Release Notes#
Release v1.7.1#
New Features#
edge/API coverage for QDF & panel hot-path helpers [2/4 split of #2695] by @lsimonsen in PR #2700
SignalReturnRelations.single_statistic_table()add features to emphasize and order xcats by @Magnus167 in PR #2703add panel_ewm_sum (fast EWM moving sum on business-day grid) by @lsimonsen in PR #2707
frequency-aware annualization (eop-cadence inference) by @lsimonsen in PR #2708
SignalReturnRelations to ensure each
self.cidshas at least one signal and one return by @Magnus167 in PR #2714Add
threshparameter for winsorization in InformationStateChanges annualization by @Magnus167 in PR #2715Added
NaivePnl.evaluate_pnls_html()by @milchi03 in PR #2717
Bugfixes#
hedge ratio estimation window by @scubastef in PR #2690
Basket accepts categorical QuantamentalDataFrame input [3/4 split of #2695] by @lsimonsen in PR #2701
SignalReturnRelations, fixing issue with the state ofself.cidsby @Magnus167 in PR #2716
Full Changelog: v1.7.0←v1.7.1
Release v1.7.0#
New Features#
add y-axis label option to timeline plots by @scubastef in PR #2666
improvements to DSWS API integration by @mikiinterfiore in PR #2670
Corrected MONTHLY_QUOTA_PER_USER by @mikiinterfiore in PR #2671
model averaging by @rushilg99 in PR #2678
removed regressormixin check and added fit and predict by @rushilg99 in PR #2679
DataQueryFileAPIClient- streaming logic for file downloads by @Magnus167 in PR #2681
Bugfixes#
feature names in custom transformers by @scubastef in PR #2651
mismatched labels in timeline plots by @scubastef in PR #2665
add to twls to return_beta by @scubastef in PR #2672
Fix file-extension handling in
JPMaQSDownload.download_all_to_diskby @Magnus167 in PR #2680
Full Changelog: v1.6.0←v1.7.0
Release v1.6.0#
New Features#
starting draft for new functions related to single securities by @mikiinterfiore in PR #2649
Add significance to single statistic table by @lsimonsen in PR #2650
Multilayer perceptron by @rushilg99 in PR #2654
heatmap axis labels and footnote on single_statistic_table by @lsimonsen in PR #2655
collapse constant index levels + xcat_labels / axis_label_levels on single_statistic_table heatmap by @lsimonsen in PR #2656
freq_labels and agg_sigs_labels on single_statistic_table by @lsimonsen in PR #2659
Bugfixes#
Failing LAD regressor tests by @scubastef in PR #2645
Add TransactionCostsDictAdapter support to ProxyPnL class by @Magnus167 in PR #2646
check_is_fitted compatibility by @scubastef in PR #2648
Full Changelog: v1.5.7←v1.6.0
Release v1.5.7#
New Features#
Proxy PNL to accept a “costs” dictionary for cost imputation by @Magnus167 in PR #2530
WLS option for return beta by @scubastef in PR #2605
Adjust model fit check by @scubastef in PR #2624
Update base URL in DataQueryFileAPIClient for fallback-url testing by @Magnus167 in PR #2626
adds upfront winsorization option for category to exclude massive out… by @rsueppel in PR #2630
adds xcats argument to make_zn_score with example and test by @rsueppel in PR #2636
Bugfixes#
contract_signals- fix hedge ratio calculations by @Magnus167 in PR #2551panel_calculatornot working withnp.infin calculation strings by @Magnus167 in PR #2622Fix
ScoreVisualiserslatest-period logic and label by @Magnus167 in PR #2623Update historic volatility date selection logic and tests by @Magnus167 in PR #2632
Enhance formula validation in panel_calculator by @Magnus167 in PR #2633
Full Changelog: v1.5.6←v1.5.7
Release v1.5.6#
New Features#
handle missing values in strategies by @scubastef in PR #2558
Category imbalance handling by @rushilg99 in PR #2561
removed NA checks for DF transformer by @rushilg99 in PR #2611
Bugfixes#
remove failing test by @scubastef in PR #2615
Updating
test_make_blacklistby @Magnus167 in PR #2616
Full Changelog: v1.5.5←v1.5.6
Release v1.5.5#
New Features#
Update DQ File API Base URL by @Magnus167 in PR #2594
Add integration tests for DataQueryFileAPIClient functionality by @Magnus167 in PR #2597
Full Changelog: v1.5.4←v1.5.5
Release v1.5.4#
New Features#
Update default labels on view_performance by @emhbrine in PR #2580
view_timelinesto use min/max for y-limits instead of abs-max by @Magnus167 in PR #2581
Full Changelog: v1.5.3←v1.5.4
Release v1.5.3#
New Features#
DataQueryFileAPIClient- add methods to download and parse JPMaQS metadata notifications by @Magnus167 in PR #2560linear composite weights and rebalancing by @emhbrine in PR #2562
Add validation for weights sum in
_weighted_covarianceforhistoric_portfolio_volby @Magnus167 in PR #2564Allow benchmark correl in multi_pnl by @emhbrine in PR #2568
Bugfixes#
Add JPMaQS dataset theme mapping to DataQueryFileAPIClient by @Magnus167 in PR #2559
Full Changelog: v1.5.2←v1.5.3
Release v1.5.2#
New Features#
Enhance calculation parsing in
panel_calculatorby @Magnus167 in PR #2520
Bugfixes#
Update DQ v2 API delay and DQ File API file listing functionality by @Magnus167 in PR #2552
Full Changelog: v1.5.1←v1.5.2
Release v1.5.1#
New Features#
Multilayer perceptron by @rushilg99 in PR #2538
Restrict pandas version to <3.0.0 by @Magnus167 in PR #2543
Full Changelog: v1.5.0←v1.5.1
Release v1.5.0#
New Features#
Add methods to retrieve PnL-related data in NaivePnL class by @Magnus167 in PR #2493
Full Changelog: v1.4.1←v1.5.0
Release v1.4.1#
New Features#
Add support for identifying large delta files based on datetime criteria by @Magnus167 in PR #2507
Save parquet files without QDF conversion by @Magnus167 in PR #2508
Add functionality to check file integrity after a download run by @Magnus167 in PR #2510
Support for multi-output modelling by @rushilg99 in PR #2511
Bugfixes#
Full Changelog: v1.4.0←v1.4.1
Release v1.4.0#
New Features#
Refactor output structure in DataQueryFileAPIClient by @Magnus167 in PR #2492
Integrate Polars for data processing and format conversion by @Magnus167 in PR #2496
Add lazy-loading functionality for
DataQueryFileAPIClientby @Magnus167 in PR #2500
Bugfixes#
Add
cross_asset_effectsto module exports by @Magnus167 in PR #2497Update
SignalReturnRelationsto exclude ‘last_updated’ from metric columns inapply_slipby @Magnus167 in PR #2498view_correlation- fix_parse_labelsfunction to handle empty keys gracefully by @Magnus167 in PR #2499
Full Changelog: v1.3.8←v1.4.0
Release v1.3.8#
New Features#
Add
sq_stdforhistoric_volby @Magnus167 in PR #2472Enhancing
DataQueryFileAPIClientfor QDF handling by @Magnus167 in PR #2474Implement
JPMaQSFusionClient.get_all_seriesmembers_for_all_datasets()by @Magnus167 in PR #2475Change create_results_dataframe to ingest a NaivePnl Object by @sandresen1 in PR #2477
Bugfixes#
DataQueryFileAPIClient, setqdf=Trueby default and update documentation by @Magnus167 in PR #2480
Full Changelog: v1.3.7←v1.3.8
Release v1.3.7#
New Features#
Implement
DataQueryFileAPIClientby @Magnus167 in PR #2452
Bugfixes#
Update label validation for
view_correlationby @Magnus167 in PR #2464JPMorganOAuth- refactor authentication header methods for compatibility by @Magnus167 in PR #2466Update DataQueryFileAPIClient documentation example with specific date by @Magnus167 in PR #2468
Full Changelog: v1.3.6←v1.3.7
Release v1.3.6#
New Features#
Implement
JPMorganOAuthto provide common OAuth workflows by @Magnus167 in PR #2453PLSTransformer by @rushilg99 in PR #2458
Bugfixes#
Fixing minor styling and lint errors by @Magnus167 in PR #2451
Refactor Fusion API delay handling by @Magnus167 in PR #2455
Add
timeout&api_delayparameters torequest_wrapperfunctions by @Magnus167 in PR #2456
Full Changelog: v1.3.5←v1.3.6
Release v1.3.5#
New Features#
Adding
title_fontsizeto plotting function by @sophiesoups in PR #2444
Full Changelog: v1.3.4←v1.3.5
Release v1.3.4#
New Features#
Enhance Fusion download experience by @Magnus167 in PR #2407
check_availability, add row order handling for heatmap visualization by @Magnus167 in PR #2420Add validation and refactor row order handling in
check_availability/view_panel_datesby @Magnus167 in PR #2431Enhance rebalancing frequency options in
NaivePnLclass by @Magnus167 in PR #2433Add docstrings for deprecated methods in
SignalReturnRelationsby @sophiesoups in PR #2435New cross_asset_effects panel function by @mikiinterfiore in PR #2436
Improving docstrings by @mikiinterfiore in PR #2437
Bugfixes#
Fix example call in
check_availabilityby @Magnus167 in PR #2432Warning raised when prob_est is map and only one country provided by @rushilg99 in PR #2434
Full Changelog: v1.3.3←v1.3.4
Release v1.3.3#
New Features#
Add facet argument to view_ranges by @sandresen1 in PR #2419
Add normalized wights argument and Winsorize First by @sandresen1 in PR #2422
Global local model and cross-sectional model by @rushilg99 in PR #2423
Bugfixes#
Fix eop_lag calculation in sparse_to_dense by @Magnus167 in PR #2405
fixed latex by @rushilg99 in PR #2427
Full Changelog: v1.3.2←v1.3.3
Release v1.3.2#
New Features#
Bugfixes#
Remove type conversion in apply slip by @sandresen1 in PR #2408
