blacked codebase see #484

examples/introduction/asimpletradingrule.py

@@ -1,4 +1,5 @@
 import matplotlib
+
 matplotlib.use("TkAgg")
 """
 
@@ -104,8 +105,8 @@ def calc_ewmac_forecast(price, Lfast, Lslow=None):
 
 from systems.accounts.account_forecast import pandl_for_instrument_forecast
 
-account = pandl_for_instrument_forecast(forecast=ewmac, price = price)
-account2 = pandl_for_instrument_forecast(forecast=ewmac, price = price)
+account = pandl_for_instrument_forecast(forecast=ewmac, price=price)
+account2 = pandl_for_instrument_forecast(forecast=ewmac, price=price)
 
 account.curve()
 

examples/introduction/simplesystem.py

@@ -54,12 +54,7 @@
 """
 
 ewmac_8 = TradingRule((ewmac, [], dict(Lfast=8, Lslow=32)))
-ewmac_32 = TradingRule(
-    dict(
-        function=ewmac,
-        other_args=dict(
-            Lfast=32,
-            Lslow=128)))
+ewmac_32 = TradingRule(dict(function=ewmac, other_args=dict(Lfast=32, Lslow=128)))
 my_rules = Rules(dict(ewmac8=ewmac_8, ewmac32=ewmac_32))
 print(my_rules.trading_rules()["ewmac32"])
 
@@ -85,20 +80,14 @@
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
 my_config.forecast_scalar_estimate["pool_instruments"] = False
-print(
-    my_system.forecastScaleCap.get_forecast_scalar(
-        "EDOLLAR",
-        "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32").tail(5))
 
 # or we can use the values from the book
 my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
 my_config.use_forecast_scale_estimates = False
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
-print(
-    my_system.forecastScaleCap.get_capped_forecast(
-        "EDOLLAR",
-        "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
 """
 combine some rules
 """
@@ -126,7 +115,9 @@
 my_config.use_forecast_weight_estimates = True
 my_config.use_forecast_div_mult_estimates = True
 
-my_system = System([my_account, fcs, my_rules, combiner, raw_data, position_size], data, my_config)
+my_system = System(
+    [my_account, fcs, my_rules, combiner, raw_data, position_size], data, my_config
+)
 
 # this is a bit slow, better to know what's going on
 my_system.set_logging_level("on")
@@ -170,11 +161,12 @@
 
 my_config.use_instrument_weight_estimates = True
 my_config.use_instrument_div_mult_estimates = True
-my_config.instrument_weight_estimate = dict(
-    method="shrinkage", date_method="in_sample")
+my_config.instrument_weight_estimate = dict(method="shrinkage", date_method="in_sample")
 
 my_system = System(
-    [my_account, fcs, my_rules, combiner, possizer, portfolio, raw_data], data, my_config
+    [my_account, fcs, my_rules, combiner, possizer, portfolio, raw_data],
+    data,
+    my_config,
 )
 
 my_system.set_logging_level("on")
@@ -189,16 +181,19 @@
 my_config.instrument_weights = dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2)
 my_config.instrument_div_multiplier = 1.5
 
-my_system = System([fcs, my_rules, combiner, possizer,
-                    portfolio, raw_data], data, my_config)
+my_system = System(
+    [fcs, my_rules, combiner, possizer, portfolio, raw_data], data, my_config
+)
 
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 """
 Have we made some dosh?
 """
 
 my_system = System(
-    [fcs, my_rules, combiner, possizer, portfolio, my_account, raw_data], data, my_config
+    [fcs, my_rules, combiner, possizer, portfolio, my_account, raw_data],
+    data,
+    my_config,
 )
 profits = my_system.accounts.portfolio()
 print(profits.percent.stats())
@@ -231,7 +226,7 @@
         ForecastCombine(),
         ForecastScaleCap(),
         Rules(),
-        RawData()
+        RawData(),
     ],
     data,
     my_config,
@@ -250,17 +245,14 @@
         ForecastCombine(),
         ForecastScaleCap(),
         Rules(),
-        RawData()
+        RawData(),
     ],
     data,
     my_config,
 )
 print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
 print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
-print(
-    my_system.forecastScaleCap.get_capped_forecast(
-        "EDOLLAR",
-        "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
 print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
 print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
 print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))

examples/production/example_of_custom_run_system.py

@@ -1,10 +1,11 @@
-
 from syscore.objects import arg_not_supplied
 
 from sysdata.data_blob import dataBlob
 
 from sysproduction.data.sim_data import get_sim_data_object_for_production
-from sysproduction.strategy_code.run_dynamic_optimised_system import runSystemCarryTrendDynamic
+from sysproduction.strategy_code.run_dynamic_optimised_system import (
+    runSystemCarryTrendDynamic,
+)
 
 from syslogdiag.log_to_screen import logtoscreen
 
@@ -15,9 +16,9 @@ class runMySystemCarryTrendDynamic(runSystemCarryTrendDynamic):
 
