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Update the quantitative extension to make more sense #6087

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merged 21 commits into from
Feb 21, 2024
Merged

Update the quantitative extension to make more sense #6087

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5e8aa98
Split out a rolling submenu for the rolling functions
jmaslek Feb 16, 2024
5c50e22
Make a performance and a stats submenu.
jmaslek Feb 16, 2024
acaea5e
Test the statistics functions
jmaslek Feb 16, 2024
8377c54
lint
jmaslek Feb 16, 2024
f70875a
lint
jmaslek Feb 16, 2024
d905b9d
Merge branch 'develop' into feature/qa-love
IgorWounds Feb 19, 2024
7b87bf3
Merge branch 'develop' into feature/qa-love
jmaslek Feb 20, 2024
19fcff8
dupe test
jmaslek Feb 20, 2024
9165dd1
pylint
jmaslek Feb 20, 2024
e73eaea
ruff
jmaslek Feb 20, 2024
bf7ae19
Try tests quick
jmaslek Feb 20, 2024
f7814eb
black magic signature funcs
jmaslek Feb 20, 2024
9dc8959
fix my custom tests
jmaslek Feb 20, 2024
1797708
Fix the existing imports/urls
jmaslek Feb 20, 2024
e7bb9eb
push the api update
jmaslek Feb 20, 2024
a2fa336
okay I figured out whats going on
jmaslek Feb 20, 2024
46ab5f4
this should be all of them
jmaslek Feb 20, 2024
faae76d
Merge branch 'develop' into feature/qa-love
deeleeramone Feb 21, 2024
adbdf87
Merge branch 'develop' into feature/qa-love
IgorWounds Feb 21, 2024
f60a849
Merge branch 'develop' into feature/qa-love
jmaslek Feb 21, 2024
fa4cb51
Correct docstringing examples
jmaslek Feb 21, 2024
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212 changes: 200 additions & 12 deletions openbb_platform/extensions/quantitative/integration/test_quantitative_api.py
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Original file line number Diff line number Diff line change
Expand Up @@ -127,12 +127,12 @@ def test_quantitative_capm(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_omega_ratio(params, data_type):
def test_quantitative_performance_omega_ratio(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/omega_ratio?{query_str}"
url = f"http://0.0.0.0:8000/api/v1/quantitative/performance/omega_ratio?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand All @@ -146,12 +146,12 @@ def test_quantitative_omega_ratio(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_kurtosis(params, data_type):
def test_quantitative_rolling_kurtosis(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/kurtosis?{query_str}"
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/kurtosis?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand Down Expand Up @@ -212,12 +212,14 @@ def test_quantitative_unitroot_test(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_sharpe_ratio(params, data_type):
def test_quantitative_performance_sharpe_ratio(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/sharpe_ratio?{query_str}"
url = (
f"http://0.0.0.0:8000/api/v1/quantitative/performance/sharpe_ratio?{query_str}"
)
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand Down Expand Up @@ -251,12 +253,14 @@ def test_quantitative_sharpe_ratio(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_sortino_ratio(params, data_type):
def test_quantitative_performance_sortino_ratio(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/sortino_ratio?{query_str}"
url = (
f"http://0.0.0.0:8000/api/v1/quantitative/performance/sortino_ratio?{query_str}"
)
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand All @@ -269,12 +273,66 @@ def test_quantitative_sortino_ratio(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_skewness(params, data_type):
def test_quantitative_rolling_skew(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/skew?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "window": "220", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_rolling_variance(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/variance?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "window": "220", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_rolling_stdev(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/stdev?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "window": "220", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_rolling_mean(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/skewness?{query_str}"
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/mean?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand Down Expand Up @@ -306,12 +364,12 @@ def test_quantitative_skewness(params, data_type):
],
)
@pytest.mark.integration
def test_quantitative_quantile(params, data_type):
def test_quantitative_rolling_quantile(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/quantile?{query_str}"
url = f"http://0.0.0.0:8000/api/v1/quantitative/rolling/quantile?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
Expand All @@ -334,3 +392,133 @@ def test_quantitative_summary(params, data_type):
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


############
# quantitative/stats
############


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_stats_skew(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/skew?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_stats_kurtosis(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/kurtosis?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_stats_mean(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/mean?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_stats_stdev(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/stdev?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
({"data": "", "target": "close", "index": "date"}, "equity"),
],
)
@pytest.mark.integration
def test_quantitative_stats_variance(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/variance?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=60, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200


@parametrize(
"params, data_type",
[
(
{
"data": "",
"target": "close",
"quantile_pct": "",
"index": "date",
},
"equity",
),
(
{
"data": "",
"target": "high",
"quantile_pct": "0.6",
"index": "date",
},
"crypto",
),
],
)
@pytest.mark.integration
def test_quantitative_stats_quantile(params, data_type):
params = {p: v for p, v in params.items() if v}
data = json.dumps(get_data(data_type))

query_str = get_querystring(params, [])
url = f"http://0.0.0.0:8000/api/v1/quantitative/stats/quantile?{query_str}"
result = requests.post(url, headers=get_headers(), timeout=10, data=data)
assert isinstance(result, requests.Response)
assert result.status_code == 200
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