audubon

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audubon / analyze.py

Last active December 30, 2017 22:52



	import numpy as np
	import scipy.stats as ss
	import time,calendar
	import math
	from sklearn.decomposition import PCA
	import statsmodels.api as sm

audubon / orderBuilder.java

Created September 26, 2015 23:01

ibOrderbuilderjava

	package prc.ib;


	import com.ib.client.ComboLeg;
	import com.ib.client.Order;
	import com.ib.client.Execution;



	public class OrderBuilder {

audubon / ibutils.py

Created September 24, 2015 21:27

IB utli to create orders

	class Utils(object):
	months=['','F','G','H','J','K','M','N','Q','U','V','X','Z']

	@staticmethod
	def localsymbol (expiry,right,strike):
	exp = Utils.months[1+ int(expiry)/100%100 ]
	s= strike*1000
	sym="ON%s2 %s%s" %(exp,right,str(s)[:-2])
	return sym

audubon / simexchange.py

Created September 19, 2015 13:55

simexchange



	import pykka
	import pykka.gevent
	import gevent
	import numpy as np
	import copy,sys, pprint , blist
	from collections import defaultdict
	import logging
	import signal

audubon / backtestWorkers

Created January 21, 2015 00:24

	import pykka
	import pykka.gevent


	class Worker(pykka.gevent.GeventActor):
	def __init__(self, **kwargs):
	super(Worker, self).__init__()
	self.inputs = kwargs.get('inputs')

	def on_receive(self, message):

audubon / iborderstatus.py

Last active February 26, 2019 16:40

order status and accountUpdates




	from sys import argv
	from time import sleep, strftime

	from ib.ext.Contract import Contract
	from ib.ext.Order import Order
	from ib.ext.EWrapper import EWrapper
	from ib.ext.EClientSocket import EClientSocket

audubon / optincalc

Created April 29, 2014 13:35

	import pandas as pd
	from pandas.io.data import DataReader
	import matplotlib.pyplot as plt
	import numpy as np
	from QuantLib import *
	import urllib, urllib2,json, re, pylab,dateutil,datetime


	class OptionCalculator(object):
	def __init__ (self,**kwargs):

audubon / cmemsgparser

Last active September 3, 2017 17:45



	import pprint,sys
	import blaze
	from odo import odo
	import pandas as pd
	import numpy as np
	from BTrees.OOBTree import OOBTree
	from tables import *