docs

.gitignore

@@ -21,6 +21,7 @@ htmlcov
 .eggs
 *.egg-info
 __pycache__
+__marimo__
 build
 dist
 .venv

.vscode/settings.json

@@ -1,3 +1,7 @@
 {
-    "python.defaultInterpreterPath": ".venv/bin/python"
+    "python.defaultInterpreterPath": ".venv/bin/python",
+    "[python]": {
+        "editor.defaultFormatter": "ms-python.black-formatter",
+        "editor.formatOnSave": true
+    }
 }

Makefile

@@ -20,6 +20,13 @@ lint-check:			## Lint check only
 install-dev:			## Install development dependencies
 	@./dev/install
 
+.PHONY: marimo
+marimo:				## Run marimo for editing notebooks
+	@./dev/marimo edit
+
+.PHONY: marimo-export
+marimo-export:				## Run marimo for editing notebooks
+	@./dev/marimo export html-wasm -f --show-code notebooks/supersmoother.py -o docs/applications/supersmoother
 
 .PHONY: notebook
 notebook:			## Run Jupyter notebook server
@@ -44,9 +51,17 @@ nbsync:				## Sync python myst notebooks to .ipynb files - needed for vs noteboo
 sphinx-config:			## Build sphinx config
 	poetry run jupyter-book config sphinx notebooks
 
+.PHONY: docs
+docs:				## build documentation
+	@cp docs/index.md readme.md
+	@poetry run mkdocs build
+
+.PHONY: docs-serve
+docs-serve:			## serve documentation
+	@poetry run mkdocs serve --livereload --watch quantflow --watch docs
 
 .PHONY: sphinx
-sphinx:
+sphinx:				## Build sphinx docs
 	poetry run sphinx-build notebooks path/to/book/_build/html -b html
 
 

app/__main__.py

@@ -0,0 +1,21 @@
+from typing import Annotated, Callable, Coroutine
+from fastapi.responses import HTMLResponse, RedirectResponse
+import marimo
+from fastapi import FastAPI, Form, Request, Response
+
+
+def crate_app() -> FastAPI:
+    # Create a marimo asgi app
+    server = (
+        marimo.create_asgi_app()
+        .with_app(path="/supersmoother", root="./app/supersmoother.py")
+    )
+    # Create a FastAPI app
+    app = FastAPI()
+    app.mount("/", server.build())
+    return app
+
+# Run the server
+if __name__ == "__main__":
+    import uvicorn
+    uvicorn.run(crate_app(), host="localhost", port=8001)

app/supersmoother.py

@@ -0,0 +1,110 @@
+import marimo
+
+__generated_with = "0.19.7"
+app = marimo.App(width="medium")
+
+
+@app.cell(hide_code=True)
+def _(mo):
+    mo.md(r"""
+    # Supermsoother & EWMA
+    """)
+    return
+
+
+@app.cell
+def _():
+    import marimo as mo
+
+    app = mo.App(
+        requirements=["quantflow"] 
+    )
+    return (mo,)
+
+
+@app.cell
+def _():
+    from quantflow.data.fmp import FMP
+    fmp = FMP()
+    return (fmp,)
+
+
+@app.cell
+async def _(fmp):
+    from datetime import date
+    data = await fmp.prices("BTCUSD", from_date=date(2024,1,1))
+    data
+    return (data,)
+
+
+@app.cell
+def _():
+    import altair as alt
+    import pandas as pd
+    return (alt,)
+
+
+@app.cell
+def _(mo):
+    period = mo.ui.slider(start=2, stop=100, step=1, value=10, label="Period:")
+    period
+    return (period,)
+
+
+@app.cell
+def _(data, period):
+    from quantflow.ta.supersmoother import SuperSmoother
+    from quantflow.ta.ewma import EWMA
+    smoother = SuperSmoother(period=period.value)
+    ewma = EWMA(period=period.value)
+    sm = data[["date", "close"]].copy()
+    sm["supersmoother"] = data["close"].apply(smoother.update)
+    sm["ewma"] = data["close"].apply(ewma.update)
+    return (sm,)
+
+
+@app.cell(hide_code=True)
+def _(alt, sm):
+    # Melt the dataframe to a long format suitable for Altair
+    sm_long = sm.melt(
+        id_vars=['date'],
+        value_vars=['close', 'supersmoother', "ewma"],
+        var_name='Signal',
+        value_name='Price'
+    )
+
+    # Create the chart with both SuperSmoothers
+    line_chart_combined = alt.Chart(sm_long).mark_line().encode(
+        x=alt.X('date:T', title='Date'),
+        y=alt.Y('Price:Q', title='Price (USD)', scale=alt.Scale(zero=False)),
+        color=alt.Color('Signal:N', title='Signal',
+                        scale=alt.Scale(
+                            domain=['close', 'supersmoother', 'ewma'],
+                            range=['#4c78a8', '#f58518', '#e45756'])  # Vega-Lite default palette
+                       ),
+        tooltip=[
+            alt.Tooltip('date:T', title='Date'),
+            alt.Tooltip('Signal:N', title='Signal'),
+            alt.Tooltip('Price:Q', title='Price', format='$,.2f')
+        ]
+    ).properties(
+        title='BTCUSD Close Price vs. SuperSmoothers'
+    ).interactive()
+
+    line_chart_combined
+    return
+
+
+@app.cell
+def _(sm):
+    sm
+    return
+
+
+@app.cell
+def _():
+    return
+
+
+if __name__ == "__main__":
+    app.run()

