data, workflows for pair performance reporting
Scripts and results are in th N:\Depts\Share\UK Alpha Team\Analytics directory.
A task is setup on the Windows Task Manager to run every day at 6:30 in the morning:
The task is setup to run Rscript.exe:
"C:\Program Files\R\R-3.4.3\bin\Rscript.exe"
with this parameter:
-e source('N:/Depts/Share/UK\x20Alpha\x20Team/Analytics/Rscripts/workflow.R')
workflow.R then executes individual workflow steps.
The N:\Depts\Share\UK Alpha Team\Analytics\Rscripts directory contains
all workflow scripts:
| File | Description | Documentation |
|---|---|---|
workflow.R |
the start script | here |
workflow.log |
results log | here |
relevant_equity_ticker_table.sql |
construct date, ticker, bucket tables | here |
initialize_scrape_db.R |
make sure the sheet scrape DB exists | here |
perform_sheet_scrape_to_db.R |
scrape latest sheet | here |
create_cix_uploads.R |
create BLOOMBERG CIX formuli |
here |
create_database_temp_tables.R |
call SQL scripts |
here |
create_market_data.R |
fetch relevant market data from BLOOMBERG |
here |
create_market_data_intraday.R |
fetch relevant intraday data from BLOOMBERG |
here |
create_pair_icons.R |
create icons for live pairs | here |
create_portfolio_summary.R |
create portfolio summery from sheet scrapes | here |
create_portfolio_upload.R |
create portfolio upload files | here |
create_risk_reports.R |
run .Rnw files to create risk reports | here |
create_tsne_grid.R |
compute 2D layout of pairs, live stocks | here |
intraday_bank_pairs.R |
fetch intraday price action for SX7P components | here |
intraday_fx.R |
fetch intraday price action for 30 currencies | here |
The N:\Depts\Share\UK Alpha Team\Analytics\risk_reports directory contains
all knitr Rnw files used to generate reports:
| File | Description | Documentation | Example |
|---|---|---|---|
trailing_stop_report.Rnw |
trailing stop-loss report | here | here |
what_happened_last_week.Rnw |
what happened last week report | here | here |
custom_ABC_report.Rnw |
analysis of ABC's pairs | here | here |
custom_AC_report.Rnw |
analysis of AC's pairs | here | here |
custom_DH_report.Rnw |
analysis of DH's pairs | here | here |
custom_GJ_report.Rnw |
analysis of GJ's pairs | here | here |
custom_JR_report.Rnw |
analysis of JR's pairs | here | here |
custom_MC_report.Rnw |
analysis of MC's pairs | here | here |
pair_risk_contribution.Rnw |
pair risk contribution | here | here |
risk_plots.Rnw |
risk plot | here | here |
portfolio_summary.Rnw |
portfolio summary statistics | here | here |
bank_pair_report.Rnw |
search for trending bank pairs | here | here |
tech_pair_report.Rnw |
search for trending technology pairs | here | here |
fx_trend_report.Rnw |
search for trending FX pairs | here | here |
market_data_status.Rnw |
market data fetch | here | here |
scrape_status.Rnw |
sheet scrape status | here | here |
sheet_scrape_report.Rnw |
sheet scrape report | here | here |
The production database contains product and bucket history which is used to
create the above reports. some amount of pre-processing is done
on the SQL server, which results in the following intermediate tables.
The SQL scripts used to create these tables are in the sql folder.
| Table | Description | Script |
|---|---|---|
| ttBUCKET_EXPOSURES | exposures by bucket | create_ttBUCKET_EXPOSURES.sql |
| ttBUCKET_PNL | pnl by bucket | create_ttBUCKET_PNL.sql |
| ttBUCKETS | relevant buckets | create_ttBUCKETS.sql |
| ttBUID_MARKET_STATUS | market status of relevant BUIDs | create_database_temp_tables.R |
| ttCURRENT_ISIN_MARKET_STATUS | market status of current ISINs | create_database_temp_tables.R |
| ttDATES | relevant dates (including weekends) | create_ttDATES.sql |
| ttEXPOSURE_SECURITIES | relevant instrument table | create_ttEXPOSURE_SECURITIES.sql |
| ttHISTORICAL_BUCKET_EXPOSURES | exposures over time | create_ttHISTORICAL_BUCKET_EXPOSURES.sql |
| ttHISTORICAL_BUCKET_HOLDINGS | holdings | create_ttHISTORICAL_BUCKET_HOLDINGS.sql |
| ttHISTORICAL_BUCKETS | all buckets | create_ttHISTORICAL_BUCKETS.sql |
| ttHISTORICAL_EQUITY_ISIN | map historical to current ISINs | create_database_temp_tables.R |
| ttISIN_MARKET_STATUS | old ISIN status | create_database_temp_tables.R |
| ttTICKER_MARKET_STATUS | ticker status | create_database_temp_tables.R |
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