tensorfi-sharpe 0.1.15

Financial data access and analysis library with market data, options calculations, and database integration

Sharpe - Financial Data & Analysis Library

A Python library for financial data access, market analysis, and options calculations.

Wrappers around Polygon and Financial Modeling Prep.

Features

• Market Data: Stock prices, options data, and historical information
• Alternative Data: News, earnings, and company profiles
• Options Calculations: Black-Scholes pricing and Greeks
• Database Integration: PostgreSQL with async support
• AWS Integration: Cloud data retrieval

Installation

# From source
git clone https://github.com/wang-sanity/sharpe.git
cd sharpe
pip install -e .

# Using conda
conda env create -f environment.yml
conda activate tensorfi-sharpe

Quick Start

from sharpe.data import mkt, alt
from sharpe.utils import options, time, universe

# Get market data using aggregates
data = mkt.aggregates(
    ticker="AAPL",
    multiplier=1,
    timespan="day",
    from="2024-01-01",
    to="2024-01-31"
)

# Get options chain for a ticker
options_data = mkt.options_chain("SPY")

# Work with time utilities
trading_day = time.closest_trading_day_now()
is_trading = time.is_trading_day("2024-01-15")

# Get universe of stocks
top_stocks = universe.get_top_n_traded_stock(n=50)

Package Structure

• sharpe/data/ - Market and alternative data access, database operations
• sharpe/utils/ - Options calculations, time utilities, universe management

Requirements

• Python 3.11+
• Core: pandas, numpy, scipy, sqlalchemy
• Optional: PostgreSQL, AWS credentials

Development

# Setup
conda env create -f environment.yml
conda activate tensorfi-sharpe
pip install -e .[dev]

# Test
pytest

Performance tuning

The data layer uses a pooled HTTP client and optional on-disk cache to reduce duplicated network calls during simulations.

• SHARPE_HTTP_CACHE_ENABLED: set to 0 to disable (default 1)
• SHARPE_HTTP_CACHE_TTL_SECONDS: cache TTL in seconds (default 86400)
• SHARPE_HTTP_CACHE_DIR: directory for cached responses (default ~/.cache/sharpe/http)

These affect sharpe.data.mkt.aggregates and sharpe.data.mkt.option_definition calls extensively used by options utilities.

License

CC BY-NC 4.0 License - see LICENSE file for details.

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Disclaimer: For educational and research purposes only. Consult qualified professionals before making investment decisions.