Fix ordering for labels in view timelines by @sandresen1 in PR #2412
Full Changelog: v1.3.1←v1.3.2
Release v1.3.1#
New Features#
MetaEstimator to ensure multi indexed dataframe output by @rushilg99 in PR #2388
Upload Docker Image by @sandresen1 in PR #2394
Add exclude own cid flag into make relative value by @sandresen1 in PR #2396
Bugfixes#
Add minimum observation parameter to covariance estimation functionality by @Magnus167 in PR #2384
msv.correlation, add observed parameter to down-sampling in correlation transformation by @Magnus167 in PR #2391improve basket handling and add error handling in
make_relative_valueby @Magnus167 in PR #2393Fix for make_relative_category basket by @emhbrine in PR #2397
Scipy version reduce by @sandresen1 in PR #2399
Add installation in workflow by @sandresen1 in PR #2401
Change requirements by @sandresen1 in PR #2403
Full Changelog: 1.3.0←v1.3.1
Release v1.3.0#
New Features#
Adding JPMaQSFusionClient by @Magnus167 in PR #2352
Change labelling for when lag is specified by @sandresen1 in PR #2367
Add
last_updatedmetric support to JPMaQSDownload by @Magnus167 in PR #2369Add
remove_zero_predictortomultiple_reg_scatterby @emhbrine in PR #2374Allow for NAs in sklearn pipelines by @rushilg99 in PR #2377
Bugfixes#
Prevent inplace editing of dictionary by @sandresen1 in PR #2368
Remove default start date for visualizations by @sandresen1 in PR #2376
feature importances set to None removed for ProbabilityEstimator by @rushilg99 in PR #2378
Fix test for every version of sklearn by @sandresen1 in PR #2382
Full Changelog: v1.2.3←1.3.0
Release v1.2.3#
New Features#
VotingRegressor to support panel models by @rushilg99 in PR #2358
Bugfixes#
Full Changelog: v1.2.2←v1.2.3
Release v1.2.2#
New Features#
History Dependent Signals in Naive PnL by @sandresen1 in PR #2342
Allow optional hyperparameter tuning by @rushilg99 in PR #2343
Add horizontal line arg in view timelines by @sandresen1 in PR #2344
Add additional docs by @sandresen1 in PR #2347
Make panel_calculator compatible with 3.13 by @emhbrine in PR #2351
Full Changelog: v1.2.1←v1.2.2
Release v1.2.1#
New Features#
Cross-validation selection using generalization gaps by @rushilg99 in PR #2113
Remove deprecated numpy nans by @sandresen1 in PR #2137
InformationStateChanges- update documentation, add warnings for missing ‘eop_lag’ column, and add winsorise (thresh) functionality by @Magnus167 in PR #2318Optimise time in view timelines by @sandresen1 in PR #2320
Optimise linear composite by @sandresen1 in PR #2327
Add return_as_df param to score visualisers by @sandresen1 in PR #2328
Add labels for xcats in check_availability by @sandresen1 in PR #2334
Allow for kwarg of verify=False by @sandresen1 in PR #2336
Bugfixes#
Rename ‘winsorise’ parameter to ‘thresh’ in
InformationStateChanges.to_qdf()by @Magnus167 in PR #2322
Full Changelog: v1.2.0←v1.2.1
Release v1.2.0#
New Features#
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #995
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1067
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1087
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1113
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1183
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1213
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1221
Proxy PNL → Ralph’s Proxy PNL by @Magnus167 in PR #1239
ProxyPnLadd relative value tocontract_signalsby @lsimonsen in PR #1529ProxyPnLcalculations including transaction costs by @lsimonsen in PR #1560Proxy PnL notes and check on version by @lsimonsen in PR #1575
Add External data transformer by @sandresen1 in PR #2246
Add
extend_datesparameter toapply_sliputility by @Magnus167 in PR #2313
Bugfixes#
Change the definition of “slip” in
apply_slipby @Magnus167 in PR #2311
Full Changelog: v1.1.4←v1.2.0
Release v1.1.4#
New Features#
Add normalize_to_pct parameter to adjust_weights function by @Magnus167 in PR #2281
InformationStateChangesoption to score by level by @lsimonsen in PR #2292Integrate
lincombas a backend to existingadjust_weightsfunction by @Magnus167 in PR #2298NaivePnL.plot_pnls()to includecompoundingby @Magnus167 in PR #2299Add
blacklistparameter toadjust_weightsfunction by @Magnus167 in PR #2300Make
pnl_catsparameter optional inNaivePnL.evaluate_pnls()by @Magnus167 in PR #2301
Bugfixes#
Change compatibility check for pd.DataFrame.applymap by @Magnus167 in PR #2288
Rename
PD_APPLY_MAPtoPD_NEW_MAPfor clarity by @Magnus167 in PR #2291Labels fix for evaluate pnls table by @sandresen1 in PR #2294
Fix blacklisting issue when no_zn_scores is true by @sandresen1 in PR #2296
Fix NaN handling in normalization test by @Magnus167 in PR #2302
Fix NaivePNL benchmark start & end dates by @Magnus167 in PR #2306
Full Changelog: v1.1.3←v1.1.4
Release v1.1.3#
New Features#
JPMaQSDownloadto be case-insensitive when filtering requested expressions from JPMaQS catalogue by @Magnus167 in PR #2252Include DataQuery Interaction ID in response validation by @Magnus167 in PR #2256
Implement
adjust_weightsfunctionality by @Magnus167 in PR #2261Add a seed argument to
make_qdfby @Magnus167 in PR #2262Add
yticks_rotationparameter toScoreVisualisers.view_snapshotby @Magnus167 in PR #2265Update
temporary_seedfunctionality to handle None and non-integer seeds by @Magnus167 in PR #2266Probability estimator, voting models and ReturnForecaster class by @rushilg99 in PR #2268
Allow xcat labels to be a dictionary in view ranges by @sandresen1 in PR #2275
Bugfixes#
Refactor error handling in response validation by @Magnus167 in PR #2257
added exception handling to
expanding_statfor missing dates by @Magnus167 in PR #2263Allow for missing xcats by @sandresen1 in PR #2276
Change xcat label behaviour by @sandresen1 in PR #2277
Change to Python 3.9 or later by @sandresen1 in PR #2285
Full Changelog: v1.1.2←v1.1.3
Release v1.1.2#
Bugfixes#
Fix issue with frequency mapping in score visualiser and fix by @sandresen1 in PR #2243
Remove ffill bug from ScoreVisualiser by @sandresen1 in PR #2245
Full Changelog: v1.1.1←v1.1.2
Release v1.1.1#
New Features#
JPMaQSDownload, defaultend_dateto use last business day instead of 2-days-ahead by @Magnus167 in PR #2234InformationStateChanges, addscore_byparameter for z-scoring methods by @Magnus167 in PR #2235Add arguments to sort snapshot by @sandresen1 in PR #2237
Full Changelog: v1.1.0←v1.1.1
Release v1.1.0#
New Features#
Panel Imputer Class by @sandresen1 in PR #2204
Add default start and end dates in panel imputer by @sandresen1 in PR #2207
Add title argument to check_availability by @sandresen1 in PR #2211
Add sig_mult argument to make_pnl by @sandresen1 in PR #2215
Add additonal line to docs in make_pnl by @sandresen1 in PR #2216
Add CodeQL and Snyk badges to README by @Magnus167 in PR #2217
Nearest neighbors classifier by @rushilg99 in PR #2220
Bugfixes#
Correction in date adjustment when factors are lagged by more than one by @rushilg99 in PR #2206
Fix issue with returning blacklist dictionary by @sandresen1 in PR #2208
Timeout after 10 seconds of hanging request by @sandresen1 in PR #2218
Error check in
update_df()by @Magnus167 in PR #2222
Full Changelog: v1.0.7←v1.1.0
Release v1.0.7#
New Features#
Add more robust unit test for checking attributes in sync by @sandresen1 in PR #2176
Add kendall rank score to reg_scatter by @sandresen1 in PR #2179
Added Matthew’s Correlation Coefficient Scorer by @sandresen1 in PR #2182
Add additional customisability to plotting functions by @sandresen1 in PR #2184
Additional params for learning plots by @emhbrine in PR #2187
Add label fontsize for reg scatter by @sandresen1 in PR #2188
Add median option for relative reference to make_relative_value by @sandresen1 in PR #2197
Bugfixes#
msp.Basket.make_basket(), errors when usingweight_meth="values"by @Magnus167 in PR #2156Category Relations,
xcat_trimsfailing when using only one value by @Magnus167 in PR #2160Linear Composites, improving error message by @Magnus167 in PR #2181
Change correlation prob calc in category relations to only return kendall p value by @sandresen1 in PR #2183
CategoryRelations fails when using
separator = yearwithxcat1_chg="diff"by @Magnus167 in PR #2185Category Relations, incorrect index levels when using an int/years as a
separatorby @Magnus167 in PR #2190CategoryRelations.reg_scatter()for case withlabels=None, separator="cids"by @Magnus167 in PR #2193Main←Develop, v1.0.7 by @Magnus167 in PR #2199
Full Changelog: v1.0.6←v1.0.7
Release v1.0.6#
New Features#
Add integration test for downloading non-JPMAQS data by @Magnus167 in PR #2168
Bugfixes#
Fix error in check_attributes_in_sync by @sandresen1 in PR #2170
Change logging slightly to be less repetetive by @sandresen1 in PR #2171
Main←Develop, for v1.0.6 by @Magnus167 in PR #2174
Full Changelog: v1.0.5←v1.0.6
Release v1.0.5#
New Features#
Bugfixes#
Use
deconstruct_expressionin attribute synchronization checks by @Magnus167 in PR #2162
