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more tests and examples
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Marek Ozana committed Dec 10, 2024
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120 changes: 114 additions & 6 deletions README.md
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Expand Up @@ -132,8 +132,16 @@ Allows to run complex `bql` queries and get result in wide `polars.DataFrame`wit
with BQuery() as bq:
df = bq.bql("get(px_last) for(['IBM US Equity', 'OMX Index'])")
```
<div>
<small>shape: (2, 4)</small><table border="1" class="dataframe"><thead><tr><th>ID</th><th>px_last</th><th>px_last.DATE</th><th>px_last.CURRENCY</th></tr><tr><td>str</td><td>f64</td><td>date</td><td>str</td></tr></thead><tbody><tr><td>&quot;IBM US Equity&quot;</td><td>238.04</td><td>2024-12-07</td><td>&quot;USD&quot;</td></tr><tr><td>&quot;OMX Index&quot;</td><td>2614.268</td><td>2024-12-07</td><td>&quot;SEK&quot;</td></tr></tbody></table></div>
```plaintext
┌───────────────┬────────────┬──────────────┬──────────────────┐
│ ID ┆ px_last ┆ px_last.DATE ┆ px_last.CURRENCY │
│ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ date ┆ str │
╞═══════════════╪════════════╪══════════════╪══════════════════╡
│ IBM US Equity ┆ 231.024994 ┆ 2024-12-10 ┆ USD │
│ OMX Index ┆ 2602.806 ┆ 2024-12-10 ┆ SEK │
└───────────────┴────────────┴──────────────┴──────────────────┘
```

<details><summary>More BQL Examples</summary>

Expand All @@ -155,6 +163,35 @@ df = bq.bql("""
</tbody></table>
</div>

### ZSpread vs Duration on bonds from SRCH
```python
query="""
let(#dur=duration(duration_type=MODIFIED);
#zsprd=spread(spread_type=Z);)
get(name(), #dur, #zsprd)
for(filter(screenresults(type=SRCH, screen_name='@COCO'),
ticker in ['SEB', 'SHBASS']))
"""

with BQuery() as bq:
df = bq.bql(query)
```
```plaintext
shape: (6, 6)
┌───────────────┬─────────────────┬──────────┬────────────┬────────────┬─────────────┐
│ ID ┆ name() ┆ #dur ┆ #dur.DATE ┆ #zsprd ┆ #zsprd.DATE │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ str ┆ f64 ┆ date ┆ f64 ┆ date │
╞═══════════════╪═════════════════╪══════════╪════════════╪════════════╪═════════════╡
│ BW924993 Corp ┆ SEB 6 ⅞ PERP ┆ 2.244382 ┆ 2024-12-10 ┆ 229.930933 ┆ 2024-12-10 │
│ ZO703956 Corp ┆ SHBASS 4 ¾ PERP ┆ 4.958582 ┆ 2024-12-10 ┆ 269.963777 ┆ 2024-12-10 │
│ ZO703315 Corp ┆ SHBASS 4 ⅜ PERP ┆ 1.968658 ┆ 2024-12-10 ┆ 232.839648 ┆ 2024-12-10 │
│ YU819930 Corp ┆ SEB 6 ¾ PERP ┆ 5.388785 ┆ 2024-12-10 ┆ 324.70196 ┆ 2024-12-10 │
│ ZQ349286 Corp ┆ SEB 5 ⅛ PERP ┆ 0.409083 ┆ 2024-12-10 ┆ 165.405465 ┆ 2024-12-10 │
│ YV402592 Corp ┆ SEB Float PERP ┆ 0.22527 ┆ 2024-12-10 ┆ 248.756 ┆ 2024-12-10 │
└───────────────┴─────────────────┴──────────┴────────────┴────────────┴─────────────┘
```

### Average issuer OAS spread per maturity bucket
```python
query = """
Expand All @@ -172,9 +209,21 @@ for(filter(bonds('NVDA US Equity', issuedby = 'ENTITY'),
with BQuery() as bq:
df = bq.bql(query)
```
<div>
