updated

appveyor.yml

@@ -53,7 +53,7 @@ for:
     - mypy --ignore-missing-imports pyqstrat/
     - flake8 --ignore W291,W293,W503,E402,E701,E275,E741 --max-line-length=160 pyqstrat/
     # run notebooks and exit on first error
-    - find pyqstrat/notebooks -name '*.ipynb' | xargs -n1 sh -c 'ipython $0 || exit 255'
+    - find pyqstrat/notebooks -name '*.ipynb' | xargs -n1 sh -c 'ipython --no-automagic $0 || exit 255'
 
 -
   matrix:

docs/_modules/pyqstrat/evaluator.html

@@ -701,7 +701,7 @@ <h1>Source code for pyqstrat.evaluator</h1><div class="highlight"><pre>
 
 <div class="viewcode-block" id="plot_return_metrics">
 <a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.evaluator.plot_return_metrics">[docs]</a>
-<span class="k">def</span> <span class="nf">plot_return_metrics</span><span class="p">(</span><span class="n">metrics</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">],</span> <span class="n">title</span><span class="o">=</span><span class="s1">&#39;&#39;</span><span class="p">,</span> <span class="n">height</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span> <span class="n">width</span><span class="o">=</span><span class="mi">0</span><span class="p">,</span> <span class="n">show_points</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">show</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="n">go</span><span class="o">.</span><span class="n">Figure</span><span class="p">:</span>
+<span class="k">def</span> <span class="nf">plot_return_metrics</span><span class="p">(</span><span class="n">metrics</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">],</span> <span class="n">title</span><span class="o">=</span><span class="s1">&#39;&#39;</span><span class="p">,</span> <span class="n">height</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span> <span class="n">width</span><span class="o">=</span><span class="mi">0</span><span class="p">,</span> <span class="n">show_points</span><span class="o">=</span><span class="kc">False</span><span class="p">,</span> <span class="n">show</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="n">go</span><span class="o">.</span><span class="n">Figure</span><span class="p">:</span>
 <span class="w">    </span><span class="sd">&#39;&#39;&#39;</span>
 <span class="sd">    Plot equity, rolling drawdowns and and a boxplot of annual returns given the output of compute_return_metrics.</span>
 <span class="sd">    </span>
@@ -758,6 +758,8 @@ <h1>Source code for pyqstrat.evaluator</h1><div class="highlight"><pre>
     <span class="n">fig</span><span class="o">.</span><span class="n">add_trace</span><span class="p">(</span><span class="n">go</span><span class="o">.</span><span class="n">Box</span><span class="p">(</span><span class="n">x</span><span class="o">=</span><span class="n">all_rets</span><span class="p">,</span> <span class="n">boxmean</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">marker_color</span><span class="o">=</span><span class="s1">&#39;blue&#39;</span><span class="p">,</span> <span class="n">line_color</span><span class="o">=</span><span class="s1">&#39;blue&#39;</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">&#39;All&#39;</span><span class="p">),</span> <span class="n">row</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">col</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
     <span class="k">if</span> <span class="n">show_points</span><span class="p">:</span>
         <span class="n">fig</span><span class="o">.</span><span class="n">update_traces</span><span class="p">(</span><span class="n">boxpoints</span><span class="o">=</span><span class="s1">&#39;all&#39;</span><span class="p">,</span> <span class="n">jitter</span><span class="o">=</span><span class="mf">0.1</span><span class="p">,</span> <span class="n">row</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">col</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
+    <span class="k">else</span><span class="p">:</span>
+        <span class="n">fig</span><span class="o">.</span><span class="n">update_traces</span><span class="p">(</span><span class="n">boxpoints</span><span class="o">=</span><span class="kc">False</span><span class="p">,</span> <span class="n">row</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">col</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
 
     <span class="n">fig</span><span class="o">.</span><span class="n">update_yaxes</span><span class="p">(</span><span class="n">title_text</span><span class="o">=</span><span class="s2">&quot;Equity&quot;</span><span class="p">,</span> <span class="nb">type</span><span class="o">=</span><span class="s2">&quot;log&quot;</span><span class="p">,</span> <span class="n">row</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">col</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
     <span class="n">fig</span><span class="o">.</span><span class="n">update_yaxes</span><span class="p">(</span><span class="n">title_text</span><span class="o">=</span><span class="s2">&quot;Drawdown&quot;</span><span class="p">,</span> <span class="n">row</span><span class="o">=</span><span class="mi">2</span><span class="p">,</span> <span class="n">col</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
@@ -780,8 +782,9 @@ <h1>Source code for pyqstrat.evaluator</h1><div class="highlight"><pre>
 
