricing data in redis. Once cached or archived, custom algorithms can use the pricing information to determine buy or sell conditions and track internal trading performance across historical backtests.

From a technical perspective, the engine uses `Celery workers to process heavyweight, asynchronous tasks <http://www.celeryproject.org/>`__ and scales horizontally `with support for many transports and backends depending on where you need to run it <https://github.com/celery/celery#transports-and-backends>`__. The stack deploys with `Kubernetes <https://github.com/AlgoTraders/stock-analysis-engine#running-on-kubernetes>`__ or docker compose and `supports publishing trading alerts to Slack <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Stock-Analysis-Intro-Publishing-to-Slack.ipynb>`__.

With the stack already running, please refer to the `Intro Stock Analysis using Jupyter Notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Stock-Analysis-Intro.ipynb>`__ for more getting started examples.

Setting up Your Tradier Account with Docker Compose
===================================================

Please set your Tradier account token in the docker environment files before starting the stack:

::

grep -r SETYOURTRADIERTOKENHERE compose/*
compose/envs/backtester.env:TD_TOKEN=SETYOURTRADIERTOKENHERE
compose/envs/workers.env:TD_TOKEN=SETYOURTRADIERTOKENHER

Please export the variable for developing locally:

::

export TD_TOKEN=<TRADIER_ACCOUNT_TOKEN>

.. note:: Please restart the stack with ``./compose/stop.sh`` then ``./compose/start.sh`` after setting the Tradier token environment variable

#. Start Redis and Minio

.. note:: The Redis and Minio container are set up to save data to ``/data`` so 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

Here is the command to manully creaate the shared volume directories:

::

sudo mkdir -p -m 777 /data/redis/data /data/minio/data /data/sa/notebooks/dev /data/registry/auth /data/registry/data

::

./compose/start.sh

#. Verify Redis and Minio are Running

::

docker ps | grep -E "redis|minio"

Running on Ubuntu and CentOS
============================

#. 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 virtualenv libcurl4-openssl-dev libssl-dev

CentOS 7

::

sudo yum install cmake gcc gcc-c++ make tkinter curl-devel make cmake python-devel python-setuptools python-pip python-virtualenv redis python36u-libs python36u-devel python36u-pip python36u-tkinter python36u-setuptools python36u openssl-devel

#. Install TA-Lib

Follow the `TA-Lib install guide <https://mrjbq7.github.io/ta-lib/install.html>`__ or use the included install tool as root:

::

sudo su
/opt/sa/tools/linux-install-talib.sh
exit

#. Create and Load Python 3 Virtual Environment

::

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

#. Install Analysis Pip

::

pip install -e .


#. Verify Pip installed

::

pip list | grep stock-analysis-engine

Running on Mac OS X
===================

#. 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/

#. Install Packages

::

brew install openssl pyenv-virtualenv redis freetype pkg-config gcc ta-lib

.. note:: Mac OS X users just a note ``keras``, ``tensorflow`` and ``h5py`` installs have not been debugged yet. Please let us know if you have issues setting up your environment. We likely have not hit the issue yet.

#. Create and Load Python 3 Virtual Environment

::

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

#. Install Certs

After hitting ssl verify errors, I found `this stack overflow <https://stackoverflow.com/questions/42098126/mac-osx-python-ssl-sslerror-ssl-certificate-verify-failed-certificate-verify>`__ which shows there's an additional step for setting up python 3.6:

::

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

#. 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

#. Install Analysis Pip

::

pip install --upgrade pip setuptools
pip install -e .