dev/install

@@ -1,4 +1,4 @@
 #!/usr/bin/env bash
 
 pip install -U pip poetry
-poetry install --all-extras --with book
+poetry install --all-extras --with book --with docs

dev/lint

@@ -4,13 +4,16 @@ set -e
 ISORT_ARGS="-c"
 BLACK_ARG="--check"
 RUFF_ARG=""
+TAPLO_ARG="format --check"
 
 if [ "$1" = "fix" ] ; then
     ISORT_ARGS=""
     BLACK_ARG=""
     RUFF_ARG="--fix"
+    TAPLO_ARG="format"
 fi
 
+taplo ${TAPLO_ARG}
 echo isort
 isort quantflow quantflow_tests ${ISORT_ARGS}
 echo black

dev/marimo

@@ -0,0 +1,6 @@
+#!/usr/bin/env bash
+set -e
+
+export PYTHONPATH=${PWD}:${PYTHONPATH}
+
+poetry run marimo "$@"

docs/api/data/deribit.md

@@ -0,0 +1,11 @@
+# Deribit
+
+Fetch market and static data from [Deribit API](https://docs.deribit.com/).
+
+You can import the module via
+
+```python
+from quantflow.data.deribit import Deribit
+```
+
+::: quantflow.data.deribit.Deribit

docs/api/data/fed.md

@@ -0,0 +1,9 @@
+# Federal Reserve
+
+You can import the module via
+
+```python
+from quantflow.data.fed import FederalReserve
+```
+
+::: quantflow.data.fed.FederalReserve

docs/api/data/fmp.md

@@ -0,0 +1,13 @@
+# FMP
+
+
+Reference information for the Financial Modeling Prep (FMP) data fetching module.
+You can find more information about FMP at [FMP developer docs](https://site.financialmodelingprep.com/developer/docs/stable).
+
+You can import the module via
+
+```python
+from quantflow.data.fmp import FMP
+```
+
+::: quantflow.data.fmp.FMP

docs/api/data/fred.md

@@ -0,0 +1,9 @@
+# Fred
+
+You can import the module via
+
+```python
+from quantflow.data.fred import Fred
+```
+
+::: quantflow.data.fred.Fred

notebooks/api/data/index.rst → docs/api/data/index.md

@@ -1,19 +1,8 @@
-==============
-Data fetching
-==============
+# Data fetching
 
-.. currentmodule:: quantflow.data
 
 The :mod:`quantflow.data` module provides classes and functions for fetching data from various sources.
 To use the module the package must be installed with the optional `data` extra.
 ```
 pip install quantflow[data]
 ```
-
-.. toctree::
-    :maxdepth: 1
-
-    fmp
-    fed
-    fred
-    deribit

docs/api/index.md

@@ -0,0 +1,3 @@
+# API
+
+Here's the reference or code API, the classes, functions, parameters, attributes, and all the quantflow parts you can use in your applications.

