Merge branch 'develop' into doc_links

robcarver17 · Feb 8, 2024 · d87ad28 · d87ad28
2 parents 0f9a06a + 6b8431b
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diff --git a/data/futures/adjusted_prices_csv/BEL20.csv b/data/futures/adjusted_prices_csv/BEL20.csv
diff --git a/data/futures/adjusted_prices_csv/EDOLLAR.csv b/data/futures/adjusted_prices_csv/EDOLLAR.csv
diff --git a/data/futures/adjusted_prices_csv/LUMBER.csv b/data/futures/adjusted_prices_csv/LUMBER.csv
diff --git a/data/futures/adjusted_prices_csv/MID-DAX.csv b/data/futures/adjusted_prices_csv/MID-DAX.csv
diff --git a/data/futures/adjusted_prices_csv/NIFTY.csv b/data/futures/adjusted_prices_csv/NIFTY.csv
diff --git a/data/futures/adjusted_prices_csv/RAPESEED.csv b/data/futures/adjusted_prices_csv/RAPESEED.csv
diff --git a/data/futures/adjusted_prices_csv/USIRS10.csv b/data/futures/adjusted_prices_csv/USIRS10.csv
diff --git a/data/futures/adjusted_prices_csv/USIRS2ERIS.csv b/data/futures/adjusted_prices_csv/USIRS2ERIS.csv
diff --git a/data/futures/adjusted_prices_csv/USIRS5.csv b/data/futures/adjusted_prices_csv/USIRS5.csv
diff --git a/data/futures/adjusted_prices_csv/USIRS5ERIS.csv b/data/futures/adjusted_prices_csv/USIRS5ERIS.csv
diff --git a/data/futures/csvconfig/spreadcosts.csv b/data/futures/csvconfig/spreadcosts.csv
@@ -266,7 +266,7 @@ HSCEI-DIV,0.0
 HUF,6.5000000000000004e-06
 HUFEUR,0.0
 IBEX_mini,2.5
-IBXEX,0.0
+IBEX,0.0
 IG,0.029
 IND-BANK,0.0
 IND-FIN,0.0

diff --git a/data/futures/multiple_prices_csv/BEL20.csv b/data/futures/multiple_prices_csv/BEL20.csv
diff --git a/data/futures/multiple_prices_csv/EDOLLAR.csv b/data/futures/multiple_prices_csv/EDOLLAR.csv
diff --git a/data/futures/multiple_prices_csv/LUMBER.csv b/data/futures/multiple_prices_csv/LUMBER.csv
diff --git a/data/futures/multiple_prices_csv/MID-DAX.csv b/data/futures/multiple_prices_csv/MID-DAX.csv
diff --git a/data/futures/multiple_prices_csv/NIFTY.csv b/data/futures/multiple_prices_csv/NIFTY.csv
diff --git a/data/futures/multiple_prices_csv/RAPESEED.csv b/data/futures/multiple_prices_csv/RAPESEED.csv
diff --git a/data/futures/multiple_prices_csv/USIRS10.csv b/data/futures/multiple_prices_csv/USIRS10.csv
diff --git a/data/futures/multiple_prices_csv/USIRS2ERIS.csv b/data/futures/multiple_prices_csv/USIRS2ERIS.csv
diff --git a/data/futures/multiple_prices_csv/USIRS5.csv b/data/futures/multiple_prices_csv/USIRS5.csv
diff --git a/data/futures/multiple_prices_csv/USIRS5ERIS.csv b/data/futures/multiple_prices_csv/USIRS5ERIS.csv
diff --git a/data/futures/roll_calendars_csv/IBEX_mini.csv b/data/futures/roll_calendars_csv/IBEX_mini.csv
diff --git a/data/futures/roll_calendars_csv/NIFTY-IN.csv b/data/futures/roll_calendars_csv/NIFTY-IN.csv
@@ -0,0 +1,14 @@
+DATE_TIME,current_contract,next_contract,carry_contract
+2022-09-22 23:00:00,20220900,20221000,20221000
+2022-10-11 23:00:00,20221000,20221100,20221100
+2022-11-11 23:00:00,20221100,20221200,20221200
+2022-12-12 23:00:00,20221200,20230100,20230100
+2023-01-11 23:00:00,20230100,20230200,20230200
+2023-02-10 23:00:00,20230200,20230300,20230300
+2023-03-10 23:00:00,20230300,20230400,20230400
+2023-04-11 23:00:00,20230400,20230500,20230500
+2023-05-11 23:00:00,20230500,20230600,20230600
+2023-06-12 23:00:00,20230600,20230700,20230700
+2023-07-11 23:00:00,20230700,20230800,20230800
+2023-08-11 23:00:00,20230800,20230900,20230900
+2023-09-11 04:45:00,20230900,20231000,20231000
diff --git a/docs/installation.md b/docs/installation.md
@@ -120,6 +120,17 @@ And now install the dependencies
 (3.10.13) $ pip install -r requirements.txt
 ```
 
+### MacOS (ARM)
+
+If you're running MacOS on one of the new ARM chips, the process is more complex. You'll need Homebrew and the Apple XCode Commandline Development Tools, configured for ARM. Doing that is beyond the scope of this document, type `homebrew apple xcode command line tools` into your favourite search engine. Once installed and configured, run installation script:
+
+```
+chmod u+x install_dependencies_apple_silicon.sh
+./install_dependencies_apple_silicon.sh
+
+```
+Note: this may (unfortunately) become out of date and require some tweaking.
