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Thomas Schmelzer tschm

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  • Stanford & Team Q @ ADIA
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@tschm
tschm / CodeOfConduct.md
Last active September 17, 2023 03:09

{{ package }} Code of Conduct

Our Pledge

In the interest of fostering an open and welcoming environment, we as contributors and maintainers pledge to making participation in our project and our community a harassment-free experience for everyone, regardless of age, body size, disability, ethnicity, sex characteristics, gender identity and expression, level of experience, education, socio-economic status, nationality, personal appearance, race, religion, or sexual identity and orientation.

@tschm
tschm / CVXvsMOSEK.py
Created September 3, 2022 19:27
import time
import numpy as np
import cvxpy as cp
from mosek.fusion import Model, Domain, Expr, ObjectiveSense
def cvx_explicit(cov_factor, residual_var, F, mu, gamma, Lmax):
n, m = F.shape
@tschm
tschm / books.md
Created August 8, 2020 21:05 — forked from xgenvn/books.md
Download free O'Reilly books
@tschm
tschm / f1.py
Created March 9, 2020 10:36
f1 Precision and Recall
def f1(precision, recall):
return 2*(precision*recall)/(precision+recall)
if __name__ == '__main__':
# Matrix for crypto finance
TP = 70 # on how many days did you correctly predict the market goes up?
FP = 10 # on how many days did you predict the market goes up, but it actually went down?
FN = 8 # on how many days did you predict the market goes down, but it actually went up?
TN = 12 # on how many days did you correctly predict the market goes down?
@tschm
tschm / Install arrow in a rocker image
Created September 27, 2019 11:25
FROM rocker/rstudio:3.6.1
# see https://arrow.apache.org/install/
# rocker/rstudio is based on debian
RUN apt update && \
apt install -y -V apt-transport-https curl gnupg lsb-release apt-utils
RUN echo "deb http://deb.debian.org/debian $(lsb_release --codename --short)-backports main contrib" >> /etc/apt/sources.list.d/backports.list && \
curl --output /usr/share/keyrings/apache-arrow-keyring.gpg https://dl.bintray.com/apache/arrow/$(lsb_release --id --short | tr 'A-Z' 'a-z')/apache-arrow-keyring.gpg && \
echo "deb [arch=amd64 signed-by=/usr/share/keyrings/apache-arrow-keyring.gpg] https://dl.bintray.com/apache/arrow/$(lsb_release --id --short | tr 'A-Z' 'a-z')/ $(lsb_release --codename --short) main" >> /etc/apt/sources.list.d/apache-arrow.list && \
@tschm
tschm / jupyter.py
Created February 7, 2019 08:58
Send production scripts to Jupyter
#!/usr/bin/env python3
import os
import nbformat as nbf
from config.config import logger
from pyutil.parent import Production
from pyutil.sql.interfaces.symbols.strategy import Strategy
from pyutil.sql.session import session
@tschm
tschm / logconf.py
Created November 13, 2018 13:59
# We create a standard logger with two handlers
# One of them is using io.StringIO for streaming
# Subsequently we add the value() method to the logger, e.g. it will be possible to call
# logger.value() and get the entire history of all messages sent to the logger.
#
# I have never managed to get my head around logging in Python. Any comments are very appreciated.
import logging
import types
@tschm
tschm / client.py
Created July 9, 2018 18:56
Influxdb client
import os
import pandas as pd
from influxdb import DataFrameClient
class Client(DataFrameClient):
def __init__(self, host=None, port=8086, database=None):
host = host or os.environ["INFLUXDB_HOST"]
super().__init__(host, port)
@tschm
tschm / Quaternion.py
Last active April 17, 2017 21:03
# construct a random SO(3) matrix
import numpy as np
# We construct a random element in SO(3)
def rand_so3():
A = np.random.randn(3,3)
# normalize the first column
A[:,0]=A[:,0]/np.linalg.norm(A[:,0], 2)
# make the 2nd column orthogonal to first column
@tschm
tschm / Makefile
Created September 2, 2016 13:59
Makefile to document a python project
# Makefile
#
ROOT_DIR = $(shell dirname $(realpath $(lastword $(MAKEFILE_LIST))))
SPHINXBUILD = sphinx-build
BUILDDIR = ${ROOT_DIR}/build
SOURCEDIR = ${ROOT_DIR}/source
PROJECT = pylobnek