Merge pull request #17 from SaguaroCapital/dev

Add Aqua, Impute dependencies

Project.toml

@@ -1,26 +1,30 @@
 name = "SaguaroTrader"
 uuid = "26277856-a3f7-4646-aaac-f090473ab108"
 authors = ["Tyler Thomas <[email protected]>"]
-version = "0.2.0"
+version = "0.2.1"
 
 [deps]
 CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
-Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+Impute = "f7bf1975-0170-51b9-8c5f-a992d46b9575"
 PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
+Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 UUIDs = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
 
 [compat]
+Aqua = "0.6"
 CSV = "0.10"
 DataFrames = "1"
 DataStructures = "0.18"
+Impute = "0.6"
 PrecompileTools = "1"
 julia = "1.6"
 
 [extras]
+Aqua = "4c88cf16-eb10-579e-8560-4a9242c79595"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Test"]
+test = ["Aqua", "Test"]

src/SaguaroTrader.jl

@@ -4,6 +4,7 @@ using CSV
 using DataFrames
 using Dates
 using DataStructures
+using Impute
 using Random
 using UUIDs
 
@@ -81,7 +82,6 @@ export
     Portfolio,
     total_market_value,
     total_equity,
-    subscribe_funds,
 
     # alpha model
     AlphaModel,

src/data/daily_bar_csv.jl

@@ -77,31 +77,6 @@ function _detect_adj_column(columns::Vector{String}, identifier::String)
     return error("Unable to detect '$identifier' column in columns: $columns")
 end
 
-"""
-Taken from Impute.jl, because it was breaking the build
-"""
-function _impute_locf(data::AbstractVector{Union{T,Missing}}, limit=nothing) where {T}
-    @assert !all(ismissing, data)
-    start_idx = findfirst(!ismissing, data)
-    count = 1
-
-    @inbounds for i in (start_idx + 1):lastindex(data)
-        if ismissing(data[i])
-            if limit === nothing
-                data[i] = data[i - 1]
-            elseif count <= limit
-                data[i] = data[start_idx]
-                count += 1
-            end
-        else
-            start_idx = i
-            count = 1
-        end
-    end
-
-    return data
-end
-
 """
 Estimate Bid-Ask spreads from OHLCV data
 
@@ -166,7 +141,11 @@ function _convert_bar_frame_into_df_bid_ask(
     df_bid = vcat(df_open, df_close; cols=:union)
     sort!(df_bid, time_col)
     if any(ismissing.(df_bid.Ask))
-        df_bid = transform(df_bid, "Ask" .=> _impute_locf; renamecols=false)
+        df_bid = transform(
+            df_bid,
+            "Ask" .=> x -> impute(x, LOCF(; limit=limit); dims=:cols);
+            renamecols=false,
+        )
     end
     df_bid.Bid = df_bid.Ask
 
@@ -214,7 +193,7 @@ struct CSVDailyBarSource <: DataSource
         csv_symbols::Union{Nothing,Vector{Symbol}}=nothing,
         market_open::Dates.CompoundPeriod=Hour(14) + Minute(30),
         market_close::Dates.CompoundPeriod=Hour(20) + Minute(59),
-        start_dt::DateTime=DateTime(1900), #TODO: multiple dispatch 
+        start_dt::DateTime=DateTime(1900),
         end_dt::DateTime=DateTime(2100),
         time_col::Symbol=:timestamp,
         open_col::Symbol=:Open,

src/portfolio_construction_model/portfolio_construction_model.jl

@@ -39,8 +39,6 @@ function _create_rebalance_orders(
     target_positions::Dict{Asset,Int},
     dt::DateTime,
 )
-    # TODO: Add the ability to ride positions for longer without trimming/adding every period
-    # zero out positions not in target portfolio
     target_positions_assets = keys(target_positions)
     rebalance_orders_dict = Dict{Asset,Order}()
     for (_, position) in current_positions
@@ -88,7 +86,6 @@ Returns
 - `Dict{Asset, Int}`: Rebalance orders
 """
 function _create_rebalance_orders(pcm::PortfolioConstructionModel, dt::DateTime)
-    # full_asset = _get_assets(pcm) # TODO: do we need the full asset list?
     weights = pcm.alpha_model(dt)
     target_positions = pcm.order_sizer(pcm.broker, pcm.portfolio_id, weights, dt)
     current_positions = _get_current_positions(pcm)

test/runtests.jl

@@ -1,4 +1,5 @@
 
+using Aqua
 using CSV
 using DataFrames
 using Dates
@@ -29,3 +30,7 @@ for t in tests
     println("* $fp ...")
     include(fp)
 end
+
+@testset verbose = true "Code quality (Aqua.jl)" begin
+    Aqua.test_all(SaguaroTrader; ambiguities=false)
+end