Full Changelog: v1.0.4←v1.0.5
Release v1.0.4#
New Features#
Functionality of estimating frequency for a Quantamental time-series by @lsimonsen in PR #2122
Function for simulating returns and signals by @lsimonsen in PR #2123
Add x-axis label rotate argument in Signal Returns plot functions by @sandresen1 in PR #2134
Add label dictionary to correlation and accuracy bars too by @sandresen1 in PR #2136
Add additional features to imputers by @sandresen1 in PR #2140
Allow for multiple cross-sections when xcat_grid is true by @sandresen1 in PR #2143
Add logic in make_pnl to allow for rebalancing to occur when rebal_freq is set to daily by @sandresen1 in PR #2148
Bugfixes#
Move out of sync check to jpmaqs interface by @sandresen1 in PR #2132
estimate_release_frequency()logic by @Magnus167 in PR #2133Panel calculator, using
cidswith arbitrary lengths by @Magnus167 in PR #2147
Full Changelog: v1.0.3←v1.0.4
Release v1.0.3#
New Features#
Proxy PNL minor changes by @lsimonsen in PR #2121
Bugfixes#
Correct unlagging of dates + removed bug when sklearn doesn’t use coef_ or feature_importance_ by @rushilg99 in PR #2124
Fix division by zero error in linear composite unit test by @sandresen1 in PR #2125
Full Changelog: v1.0.2←v1.0.3
Release v1.0.2#
New Features#
moved coefs_timeplot to feature importance timeplot by @rushilg99 in PR #2106
Bugfixes#
Panel validation set visualization edge case fix by @rushilg99 in PR #2112
Full Changelog: v1.0.1←v1.0.2
Release v1.0.1#
New Features#
Categorical QuantamentalDataFrame for InformationStateChanges by @Magnus167 in PR #2099
Bugfixes#
Optimise initiaisation in BasePanelLearner by @sandresen1 in PR #2102
_sync_df_categories, SettingWithCopyWarning by @Magnus167 in PR #2104Setting
observed=Truefordf.groupby()operations inmsv.ranges&msv.heatmapby @Magnus167 in PR #2105
Full Changelog: v1.0.0←v1.0.1
Release v1.0.0#
New Features#
Categorical DataFrame by @Magnus167 in PR #1936
Refactor of sequential learning processes by @rushilg99 in PR #1938
Adding unittests for QDF class & methods by @Magnus167 in PR #1997
BasePanelLearner feature correlation by @emhbrine in PR #2000
Adding tests for QDF class behaviour by @Magnus167 in PR #2013
Memory efficient sequential learning by @emhbrine in PR #2037
Change Docs summary of Macrosynergy package by @sandresen1 in PR #2038
V1.0.0 Branch, Adds functionality to all functions in the package to accept QuantamentalDataFrame Type which can utitlise memory efficient categorical datatypes by @sandresen1 in PR #2091
Bugfixes#
Ensure correct ordering when cids and xcats are specified in reduce_df by @sandresen1 in PR #2055
reduce_df - sort cids on return by @Magnus167 in PR #2057
Impute panel by @Magnus167 in PR #2067
Fix incorrect merge of linear composite by @sandresen1 in PR #2084
Full Changelog: v0.1.38←v1.0.0
Release v0.1.38#
New Features#
Bugfixes#
Correct error message when
linear_compositeis missing necessary data by @Magnus167 in PR #2041Fixes error being raised when cid doesn’t exist when complete_cids is False, similar for complete_xcats by @sandresen1 in PR #2083
Fix issue with ordering of cids in linear composite by @sandresen1 in PR #2087
Full Changelog: v0.1.37←v0.1.38
Release v0.1.37#
New Features#
PCA by @rushilg99 in PR #2019
Bugfixes#
Minor bug in
SignalReturnRelationswith storedxcatsby @Magnus167 in PR #2025
Full Changelog: v0.1.36←v0.1.37
Release v0.1.36#
New Features#
JPMaQSDownload can now use default environment variables for authentication by @Magnus167 in PR #1985
Correlation plot for signal optimizer by @rushilg99 in PR #1993
Add a retry mechanism for when attributes are out of sync with each other for a ticker by @sandresen1 in PR #1999
Bugfixes#
JPMaQS unittest adjustment for DQ env. vars by @Magnus167 in PR #1988
removed extra char in
CategoryRelationsclass doc by @Magnus167 in PR #1989
Full Changelog: v0.1.35←v0.1.36
Release v0.1.35#
New Features#
Bugfixes#
Removing deprecated Pandas calls by @Magnus167 in PR #1949
Fix panel_calculator bug on Python 3.7 by @emhbrine in PR #1971
Incorrect type-casting in
standardise_dataframeby @Magnus167 in PR #1976improve
reprof InformationStateChanges class by @Magnus167 in PR #1977
Full Changelog: v0.1.34←v0.1.35
Release v0.1.34#
Bugfixes#
Full Changelog: v0.1.33←v0.1.34
Release v0.1.33#
New Features#
Bugfixes#
Fixing docstrings for InformationStateChanges
initandkwargsby @Magnus167 in PR #1939Change
update_dfto skip empty dataframes by @Magnus167 in PR #1948Refactor
drop_nan_seriesfunction to use the specified column by @Magnus167 in PR #1953
Full Changelog: v0.1.32←v0.1.33
Release v0.1.32#
New Features#
Rename argument in
InformationStateChanges.from_qdf()by @Magnus167 in PR #1937
Bugfixes#
Fixing documentation formatting by @Magnus167 in PR #1935
Full Changelog: v0.1.31←v0.1.32
Release v0.1.31#
New Features#
Added method
InformationStateChanges.from_isc_df()by @Magnus167 in PR #1898
Full Changelog: v0.1.30←v0.1.31
Release v0.1.30#
New Features#
Allowing users to input
cbar_fontsizetomsv.view_correlationby @Magnus167 in PR #1920
Bugfixes#
Add tight layout to
view_correlation()by @Magnus167 in PR #1919
Full Changelog: v0.1.29←v0.1.30
Release v0.1.29#
New Features#
Amended signal optimizer plots to sort quantities by frequency by @rushilg99 in PR #1900
added cap arguments to so plots by @rushilg99 in PR #1902
fixed cap argument for stacked bar plot by @rushilg99 in PR #1903
modified sign and time weighted regressors by @rushilg99 in PR #1906
LARS feature selection by @rushilg99 in PR #1907
Panel imputer by @rushilg99 in PR #1911
Bugfixes#
Add empty dataframe check for check_availabilty by @sandresen1 in PR #1909
Renaming factors for feature selection heatmap by @rushilg99 in PR #1915
Full Changelog: v0.1.28←v0.1.29
Release v0.1.28#
New Features#
Changing logic for type-checking
'real_date'columns inQuantamentalDataFrametype by @Magnus167 in PR #1880
Full Changelog: v0.1.27←v0.1.28
Release v0.1.27#
New Features#
Added step for validating downloaded files by @Magnus167 in PR #1871
Update docstrings in Score Visualisers by @sandresen1 in PR #1874
Bugfixes#
Fix latest dat bug in Score Visualiser by @sandresen1 in PR #1870
Correct ffill behaviour in Score Visualisers by @sandresen1 in PR #1872
Full Changelog: v0.1.26←v0.1.27
Release v0.1.26#
New Features#
Adding
get_releasesandto_jsonmethods forInformationStateChangesclass by @lsimonsen in PR #1825Add single_scatter to multiple reg scatter by @sandresen1 in PR #1840
Fix edge case for reindexing in ScoreVisualisers by @sandresen1 in PR #1847
Allow xcat_labels to be defined in SV init by @sandresen1 in PR #1848
Add util function to merge multiple categories into one new category by @sandresen1 in PR #1850
Make regression line black when colour coding cids in multiple reg scatter by @sandresen1 in PR #1854
Add merge_categories to management init by @sandresen1 in PR #1856
Add forecast of volatility for sparse normalisation by @Magnus167 in PR #1860
Refactor certificate authentication method for clarity by @Magnus167 in PR #1863
Bugfixes#
Remove +1 from merge categories by @sandresen1 in PR #1851
Revert “Bugfix: Remove +1 from merge categories” by @sandresen1 in PR #1852
merge categories per cid by @sandresen1 in PR #1853
Make latest day a consistent definition in Score Visualiser by @sandresen1 in PR #1861
Make latest day consistent in Score Visualisers by @sandresen1 in PR #1864
Full Changelog: v0.1.25←v0.1.26
Release v0.1.25#
New Features#
Add rescore composite argument to Score Visualisers by @sandresen1 in PR #1839
Ensure the indexing of cids is followed in the plot by @sandresen1 in PR #1841
Full Changelog: v0.1.24←v0.1.25
Release v0.1.24#
New Features#
Adding a
leverageparameter toNaivePnL.make_pnl()by @Magnus167 in PR #1795Modified linear models by @rushilg99 in PR #1805
Adding unittests for
msm.utils.sparseby @Magnus167 in PR #1822Optimizing diff. creation in
msm.utils.sparseby @Magnus167 in PR #1824Changes facet plots to respect the order of xcats specified when plotting by @sandresen1 in PR #1827
Bugfixes#
Change typing so it complies with python 3.8 by @sandresen1 in PR #1835
Full Changelog: v0.1.23←v0.1.24
Release v0.1.23#
New Features#
Added
metricargument toticker_df_to_qdfby @Magnus167 in PR #1799Updating
msm.constantsfromfeature/proxy_pnl(#1560) by @Magnus167 in PR #1801Add check package version to main import by @lsimonsen in PR #1808
Information State Changes by @lsimonsen in PR #1809
renaming volatility estimation methods (and clean up mean bias) by @emhbrine in PR #1818
Bugfixes#
Incompatible type-hint in
msm.constantsby @Magnus167 in PR #1815pandas version mismatch with py3.8 by @Magnus167 in PR #1816
Full Changelog: v0.1.22←v0.1.23
Release v0.1.22#
New Features#
msm.simulate.make_test_df(), adding option to passtickersandmetricsby @Magnus167 in PR #1769
Bugfixes#
Fixing CodeCov integration by @Magnus167 in PR #1781