docs/api/options/black.md

@@ -0,0 +1,19 @@
+# Black Pricing
+
+Here we define the log strike `k` as
+$$
+  k = \log{\frac{K}{F}}
+$$
+
+where \(K\) is the strike price and \(F\) is the forward price of the underlying asset.
+
+
+::: quantflow.options.bs.black_price
+
+::: quantflow.options.bs.black_call
+
+::: quantflow.options.bs.black_delta
+
+::: quantflow.options.bs.black_vega
+
+::: quantflow.options.bs.implied_black_volatility

docs/api/options/calibration.md

@@ -0,0 +1,5 @@
+# Vol Model Calibration
+
+::: quantflow.options.calibration.VolModelCalibration
+
+::: quantflow.options.calibration.HestonCalibration

docs/api/options/index.md

@@ -0,0 +1,5 @@
+# Option Pricing
+
+The `options` module provides classes and functions for pricing and analyzing options.
+The main class is the [VolSurface][quantflow.options.surface.VolSurface] class which is used to represent a volatility surface for a given asset.
+A volatility surface is usually created via a [VolSurfaceLoader][quantflow.options.surface.VolSurfaceLoader] object.

docs/api/options/pricer.md

@@ -0,0 +1,9 @@
+# Option Pricer
+
+The option pricer module provides classes for pricing options using
+different stochastic volatility models.
+
+
+::: quantflow.options.pricer.OptionPricer
+
+::: quantflow.options.pricer.MaturityPricer

docs/api/options/vol_surface.md

@@ -0,0 +1,12 @@
+# Vol Surface
+
+
+::: quantflow.options.surface.VolSurface
+
+::: quantflow.options.surface.VolCrossSection
+
+::: quantflow.options.surface.GenericVolSurfaceLoader
+
+::: quantflow.options.surface.VolSurfaceLoader
+
+::: quantflow.options.surface.OptionSelection

notebooks/api/sp/index.rst → docs/api/sp/index.md

@@ -1,6 +1,4 @@
-===================
-Stochastic Process
-===================
+# Stochastic Process
 
 This page gives an overview of all Stochastic Processes available in the library.
 

docs/api/ta/ewma.md

@@ -0,0 +1,4 @@
+# EWMA
+
+
+::: quantflow.ta.EWMA

docs/api/ta/index.md

@@ -0,0 +1 @@
+# Timeseries Analysis

docs/api/ta/kalman.md

@@ -0,0 +1,3 @@
+# Kalman Filter
+
+::: quantflow.ta.KalmanFilter

docs/api/ta/ohlc.md

@@ -0,0 +1,3 @@
+# OHLC
+
+::: quantflow.ta.ohlc.OHLC

docs/api/ta/paths.md

@@ -0,0 +1,3 @@
+# Paths
+
+::: quantflow.ta.paths.Paths

docs/api/ta/supersmoother.md

@@ -0,0 +1,14 @@
+# Super Smoother
+
+SuperSmoother algorithm for time series smoothing.
+
+Implementation based on John Ehlers' SuperSmoother filter,
+which is a [two-pole Butterworth filter](https://en.wikipedia.org/wiki/Butterworth_filter) that provides excellent smoothing
+while minimizing lag. The filter uses an adaptive approach with cross-validation
+to determine the optimal smoothing parameters.
+
+Reference:
+    Ehlers, J. (2013). "Cycle Analytics for Traders"
+
+
+::: quantflow.ta.SuperSmoother

docs/api/utils/bins.md

@@ -0,0 +1,5 @@
+# Bins
+
+::: quantflow.utils.bins.pdf
+
+::: quantflow.utils.bins.event_density

docs/api/utils/distributions.md

@@ -0,0 +1,9 @@
+# Distributions
+
+::: quantflow.utils.distributions.Distribution1D
+
+::: quantflow.utils.distributions.Exponential
+
+::: quantflow.utils.distributions.DoubleExponential
+
+::: quantflow.utils.distributions.Normal

docs/api/utils/index.md

@@ -0,0 +1 @@
+# Utils