+
 ### Check dependencies
 
 Check what is installed, should look something like

diff --git a/install_dependencies_apple_silicon.sh b/install_dependencies_apple_silicon.sh
@@ -0,0 +1,11 @@
+#!/bin/bash
+
+# Cython 3.0.0 is not supported by pandas 1.0.5
+python -m pip install "cython<3.0.0" wheel
+python -m pip install pyyaml==5.4.1 --no-build-isolation
+python -m pip install "numpy>=1.19.4,<1.24.0" --no-use-pep517
+python -m pip install scipy --no-use-pep517
+python -m pip install pandas==1.0.5 --no-use-pep517
+python -m pip install statsmodels==0.12.2 --no-use-pep517
+
+pip install -r requirements_apple_silicon.txt
diff --git a/requirements_apple_silicon.txt b/requirements_apple_silicon.txt
@@ -0,0 +1,9 @@
+matplotlib>=3.0.0
+pymongo==3.11.3
+arctic==1.79.2
+ib-insync==0.9.86
+psutil==5.6.6
+pytest>6.2
+Flask>=2.0.1
+Werkzeug>=2.0.1
+PyPDF2>=2.5.0
diff --git a/setup.py b/setup.py
@@ -84,8 +84,13 @@ def dir_this_file():
     package_data=package_data,
     long_description=read("README.md"),
     install_requires=[
+<<<<<<< HEAD
         "pandas==2.1.3",
         "matplotlib>=3.0.0",
+=======
+        "pandas==1.0.5",
+        "matplotlib>=3.0.0,<3.8.0",
+>>>>>>> bcfd9668056ff6748edd37538e079dbf22c657e4
         "ib-insync==0.9.86",
         "PyYAML>=5.3",
         "numpy>=1.24.0",

diff --git a/sysexecution/stack_handler/roll_orders.py b/sysexecution/stack_handler/roll_orders.py
@@ -454,6 +454,7 @@ def create_instrument_roll_order_closing_priced_contract(
     return instrument_order
 
 
+
 def get_strategy_name_with_largest_position_for_instrument(
     data: dataBlob, instrument_code: str
 ) -> str:

diff --git a/sysexecution/tick_data.py b/sysexecution/tick_data.py
@@ -9,21 +9,16 @@
 from syscore.constants import arg_not_supplied
 
 TICK_REQUIRED_COLUMNS = ["bid_price", "ask_price", "bid_size", "ask_size"]
-TICK_REQUIRED_COLUMNS.sort()
 
 
 class dataFrameOfRecentTicks(pd.DataFrame):
     def __init__(self, *args, **kwargs):
         super().__init__(*args, **kwargs)
         columns = self.columns
-        sorted_columns = sorted(columns)
-
-        try:
-            assert all([x == y for x, y in zip(sorted_columns, TICK_REQUIRED_COLUMNS)])
-        except:
-            raise Exception(
-                "historical ticks should have columns %s" % str(TICK_REQUIRED_COLUMNS)
-            )
+
+        assert set(TICK_REQUIRED_COLUMNS).issubset(
+            columns
+        ), "historical ticks should have columns %s" % str(TICK_REQUIRED_COLUMNS)
 
     def average_bid_offer_spread(self, remove_negative=True) -> float:
         return average_bid_offer_spread(self, remove_negative=remove_negative)