Updating requirements,
numpy<2.0.0by @Magnus167 in PR #1785
Full Changelog: v0.1.21←v0.1.22
Release v0.1.21#
What’s Changed#
Full Changelog: v0.1.20←v0.1.21
Release v0.1.20#
New Features#
Add Score Visualiser class to the visuals sub package by @sandresen1 in PR #1763
Bugfixes#
Fixing docstring for
ms.learning.signal_optimizerby @Magnus167 in PR #1759Fixing bug in save-as-qdf functionality in
JPMaQSDownload.download_all_to_disk()by @Magnus167 in PR #1761Fixing type-hint in the
MultiPnLclass by @Magnus167 in PR #1762
Full Changelog: v0.1.19←v0.1.20
Release v0.1.19#
New Features#
Bugfixes#
Full Changelog: v0.1.18←v0.1.19
Release v0.1.18#
New Features#
Change rst by @sandresen1 in PR #1742
Bugfixes#
Fixing
dtypeforreal_datecolumn in standard dataframe by @Magnus167 in PR #1743
Full Changelog: v0.1.17←v0.1.18
Release v0.1.17#
New Features#
Allow for either neg or pos naming of signal in accuracy and correlation bars by @sandresen1 in PR #1730
Beta estimator, SUR models and custom loss by @rushilg99 in PR #1733
Change PyPi readme to reflect learning and visuals subpackages by @sandresen1 in PR #1734
Full Changelog: v0.1.16←v0.1.17
Release v0.1.16#
New Features#
map test using linearmodels package by @rushilg99 in PR #1678
Change preferred sorting order for standard QDF by @Magnus167 in PR #1695
Adding
ax_hline&ax_vlinetomsv.LinePlotby @Magnus167 in PR #1696Uncomment main script in naive pnl by @sandresen1 in PR #1698
Add single_scatter argument in reg_scatter, also implement bug fixes and format issues in reg_scatter by @sandresen1 in PR #1703
Allow for renaming and reindexing of single statistic table by @sandresen1 in PR #1705
Add dictionary argument to multiple_relations_table to allow for labelling of xcats and rets and sorting by @sandresen1 in PR #1707
Change how default size works in reg_scatter by @sandresen1 in PR #1709
Additons to evaluate_pnls by @sandresen1 in PR #1710
Consistency score for naive PnL by @rushilg99 in PR #1713
Change order of evaluate_pnl table by @sandresen1 in PR #1717
Add readme to signal sub package by @sandresen1 in PR #1718
Remove unused imports by @sandresen1 in PR #1719
Bugfixes#
Remove ticker column from the list of metric_cols by @sandresen1 in PR #1694
Fix error in create_result_df concatenation and add type checks and unit test by @sandresen1 in PR #1697
Fix error when cid used as benchmark return in return beta isn’t used as a cid in benchmark return and xcat is xcat_hedge by @sandresen1 in PR #1704
Fix negation on signals in Signal Return Relations by @sandresen1 in PR #1712
Change label in evaluate_pnl by @sandresen1 in PR #1714
Fix multiple pnl cols by @sandresen1 in PR #1715
Change typing by @sandresen1 in PR #1724
Full Changelog: v0.1.15←v0.1.16
Release v0.1.15#
New Features#
Add sign and time weighted regressors by @emhbrine in PR #1669
Change docstring in category relations to correctly type and describe prob_est by @sandresen1 in PR #1679
Drop duplicates in
standardise_dataframe()by @Magnus167 in PR #1681Adding unittests for
msm.utils.apply_slip()by @Magnus167 in PR #1682Deprecated old documentation site by @Magnus167 in PR #1683
Increasing page size for
DQ.get_catalogue()by @Magnus167 in PR #1685Add option to specify an alternative oauth method by @sandresen1 in PR #1686
Bugfixes#
Type check for cids in Signal return relations by @sandresen1 in PR #1677
df.reset_index()on return inmsm.utils.apply_slip()by @Magnus167 in PR #1684
Full Changelog: v0.1.14←v0.1.15
Release v0.1.14#
New Features#
Add error and warnings when using valid Dataquery credentials with no JPMAQS entitlements by @sandresen1 in PR #1653
Optimise speed and memory usage of reduce_df by @sandresen1 in PR #1656
Optimise both memory and speed usage of update_tickers by @sandresen1 in PR #1657
Add unit tests to test for preservation of dataframe object outside the scope of the utility functions by @sandresen1 in PR #1662
Run notebooks using AWS ECS Fargate by @sandresen1 in PR #1665
Add external function capability to panel_calculator to allow for libraries that aren’t in the scope of panel_calculator by @sandresen1 in PR #1668
Removes copying of dataframe at the beginning of instantiation that isn’t used after by @sandresen1 in PR #1670
Bugfixes#
Fix occurence in panel calculator of when single cid is specified by @sandresen1 in PR #1463
apply_slip()raising aSettingWithCopyWarningby @Magnus167 in PR #1651Correct beta hedging order of OLS regression by @lsimonsen in PR #1666
Full Changelog: v0.1.13←v0.1.14
Release v0.1.13#
New Features#
Refining CodeCov on matrix testing by @Magnus167 in PR #1610
Refactor
qdf_to_ticker_dfby @Magnus167 in PR #1613Refactoring
update_df()&update_tickers()by @Magnus167 in PR #1623Refactor
request_wrapperby @Magnus167 in PR #1624Adding
Timerclass by @lsimonsen in PR #1626get_sops()- get starts-of-periods by @Magnus167 in PR #1631retraining pause, warnings, docs update, concurrent training by @rushilg99 in PR #1641
Bugfixes#
Fix spelling and grammatical errors in readme by @sandresen1 in PR #1625
Fix slip so it is only applied to the target category by @sandresen1 in PR #1638
Fixing bug in
FacetPlot.lineplot()by @Magnus167 in PR #1639Fix coverage report being the same name for different python versions by @sandresen1 in PR #1647
Full Changelog: v0.1.12←v0.1.13
Release v0.1.12#
New Features#
Removing
msm.types.Numericby @Magnus167 in PR #1593Add functionality to utilise log bucket to the notebook runner by @sandresen1 in PR #1601
Use
_map_to_business_day_frequencyinget_eopsby @Magnus167 in PR #1608
Bugfixes#
Fix background colour changing dependent on previous plots by @sandresen1 in PR #1602
Fix filtering bug in notebook runner by @sandresen1 in PR #1606
Full Changelog: v0.1.11←v0.1.12
Release v0.1.11#
New Features#
Adding
download_to_disk()functionality toJPMaQSDownloadby @Magnus167 in PR #1557Design change for changing CV split numbers by @rushilg99 in PR #1568
Pretty print for
msm.missing_in_df()by @Magnus167 in PR #1570Add Bespoke Metric functionality to Signal Return Relations, optimise multiple_relations_table and deprecate older functions in the sub-package by @sandresen1 in PR #1573
Restyling of coefficient stacked bar plot by @rushilg99 in PR #1577
Add kwargs for seaborn to corr matrix by @emhbrine in PR #1579
Divide each subpackage’s unittests into a matrix by @Magnus167 in PR #1584
Fix to colour coding of the stacked bar plot by @rushilg99 in PR #1585
Remove self hosted runner off package by @sandresen1 in PR #1586
Main←Test, for v0.1.11 by @Magnus167 in PR #1588
Bugfixes#
make_relative_value, fixing type-hints by @Magnus167 in PR #1567Add check for empty dataframes in
msp.correl_matrix()by @Magnus167 in PR #1572Fixing order of signs in
linear_composite(sign=...)by @Magnus167 in PR #1576Handling edge-case in
missing_in_df()by @Magnus167 in PR #1589
Full Changelog: v0.1.10←v0.1.11
Release v0.1.10#
New Features#
Add Dictionary type for xcat labels in plot pnls by @sandresen1 in PR #1558
enet selector by @rushilg99 in PR #1559
Bugfixes#
Bump minimum
scikit-learnversion to 1.2.2 by @Magnus167 in PR #1540CategoryRelationsdocstrings by @Magnus167 in PR #1541Fix connection error in notebook runner by @sandresen1 in PR #1547
Full Changelog: v0.1.9←v0.1.10
Release v0.1.9#
New Features#
Signal Optimizer explainability by @rushilg99 in PR #1472
Add
TOKEN_EXPIRY_BUFFERtodataquery.Oauthby @Magnus167 in PR #1534
Bugfixes#
Fix variable name in
msv.timelines()function by @Magnus167 in PR #1518get_eops- fixdates=Nonebehaviour by @Magnus167 in PR #1523Revert “Bugfix:
get_eops- fixdates=Nonebehaviour” by @Magnus167 in PR #1524Dates behaviour in
get_eops()by @Magnus167 in PR #1525Revert “Feature: Add
blacklistparameter toview_timelines()/msv.timelines()” by @Magnus167 in PR #1532
Full Changelog: v0.1.8←v0.1.9
Release v0.1.8#
New Features#
Notebook Runner workflow by @Magnus167 in PR #1432
Workflow for notebook runner by @Magnus167 in PR #1433
Change argument name of multiple_reg_scatter to match reg_scatter by @sandresen1 in PR #1503
Add Workflow that runs all notebooks by @sandresen1 in PR #1506
Add
blacklistparameter toview_timelines()/msv.timelines()by @Magnus167 in PR #1509
Bugfixes#
Set apply util, raise_error to false so it doesn’t fail if cross sections don’t exist by @sandresen1 in PR #1507
Full Changelog: v0.1.7←v0.1.8
Release v0.1.7#
Bugfixes#
Fix bug on logic of communal sample period by @sandresen1 in PR #1500
Full Changelog: v0.1.6←v0.1.7
Release v0.1.6#
New Features#
AUC and Macrosynergy panel test p-value statistics added to signal return relations by @sandresen1 in PR #1376
Multiple Reg Scatter by @sandresen1 in PR #1453
create copy of scoring dictionary instead of manipulating the users’ by @rushilg99 in PR #1455
Refactor
macrosynergy.downloadsubpackage by @Magnus167 in PR #1464View Timelines by @sandresen1 in PR #1473
Adjust coef box fontsize by @sandresen1 in PR #1475
