Class: Iro::Stock

Inherits:
Object
  • Object
show all
Includes:
Mongoid::Document, Mongoid::Paranoia, Mongoid::Timestamps
Defined in:
app/models/iro/stock.rb

Overview

www.macrotrends.net/stocks/charts/META/meta-platforms/stock-price-history

Constant Summary collapse

STATUS_ACTIVE = 
'active'
STATUS_INACTIVE = 
'inactive'
STATUSES = 
[ nil, 'active', 'inactive' ]
LONG_ONLY = 
'long-only'
LONG_OR_SHORT = 
'long-or-short'
SHORT_ONLY = 
'short-only'

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.active ⇒ Object 



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# File 'app/models/iro/stock.rb', line 16

def self.active
  where( status: STATUS_ACTIVE )
end

.f(ticker) ⇒ Object

my_find



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# File 'app/models/iro/stock.rb', line 51

def self.f ticker
  self.find_by ticker: ticker
end

.list ⇒ Object 



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# File 'app/models/iro/stock.rb', line 58

def self.list
  [[nil,nil]] + all.map { |sss| [ sss.ticker, sss.id ] }
end

.tickers_list ⇒ Object 



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# File 'app/models/iro/stock.rb', line 61

def self.tickers_list
  [[nil,nil]] + all.map { |sss| [ sss.ticker, sss.ticker ] }
end

Instance Method Details

#get_historic_data(date_from = nil, date_to = nil) ⇒ Object

From: stockdata_org



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# File 'app/models/iro/stock.rb', line 175

def get_historic_data date_from=nil, date_to=nil
  date_from ||= Time.now - 1.year - 1.week
  date_to   ||= date_from + 180.days
  date_from = date_from.strftime('%Y-%m-%d')
  date_to   = date_to.strftime('%Y-%m-%d')
  puts! [ticker, date_from, date_to], "ticker,date_from,date_to"
  outs = HTTParty.get("https://api.stockdata.org/v1/data/eod?symbols=#{ticker}&date_from=#{date_from}&date_to=#{date_to}&api_token=#{STOCKDATA_ORG_KEY}")
  outs['data'].each do |datum|
    existing = ::Iro::Datapoint.find_by({ symbol: ticker, date: datum['date'].to_date.strftime('%Y-%m-%d') }) rescue nil
    if existing
      print('.')
    else
      ::Iro::Datapoint.create!({ symbol: ticker,
        kind:   ::Iro::Datapoint::KIND_STOCK,
        date:   datum['date'].to_date.strftime('%Y-%m-%d'),
        open:   datum['open'],
        high:   datum['high'],
        low:    datum['low'],
        value:  datum['close'],
        volume: datum['volume'],
      })
      print('^')
    end
  end
end

#stdev(recompute: nil) ⇒ Object 



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# File 'app/models/iro/stock.rb', line 152

def stdev recompute: nil
  if !self[:stdev] || recompute
    out = volatility_from_yr
    self[:stdev] = out
    save( validate: false )
    return out
  else
    self[:stdev]
  end
end

#symbol ⇒ Object 



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# File 'app/models/iro/stock.rb', line 24

def symbol;    ticker;     end

#symbol=(a) ⇒ Object 



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# File 'app/models/iro/stock.rb', line 25

def symbol= a; ticker = a; end

#to_s ⇒ Object 



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# File 'app/models/iro/stock.rb', line 55

def to_s
  ticker
end

#volatility(duration: 1.year, recompute: false) ⇒ Object 



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# File 'app/models/iro/stock.rb', line 79

def volatility duration: 1.year, recompute: false
  if self[:volatility]
    if !recompute
      return self[:volatility]
    end
  end
  stock = self
  begin_on = Time.now - duration
  points = ::Iro::Datapoint.where( kind: 'STOCK', symbol: stock.ticker,
    :date.gte => begin_on,
  ).order_by( date: :asc )

  returns = []
  points.each_cons(2) do |prev, curr|
    returns << Math.log(curr.value / prev.value)
  end
  # puts! returns, 'returns'

  mean = returns.sum / returns.size
  variance = returns.sum { |r| (r - mean) ** 2 } / (returns.size - 1)

  daily_vol   = Math.sqrt(variance)
  monthly_vol = daily_vol * Math.sqrt(21)
  annual_vol  = daily_vol * Math.sqrt(252)

  self.update(volatility_annual: annual_vol, volatility_monthly: monthly_vol, volatility_daily: daily_vol)
  annual_vol
end

#volatility_from_mo ⇒ Object 



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# File 'app/models/iro/stock.rb', line 146

def volatility_from_mo
  volatility( duration: 1.month )
end

#volatility_from_yr ⇒ Object 



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# File 'app/models/iro/stock.rb', line 149

def volatility_from_yr
  volatility( duration: 1.year )
end

#volatility_old(duration: 1.year, recompute: false) ⇒ Object 



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# File 'app/models/iro/stock.rb', line 107

def volatility_old duration: 1.year, recompute: false
  if self[:volatility]
    if !recompute
      return self[:volatility]
    end
  end

  stock = self
  begin_on = Time.now - duration - 1.day
  points = ::Iro::Datapoint.where( kind: 'STOCK', symbol: stock.ticker,
    :date.gte => begin_on,
  ).order_by( date: :asc )

  puts! [points.first.date, points.last.date], "from,to"

  points_p = []
  points.each_with_index do |p, idx|
    next if idx == 0
    prev = points[idx-1]

    out = p.value / prev.value - 1
    points_p.push out
  end
  n = points_p.length

  avg = points_p.reduce(&:+) / n
  _sum_of_sq = []
  points_p.map do |p|
    _sum_of_sq.push( ( p - avg )*( p - avg ) )
  end
  sum_of_sq = _sum_of_sq.reduce( &:+ ) / n

  # n_periods = begin_on.to_date.business_days_until( Date.today )
  out = Math.sqrt( sum_of_sq )*sqrt( n )
  puts! out, 'volatility (adjusted)'
  self.update( volatility: out, volatility_annual: out )
  return out
end