#. 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

Fetch New Stock Datasets
========================

Run the ticker analysis using the `./analysis_engine/scripts/fetch_new_stock_datasets.py <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/fetch_new_stock_datasets.py>`__:

Collect all datasets for a Ticker or Symbol
-------------------------------------------

Collect all datasets for the ticker **SPY**:

::

fetch -t SPY

.. note:: This requires the following services are listening on:

- redis ``localhost:6379``
- minio ``localhost:9000``

View the Engine Worker Logs
---------------------------

::

docker logs ae-workers

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 <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/integration.yml>`__ or `notebook integration <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/notebook-integration.yml>`__ docker compose files for deploying the analysis engine stack:

::

fetch -t SPY -a 0.0.0.0:9000 -r 0.0.0.0:6379

.. 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 `fetch_new_stock_datasets.py script <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/fetch_new_stock_datasets.py>`__ 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 <https://github.com/AlgoTraders/stock-analysis-engine/blob/7323ad4007b44eaa511d448c8eb500cec9fe3848/k8/engine/deployment.yml#L80-L81>`__ and `redis-master:6379 <https://github.com/AlgoTraders/stock-analysis-engine/blob/7323ad4007b44eaa511d448c8eb500cec9fe3848/k8/engine/deployment.yml#L88-L89>`__:

- S3 authentication (``-k`` and ``-s``)
- S3 endpoint (``-a``)
- Redis endoint (``-r``)
- Custom S3 Key and Redis Key Name (``-n``)

::

fetch -t SPY -g all -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 0 -n SPY_demo -P 1 -N 1 -O 1 -U 1 -R 1

Usage
-----

Please refer to the `fetch_new_stock_datasets.py script <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/fetch_new_stock_datasets.py>`__ for the latest supported usage if some of these are out of date:

::

fetch -h
2018-11-17 16:20:41,524 - fetch - INFO - start - fetch_new_stock_datasets
usage: fetch [-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]
[-A ANALYSIS_TYPE] [-L URLS] [-Z] [-d]

Download and store the latest stock pricing, news, and options chain data and
store it in Minio (S3) and Redis. Also includes support for getting FinViz
screener tickers

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), td = fetch from just Tradier 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 (0 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
-A ANALYSIS_TYPE optional - run an analysis supported modes: scn
-L URLS optional - screener urls to pull tickers for analysis
-Z disable run without an engine for local testing and
demos
-d debug

Run FinViz Screener-driven Analysis
===================================

This is a work in progress, but the screener-driven workflow is:

#. Convert FinViz screeners into a list of tickers
and a ``pandas.DataFrames`` from each ticker's html row
#. Build unique list of tickers
#. Pull datasets for each ticker
#. Run sale-side processing - coming soon
#. Run buy-side processing - coming soon
#. Issue alerts to slack - coming soon

Here is how to run an analysis on all unique tickers found in two FinViz screener urls:

https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o6,idx_sp500&ft=4
and
https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o8,idx_sp500&ft=4

::

fetch -A scn -L 'https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o6,idx_sp500&ft=4|https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o8,idx_sp500&ft=4'

Run Publish from an Existing S3 Key to Redis
============================================

#. Upload Integration Test Key to S3

::

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

#. Confirm the Integration Test Key is in S3

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

#. Run an analysis with an existing S3 key using `./analysis_engine/scripts/publish_from_s3_to_redis.py <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/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 0 -n integration-test-v1

#. Confirm the Key is now in Redis

::

./tools/redis-cli.sh
127.0.0.1:6379> 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>

Run Aggregate and then Publish data for a Ticker from S3 to Redis
=================================================================

#. Run an analysis with an existing S3 key using `./analysis_engine/scripts/publish_ticker_aggregate_from_s3.py <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/analysis_engine/scripts/publish_ticker_aggregate_from_s3.py>`__

::

publish_ticker_aggregate_from_s3.py -t SPY -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 0 -u pricing -c compileddatasets

#. Confirm the aggregated Ticker is now in Redis

::

./tools/redis-cli.sh
127.0.0.1:6379> keys *latest*
1) "SPY_latest"
127.0.0.1:6379>

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 <https://github.com/jay-johnson/deploy-to-kubernetes#deploying-a-distributed-ai-stack-to-kubernetes-on-centos>`__

.. image:: https://i.imgur.com/wDyPKAp.png

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

#. Export Credentials

::

export AWS_SECRET_ACCESS_KEY=trex123321
export AWS_ACCESS_KEY_ID=trexaccesskey

#. 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

#. List Pricing Bucket Contents

::