Parameter formatting in docstrings by @Magnus167 in PR #1483
function to display joint signal vs return & PnL statistics by @rushilg99 in PR #1487
models_heatmap fix when only one model is selected by @rushilg99 in PR #1488
Bugfixes#
Remove debug timer from facetplot by @sandresen1 in PR #1476
added set_params method to all linear weighted models by @rushilg99 in PR #1477
Minor change to
historic_volunittests by @Magnus167 in PR #1478JPMaQSDownload, adding more log statements by @Magnus167 in PR #1484Fix indexing error when cumulative sum in view timelines is called by @sandresen1 in PR #1486
Set default position of legend to be outside the plot by @sandresen1 in PR #1492
Change legend loc default by @sandresen1 in PR #1493
Full Changelog: v0.1.5←v0.1.6
Release v0.1.5#
New Features#
Extending type-hinting functionality of
QuantamentalDataFrameto subclasspd.DataFrameby @Magnus167 in PR #1264Fix
datetime.datetime.utcnow()usage by @Magnus167 in PR #1393Docs, Elastic Search by @Magnus167 in PR #1429
Optimize dataframe conversion in
JPMaQSDownload()by @Magnus167 in PR #1442LAD linear regressor with a positive restriction option by @rushilg99 in PR #1443
Sign- and Time- weighted LAD linear regression models by @rushilg99 in PR #1447
Add unit tests for VintageData class by @Magnus167 in PR #1448
Signal optimiser edge case handling for no model selected + blacklisted country not in the dataframe by @rushilg99 in PR #1452
Bugfixes#
Revert “Feature: Speed up view_timelines” by @sandresen1 in PR #1423
Remove deprecated
msm.DataQueryInterfaceclass and unittest by @Magnus167 in PR #1426Update
datetime.utcnow()usage to usetimezone.utcby @Magnus167 in PR #1428Correct logging level for DQ paginated responses by @Magnus167 in PR #1439
Fix QDF column names in docstrings by @Magnus167 in PR #1444
Fix formatting issue release_notes.py by @Magnus167 in PR #1445
Added reversible mapping for
_map_to_business_day_frequencyby @Magnus167 in PR #1446Fix
JPMaQS.check_connection()calls and delay param by @Magnus167 in PR #1457missing cids from linear composite are correctly removed by @sandresen1 in PR #1461
Full Changelog: v0.1.4←v0.1.5
Release v0.1.4#
New Features#
Updating delay param code by @Magnus167 in PR #1412
Xcat aggregation is performed if new_xcat name is declared by @sandresen1 in PR #1414
Bugfixes#
Fix artifact upload having the incorrect versioning with deployment to github pages by @sandresen1 in PR #1411
Fix how update tickers works and fix errors caused if using pandas v2.2 by @sandresen1 in PR #1413
Fix error thrown when ncols is specified in reg_scatter by @sandresen1 in PR #1415
Full Changelog: v0.1.3←v0.1.4
Release v0.1.3#
New Features#
Remove deprecated code and documentation for
macrosynergy.dataqueryby @Magnus167 in PR #1394Add references to subpackage README.md files by @Magnus167 in PR #1395
time- & sign- weighted least squares by @rushilg99 in PR #1396
Bugfixes#
Add permissions to PyPi Workflow by @sandresen1 in PR #1391
Revert “Docs: Update subpackage READMEs and generate documentation” by @sandresen1 in PR #1398
Full Changelog: v0.1.2←v0.1.3
Release v0.1.2#
New Features#
Sign- and time-weighted regression models by @rushilg99 in PR #1365
signal optimiser unit tests, error handling and rolling option by @rushilg99 in PR #1373
Add ncol argument to reg_scatter by @sandresen1 in PR #1380
Performance metric unit tests by @rushilg99 in PR #1383
Splitter visualisation tests by @rushilg99 in PR #1384
Bugfixes#
Adding ‘build’ flag to RTD.yml by @Magnus167 in PR #1375
Full Changelog: v0.1.1←v0.1.2
Release v0.1.1#
New Features#
Change unittests matrix to run only on
mainbranch by @Magnus167 in PR #1350Update publish trigger for docs-site by @Magnus167 in PR #1354
LassoSelector no feature selected check by @rushilg99 in PR #1355
Sorting release notes as Features & Bugfixes by @Magnus167 in PR #1359
vectorize expanding mean in
make_zn_scoresby @emhbrine in PR #1366
Bugfixes#
Update logo URL in JPB docs site by @Magnus167 in PR #1342
Change legend location to appear below the plot to prevent squashing of the graph and stop overwriting of the variable legend_loc by @sandresen1 in PR #1349
Parameter’s values weren’t being used to adjust the formatting of the timeline by @sandresen1 in PR #1353
Fix formatting issues in Usage Examples by @Magnus167 in PR #1358
Change to legend so it is in the same place with respect to the x labels as a default by @sandresen1 in PR #1360
Change palette so legend colour matches scatter plot colour by @sandresen1 in PR #1363
Cross-Sectional mean is only interpreted across cids specified instead of globally across dataframe by @sandresen1 in PR #1367
Full Changelog: v0.1.0←v0.1.1
Release v0.1.0#
New Features#
Updating Docs site - Sphinx by @Magnus167 in PR #1289
learning subpackage unit tests + docs changes by @rushilg99 in PR #1297
blacklisting fix for multiple periods of same xs + slicing by @rushilg99 in PR #1307
Make heatmap more aesthetically pleasing by @sandresen1 in PR #1309
removed experimental notices by @rushilg99 in PR #1317
Added check for concentrated zero predictions for MAP test by @rushilg99 in PR #1325
more learning unit tests by @rushilg99 in PR #1326
ZN Score neutral level can now be a number by @sandresen1 in PR #1329
Reformatting of files and removing unused imports by @sandresen1 in PR #1330
removed experimental notice for learning + docs changes by @rushilg99 in PR #1337
Bugfixes#
Reverts negation of signal on instantiation of Signal Return Relations by @sandresen1 in PR #1310
Title fontsize specified is used in plot pnl by @sandresen1 in PR #1312
Removes duplicate frequencies from signal returns without reordering the list by @sandresen1 in PR #1314
Change docstring to stop bugged formatting on docs site by @sandresen1 in PR #1331
Full Changelog: v0.0.51←v0.1.0
Release v0.0.52#
New Features#
learning subpackage unit tests + docs changes by @rushilg99 in PR #1297
blacklisting fix for multiple periods of same xs + slicing by @rushilg99 in PR #1307
Make heatmap more aesthetically pleasing by @sandresen1 in PR #1309
removed experimental notices by @rushilg99 in PR #1317
Bugfixes#
Reverts negation of signal on instantiation of Signal Return Relations by @sandresen1 in PR #1310
Title fontsize specified is used in plot pnl by @sandresen1 in PR #1312
Removes duplicate frequencies from signal returns without reordering the list by @sandresen1 in PR #1314
Full Changelog: v0.0.51←v0.0.52
Release v0.0.51#
New Features#
Add functionality to specify feature and return signal in correlation bars by @sandresen1 in PR #1292
Add unit tests and fix small bug by @sandresen1 in PR #1293
Add extra argumentss to accuracy_bars by @sandresen1 in PR #1294
Updating
actions/checkouttov4by @Magnus167 in PR #1295renaming avgnormftrtransformer by @rushilg99 in PR #1296
blacklisting for signal optimiser by @rushilg99 in PR #1299
Optimise Single Statistic Table by @sandresen1 in PR #1300
feature averager by @rushilg99 in PR #1302
Bugfixes#
Remove duplicate frequencies, if defined in Signal Return Relations by @sandresen1 in PR #1290
Ensure negation of signals is reverted by @sandresen1 in PR #1291
Fix bug where lineplot plotted xcats in alphabetical order instead of specified order by @sandresen1 in PR #1298
Full Changelog: v0.0.50←v0.0.51
Release v0.0.50#
New Features#
Refactoring
historic_vol()by @Magnus167 in PR #1247Remove old group-id from
DataQueryInterface.get_catalogue()by @Magnus167 in PR #1249reordered learning submodule constructor by @rushilg99 in PR #1255
added
title_fontsizearg toSignalReturnRelationsplotting methods by @Magnus167 in PR #1259type and value checks for transformers + minor refactoring by @rushilg99 in PR #1262
Out of sample signal optimiser + new transformers + new predictors by @rushilg99 in PR #1266
Added logic to sort DF from
JPMaQSDownloadby @Magnus167 in PR #1268Set rounding for statistic table heatmap by @sandresen1 in PR #1270
Refactor panel calculator by @sandresen1 in PR #1273
mapselector now returns zeros when no features are significant by @rushilg99 in PR #1274
Naive predictor class published by @rushilg99 in PR #1275
Add small typing to panel calculator by @sandresen1 in PR #1276
Small refactor/reformat to make_zn_scores by @sandresen1 in PR #1279
refactor return beta by @sandresen1 in PR #1281
Add label for cs mean in view_timelines by @sandresen1 in PR #1282
Bugfixes#
Removes incorrect assert from update_df and add more robust tests by @sandresen1 in PR #1250
Allows QDF Type to be an empty dataframe by @sandresen1 in PR #1257
When cross sections intersections exclusively across signals are empty the communal sample doesn’t index from the dataframe by @sandresen1 in PR #1261
Seaborn version/Missing heatmap annotations by @Magnus167 in PR #1269
Fix typing error which declares a tuple by @sandresen1 in PR #1280
Full Changelog: v0.0.49←v0.0.50
Release v0.0.49#
