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cvxgrp / cvxstatarb

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cvx.simulator is missing? #27

Open labgottedammerung opened 8 months ago

labgottedammerung commented 8 months ago

Hello, I'm trying to follow the code and it appears that cvx.simulator is missing? It would be very neat to take a look at that if possible.

yigaza commented 7 months ago

from cvx.simulator.trading_costs import TradingCostModel ModuleNotFoundError: No module named 'cvx.simulator'

portfolio.py can be found at: https://github.com/cvxgrp/simulator/blob/main/cvx/simulator/portfolio.py but trading_costs.py is missing?

tschm commented 7 months ago

@kasperjo: Let's add some simple tests here. Current versions of the simulator do not contain a trading cost model. @kasperjo: Chat later today? 9am PST?

yigaza commented 7 months ago

and data directory is missing?
PERMNO_to_COMNAM = pd.read_csv("../data/PERMNO_to_COMNAM.csv", index_col=0) with open("../data/PERMNO_TO_SECTOR.json") as f: PERMNO_TO_SECTOR = json.load(f)

tschm commented 7 months ago

The problem with the data is that we can not share it in its complete form

yigaza commented 7 months ago

The problem with the data is that we can not share it in its complete form

Thanks! May little simulate sample data?

kasperjo commented 7 months ago

@kasperjo: Let's add some simple tests here. Current versions of the simulator do not contain a trading cost model. @kasperjo: Chat later today? 9am PST?

Sounds good! (Using the lock file should still work, right?)