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

#. 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
====================

::

./tools/redis-cli.sh
127.0.0.1:6379> keys *
1) "SPY_demo"

Jupyter
=======

You can run the Jupyter notebooks by starting the `notebook-integration.yml stack <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/notebook-integration.yml>`__ with the command:

.. warning:: On Mac OS X, Jupyter does not work with the Analysis Engine at the moment. PR's are welcomed, but we have not figured out how to share the notebooks and access redis and minio with the `known docker compose issue with network_host on Mac OS X <https://github.com/docker/for-mac/issues/1031>`__

For Linux users, the Jupyter container hosts the `Stock Analysis Intro notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Stock-Analysis-Intro.ipynb>`__ at the url (default login password is ``admin``):

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

Jupyter Presentations with RISE
===============================

The docker container comes with `RISE installed <https://github.com/damianavila/RISE>`__ for running notebook presentations from a browser. Here's the button on the notebook for starting the web presentation:

.. image:: https://i.imgur.com/IDMW2Oc.png

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:

::

./tools/redis-cli.sh
127.0.0.1:6379> keys *

Publishing to Slack
===================

Please refer to the `Publish Stock Alerts to Slack Jupyter Notebook <https://github.com/AlgoTraders/stock-analysis-engine/blob/master/compose/docker/notebooks/Stock-Analysis-Intro-Publishing-to-Slack.ipynb>`__ for the latest usage examples.

Publish FinViz Screener Tickers to Slack
----------------------------------------

Here is sample code for trying out the Slack integration.

.. code-block:: python

import analysis_engine.finviz.fetch_api as fv
from analysis_engine.send_to_slack import post_df
# simple NYSE Dow Jones Index Financials with a P/E above 5 screener url
url = 'https://finviz.com/screener.ashx?v=111&f=exch_nyse,fa_pe_o5,idx_dji,sec_financial&ft=4'
res = fv.fetch_tickers_from_screener(url=url)
df = res['rec']['data']

# please make sure the SLACK_WEBHOOK environment variable is set correctly:
post_df(
df=df[SLACK_FINVIZ_COLUMNS],
columns=SLACK_FINVIZ_COLUMNS)

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

Kubernetes Deployments - Jupyter
--------------------------------

Deploy Jupyter to a Kubernetes cluster with:

::

./k8/jupyter/run.sh

Kubernetes with a Private Docker Registry
=========================================

You can deploy a private docker registry that can be used to pull images from outside a kubernetes cluster with the following steps:

#. Deploy Docker Registry

::

./compose/start.sh -r

#. Configure Kubernetes hosts and other docker daemons for insecure registries

::

cat /etc/docker/daemon.json
{
"insecure-registries": [
"<public ip address/fqdn for host running the registry container>:5000"
]
}

#. Restart all Docker daemons

::

sudo systemctl restart docker

#. Login to Docker Registry from all Kubernetes hosts and other daemons that need access to the registry

.. note:: Change the default registry password by either changing the ``./compose/start.sh`` file that uses ``trex`` and ``123321`` as the credentials or you can edit the volume mounted file ``/data/registry/auth/htpasswd``. Here is how to find the registry's default login set up:

::

grep docker compose/start.sh | grep htpass

::

docker login <public ip address/fqdn for host running the registry container>:5000

#. Setup Kubernetes Secrets for All Credentials

Set each of the fields according to your own buckets, docker registry and Tradier account token:

::

cat /opt/sa/k8/secrets/secrets.yml | grep SETYOUR
aws_access_key_id: SETYOURENCODEDAWSACCESSKEYID
aws_secret_access_key: SETYOURENCODEDAWSSECRETACCESSKEY
.dockerconfigjson: SETYOURDOCKERCREDS
td_token: SETYOURTDTOKEN

#. Deploy Kubernetes Secrets

::

kubectl apply -f /opt/sa/k8/secrets/secrets.yml

#. Confirm Kubernetes Secrets are Deployed

::

kubectl get secrets ae.docker.creds
NAME TYPE DATA AGE
ae.docker.creds kubernetes.io/dockerconfigjson 1 4d1h