New Features#
Adaptive signal generation from ML predictions by @rushilg99 in PR #1223
Deprecating singular arguments (ret, sig, freq, agg_sig and rival_sigs) in Signal Return Relations by @sandresen1 in PR #1235
Add option for custom title font size in
NaivePNL.plot_pnls()function by @Magnus167 in PR #1237
Bugfixes#
Remove single character variables to prevent linting from failing by @sandresen1 in PR #1236
Make assertion error in
update_dfmore informative by @sandresen1 in PR #1240
Full Changelog: v0.0.48←v0.0.49
Release v0.0.48#
New Features#
Reformat docstring in signal returns by @sandresen1 in PR #1224
Consolidate Signal Return Relations and Signals Returns into one single class by @sandresen1 in PR #1227
Bugfixes#
Required version of matplotlib is now at least 3.6.0 to avoid runtime error when declaring title in visuals by @sandresen1 in PR #1225
Full Changelog: v0.0.47←v0.0.48
Release v0.0.47#
New Features#
Lasso and MAP feature selection + Z score signal creation by @rushilg99 in PR #1176
Show 10 slowest tests in test output by @sandresen1 in PR #1191
Added README for
macrosynergy.learningby @rushilg99 in PR #1192Remove expanding_statistics.py & refactor math.py by @sandresen1 in PR #1195
function to translate test predictions into Naive PnLs by @rushilg99 in PR #1198
Added cids to constructor of Signals Returns by @sandresen1 in PR #1200
Add warning to when cids specified in Signal Base are not in the reduced dataframe by @sandresen1 in PR #1201
Consolidate cids into signal base by @sandresen1 in PR #1204
Refactoring of Signals Directory by @sandresen1 in PR #1205
Refactoring Converge Row by @sandresen1 in PR #1206
return self in transformer fit + dataframe in benchmark transformation by @rushilg99 in PR #1208
Bugfixes#
Fixed bug where cids is declared incorrectly in output_table by @sandresen1 in PR #1199
Add context manager to correlation matrix plotting by @Magnus167 in PR #1211
Add legend location and bbox args to
view_ranges()by @Magnus167 in PR #1212
Full Changelog: v0.0.46←v0.0.47
Release v0.0.46#
New Features#
Add a Required Review Directive to workflow by @sandresen1 in PR #1120
Consolidating
msm.simulate_*functions by @Magnus167 in PR #1132Code Coverage excludes code that won’t be executed by @sandresen1 in PR #1144
Added more unit tests for category_relations by @sandresen1 in PR #1147
Adding
granger_causality_test()by @Magnus167 in PR #1148Sub-package for
msm.utilsby @Magnus167 in PR #1149added a range of non-standard scikit-learn performance metrics to ms.learning by @rushilg99 in PR #1164
Remove unnecessary copying of dataframe by @sandresen1 in PR #1165
Add new tests for signal directory by @sandresen1 in PR #1169
corrected type check for multi-index index format for returns in metric.py by @rushilg99 in PR #1172
Add more unit tests to Signal Return Relations by @sandresen1 in PR #1173
Add test to naive_pnl and prevent tests from outputting plots directly by @sandresen1 in PR #1175
Remove unnecessary call to mpl by @sandresen1 in PR #1184
Bugfixes#
Clear branch cache by @sandresen1 in PR #1143
Removed purging cache failure upon merging to develop by @sandresen1 in PR #1154
make_relative_value(), unintented warning when preparing basket by @Magnus167 in PR #1158Change precision of tests to be more forgiving by @sandresen1 in PR #1160
Uses seaborn style correctly by @sandresen1 in PR #1161
Fix time_series_check number error by @sandresen1 in PR #1167
Fixing docs scripts for subpackages-within-subpackages by @Magnus167 in PR #1170
Changed tests to use relative tolerance to prevent occasional false failure by @sandresen1 in PR #1174
Clips expected zn scores to prevent occasional false failure on modify signals test by @sandresen1 in PR #1178
Removed unnecessary comments from
msp.__init__by @Magnus167 in PR #1182
Full Changelog: v0.0.45←v0.0.46
Release v0.0.45#
New Features#
new class
SignalsReturns, complementingSignalReturnRelationsby @sandresen1 in PR #1043Custom types and
isinstance()checks by @Magnus167 in PR #1069Implementing
QuantamentalDataFrameas a type by @Magnus167 in PR #1071macrosynergy.management.decorators, consolidating common functionality by @Magnus167 in PR #1074CI/CD, clear GitHub actions caches post PR merge by @Magnus167 in PR #1082
Renaming workflow job names for status checks by @Magnus167 in PR #1106
Consolidating management utilities by @Magnus167 in PR #1111
Removing
pd.DataFramefrommsm.decorators.argcopyby @Magnus167 in PR #1116Subpackage for utilities by @Magnus167 in PR #1121
Prevent Build from succeeding if sys.path.append(os.getcwd()) is found by @sandresen1 in PR #1124
Remove use of deprecated function set-output in github actions by @sandresen1 in PR #1130
Bugfixes#
CI/CD, fixing check-pr action by @Magnus167 in PR #1103
CI/CD, check-pr workflow by @Magnus167 in PR #1104
Error messages in
make_zn_scores()by @Magnus167 in PR #1107Side-effects in
qdf_to_ticker_df()util. by @Magnus167 in PR #1112Incorrect version format for development versions by @Magnus167 in PR #1114
Adjustments for colourblind users by @Magnus167 in PR #1115
Updating deprecation message for MSM methods by @Magnus167 in PR #1122
Unittest, using
np.allcloseinstead ofnp,all&equby @Magnus167 in PR #1123Integration tests can’t run concurrently by @sandresen1 in PR #1127
Reverting “Feature: Subpackage for utilities” by @Magnus167 in PR #1135
Full Changelog: v0.0.44←v0.0.45
Release v0.0.44#
New Features#
new
panel_cv_scoresto return cv scores over a panel by @rushilg99 in PR #1055Consolidates apply_slip into utils.py by @sandresen1 in PR #1066
optional std dev cv metric + long bias display by @rushilg99 in PR #1077
Common cache on the
developbranch by @Magnus167 in PR #1079added metrics to detect long bias in a model by @rushilg99 in PR #1081
ms.learning, added benchmark transformer class by @rushilg99 in PR #1083CI/CD, Pull request QC and directives by @Magnus167 in PR #1084
Efficiency changes to shape_dfs.py by @sandresen1 in PR #1085
check_pr()added version based directives by @Magnus167 in PR #1093
Bugfixes#
test_signal_return, usingnp.iscloseinstead ofroundby @Magnus167 in PR #1072macrosynergy.visuals, safely failing when “seaborn-darkgrid” style is not available by @Magnus167 in PR #1075CI/CD, common cache by @Magnus167 in PR #1080
PR QC failing when no description provided by @sandresen1 in PR #1086
Merge-After directive not working in PRs by @Magnus167 in PR #1088
Change unit test to use relative tolerance to avoid test failing by @sandresen1 in PR #1091
view_timelines(), cross-sectional mean not working by @Magnus167 in PR #1092Seaborn/Matplotlib style issue by @Magnus167 in PR #1094
PR QCD workflow by @Magnus167 in PR #1095
Full Changelog: v0.0.43←v0.0.44
Release v0.0.43#
New Features#
PanelTimeSeriesSplit, added module docstring by @Magnus167 in PR #985Added print stdout arg to test args in
pyproject.tomlby @Magnus167 in PR #1033ticker_df_to_qdf()utility by @Magnus167 in PR #1034extend
correl_matrixto calculate correlation between two sets by @emhbrine in PR #1041pytest-xdist, running multi-threaded tests by @sandresen1 in PR #1042Caches dependencies when building by @sandresen1 in PR #1047
Modular GH-actions by @Magnus167 in PR #1052
Bugfixes#
Change to
historic_vol.get_cycles()to reduce memory overhead by @sandresen1 in PR #1035JPMaQSDownloader, downloading generic DQ expressions by @Magnus167 in PR #1038Small change to unittest so it asserts due to unknown category by @sandresen1 in PR #1040
Remove multithreading in integration test workflows by @sandresen1 in PR #1051
Full Changelog: v0.0.42←v0.0.43
Release v0.0.42#
Bugfixes#
Cleaning up imports in
jpmaqs.pyby @Magnus167 in PR #1011Standard keywords in
make_test_df()by @Magnus167 in PR #1014Cumulative Sum,
msv.view.timelinesby @Magnus167 in PR #1015Updating the URL for the logo in
docs/assets/jpb-config.ymlby @Magnus167 in PR #1016is_valid_iso_dateby @Magnus167 in PR #1022
Full Changelog: v0.0.41←v0.0.42
Release v0.0.41#
Bugfixes#
msv.view.timelinessorting facet titles alphabetically by @Magnus167 in PR #1004
Full Changelog: v0.0.40←v0.0.41
Release v0.0.40#
Bugfixes#
view_timelines()title adjustment by @Magnus167 in PR #996Single
cidchart withxcat_gridby @Magnus167 in PR #997
Full Changelog: v0.0.39←v0.0.40
Release v0.0.39#
New Features#
Delete
macrosynergy.pnl.real_pnlby @Magnus167 in PR #986Removing
pyyamldependency by @Magnus167 in PR #987Updating
pyproject.tomlby @Magnus167 in PR #989
Full Changelog: v0.0.38←v0.0.39
Release v0.0.38#
Bugfixes#
Updating docs landing page by @Magnus167 in PR #981
Full Changelog: v0.0.37←v0.0.38
Release v0.0.37#
New Features#
Update README.md logo by @Magnus167 in PR #955
Added ability to pass directives in docstrings by @Magnus167 in PR #956
PanelTimeSeriesSplit, added figsize to visualisation method by @rushilg99 in PR #970PanelTimeSeriesSplit, matplotlib changes by @rushilg99 in PR #971PanelTimeSeriesSplit, matplotlib graphics change by @rushilg99 in PR #972msm.utils, updatingstandardise_dataframefunction by @Magnus167 in PR #973
