Robert Carver robcarver17
robcarver17
/ get_expected_risk.py
Last active
October 9, 2022 03:14
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| import pandas as pd | |
| import numpy as np | |
| def get_expected_risk_for_system(system): | |
| value_of_positions_proportion_capital = get_positions_as_proportion_of_capital(system) | |
| instrument_returns = get_instrument_returns(system) | |
| instrument_returns = instrument_returns.ffill().reindex(value_of_positions_proportion_capital.index) |
robcarver17
/ pythonIBAPIexample3.py
Last active
December 12, 2022 00:58
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| # Gist example of IB wrapper ... | |
| # | |
| # Download API from http://interactivebrokers.github.io/# | |
| # | |
| # Install python API code /IBJts/source/pythonclient $ python3 setup.py install | |
| # | |
| # Note: The test cases, and the documentation refer to a python package called IBApi, | |
| # but the actual package is called ibapi. Go figure. | |
| # | |
| # Get the latest version of the gateway: |
robcarver17
/ IBAPIpythonexample1.py
Created
March 15, 2017 06:23
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| # Gist example of IB wrapper ... | |
| # | |
| # Download API from http://interactivebrokers.github.io/# | |
| # | |
| # Install python API code /IBJts/source/pythonclient $ python3 setup.py install | |
| # | |
| # Note: The test cases, and the documentation refer to a python package called IBApi, | |
| # but the actual package is called ibapi. Go figure. | |
| # | |
| # Get the latest version of the gateway: |
robcarver17
/ scratchthis.py
Last active
August 20, 2023 21:58
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| # Gist example of IB wrapper ... | |
| # | |
| # Download API from http://interactivebrokers.github.io/# | |
| # | |
| # Install python API code /IBJts/source/pythonclient $ python3 setup.py install | |
| # | |
| # Note: The test cases, and the documentation refer to a python package called IBApi, | |
| # but the actual package is called ibapi. Go figure. | |
| # | |
| # Get the latest version of the gateway: |
robcarver17
/ Create a bunch of trading rules for skew and kurtosis
Last active
August 23, 2023 21:38
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| import numpy as np | |
| from systems.provided.futures_chapter15.basesystem import * | |
| import numpy as np | |
| from syscore.algos import robust_vol_calc | |
| ## test kurtosis AND skew with trading rules | |
robcarver17
/ temp.py
Last active
January 2, 2024 06:02
Get IB historical data native python API updated for bar class
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| # Gist example of IB wrapper ... | |
| # | |
| # Download API from http://interactivebrokers.github.io/# | |
| # | |
| # Install python API code /IBJts/source/pythonclient $ python3 setup.py install | |
| # | |
| # Note: The test cases, and the documentation refer to a python package called IBApi, | |
| # but the actual package is called ibapi. Go figure. | |
| # | |
| # Get the latest version of the gateway: |
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