::

kubectl get secrets | grep "ae\."
ae.docker.creds kubernetes.io/dockerconfigjson 1 4d1h
ae.k8.aws.s3 Opaque 3 4d1h
ae.k8.minio.s3 Opaque 3 4d1h
ae.k8.tradier Opaque 4 4d1h

#. Configure Kubernetes Deployments for using an External Private Docker Registry

Add these lines to a Kubernetes deployment yaml file based off your set up:

::

imagePullSecrets:
- name: ae.docker.creds
containers:
- image: <public ip address/fqdn for host running the registry container>:5000/my-own-stock-ae:latest
imagePullPolicy: Always

.. tip:: After spending a sad amount of time debugging, please make sure to delete pods before applying new ones that are pulling docker images from an external registry. After running the ``kubectl delete pod <name>``, you can apply/create the pod to get the latest image running.

Testing
=======

To show debug, trace logging please export ``SHARED_LOG_CFG`` to a debug logger json file. To turn on debugging for this library, you can export this variable to the repo's included file with the command:

::

export SHARED_LOG_CFG=/opt/sa/analysis_engine/log/debug-logging.json

.. note:: There is a known `pandas issue that logs a warning about _timelex <https://github.com/pandas-dev/pandas/issues/18141>`__, 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

Test Algo Saving All Input Datasets to File
-------------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_algo_can_save_all_input_datasets_to_file

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

Verify Containers are running:

::

docker ps | grep -E "stock-analysis|redis|minio"

Stop End-to-End Stack:

::

./compose/stop.sh
./compose/stop.sh -s

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

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

FinViz Test - Fetch Tickers from Screener URL
---------------------------------------------

::

python -m unittest tests.test_finviz_fetch_api.TestFinVizFetchAPI.test_integration_test_fetch_tickers_from_screener

or with code:

.. code-block:: python

import analysis_engine.finviz.fetch_api as fv
url = 'https://finviz.com/screener.ashx?v=111&f=exch_nyse&ft=4&r=41'
res = fv.fetch_tickers_from_screener(url=url)
print(res)

Algorithm Testing
=================

Algorithm Test - Input Dataset Publishing to Redis
--------------------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_publish_input_dataset_to_redis

Algorithm Test - Input Dataset Publishing to File
-------------------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_publish_input_dataset_to_file

Algorithm Test - Load Dataset From a File
-----------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_load_from_file

Algorithm Test - Publish Algorithm-Ready Dataset to S3 and Load from S3
-----------------------------------------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_publish_input_s3_and_load

Algorithm Test - Publish Algorithm-Ready Dataset to S3 and Load from S3
-----------------------------------------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_publish_input_redis_and_load

Algorithm Test - Extract Algorithm-Ready Dataset from Redis DB 0 and Load into Redis DB 1
-----------------------------------------------------------------------------------------

Copying datasets between redis databases is part of the integration tests. Run it with:

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_integration_algo_restore_ready_back_to_redis

Algorithm Test - Test the Docs Example
--------------------------------------

::

python -m unittest tests.test_base_algo.TestBaseAlgo.test_sample_algo_code_in_docstring

Prepare a Dataset
=================

::

ticker=SPY
sa -t ${ticker} -f -o ${ticker}_latest_v1 -j prepared -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 0 -n ${ticker}_demo

Debugging
=========

Test Algos
----------

The fastest way to run algos is to specify a 1-day range:

::

sa -t SPY -s $(date +"%Y-%m-%d) -n $(date +"%Y-%m-%d")

Test Tasks
----------

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 0 -n integration-test-v1
sa -t ${ticker} -f -o ${ticker}_latest_v1 -j prepared -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 0 -n ${ticker}_demo
fetch -t ${ticker} -g all -e 2018-10-19 -u pricing -k trexaccesskey -s trex123321 -a localhost:9000 -r localhost:6379 -m 0 -n ${ticker}_demo -P 1 -N 1 -O 1 -U 1 -R 1
fetch -A scn -L 'https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o6,idx_sp500&ft=4|https://finviz.com/screener.ashx?v=111&f=cap_midunder,exch_nyse,fa_div_o8,idx_sp500&ft=4'

Linting and Other Tools
-----------------------

#. Linting

::

flake8 .
pycodestyle .

