forex.models: 129 total statements, 95.8% covered

Generated: Mon 2015-06-08 11:27 AST

Source file: /home/kevin/Development/custom apps/valuehorizon-forex/forex/models.py

Stats: 113 executed, 5 missed, 11 excluded, 98 ignored

1. from django.db import models
2. from django.db.models import Manager
3. from django.core.validators import MinValueValidator, ValidationError
5. # Import misc packages
6. import numpy as np
7. from datetime import date, timedelta
8. from decimal import Decimal
9. from pandas import DataFrame, date_range
11. PRICE_PRECISION = 4
12. DATEFRAME_START_DATE = date(2005,1,1)
15. class Currency(models.Model):
16. """
17. Represents a currency according to ISO 4217 standards.
18. """
20. name = models.CharField(max_length=255)
21. symbol = models.CharField(max_length=10, unique=True)
22. ascii_symbol = models.CharField(max_length=20, null=True, blank=True)
23. num_code = models.IntegerField(null=True, blank=True)
24. digits = models.IntegerField(null=True, blank=True) # Digits after decimal (minor unit)
25. description = models.TextField(blank=True)
27. # Cached Data
28. date_modified = models.DateTimeField(null=True, blank=True, editable=False, auto_now=True)
29. date_created = models.DateTimeField(null=True, blank=True, editable=False, auto_now_add=True)
31. class Meta:
32. verbose_name_plural = 'Currencies'
33. verbose_name = 'Currency'
34. ordering = ['name', 'symbol']
36. def __unicode__(self):
37. return u'%s, %s' % (unicode(self.name), unicode(self.symbol))
39. def generate_dataframe(self, start_date=None, end_date=None):
40. """
41. """
42. first_series_point = CurrencyPrice.objects.filter(currency=self)[0]
43. last_series_point = CurrencyPrice.objects.filter(currency=self).reverse()[0]
44. start_date = first_series_point.date if start_date == None else max(first_series_point.date, start_date)
45. temp_start_date = start_date - timedelta(days=3) # Add lag
46. end_date = last_series_point.date if end_date == None else min(last_series_point.date, end_date)
48. currency_date = CurrencyPrice.objects.filter(currency=self, date__gte=temp_start_date, date__lte=end_date).values_list('date', 'ask_price', 'bid_price')
49. currency_data_array = np.core.records.fromrecords(currency_date, names=['DATE', "ASK", "BID"])
50. df = DataFrame.from_records(currency_data_array, index='DATE').astype(float)
51. df['MID'] = (df['ASK'] + df['BID']) / 2.0
52. df['CHANGE'] = df['MID'].pct_change()
54. required_dates = date_range(start_date,end_date)
55. df = df.reindex(required_dates)
56. df = df.fillna(method='ffill')
58. return df
62. class CurrencyPriceManager(Manager):
63. """ Adds some added functionality """
65. def generate_dataframe(self, symbols=None, date_index=None, price_type="mid"):
66. """
67. Generate a dataframe consisting of the currency prices (specified by symbols)
68. from the start to end date
69. """
71. # Set defaults if necessary
72. if symbols == None:
73. symbols = list(Currency.objects.all().values_list('symbol', flat=True))
74. try:
75. start_date = date_index[0]
76. end_date = date_index[-1]
77. except:
78. start_date = DATEFRAME_START_DATE
79. end_date = date.today()
80. date_index = date_range(start_date, end_date)
82. currency_price_data = CurrencyPrice.objects.filter(currency__symbol__in=symbols,
83. date__gte=date_index[0],
84. date__lte=date_index[-1]).values_list('date', 'currency__symbol', 'ask_price', 'bid_price')
85. try:
86. forex_data_array = np.core.records.fromrecords(currency_price_data, names=['date', 'symbol', 'ask_price', 'bid_price'])
87. except IndexError:
88. forex_data_array = np.core.records.fromrecords([(date(1900,1,1) , "", 0, 0)], names=['date', 'symbol', 'ask_price', 'bid_price'])
89. df = DataFrame.from_records(forex_data_array, index='date')
91. df['date'] = df.index
93. if price_type == "mid":
94. df['price'] = (df['ask_price'] + df['bid_price']) / 2
95. elif price_type == "ask_price":
96. df['price'] = df['ask_price']