<small>shape: (5, 5)</small><table border="1" class="dataframe"><thead><tr><th>ID</th><th>#average_spread</th><th>#average_spread.DATE</th><th>#average_spread.ORIG_IDS</th><th>#average_spread.#BINS</th></tr><tr><td>str</td><td>f64</td><td>date</td><td>str</td><td>str</td></tr></thead><tbody><tr><td>&quot;(1) 0-3&quot;</td><td>30.74</td><td>2024-12-08</td><td>&quot;QZ552396 Corp&quot;</td><td>&quot;(1) 0-3&quot;</td></tr><tr><td>&quot;(2) 3-9&quot;</td><td>59.79</td><td>2024-12-08</td><td>null</td><td>&quot;(2) 3-9&quot;</td></tr><tr><td>&quot;(3) 9-18&quot;</td><td>105.39</td><td>2024-12-08</td><td>&quot;BH393780 Corp&quot;</td><td>&quot;(3) 9-18&quot;</td></tr><tr><td>&quot;(4) 18-30&quot;</td><td>131.72</td><td>2024-12-08</td><td>&quot;BH393781 Corp&quot;</td><td>&quot;(4) 18-30&quot;</td></tr><tr><td>&quot;(5) 30+&quot;</td><td>150.33</td><td>2024-12-08</td><td>&quot;BH393782 Corp&quot;</td><td>&quot;(5) 30+&quot;</td></tr></tbody></table>
</div>
```plaintext
┌───────────┬─────────────────┬──────────────────────┬──────────────────────┬──────────────────────┐
│ ID ┆ #average_spread ┆ #average_spread.DATE ┆ #average_spread.ORIG ┆ #average_spread.#BIN │
│ --- ┆ --- ┆ --- ┆ _IDS ┆ S │
│ str ┆ f64 ┆ date ┆ --- ┆ --- │
│ ┆ ┆ ┆ str ┆ str │
╞═══════════╪═════════════════╪══════════════════════╪══════════════════════╪══════════════════════╡
│ (1) 0-3 ┆ 30.638311 ┆ 2024-12-10 ┆ QZ552396 Corp ┆ (1) 0-3 │
│ (2) 3-9 ┆ 59.772151 ┆ 2024-12-10 ┆ null ┆ (2) 3-9 │
│ (3) 9-18 ┆ 106.722341 ┆ 2024-12-10 ┆ BH393780 Corp ┆ (3) 9-18 │
│ (4) 18-30 ┆ 129.945414 ┆ 2024-12-10 ┆ BH393781 Corp ┆ (4) 18-30 │
│ (5) 30+ ┆ 151.318634 ┆ 2024-12-10 ┆ BH393782 Corp ┆ (5) 30+ │
└───────────┴─────────────────┴──────────────────────┴──────────────────────┴──────────────────────┘
```

### Technical Analysis: stocks with 20d EMA > 200d EMA and RSI > 70
```python
Expand Down Expand Up @@ -205,14 +254,73 @@ for(filter(bondsuniv(ACTIVE),
country_iso() == 'SE' and
is_axed('Bid') == True))
"""

with BQuery() as bq:
df = bq.bql(query)
```
<div>
<small>shape: (8, 11)</small><table border="1" class="dataframe"><thead><tr><th>ID</th><th>ticker</th><th>cpn()</th><th>cpn().MULTIPLIER</th><th>cpn().CPN_TYP</th><th>nxt_call_dt()</th><th>#ax</th><th>#ax.ASK_DEPTH</th><th>#ax.BID_DEPTH</th><th>#ax.ASK_TOTAL_SIZE</th><th>#ax.BID_TOTAL_SIZE</th></tr><tr><td>str</td><td>str</td><td>f64</td><td>f64</td><td>str</td><td>date</td><td>str</td><td>i64</td><td>i64</td><td>f64</td><td>f64</td></tr></thead><tbody><tr><td>&quot;YU819930 Corp&quot;</td><td>&quot;SEB&quot;</td><td>6.75</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2031-11-04</td><td>&quot;Y&quot;</td><td>1</td><td>1</td><td>5e6</td><td>1.8e6</td></tr><tr><td>&quot;ZQ349286 Corp&quot;</td><td>&quot;SEB&quot;</td><td>5.125</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2025-05-13</td><td>&quot;Y&quot;</td><td>3</td><td>9</td><td>6.7e6</td><td>5e7</td></tr><tr><td>&quot;ZF859199 Corp&quot;</td><td>&quot;SWEDA&quot;</td><td>7.75</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2030-03-17</td><td>&quot;Y&quot;</td><td>1</td><td>2</td><td>5e6</td><td>7e6</td></tr><tr><td>&quot;BW924993 Corp&quot;</td><td>&quot;SEB&quot;</td><td>6.875</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2027-06-30</td><td>&quot;Y&quot;</td><td>2</td><td>3</td><td>8.2e6</td><td>1.1e7</td></tr><tr><td>&quot;ZL122341 