     <span class="n">ev</span> <span class="o">=</span> <span class="n">compute_return_metrics</span><span class="p">(</span><span class="n">timestamps</span><span class="p">,</span> <span class="n">rets</span><span class="p">,</span> <span class="n">starting_equity</span><span class="p">)</span>
     <span class="n">display_return_metrics</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metrics</span><span class="p">())</span>
-    <span class="n">plot_return_metrics</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metrics</span><span class="p">())</span>
-
+    <span class="n">plot_return_metrics</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metrics</span><span class="p">(),</span> <span class="n">show_points</span><span class="o">=</span><span class="kc">False</span><span class="p">)</span>
+    <span class="n">plot_return_metrics</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metrics</span><span class="p">(),</span> <span class="n">show_points</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
+
     <span class="n">assert_</span><span class="p">(</span><span class="nb">round</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metric</span><span class="p">(</span><span class="s1">&#39;sharpe&#39;</span><span class="p">),</span> <span class="mi">6</span><span class="p">)</span> <span class="o">==</span> <span class="mf">2.932954</span><span class="p">)</span>
     <span class="n">assert_</span><span class="p">(</span><span class="nb">round</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metric</span><span class="p">(</span><span class="s1">&#39;sortino&#39;</span><span class="p">),</span> <span class="mi">6</span><span class="p">)</span> <span class="o">==</span> <span class="mf">5.690878</span><span class="p">)</span>
     <span class="n">assert_</span><span class="p">(</span><span class="n">ev</span><span class="o">.</span><span class="n">metric</span><span class="p">(</span><span class="s1">&#39;annual_returns&#39;</span><span class="p">)[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="p">[</span><span class="mi">2018</span><span class="p">])</span>

docs/_modules/pyqstrat/pq_types.html

@@ -77,6 +77,13 @@ <h1>Source code for pyqstrat.pq_types</h1><div class="highlight"><pre>
         <span class="k">return</span> <span class="n">ContractGroup</span><span class="o">.</span><span class="n">_instances</span><span class="p">[</span><span class="n">name</span><span class="p">]</span></div>
 
 
+<div class="viewcode-block" id="ContractGroup.get_default">
+<a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.ContractGroup.get_default">[docs]</a>
+    <span class="nd">@staticmethod</span>
+    <span class="k">def</span> <span class="nf">get_default</span><span class="p">()</span> <span class="o">-&gt;</span> <span class="n">ContractGroup</span><span class="p">:</span>
+        <span class="k">return</span> <span class="n">DEFAULT_CG</span></div>
+
+
 <div class="viewcode-block" id="ContractGroup.exists">
 <a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.ContractGroup.exists">[docs]</a>
     <span class="nd">@staticmethod</span>
@@ -107,8 +114,14 @@ <h1>Source code for pyqstrat.pq_types</h1><div class="highlight"><pre>
 <a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.ContractGroup.clear_cache">[docs]</a>
     <span class="nd">@staticmethod</span>
     <span class="k">def</span> <span class="nf">clear_cache</span><span class="p">()</span> <span class="o">-&gt;</span> <span class="kc">None</span><span class="p">:</span>
-        <span class="n">ContractGroup</span><span class="o">.</span><span class="n">contracts</span> <span class="o">=</span> <span class="p">{}</span>
-        <span class="n">ContractGroup</span><span class="o">.</span><span class="n">contracts</span> <span class="o">=</span> <span class="p">{}</span></div>
+        <span class="n">ContractGroup</span><span class="o">.</span><span class="n">_instances</span> <span class="o">=</span> <span class="p">{}</span></div>
+
+
+<div class="viewcode-block" id="ContractGroup.clear">
+<a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.ContractGroup.clear">[docs]</a>
+    <span class="k">def</span> <span class="nf">clear</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="kc">None</span><span class="p">:</span>
+<span class="w">        </span><span class="sd">&#39;&#39;&#39;Remove all contracts&#39;&#39;&#39;</span>
+        <span class="bp">self</span><span class="o">.</span><span class="n">contracts</span><span class="o">.</span><span class="n">clear</span><span class="p">()</span></div>
 
 
     <span class="k">def</span> <span class="fm">__repr__</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="nb">str</span><span class="p">:</span>
@@ -198,6 +211,22 @@ <h1>Source code for pyqstrat.pq_types</h1><div class="highlight"><pre>
         <span class="k">return</span> <span class="n">Contract</span><span class="o">.</span><span class="n">_instances</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="n">name</span><span class="p">)</span></div>
 