97. elif price_type == "bid_price":
98. df['price'] = df['bid_price']
99. else:
100. raise ValueError("price_type must be on of 'ask', 'bid' or 'mid'")
102. df = df.pivot(index='date', columns='symbol', values='price')
103. df = df.reindex(date_index)
104. df = df.fillna(method="ffill")
105. unlisted_symbols = list(set(symbols) - set(df.columns))
106. for unlisted_symbol in unlisted_symbols:
107. df[unlisted_symbol] = np.nan
108. df = df[symbols]
110. return df
113. class CurrencyPrice(models.Model):
114. """
115. Represents a currency price to US
116. """
118. currency = models.ForeignKey(Currency)
119. date = models.DateField()
121. # Price Data per $1 of US
122. ask_price = models.DecimalField(max_digits=20, decimal_places=PRICE_PRECISION,
123. validators=[MinValueValidator(Decimal('0.00'))])
124. bid_price = models.DecimalField(max_digits=20, decimal_places=PRICE_PRECISION,
125. validators=[MinValueValidator(Decimal('0.00'))],
126. blank=True, null=True)
128. # Cached Data
129. date_modified = models.DateTimeField(null=True, blank=True, editable=False, auto_now=True)
130. date_created = models.DateTimeField(null=True, blank=True, editable=False, auto_now_add=True)
132. # Add custom managers
133. objects=CurrencyPriceManager()
135. class Meta:
136. verbose_name_plural = 'Currency Prices'
137. verbose_name = 'Currency Price'
138. ordering = ['date', ]
139. unique_together=['date', 'currency']
140. get_latest_by = "date"
142. def __unicode__(self):
143. return u'%s, %s' % (unicode(self.currency),
144. unicode(self.date),)
146. def save(self, *args, **kwargs):
147. """
148. Sanitation checks
149. """
150. if self.ask_price < 0:
151. raise ValidationError("Ask price must be greater than zero")
152. if self.bid_price < 0:
153. raise ValidationError("Bid price must be greater than zero")
154. if self.ask_price < self.bid_price:
155. raise ValidationError("Ask price must be at least Bid price")
157. super(CurrencyPrice, self).save(*args, **kwargs) # Call the "real" save() method.
159. @property
160. def mid_price(self):
161. """
162. Compute the mid point between the bid and ask prices
163. """
164. return (self.ask_price + self.bid_price) / Decimal('2.0')
166. @property
167. def spread(self):
168. """
169. Compute the difference between bid and ask prices
170. """
171. return (self.ask_price - self.bid_price)
173. @property
174. def ask_price_us(self):
175. """
176. Calculate the ask_price in USD. This is the inverse
177. of the ask price.
178. """
179. if self.ask_price != 0:
180. return 1 / Decimal(str(self.ask_price))
181. else:
182. raise ZeroDivisionError('Ask price is zero')
184. @property
185. def bid_price_us(self):
186. """
187. Calculate the bid_price in USD. This is the inverse
188. of the bid price.
189. """
190. if self.bid_price != 0:
191. return 1 / Decimal(str(self.bid_price))
192. else:
193. raise ZeroDivisionError('Bid price is zero')
198. def convert_currency(from_symbol, to_symbol, value, date):
199. """
200. """
201. if from_symbol == to_symbol:
202. return value
205. from_currency = Currency.objects.get(symbol=from_symbol)
206. try:
207. from_currency_price = CurrencyPrice.objects.get(currency=from_currency, date=date).mid_price
208. except CurrencyPrice.DoesNotExist:
209. print "Cannot fetch prices for %s on %s" % (str(from_currency), str(date))
210. return None
212. to_currency = Currency.objects.get(symbol=to_symbol)
213. try:
214. to_currency_price = CurrencyPrice.objects.get(currency=to_currency, date=date).mid_price
215. except CurrencyPrice.DoesNotExist:
216. print "Cannot fetch prices for %s on %s" % (str(to_currency), str(date))
217. return None
219. if type(value) == float:
220. output = (value / float(from_currency_price)) * float(to_currency_price)
221. elif type(value) == Decimal:
222. output = Decimal(format((value / from_currency_price) * to_currency_price, '.%sf' % str(PRICE_PRECISION)))
223. else:
224. output = None
226. return output