Corp&quot;</td><td>&quot;SWEDA&quot;</td><td>7.625</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2028-03-17</td><td>&quot;Y&quot;</td><td>1</td><td>6</td><td>2.6e6</td><td>2.34e7</td></tr><tr><td>&quot;ZO703956 Corp&quot;</td><td>&quot;SHBASS&quot;</td><td>4.75</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2031-03-01</td><td>&quot;Y&quot;</td><td>1</td><td>2</td><td>3.2e6</td><td>6e6</td></tr><tr><td>&quot;BR069680 Corp&quot;</td><td>&quot;SWEDA&quot;</td><td>4.0</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2029-03-17</td><td>&quot;Y&quot;</td><td>null</td><td>1</td><td>null</td><td>3e6</td></tr><tr><td>&quot;ZO703315 Corp&quot;</td><td>&quot;SHBASS&quot;</td><td>4.375</td><td>1.0</td><td>&quot;VARIABLE&quot;</td><td>2027-03-01</td><td>&quot;Y&quot;</td><td>1</td><td>3</td><td>3e6</td><td>7.4e6</td></tr></tbody></table>
</div>

### Bond universe from Equity Ticker
```python
query="""
let(#rank=normalized_payment_rank();
#oas=spread(st=oas);
#nxt_call=nxt_call_dt();
)
get(name(), #rank, #nxt_call, #oas)
for(filter(bonds('GTN US Equity'), series() == '144A'))
"""
with BQuery() as bq:
df = bq.bql(query)
```

```plaintext
┌───────────────┬───────────────────┬──────────────────┬────────────┬─────────────┬────────────┐
│ ID ┆ name() ┆ #rank ┆ #nxt_call ┆ #oas ┆ #oas.DATE │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ str ┆ str ┆ date ┆ f64 ┆ date │
╞═══════════════╪═══════════════════╪══════════════════╪════════════╪═════════════╪════════════╡
│ YX231113 Corp ┆ GTN 10 ½ 07/15/29 ┆ 1st Lien Secured ┆ 2026-07-15 ┆ 615.798149 ┆ 2024-12-10 │
│ BS116983 Corp ┆ GTN 5 ⅜ 11/15/31 ┆ Sr Unsecured ┆ 2026-11-15 ┆ 1144.393892 ┆ 2024-12-10 │
│ AV438089 Corp ┆ GTN 7 05/15/27 ┆ Sr Unsecured ┆ 2024-12-17 ┆ 389.022271 ┆ 2024-12-10 │
│ ZO860846 Corp ┆ GTN 4 ¾ 10/15/30 ┆ Sr Unsecured ┆ 2025-10-15 ┆ 1184.969597 ┆ 2024-12-10 │
│ LW375188 Corp ┆ GTN 5 ⅞ 07/15/26 ┆ Sr Unsecured ┆ 2025-01-06 ┆ 185.544312 ┆ 2024-12-10 │
└───────────────┴───────────────────┴──────────────────┴────────────┴─────────────┴────────────┘
```

### Weekly (total) Returns
```python
query="""
let(#rng = range(-3M, 0D);
#rets = return_series(calc_interval=#rng,per=W);
)
get(#rets)
for(filter(bonds('GTN US Equity'), series() == '144A'))
"""
with BQuery() as bq:
df = bq.bql(query)
```
```plaintext
shape: (20, 3)
┌───────────────┬───────────┬────────────┐
│ ID ┆ #rets ┆ #rets.DATE │
│ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ date │
╞═══════════════╪═══════════╪════════════╡
│ YX231113 Corp ┆ null ┆ 2024-11-19 │
│ YX231113 Corp ┆ 0.005028 ┆ 2024-11-26 │
│ YX231113 Corp ┆ 0.000326 ┆ 2024-12-03 │
│ YX231113 Corp ┆ 0.000414 ┆ 2024-12-10 │
│ BS116983 Corp ┆ null ┆ 2024-11-19 │
│ … ┆ … ┆ … │
│ ZO860846 Corp ┆ -0.010198 ┆ 2024-12-10 │
│ LW375188 Corp ┆ null ┆ 2024-11-19 │
│ LW375188 Corp ┆ -0.000997 ┆ 2024-11-26 │
│ LW375188 Corp ┆ 0.001294 ┆ 2024-12-03 │
│ LW375188 Corp ┆ 0.0011 ┆ 2024-12-10 │
└───────────────┴───────────┴────────────┘
```

</details>

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