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ranaroussi / riskfree.py
Created June 28, 2020 11:06
Daily Risk Free Rate (based on 3-Month US Treasury Bills Rates)
import yfinance as yf
import pandas as pd
# de-annualize yearly interest rates
def deannualize(annual_rate, periods=365):
return (1 + annual_rate) ** (1/periods) - 1
def get_risk_free_rate():
# download 3-month us treasury bills rates
annualized = yf.download("^IRX")["Adj Close"]
@ranaroussi
ranaroussi / tradehook.py
Last active March 14, 2020 22:47
Tradologics - example algo
# mycode.py
import tradologics
def tradehook(payload):
payload = tradologics.parse(payload)
# is this a "data" payload?
if payload.event == "data":
for asset in payload.data:
@ranaroussi
ranaroussi / multi-mysqli.php
Last active January 9, 2020 19:50
Multi-Server MySQLi class
<?php
/**
* Multi-Server MySQLi class
* https://gist.github.com/ranaroussi/64a26c9a2ec6d69c62ba7c650f49a8a0
*
* Copyright 2013-2020 Ran Aroussi
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
@ranaroussi
ranaroussi / optimizeparams.py
Created December 3, 2019 13:10
Strategy param optimizer module
#!/usr/bin/env python
# -*- coding: utf-8 -*-
import matplotlib as _mpl
import matplotlib.pyplot as _plt
from mpl_toolkits.mplot3d import Axes3D as _Axes3D
import numpy as _np
import pandas as _pd
@ranaroussi
ranaroussi / nasdaq_premarket.py
Last active November 18, 2021 20:18
gets premarket prices from nasdaq
import requests
def get_premarket(ticker):
"""
gets premarket prices from nasdaq
usage:
>> price, volume = get_premarket('spy')
"""
@ranaroussi
ranaroussi / resampler.py
Created September 18, 2019 12:57
QTPyLib timeseries resampler
import pandas as pd
def resample(data, resolution="1T", tz=None, ffill=True, dropna=False):
"""
>>> resample(df, '500K') # resample 500 ticks (by counting trades)
>>> resample(df, '500V') # resample ~500 volume (by counting volume)
"""
def __finalize(data, tz=None):
# figure out timezone
@ranaroussi
ranaroussi / runner.py
Created August 19, 2019 17:39
Python Job Runner
#!/usr/bin/env python
import subprocess
import time
import sys
import logging
class Job:
"""
monitors that a job is running and executing it when it's not
@ranaroussi
ranaroussi / get_active_contracts.py
Created May 20, 2019 12:18
get active futures contract
#!/usr/bin/env python
from dateutil.parser import parse as parse_date
import datetime
import requests
import pandas as pd
def get_contracts(url):
html = requests.get(url, timeout=5)
@ranaroussi
ranaroussi / History|-1007094|entries.json
Last active July 15, 2025 11:34
Visual Studio Code Settings Sync Gist
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