#. Sphinx Docs

::

cd docs
make html

#. Docker Admin - Pull Latest

::

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

#. Back up Docker Redis Database

::

/opt/sa/tools/backup-redis.sh

View local redis backups with:

::

ls -hlrt /opt/sa/tests/datasets/redis/redis-0-backup-*.rdb

#. Export the Kubernetes Redis Cluster's Database to the Local Redis Container

#. stop the redis docker container:

::

./compose/stop.sh

#. Archive the previous redis database

::

cp /data/redis/data/dump.rdb /data/redis/data/archive.rdb

#. Save the Redis database in the Cluster

::

kubectl exec -it redis-master-0 redis-cli save

#. Export the saved redis database file inside the pod to the default docker redis container's local file

::

kubectl cp redis-master-0:/bitnami/redis/data/dump.rdb /data/redis/data/dump.rdb

#. Restart the stack

.. note:: Redis takes a few seconds to load all the data into memory so this can take a few seconds

::

./compose/start.sh

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'

Debug Fetching IEX Data
-----------------------

::

ticker="SPY"
use_date=$(date +"%Y-%m-%d")
source /opt/venv/bin/activate
exp_date=$(/opt/sa/analysis_engine/scripts/print_next_expiration_date.py)
fetch -t ${ticker} -g iex -n ${ticker}_${use_date} -e ${exp_date} -Z

Failed Fetching Tradier Data
----------------------------

Please export a valid ``TD_TOKEN`` in your ``compose/envs/*.env`` docker compose files if you see the following errors trying to pull pricing data from Tradier:

::

2019-01-09 00:16:47,148 - analysis_engine.td.fetch_api - INFO - failed to get put with response=<Response [401]> code=401 text=Invalid Access Token
2019-01-09 00:16:47,151 - analysis_engine.td.get_data - CRITICAL - ticker=TSLA-tdputs - ticker=TSLA field=10001 failed fetch_data with ex='date'
2019-01-09 00:16:47,151 - analysis_engine.work_tasks.get_new_pricing_data - CRITICAL - ticker=TSLA failed TD ticker=TSLA field=tdputs status=ERR err=ticker=TSLA-tdputs - ticker=TSLA field=10001 failed fetch_data with ex='date'

License
=======

Apache 2.0 - Please refer to the LICENSE_ for more details

.. _License: https://github.com/AlgoTraders/stock-analysis-engine/blob/master/LICENSE

FAQ
===

Can I live trade with my algorithms?
------------------------------------

Not yet. Please reach out for help on how to do this or if you have a platform you like.

Can I publish algorithm trade notifications?
--------------------------------------------

Right now algorithms only support publishing to a private Slack channel for sharing with a group when an algorithm finds a buy/sell trade to execute. Reach out if you have a custom chat client app or service you think should be supported.

Terms of Service
================

Data Attribution
================

This repository currently uses `Tradier <https://tradier.com/>`__ and `IEX <https://iextrading.com/developer/docs/>`__ 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:

- you must provide a link to `IEX's Terms of Use <https://iextrading.com/api-exhibit-a>`__ or otherwise obtain consent from such person to the terms of use substantially in the form of the above;
- you must cite IEX as the source in accordance with the instructions available on https://iextrading.com/developer/docs/#attribution;
- additionally, if you display our TOPS price data, cite "`IEX Real-Time Price <https://iextrading.com/developer>`__" near the price.

Adding Celery Tasks
===================

If you want to add a new Celery task add the file path to WORKER_TASKS at these locations:

- compose/envs/local.env
- compose/envs/.env
- analysis_engine/work_tasks/consts.py