Bugfixes#
Adding tests and warnings to docs by @Magnus167 in PR #960
PanelTimeSeriesSplit, fixed adjustment of n_splits and train, test indices by @rushilg99 in PR #963CategoryRelations, missing XCAT error message by @Magnus167 in PR #964CategoryRelations, fixed Pandas warnings by @Magnus167 in PR #965panel_calculator(), error with CID-XCAT intersection by @Magnus167 in PR #968msm.utils.standardise_dataframe, code indentation by @Magnus167 in PR #974
Full Changelog: v0.0.36←v0.0.37
Release v0.0.36#
Bugfixes#
Bug - source misconfigured in TOML by @Magnus167 in PR #950
Full Changelog: v0.0.35←v0.0.36
Release v0.0.35#
New Features#
Adding line styles to
make_test_df()by @Magnus167 in PR #938
Bugfixes#
check_availability(), negative last updated date by @Magnus167 in PR #928Naive PNL - weekly rebal freq, attribute error by @Magnus167 in PR #933
New depr. warnings from
pandas==2.1.0by @Magnus167 in PR #939
Full Changelog: v0.0.34←v0.0.35
Release v0.0.34#
New Features#
Add FAQs to README by @Magnus167 in PR #889
Bugfixes#
linear_composite(), added pass-through fornormalize_weightsarg by @Magnus167 in PR #890‘check_availabilites()’ - “future” dates in plots by @Magnus167 in PR #894
Fixing
test_relative_valueby @Magnus167 in PR #899CategoryRelations()aggregation error by @Magnus167 in PR #901linear_composite()weights problem by @Magnus167 in PR #903SignalReturnRelations.apply_slip()to raise warning instead of error for missing tickers by @Magnus167 in PR #904Linear Composites, missing
xcatswhen usingxcat_aggby @Magnus167 in PR #906check_availability()- negative missing days by @Magnus167 in PR #914
Full Changelog: v0.0.33←v0.0.34
Release v0.0.33#
New Features#
Changing Integration tests by @Magnus167 in PR #869
Bugfixes#
Warning added to
_prepare_basketby @Magnus167 in PR #803Reverting
view_timelines()to last-stable-version by @Magnus167 in PR #874Added passthrough for title_xadj by @Magnus167 in PR #879
Updating docstring for
linear_composite()by @Magnus167 in PR #880ISRELEASED=True for v0.0.33 by @Magnus167 in PR #884
ISRELEASED=True for v0.0.33 by @Magnus167 in PR #885
ISRELEASED=True for v0.0.33 by @Magnus167 in PR #886
Full Changelog: v0.0.32←v0.0.33
Release v0.0.32#
What’s Changed#
Update setup.py for v0.0.32 by @Magnus167 in PR #849
Bugfix : View Timelines, single CID charts legend by @Magnus167 in PR #844
Bugfix : Removing
vweights_thresholdparam from linear_composites by @Magnus167 in PR #850Feature : Hide legend in
view_ranges()when a single xcat is being shown by @Magnus167 in PR #835Feature : Changing Unit Testing strategy for CI/CD branches by @Magnus167 in PR #851
Updated setup.py for v0.0.32 by @Magnus167 in PR #852
Test←Develop for v0.0.32 by @Magnus167 in PR #853
Removed Windows & MacOS from release tests by @Magnus167 in PR #855
Test←Develop for v0.0.32 by @Magnus167 in PR #856
Feature : Update DQ Group ID by @Magnus167 in PR #858
Updating Test branch by @Magnus167 in PR #859
Main←Test for v0.0.32 by @Magnus167 in PR #860
Full Changelog: v0.0.31←v0.0.32
Release v0.0.31#
New Features#
Adding slippage functionality to SignalReturnRelations by @Magnus167 in PR #819
Full Changelog: v0.0.30←v0.0.31
Release v0.0.30#
New Features#
view_timelines- Title-fontsize and Title-X-Pos adjustment by @Magnus167 in PR #817Add docstring to
CategoryRelations.apply_slipby @Magnus167 in PR #818
Bugfixes#
Added warning behavior to
CategoryRelations.intersection_cidsby @Magnus167 in PR #804
Full Changelog: v0.0.29←v0.0.30
Release v0.0.29#
What’s Changed#
Main→Develop after release v0.0.28 by @Magnus167 in PR #799
Updating Version Number for v.0.0.29 by @Magnus167 in PR #800
Bugfix : Unittest/API by @Magnus167 in PR #805
Bugfix : Changed pandoc dependency in
pyproject.tomlby @Magnus167 in PR #808Feature : Error info to include
client_id/certusernameas a genericuser_idby @Magnus167 in PR #810Updated setup.py for release by @Magnus167 in PR #811
Test←Develop by @Magnus167 in PR #812
Main←Test for release v0.0.29 by @Magnus167 in PR #813
Full Changelog: v0.0.28←v0.0.29
Release v0.0.28#
New Features#
Adding
pyproject.tomlby @Magnus167 in PR #788
Bugfixes#
test_package.py, Failing on Windows systems by @Magnus167 in PR #794
Full Changelog: v0.0.27←v0.0.28
Release v0.0.27#
What’s Changed#
NOTE: DataQuery requests now make a heartbeat check by default before requesting expressions/tickers
updated version number for v0.0.27 by @Magnus167 in PR #694
Feature/force_heartbeat by @Magnus167 in PR #695
Test ← Develop for v0.0.27 by @Magnus167 in PR #696
Main ← Test for v0.0.27 by @Magnus167 in PR #697
Full Changelog: v0.0.26←v0.0.27
Release v0.0.26#
What’s Changed#
Main → Develop for v0.0.25 by @Magnus167 in PR #681
updated version number for v0.0.26 by @Magnus167 in PR #682
Bugfix : Unbound variable error with retry logic in ms.download by @Magnus167 in PR #687
Bugfix : corrected exception handling in retry routine by @Magnus167 in PR #691
Bugfix : Changed internal date formatting by @Magnus167 in PR #689
Test ← Develop for v0.0.26 by @Magnus167 in PR #692
Main ← Test by @Magnus167 in PR #693
Full Changelog: v0.0.25←v0.0.26
Release v0.0.25#
What’s Changed#
code change for reshape of df_out and forward fill by @rsueppel in PR #596
Develop ← Main from v0.0.23 by @Magnus167 in PR #646
updated version number for v0.0.25 by @Magnus167 in PR #647
bugfix/naivepnl_facet_plots is still alive. by @Magnus167 in PR #649
Added xcat_grid to enable facetgraph for xcats by @Magnus167 in PR #651
updating branch with recent changes by @Magnus167 in PR #653
updated code_ql action by @Magnus167 in PR #658
fixed legend for non-faceted graphs; added shared-axis-label feature by @Magnus167 in PR #650
view_timelines title_adj: float = 0.95 by @rsueppel in PR #666
Bugfix : Updated error message for …InvalidResponseError by @Magnus167 in PR #668
Bugfix : Fixed API retry behaviour by @Magnus167 in PR #669
Fixed typo in package README.md by @Magnus167 in PR #670
Bugfix : Category relations with “cids” as separator by @Magnus167 in PR #667
reestimation frequency historic vol by @Magnus167 in PR #595
Bugfix : view_timelines, size arg by @Magnus167 in PR #673
Feature : Single Chart Argument on View Timelines by @Magnus167 in PR #671
Feature : Change default plot size in visual paneldates by @Magnus167 in PR #672
Feature : Updated setup.py for [3.7, 3.11] by @Magnus167 in PR #675
Change license MIT → BSD 3-Clause “New”/”Revised” by @Magnus167 in PR #637
Feature : updated workflows to run on py[3.7, 3.11] by @Magnus167 in PR #676
Bugfix : NaivePNL, XCAT labels in legend by @Magnus167 in PR #677
Bugfix : Fixed issue #664 again by @Magnus167 in PR #678
Test ← Develop for v0.0.25 by @Magnus167 in PR #679
Main ← Test for v0.0.25 by @Magnus167 in PR #680
Full Changelog: v0.0.24←v0.0.25
Release v0.0.24#
What’s Changed#
Develop ← Main after release by @Magnus167 in PR #633
Feature/cat relations split by @rushilg99 in PR #628
updated version number for v0.0.24 by @Magnus167 in PR #634
added show_progress functionality for download by @Magnus167 in PR #635
Feature : Linear Composites by @Magnus167 in PR #639
Bugfix : naive_pnl.plot_pnls() - facet plots by @Magnus167 in PR #641
Test ← Develop for v0.0.24 by @Magnus167 in PR #643
Main ← Test for v0.0.24 by @Magnus167 in PR #644
New Contributors#
@rushilg99 made their first contribution in PR #628
Full Changelog: v0.0.23←v0.0.24
Release v0.0.23#
What’s Changed#
The
macrosynergy.dataquerymodule has been deprecated, with functionality moved tomacrosynergy.download. Please refer to documentation for further details.*in [PR #recated, with functionality moved tomacrosynergy.download. Please refer to documentation for further details.](https://github.com/macrosynergy/macrosynergy/pull/recated, with functionality moved tomacrosynergy.download. Please refer to documentation for further details.**)updated version number for v0.0.22 by @Magnus167 in PR #602
Make DQ heartbeat (check connection) optional with default False by @Magnus167 in PR #605
Main - downstream for develop by @lsimonsen in PR #608
updated version number for v0.0.23 by @Magnus167 in PR #610
corrected job name on Publish to PyPI workflow by @Magnus167 in PR #611
added “proxies” keyword to api init kwargs by @Magnus167 in PR #613
Updated readme with api usage example for proxy server by @Magnus167 in PR #612
adding buisness days dif to be called from the package by @CyrusYavariMacro in PR #614
changes to setup.py for python version 3.10, 3.11 by @Magnus167 in PR #615
updated GH-actions versions by @Magnus167 in PR #616
Feature/api refactor by @Magnus167 in PR #604
API - logging related changes by @Magnus167 in PR #617
pinning sphinx (and sphinx themes’) version by @Magnus167 in PR #621
Bugfix in business_day_dif by @Magnus167 in PR #620
