ryanlake10288’s gists

ryanlake10288 / analyze.py

Created December 30, 2017 22:52 — forked from audubon/analyze.py



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

ryanlake10288 / fncache.py

Created November 23, 2015 05:43 — forked from kwarrick/fncache.py

Redis-backed LRU cache decorator in Python.

	#!/usr/bin/env python
	__author__ = 'Kevin Warrick'
	__email__ = '[email protected]'

	import cPickle
	from functools import wraps

	def redis_lru(capacity=5000, slice=slice(None)):
	"""
	Simple Redis-based LRU cache decorator *.

ryanlake10288 / backtestWorkers

Created November 2, 2015 06:48 — forked from audubon/backtestWorkers

	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):

ryanlake10288 / ibutils.py

Created November 2, 2015 06:48 — forked from audubon/ibutils.py

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

ryanlake10288 / simexchange.py

Created November 2, 2015 06:48 — forked from audubon/simexchange.py

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

ryanlake10288 / 0_reuse_code.js

Created October 29, 2015 20:20

Here are some things you can do with Gists in GistBox.

	// Use Gists to store code you would like to remember later on
	console.log(window); // log the "window" object to the console

ryanlake10288 / big_tstables.py

Created October 26, 2015 07:41 — forked from yhilpisch/big_tstables.py

Python file to test TsTables Performance

	#
	# TsTables -- High Frequency Times Series Data with PyTables
	#
	# to install -- pip install tstables
	# Github repo -- https://github.com/afiedler/tstables
	#
	# Dr. Yves J. Hilpisch
	#
	# The Python Quants GmbH
	# http://quant-platform.com

ryanlake10288 / mech_plot2.py

Last active September 13, 2015 18:25 — forked from raddy/mech_plot2.py

mechanical markets style plots updated with better line widths

	import seaborn
	import pandas as pd
	import numpy as np
	import matplotlib.patches as mpatches

	#create random trade pnls

	n = 5000
	sigma = .1
	pnl1 = pd.DataFrame(np.random.randn(n,15)) * sigma

ryanlake10288 / mech_plot.py

Last active September 13, 2015 18:25 — forked from raddy/mech_plot.py

mechanical markets style python plots

	import seaborn
	import pandas as pd
	import numpy as np
	import matplotlib.patches as mpatches

	#create random trade pnls

	n = 5000
	sigma = .1
	pnl1 = pd.DataFrame(np.random.randn(n,15)) * sigma

ryanlake10288 / entropy_kldavenport.com

Last active August 29, 2015 14:12 — forked from kevindavenport/entropy_kldavenport.ipynb

	{
	"metadata": {
	"name": "",
	"signature": "sha256:3338a1daefbcc568033180ef3e8f67027da32f0fd4d4ffbfeffdfc2149397bc1"
	},
	"nbformat": 3,
	"nbformat_minor": 0,
	"worksheets": [
	{
	"cells": [

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