 
+<div class="viewcode-block" id="Contract.get_or_create">
+<a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.Contract.get_or_create">[docs]</a>
+    <span class="nd">@staticmethod</span>
+    <span class="k">def</span> <span class="nf">get_or_create</span><span class="p">(</span><span class="n">symbol</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> 
+                      <span class="n">contract_group</span><span class="p">:</span> <span class="n">ContractGroup</span> <span class="o">|</span> <span class="kc">None</span> <span class="o">=</span> <span class="kc">None</span><span class="p">,</span> 
+                      <span class="n">expiry</span><span class="p">:</span> <span class="n">np</span><span class="o">.</span><span class="n">datetime64</span> <span class="o">|</span> <span class="kc">None</span> <span class="o">=</span> <span class="kc">None</span><span class="p">,</span> 
+                      <span class="n">multiplier</span><span class="p">:</span> <span class="nb">float</span> <span class="o">=</span> <span class="mf">1.</span><span class="p">,</span> 
+                      <span class="n">components</span><span class="p">:</span> <span class="nb">list</span><span class="p">[</span><span class="nb">tuple</span><span class="p">[</span><span class="n">Contract</span><span class="p">,</span> <span class="nb">float</span><span class="p">]]</span> <span class="o">|</span> <span class="kc">None</span> <span class="o">=</span> <span class="kc">None</span><span class="p">,</span>
+                      <span class="n">properties</span><span class="p">:</span> <span class="n">SimpleNamespace</span> <span class="o">|</span> <span class="kc">None</span> <span class="o">=</span> <span class="kc">None</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="n">Contract</span><span class="p">:</span>
+        <span class="k">if</span> <span class="n">symbol</span> <span class="ow">in</span> <span class="n">Contract</span><span class="o">.</span><span class="n">_instances</span><span class="p">:</span>
+            <span class="n">contract</span> <span class="o">=</span> <span class="n">Contract</span><span class="o">.</span><span class="n">_instances</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="n">symbol</span><span class="p">)</span>
+        <span class="k">else</span><span class="p">:</span>
+            <span class="n">contract</span> <span class="o">=</span> <span class="n">Contract</span><span class="o">.</span><span class="n">create</span><span class="p">(</span><span class="n">symbol</span><span class="p">,</span> <span class="n">contract_group</span><span class="p">,</span> <span class="n">expiry</span><span class="p">,</span> <span class="n">multiplier</span><span class="p">,</span> <span class="n">components</span><span class="p">,</span> <span class="n">properties</span><span class="p">)</span>
+        <span class="k">return</span> <span class="n">contract</span>  <span class="c1"># type: ignore</span></div>
+
+
 <div class="viewcode-block" id="Contract.clear_cache">
 <a class="viewcode-back" href="../../pyqstrat.html#pyqstrat.pq_types.Contract.clear_cache">[docs]</a>
     <span class="nd">@staticmethod</span>
@@ -387,8 +416,11 @@ <h1>Source code for pyqstrat.pq_types</h1><div class="highlight"><pre>
 <span class="nd">@dataclass</span><span class="p">(</span><span class="n">kw_only</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
 <span class="k">class</span> <span class="nc">MarketOrder</span><span class="p">(</span><span class="n">Order</span><span class="p">):</span>
     <span class="k">def</span> <span class="nf">__post_init__</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
-        <span class="k">if</span> <span class="ow">not</span> <span class="n">np</span><span class="o">.</span><span class="n">isfinite</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="p">)</span> <span class="ow">or</span> <span class="n">math</span><span class="o">.</span><span class="n">isclose</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="p">,</span> <span class="mi">0</span><span class="p">):</span>
-            <span class="k">raise</span> <span class="ne">ValueError</span><span class="p">(</span><span class="sa">f</span><span class="s1">&#39;order qty must be finite and nonzero: </span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="si">}</span><span class="s1">&#39;</span><span class="p">)</span>
+        <span class="k">try</span><span class="p">:</span>
+            <span class="k">if</span> <span class="ow">not</span> <span class="n">np</span><span class="o">.</span><span class="n">isfinite</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="p">)</span> <span class="ow">or</span> <span class="n">math</span><span class="o">.</span><span class="n">isclose</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="p">,</span> <span class="mi">0</span><span class="p">):</span>
+                <span class="k">raise</span> <span class="ne">ValueError</span><span class="p">(</span><span class="sa">f</span><span class="s1">&#39;order qty must be finite and nonzero: </span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">qty</span><span class="si">}</span><span class="s1">&#39;</span><span class="p">)</span>
+        <span class="k">except</span> <span class="ne">Exception</span> <span class="k">as</span> <span class="n">ex</span><span class="p">:</span>
+            <span class="n">_logger</span><span class="o">.</span><span class="n">info</span><span class="p">(</span><span class="n">ex</span><span class="p">)</span>
 
     <span class="k">def</span> <span class="fm">__repr__</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
         <span class="n">timestamp</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">timestamp</span><span class="p">)</span><span class="o">.</span><span class="n">to_pydatetime</span><span class="p">()</span>