Bugfix (removing bugfix) in panel/panel_calculator.py by @Magnus167 in PR #618
Bugfixes in macrosynergy/download/dataquery.py by @Magnus167 in PR #622
Feature/docsbug by @CyrusYavariMacro in PR #624
API changes for ChunkedEncodingError and recording DQ Error messages by @Magnus167 in PR #626
Feature : Print Debug Logs by @Magnus167 in PR #629
changed readme by @Magnus167 in PR #631
Test ← Develop for v0.0.23 by @Magnus167 in PR #630
Main ← Test for v0.0.23 release by @Magnus167 in PR #632
Full Changelog: v0.0.22←v0.0.23
Release v0.0.22#
What’s Changed#
main ← hotfix/dq_heartbeat by @Magnus167 in PR #607
Full Changelog: v0.0.21←v0.0.22
Release v0.0.21#
What’s Changed#
updated version number to v0.0.21 by @Magnus167 in PR #591
Corrected xcat label assignment in NaivePNL by @Magnus167 in PR #594
DQ API add optional proxy server function by @lsimonsen in PR #598
merging test←develop for v0.0.21 by @Magnus167 in PR #599
Merging main←test, for releasing v0.0.21 by @Magnus167 in PR #600
Full Changelog: v0.0.20←v0.0.21
Release v0.0.20#
What’s Changed#
pushing v.0.0.19 by @Magnus167 in PR #560
Updated setup.py for v0.0.20 by @Magnus167 in PR #572
Fixed twine upload destination for TestPyPI by @Magnus167 in PR #573
develop -> test by @Magnus167 in PR #574
Corrected GH secrets token name in TestPyPI workflow by @Magnus167 in PR #575
develop -> test by @Magnus167 in PR #576
Updating readme by @CyrusYavariMacro in PR #577
Changed DataQuery API batch size from 10 to 20 by @Magnus167 in PR #578
Make integration tests run on the test branch by @Magnus167 in PR #580
added integration test to Publish to TestPyPI worklflow by @Magnus167 in PR #581
Adding workflow to publish to PyPI on release by @Magnus167 in PR #579
changed comments & whitespace in docs/source/conf.py by @Magnus167 in PR #582
Updating the test branch by @Magnus167 in PR #583
Removing publish command; for testing purposes by @Magnus167 in PR #586
Merge to Test from Develop, with Publish to TestPyPI disabled by @Magnus167 in PR #587
Merging into main from test, pushing v0.0.20 to PyPI by @Magnus167 in PR #588
Full Changelog: v0.0.19←v0.0.20
Release v0.0.19#
What’s Changed#
Merging version 0.0.18@develop to 0.0.18@test by @Magnus167 in PR #541
Feature/publish test py pi workflow by @Magnus167 in PR #543
Feature/publish test py pi workflow by @Magnus167 in PR #544
Feature/fix by @Magnus167 in PR #550
Feature/fix by @Magnus167 in PR #551
Feature/fix (#550) by @lsimonsen in PR #554
Test fixes by @lsimonsen in PR #548
Updated plot_pnls to include facets argument by @Magnus167 in PR #557
Updated setup.py for v0.0.19 by @Magnus167 in PR #559
Feature/main by @lsimonsen in PR #562
No squeeze by @lsimonsen in PR #565
Feature/new main by @lsimonsen in PR #564
Feature/fix (#550) by @lsimonsen in PR #563
Feature/main by @lsimonsen in PR #568
Feature/test by @lsimonsen in PR #567
Suggestion for PyPI version checks by @lsimonsen in PR #556
Updated install instructions in README.md by @Magnus167 in PR #569
Full Changelog: v0.0.18←v0.0.19
Release v0.0.18#
What’s Changed#
Release of bugfix to version 0.0.13 by @lsimonsen in PR #373
naive_pnl some changes for efficiency by @rsueppel in PR #514
MSY-500 Naive PnL mis-match of shapes by @lsimonsen in PR #517
Updating index by @CyrusYavariMacro in PR #516
Requirements by @CyrusYavariMacro in PR #520
#506 bugfix by @Magnus167 in PR #518
Updating test repo by @CyrusYavariMacro in PR #521
Updating main repo (#521) by @CyrusYavariMacro in PR #522
Changed L11 to avoid an extra ‘/’ in the API URLs by @Magnus167 in PR #531
Updating test repo (#521) by @lsimonsen in PR #532
Updated call to sns.lineplot to use “estimator” instead of “ci” by @Magnus167 in PR #525
changed “ci” keyword to “estimator” in sns.lineplot calls in view_timelines.py by @Magnus167 in PR #524
Main -> develop by @lsimonsen in PR #533
Fixed bug arising due to a type error by @Magnus167 in PR #523
Feature/codecov by @CyrusYavariMacro in PR #534
Updating integration test by @CyrusYavariMacro in PR #536
Adding feature to publish to TestPyPI by @Magnus167 in PR #527
Feature/check availability windows by @CyrusYavariMacro in PR #538
updating readme by @CyrusYavariMacro in PR #540
Feature/create panel for naive pnl 528 by @Magnus167 in PR #547
Feature/updatedreadme by @CyrusYavariMacro in PR #545
Feature/fix by @Magnus167 in PR #549
Full Changelog: v0.0.17←v0.0.18
Release v0.0.17#
What’s Changed#
shortening categories_relations and Todos by @rsueppel in PR #422
small changes, small Todos, and one big Todo by @rsueppel in PR #431
signal_return: partial review and TODOs by @rsueppel in PR #437
refactored hedge_ratio to returnbeta by @rsueppel in PR #448
DQ HTTP response code non-ok by @lsimonsen in PR #463
for naive_pnl moves sig_neg option to make_pnl method by @rsueppel in PR #473
mainly fixes sort_cids_by bug in view_ranges by @rsueppel in PR #474
naive_pnl debug line 100 was missing maxplit by @rsueppel in PR #480
New Contributors#
Full Changelog: v0.0.16←v0.0.17
Release v0.0.16#
What’s Changed#
Remove REFENCE_DATA from DQ API call by @lsimonsen in PR #426
Full Changelog: v0.0.15←v0.0.16
Release v0.0.15#
What’s Changed#
Adding error message for DQ ask by @lsimonsen in PR #423
Full Changelog: v0.0.14←v0.0.15
Release v0.0.14#
What’s Changed#
make_zn_score: Docs changes and Todos by @rsueppel in PR #358
Main - update with commits to develop by @lsimonsen in PR #370
Fix package structure and set to version 0.0.13 by @lsimonsen in PR #372
Example of usage case added to README by @lsimonsen in PR #375
Tests: Python 3.9 and 3.10 by @lsimonsen in PR #378
DataQuery Unittest and Integration test examples by @lsimonsen in PR #374
signal_return aggregation order also flipped by @rsueppel in PR #395
Full Changelog: v0.0.12←v0.0.14
Release Release of version 0.0.13#
What’s Changed#
Main - update with commits to develop by @lsimonsen in PR #370
Fix package structure and set to version 0.0.13 by @lsimonsen in PR #372
Release of bugfix to version 0.0.13 by @lsimonsen in PR #373
Full Changelog: v0.0.12←v0.0.13
Release Release version 0.0.12#
#Release notes:
Improved functionality for valuating strategy factors both statistically and on the pnl sidin [PR #ors both statistically and on the pnl side](https://github.com/macrosynergy/macrosynergy/pull/ors both statistically and on the pnl side)
Added DataQuery OAuth as an authentication option the DataQuery interface, and created a separate DataQuery subpackagein [PR #the DataQuery interface, and created a separate DataQuery subpackage.](https://github.com/macrosynergy/macrosynergy/pull/the DataQuery interface, and created a separate DataQuery subpackage.)
Simplified the README.md file for easier installation instructionsin [PR #ion instructions.](https://github.com/macrosynergy/macrosynergy/pull/ion instructions.)
What’s Changed#
changes basket instantiation and first shot at restructure by @rsueppel in PR #261
Basket class update in new structure by Curran by @rsueppel in PR #263
basket: changes to constructor and return functions by @rsueppel in PR #265
Merge pull request #270 from macrosynergy/basket_rs by @rsueppel in PR #272
mainly edit of target_positions docstring by @rsueppel in PR #283
small changes and todos to target positions by @rsueppel in PR #285
adds update_df to init and sets consistent function and argument names by @rsueppel in PR #289
correct positive ratios in signal_return by @rsueppel in PR #301
modifies make_zn_score use in naive_pnls by @rsueppel in PR #303
todos for daily hedge ratios and hedged returns by @rsueppel in PR #304
bugfix for incorrect PnL labeling in plot_pnls by @rsueppel in PR #314
small changes and todos for hedge ratio by @rsueppel in PR #315
Signal return rs: new table and metrics by @rsueppel in PR #320
integrate clustering and frequencty conversion in original correl_mat… by @rsueppel in PR #326
add sig_neg option to SignalReturnRelations by @rsueppel in PR #339
todos for sstrength_plot and signal_display in naive_pnl by @rsueppel in PR #346
renames naive_pnl signal functions, edits documentation and makes min… by @rsueppel in PR #348
naive_pnl cleanups and one more Todo by @rsueppel in PR #351
make_relative_value cleanups and Todos by @rsueppel in PR #350
signal_return: secure correct order of years in table by @rsueppel in PR #355
adds important documentation to summary_table by @rsueppel in PR #354
Modify README and docs by @lsimonsen in PR #366
Implement corrections for simplifications by @lsimonsen in PR #367
v0.0.12 by @lsimonsen in PR #368
Release of version 0.0.12 by @lsimonsen in PR #369
Full Changelog: v0.0.11←v0.0.12
Release Release version 0.0.11#
#Latest Macrosynergy release.
Release Release 0.0.3#
Main changes:#
Panel, category relations functionalitin PR #
Rolling historical volatility estimatein PR #
Continuous deployment pipelinin PR #
PyPI README notein PR #
View complete release notes on GitHub