Introductory & Technical Bootcamp @ For Python Quants London 2016

admin.txt

WIFI
====
Ft1ch#2016#!

Quant Platform
==============
http://fpqlon.pqp.io
(follow registration link)

Miniconda
=========
http://conda.pydata.org/miniconda.html
http://conda.pydata.org/docs/using/envs.html

Environment
===========
conda create -n introbc python=3.5
source activate introbc (Linux/Mac)
activate introbc (Windows)
conda install ipython
conda install numpy
conda install matplotlib
conda install pandas-datareader
conda install seaborn
ipython
[1]: print('python')

get_data.py

import pandas as pd

ws = 'http://0.0.0.0:5555/?symbol=%s&start=%s&end=%s&format=%s'

def get_data(symbol, start, end):
    req = ws % (symbol, start, end, 'json')
    df = pd.read_json(req)
    return df
  
if __name__ == '__main__':
    AAPL = get_data('AAPL', start='2016-1-1', end='2016-6-30')
    print(AAPL.tail())

mean_variance.py

#
# Bits and Pieces for
# Mean-Variance Portfolio Example
#
# The Python Quants GmbH
#
import numpy as np
import pandas as pd
from pandas_datareader import data as web
import matplotlib.pyplot as plt

symbols = ['AAPL', 'MSFT', 'YHOO']

data = pd.DataFrame()
for sym in symbols:
    data[sym] = web.DataReader(sym, data_source='yahoo')['Adj Close']

rets = np.log(data / data.shift(1))


def pr(weights):
    return np.dot(weights, rets.mean() * 252)


def pv(weights):
    return np.sqrt(np.dot(weights.T, np.dot(rets.cov() * 252, weights)))


if __name__ == '__main__':

    prets = []
    pvols = []

    for _ in range(2000):
        weights = np.random.random(len(symbols))
        weights /= weights.sum()
        prets.append(pr(weights))
        pvols.append(pv(weights))

    print(prets[:10])
    print(pvols[:10])

    plt.figure(figsize=(10, 6))
    plt.plot(pvols, prets, 'r.')
    plt.grid(True)
    plt.show()

Titanic.csv

web_service.py

#
# Flask Web Service for
# Financial Data with Python & pandas
#
# The Python Quants GmbH
#
from flask import Flask, request
from pandas_datareader import data as web

app = Flask(__name__)


@app.route('/')
def home():
    symbol = request.args['symbol']
    start = request.args['start']
    end = request.args['end']
    try:
        out = request.args['format']
    except:
        out = 'html'
    data = web.DataReader(symbol, start=start, end=end, data_source='yahoo')
    if out == 'csv':
        return data.to_csv()
    elif out == 'json':
        return data.to_json()
    else:
        return data.to_html()


if __name__ == '__main__':
    app.run(host='0.0.0.0', port=5555, debug=True)