Introduction - sage-finance

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From: William Stein <wst...@gmail.com>
Date: Sun, 13 Feb 2011 23:45:45 -0800
Message-ID: <AANLkTinhU5TUNjVcjqhNivK4eYXEMSGxN+yjAzNKu...@mail.gmail.com>
Subject: Re: [sage-finance] Introduction
To: sage-finance@googlegroups.com
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On Sun, Feb 13, 2011 at 6:29 PM, Paul English <pengli...@gmail.com> wrote:
> Hi Folks,
>
> =A0 This group seems to have been idle for a while, but I thought I
> would introduce myself and see if anyone else out there shared some
> interests and perhaps we can get some development going in the
> quantitative finance domain.
>
> I'm much more interested in currency data than Stocks, so I'd like to
> have a sage.finance.FX (Forex? Currency?). Yahoo Finance supplies this
> data, but sage.finance.Stock fails when fed a currency pair symbol:
>
> finance.Stock('EURUSD').yahoo()
>
> {'stock_exchange': '"N/A"', 'market_cap': 'N/A', '200day_moving_avg':
> 'N/A', '52_week_high': 'N/A', 'price_earnings_growth_ratio': 'N/A',
> 'price_sales_ratio': 'N/A', 'price': '0.00', 'earnings_per_share':
> 'N/A', '50day_moving_avg': 'N/A', 'avg_daily_volume': '0', 'volume':
> 'N/A', '52_week_low': 'N/A', 'short_ratio': 'N/A',
> 'price_earnings_ratio': 'N/A', 'dividend_yield': 'N/A',
> 'dividend_per_share': 'N/A', 'price_book_ratio': 'N/A', 'ebitda': 'N/
> A',
> 'change': 'N/A', 'book_value': 'N/A'}
>
> (Currency rates are always quoted as pairs)
>
> I imagine it would be fairly easy to modify the existing finance.Stock
> class to create a Forex class and have it supply all the same methods.
> Volume would need to be ignored as that is not typically available for
> Forex.

I agree.  I think it would be great if you could add this
functionality.   How to do so is explained in the Sage Developer's
guide:

   http://sagemath.org/doc/developer/

> Along the currency theme, I'm also trying to convert the ~9GB/10 years
> of zipped csv GAIN Forex data:
> http://ratedata.gaincapital.com/
> from ticks into various candlesticks values. While
> sage.finance.timeseries will display a Candlestick chart, it doesn't
> currently output candlestick values as far as I can tell. Again it
> seems like it should be a fairly easy modification, since
> plot_candlestick() already needs to do the conversion in order to plot
> the candlesticks.

That's also a great idea.  I think the TimeSeries code is pretty
straightforward (it's just simple Cython code).  I wrote most of it,
so if you have questions, don't hesitate to ask.

> Then generally I'm interested in getting access to more common
> technical indicators (stochastics, Bollinger bands...), both for
> Stocks and Forex in SAGE. It may be that those already exist via R
> libraries, or in completely other domains, so I'm still exploring.

I'm sure they do.  There can be some advantages to adding them to
TimeSeries, e.g., speed.

> I graduated with my Bachelor of Science in Computer Science in 1998
> from Worcester Polytechnic Institute, but since then I've been a
> Systems Administrator and now I'm a lofty IT Director (as in, I do
> some IT, and spend more time in meetings than a normal sysadmin) -
> meaning my math and programming skills have atrophied somewhat, and
> I've never done any programming professionally aside from smallish
> scripts.

I predict that contributing to Sage could be the funnest thing you do
for a while :-)

> Still - I've always been excited about open source (which has backed a
> non-trivial amount of my career), and recently about Forex and Sage.



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--=20
William Stein
Professor of Mathematics
University of Washington
http://wstein.org
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