     # DO NOT CHANGE THE NAME OF THIS FUNCTION; IT IS HARDCODED INTO CONFIGURATION FILES
     # BECAUSE IT IS ALSO USED TO LOAD BACKTESTS
-    def system_method(self,
-                      notional_trading_capital: float=None,
-                      base_currency: str=None) -> System:
+    def system_method(
+        self, notional_trading_capital: float = None, base_currency: str = None
+    ) -> System:
         data = self.data
         backtest_config_filename = self.backtest_config_filename
 
@@ -36,8 +37,8 @@ def production_carry_trend_dynamic_system(
     data: dataBlob,
     config_filename: str,
     log=logtoscreen("futures_system"),
-    notional_trading_capital: float=arg_not_supplied,
-    base_currency: str=arg_not_supplied,
+    notional_trading_capital: float = arg_not_supplied,
+    base_currency: str = arg_not_supplied,
 ) -> System:
 
     log_level = "on"
@@ -59,6 +60,7 @@ def production_carry_trend_dynamic_system(
 
     return system
 
+
 from sysdata.config.configdata import Config
 
 from systems.forecasting import Rules
@@ -68,10 +70,17 @@ def production_carry_trend_dynamic_system(
 from private.systems.carrytrend.rawdata import myFuturesRawData
 from systems.positionsizing import PositionSizing
 from systems.portfolio import Portfolios
-from systems.provided.dynamic_small_system_optimise.portfolio_weights_stage import portfolioWeightsStage
-from systems.provided.dynamic_small_system_optimise.optimised_positions_stage import optimisedPositions
+from systems.provided.dynamic_small_system_optimise.portfolio_weights_stage import (
+    portfolioWeightsStage,
+)
+from systems.provided.dynamic_small_system_optimise.optimised_positions_stage import (
+    optimisedPositions,
+)
 from systems.provided.dynamic_small_system_optimise.risk import Risk
-from systems.provided.dynamic_small_system_optimise.accounts_stage import accountForOptimisedStage
+from systems.provided.dynamic_small_system_optimise.accounts_stage import (
+    accountForOptimisedStage,
+)
+
 
 def futures_system(data, config):
 
@@ -87,14 +96,10 @@ def futures_system(data, config):
             ForecastCombine(),
             volAttenForecastScaleCap(),
             Rules(),
-
         ],
         data,
         config,
     )
     system.set_logging_level("on")
 
     return system
-
-
-

setup.py

@@ -10,7 +10,10 @@
     sys.exit(1)
 
 if StrictVersion(platform.python_version()) >= StrictVersion("3.9.0"):
-    print("pysystemtrade requires Python 3.8.* or earlier (pandas issue). Exiting.", file=sys.stderr)
+    print(
+        "pysystemtrade requires Python 3.8.* or earlier (pandas issue). Exiting.",
+        file=sys.stderr,
+    )
     sys.exit(1)
 
 
@@ -75,7 +78,8 @@ def dir_this_file():
     author="Robert Carver",
     description=(
         "Python framework for running systems as in Robert Carver's book Systematic Trading"
-        " (https://www.systematicmoney.org/systematic-trading)"),
+        " (https://www.systematicmoney.org/systematic-trading)"
+    ),
     license="GNU GPL v3",
     keywords="systematic trading interactive brokers",
     url="https://qoppac.blogspot.com/p/pysystemtrade.html",
@@ -95,11 +99,9 @@ def dir_this_file():
         "pytest>6.2",
         "Flask>=2.0.1",
         "Werkzeug>=2.0.1",
-        "statsmodels==0.12.2"
+        "statsmodels==0.12.2",
     ],
-    tests_require=[
-        "nose",
-        "flake8"],
+    tests_require=["nose", "flake8"],
     extras_require=dict(),
     test_suite="nose.collector",
     include_package_data=True,

sysbrokers/IB/client/ib_accounting_client.py

@@ -1,25 +1,28 @@
 import datetime
 
-from sysbrokers.IB.client.ib_client import ibClient, STALE_SECONDS_ALLOWED_ACCOUNT_SUMMARY
+from sysbrokers.IB.client.ib_client import (
+    ibClient,
+    STALE_SECONDS_ALLOWED_ACCOUNT_SUMMARY,
+)
 
 from syscore.objects import arg_not_supplied
 
 from sysobjects.spot_fx_prices import currencyValue, listOfCurrencyValues
 
-class ibAccountingClient(ibClient):
 
