87260f4b10
Prerequisite refactor: - Consolidate duplicate _to_dicts into shared obb_utils.to_list - Add fetch_historical and first_or_empty helpers to obb_utils Phase 1 - Local computation (no provider risk): - Group I: 12 technical indicators (ATR, ADX, Stoch, OBV, Ichimoku, Donchian, Aroon, CCI, Keltner, Fibonacci, A/D, Volatility Cones) - Group J: Sortino, Omega ratios + rolling stats (variance, stdev, mean, skew, kurtosis, quantile via generic endpoint) - Group H: ECB currency reference rates Phase 2 - FRED/Federal Reserve providers: - Group C: 10 fixed income endpoints (treasury rates, yield curve, auctions, TIPS, EFFR, SOFR, HQM, commercial paper, spot rates, spreads) - Group D: 11 economy endpoints (CPI, GDP, unemployment, PCE, money measures, CLI, HPI, FRED search, balance of payments, Fed holdings, FOMC documents) - Group E: 5 survey endpoints (Michigan, SLOOS, NFP, Empire State, BLS search) Phase 3 - SEC/stockgrid/FINRA providers: - Group B: 4 equity fundamental endpoints (management, dividends, SEC filings, company search) - Group A: 4 shorts/dark pool endpoints (short volume, FTD, short interest, OTC dark pool) - Group F: 3 index/ETF enhanced (S&P 500 multiples, index constituents, ETF N-PORT) Phase 4 - Regulators: - Group G: 5 regulatory endpoints (COT report, COT search, SEC litigation, institution search, CIK mapping) Security hardening: - Service-layer allowlists for all getattr dynamic dispatch - Regex validation on date, country, security_type, form_type params - Exception handling in fetch_historical - Callable guard on rolling stat dispatch Total: 32 existing + 67 new = 99 endpoints, all free providers.
96 lines
3.3 KiB
Python
96 lines
3.3 KiB
Python
"""Routes for quantitative analysis: risk metrics, CAPM, normality, unit root."""
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from fastapi import APIRouter, Path, Query
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from models import ApiResponse
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from route_utils import safe, validate_symbol
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import quantitative_service
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router = APIRouter(prefix="/api/v1")
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@router.get("/stock/{symbol}/performance", response_model=ApiResponse)
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@safe
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async def stock_performance(
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symbol: str = Path(..., min_length=1, max_length=20),
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days: int = Query(default=365, ge=30, le=3650),
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):
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"""Performance metrics: Sharpe, Sortino, max drawdown, volatility."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_performance_metrics(symbol, days=days)
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return ApiResponse(data=data)
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@router.get("/stock/{symbol}/capm", response_model=ApiResponse)
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@safe
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async def stock_capm(symbol: str = Path(..., min_length=1, max_length=20)):
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"""CAPM: beta, alpha, systematic and idiosyncratic risk."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_capm(symbol)
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return ApiResponse(data=data)
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@router.get("/stock/{symbol}/normality", response_model=ApiResponse)
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@safe
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async def stock_normality(
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symbol: str = Path(..., min_length=1, max_length=20),
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days: int = Query(default=365, ge=30, le=3650),
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):
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"""Normality tests: Jarque-Bera, Shapiro-Wilk on returns."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_normality_test(symbol, days=days)
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return ApiResponse(data=data)
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@router.get("/stock/{symbol}/unitroot", response_model=ApiResponse)
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@safe
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async def stock_unitroot(
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symbol: str = Path(..., min_length=1, max_length=20),
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days: int = Query(default=365, ge=30, le=3650),
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):
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"""Unit root tests: ADF, KPSS for stationarity."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_unitroot_test(symbol, days=days)
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return ApiResponse(data=data)
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# --- Extended Quantitative (Group J) ---
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@router.get("/stock/{symbol}/sortino", response_model=ApiResponse)
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@safe
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async def stock_sortino(
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symbol: str = Path(..., min_length=1, max_length=20),
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days: int = Query(default=365, ge=30, le=3650),
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):
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"""Sortino ratio -- risk-adjusted return penalizing only downside deviation."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_sortino(symbol, days=days)
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return ApiResponse(data=data)
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@router.get("/stock/{symbol}/omega", response_model=ApiResponse)
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@safe
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async def stock_omega(
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symbol: str = Path(..., min_length=1, max_length=20),
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days: int = Query(default=365, ge=30, le=3650),
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):
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"""Omega ratio -- probability-weighted gain vs loss."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_omega(symbol, days=days)
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return ApiResponse(data=data)
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@router.get("/stock/{symbol}/rolling/{stat}", response_model=ApiResponse)
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@safe
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async def stock_rolling(
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symbol: str = Path(..., min_length=1, max_length=20),
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stat: str = Path(..., pattern="^(variance|stdev|mean|skew|kurtosis|quantile)$"),
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days: int = Query(default=365, ge=30, le=3650),
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window: int = Query(default=30, ge=5, le=252),
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):
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"""Rolling statistics: variance, stdev, mean, skew, kurtosis, quantile."""
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symbol = validate_symbol(symbol)
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data = await quantitative_service.get_rolling_stat(symbol, stat=stat, days=days, window=window)
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return ApiResponse(data=data)
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