+class ibAccountingClient(ibClient):
     def broker_get_account_value_across_currency(
-        self,
-            account_id: str = arg_not_supplied
+        self, account_id: str = arg_not_supplied
     ) -> listOfCurrencyValues:
 
         list_of_currencies = self._get_list_of_currencies_for_liquidation_values()
         list_of_values_per_currency = list(
             [
                 currencyValue(
                     currency,
-                    self._get_liquidation_value_for_currency_across_accounts(currency,
-                                                                             account_id = account_id),
+                    self._get_liquidation_value_for_currency_across_accounts(
+                        currency, account_id=account_id
+                    ),
                 )
                 for currency in list_of_currencies
             ]
@@ -29,9 +32,9 @@ def broker_get_account_value_across_currency(
 
         return list_of_values_per_currency
 
-    def _get_liquidation_value_for_currency_across_accounts(self,
-                                                            currency: str,
-                                                            account_id:str = arg_not_supplied) -> float:
+    def _get_liquidation_value_for_currency_across_accounts(
+        self, currency: str, account_id: str = arg_not_supplied
+    ) -> float:
         liquidiation_values_across_accounts_dict = (
             self._get_net_liquidation_value_across_accounts()
         )
@@ -65,7 +68,10 @@ def _get_net_liquidation_value_across_accounts(self) -> dict:
         accounts = account_summary_dict.keys()
         liquidiation_values_across_accounts_dict = dict(
             [
-                (account_id, self._get_liquidation_values_for_single_account(account_id))
+                (
+                    account_id,
+                    self._get_liquidation_values_for_single_account(account_id),
+                )
                 for account_id in accounts
             ]
         )
@@ -77,7 +83,6 @@ def _get_liquidation_values_for_single_account(self, account_id: str) -> dict:
         account_summary_dict = self._ib_get_account_summary()
         return account_summary_dict[account_id]["NetLiquidation"]
 
-
     def _ib_get_account_summary(self) -> dict:
         data_stale = self._is_ib_account_summary_cache_stale()
         if data_stale:
@@ -99,13 +104,15 @@ def _is_ib_account_summary_cache_stale(self) -> bool:
             return False
 
     def _get_elapsed_seconds_since_last_cache_update(self) -> float:
-        account_summary_data_update = getattr(self, "_account_summary_data_update", None)
+        account_summary_data_update = getattr(
+            self, "_account_summary_data_update", None
+        )
         if account_summary_data_update is None:
             # force an update
-            return STALE_SECONDS_ALLOWED_ACCOUNT_SUMMARY*9999
+            return STALE_SECONDS_ALLOWED_ACCOUNT_SUMMARY * 9999
 
         elapsed_seconds = (
-                datetime.datetime.now() - account_summary_data_update
+            datetime.datetime.now() - account_summary_data_update
         ).total_seconds()
 
         return elapsed_seconds
@@ -115,7 +122,6 @@ def _ib_update_account_summary_cache(self):
         self._record_cache_update()
         self._account_summary_data = account_summary_dict
 
-
     def _record_cache_update(self):
         self._account_summary_data_update = datetime.datetime.now()
 
@@ -124,15 +130,13 @@ def _ib_get_account_summary_from_broker(self) -> dict:
         account_summary_rawdata = self.ib.accountSummary()
 
         # Weird format let's clean it up
-        account_summary_dict = clean_up_account_summary(
-            account_summary_rawdata)
+        account_summary_dict = clean_up_account_summary(account_summary_rawdata)
 
         return account_summary_dict
 
 
 def clean_up_account_summary(account_summary_rawdata: list) -> dict:
-    list_of_accounts = _unique_list_from_total(
-        account_summary_rawdata, "account")
+    list_of_accounts = _unique_list_from_total(account_summary_rawdata, "account")
     list_of_tags = _unique_list_from_total(account_summary_rawdata, "tag")
 
     account_summary_dict = {}
@@ -154,8 +158,8 @@ def clean_up_account_summary(account_summary_rawdata: list) -> dict:
 
 
 def _unique_list_from_total(account_summary_data: list, tag_name: str):
-    list_of_items = [getattr(account_value, tag_name)
-                     for account_value in account_summary_data]
+    list_of_items = [
+        getattr(account_value, tag_name) for account_value in account_summary_data
+    ]
     list_of_items = list(set(list_of_items))
     return list_of_items
-