Add new tutorial for multi-currencies arbitrage using Bellman-Ford Algorithm by leo-ai-for-trading · Pull Request #48 · QuantConnect/Research

leo-ai-for-trading · 2023-05-27T16:23:00Z

Description

Adding docs for the calculation of local volatility model

Related Issue

N/A

Motivation and Context

tutorial for new members (in particular with heavy Math background)

Types of changes

Bug fix (non-breaking change which fixes an issue)
Refactor (non-breaking change which improves implementation)
New feature (non-breaking change which adds functionality)
Non-functional change (xml comments/documentation/etc)

Checklist:

My code follows the code style of this project.
I have read the CONTRIBUTING document.
My branch follows the naming convention bug-<issue#>- or feature-<issue#>-

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## Description Replying to this issue Related Issue How to extract Implied volatility from Quantconnect QuantConnect#47 Types of changes -[ ] Bug fix (non-breaking change which fixes an issue) -[ ] Refactor (non-breaking change which improves implementation) -[ ] New feature (non-breaking change which adds functionality) -[ x] Non-functional change (xml comments/documentation/etc) Checklist: -[ x] My code follows the code style of this project. -[ x] I have read the CONTRIBUTING [document](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md). -[ x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

## Description Adding nee tutorial Types of changes -[ ] Bug fix (non-breaking change which fixes an issue) -[ ] Refactor (non-breaking change which improves implementation) -[ ] New feature (non-breaking change which adds functionality) -[ x] Non-functional change (xml comments/documentation/etc) Checklist: -[ x] My code follows the code style of this project. -[ x] I have read the CONTRIBUTING [document](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md). -[ x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

Capital Structure Arbitrage ## Description Adding nee tutorial Types of changes -[ ] Bug fix (non-breaking change which fixes an issue) -[ ] Refactor (non-breaking change which improves implementation) -[ ] New feature (non-breaking change which adds functionality) -[ x] Non-functional change (xml comments/documentation/etc) Checklist: -[ x] My code follows the code style of this project. -[ x] I have read the CONTRIBUTING [document](https://github.com/QuantConnect/Lean/blob/master/CONTRIBUTING.md). -[ x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

LouisSzeto · 2024-04-10T07:35:25Z

Thank you for the commits! Looks great and technical. Leaving a few comments above.
BTW I think Local_Stochastic_Volatility_Model.ipynb is in a wrong location. Please put it into the folder like the others.

LouisSzeto · 2024-04-10T07:36:58Z

For capital_structure_arbitrage.ipynb, it is a piece of information with math formula development right? So maybe you can change it into a .md file with latex to type in the formula.

leo-ai-for-trading · 2024-04-10T07:46:14Z

Hey Louis, I really appreciate your feedback! I’ll fix in the upcoming days! Regards, Attilio Il giorno mer 10 apr 2024 alle 09:37 Louis Szeto ***@***.***> ha scritto:

…

For capital_structure_arbitrage.ipynb <https://github.com/QuantConnect/Research/pull/48/files#diff-08b49dd48eccf2d3c59f3964a4d76f594d1a630a7c0065c885e8a133e00c5e1a>, it is a piece of information with math formula development right? So maybe you can change it into a .md file with latex to type in the formula. — Reply to this email directly, view it on GitHub <#48 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AQXFNSPPXX5KLJWF44BTRF3Y4TT27AVCNFSM6AAAAAAYRISIHGVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDANBWG42DKNZZHA> . You are receiving this because you authored the thread.Message ID: ***@***.***>

leo-ai-for-trading · 2024-04-10T19:33:24Z

Hey, capital_structure_arbitrage.ipynb <https://github.com/QuantConnect/Research/pull/48/files#diff-08b49dd48eccf2d3c59f3964a4d76f594d1a630a7c0065c885e8a133e00c5e1a> is actually a notebook with python code and math formula, so it's not possible to make a single .md file. Regards, Attilio Il giorno mer 10 apr 2024 alle ore 09:37 Louis Szeto < ***@***.***> ha scritto:

…

For capital_structure_arbitrage.ipynb <https://github.com/QuantConnect/Research/pull/48/files#diff-08b49dd48eccf2d3c59f3964a4d76f594d1a630a7c0065c885e8a133e00c5e1a>, it is a piece of information with math formula development right? So maybe you can change it into a .md file with latex to type in the formula. — Reply to this email directly, view it on GitHub <#48 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AQXFNSPPXX5KLJWF44BTRF3Y4TT27AVCNFSM6AAAAAAYRISIHGVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDANBWG42DKNZZHA> . You are receiving this because you authored the thread.Message ID: ***@***.***>

leo-ai-for-trading · 2024-04-10T19:34:18Z

Hey Louis, what's the correct folder? Regards, Attilio Il giorno mer 10 apr 2024 alle ore 09:35 Louis Szeto < ***@***.***> ha scritto:

…

Thank you for the commits! Looks great and technical. Leaving a few comments above. BTW I think Local_Stochastic_Volatility_Model.ipynb <https://github.com/QuantConnect/Research/pull/48/files/33eaadb7717742e7ad3df123d561c0be4ea85900#diff-b621b661217f0674a1c2e11a56f70a8b1465dc8e2a4e4fc63e4b4528f462a109> is in a wrong location. Please put it into the folder like the others. — Reply to this email directly, view it on GitHub <#48 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AQXFNSIQPTS562CNJS4QUPLY4TTVHAVCNFSM6AAAAAAYRISIHGVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDANBWG42DCMZTGA> . You are receiving this because you authored the thread.Message ID: ***@***.***>

LouisSzeto · 2024-04-16T01:09:29Z

@leo-ai-for-trading Local_Stochastic_Volatility_Model.ipynb This notebook should be placed in the same folder as the others.

LouisSzeto · 2024-04-10T06:15:42Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "    price2 = qb.History(ticker2, start_time, end_time, Resolution.Tick)['lastprice']\n",
+        "    price3 = qb.History(ticker3, start_time, end_time, Resolution.Tick)['lastprice']\n",
+        "\n",
+        "    df = pd.DataFrame({'symbol':list(),'price':list()})\n",


May add a comment on why using negative log price (for minimum distance and eliminate compounding effect...)

LouisSzeto · 2024-04-10T06:18:30Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "    @start_time: date to start getting data\n",
+        "    @end_time: last day of getting data\n",
+        "    \"\"\"\n",
+        "\n",


I think there is some restrictions on how do you choose the crypto. Say if we choose BTCUSD, ETHUSD & BTCETH, there will be 4 currencies and 3 directional edges that always get positive results. If we're doing arbitrage, we should do BTCUSD, USDETH & ETHBTC to force a long-short balance in each currency. It will be good to add description above.

LouisSzeto · 2024-04-10T06:21:00Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "    price1 = qb.History(ticker1, start_time, end_time, Resolution.Tick)['lastprice']\n",
+        "    price2 = qb.History(ticker2, start_time, end_time, Resolution.Tick)['lastprice']\n",
+        "    price3 = qb.History(ticker3, start_time, end_time, Resolution.Tick)['lastprice']\n",


Tick resolution might not align with time, recommend to use second instead. Also, there might not be trading information some illiquid currencies, it maybe better to use History[QuoteBar].

LouisSzeto · 2024-04-10T06:22:30Z

Documentation/Python/capital_structure_arbitrage.ipynb

+    "\\begin{aligned}\n",
+    "&\\begin{aligned}\n",
+    "\\sigma_{l o c}^2(K, T, S) & =\\sigma^2-\\lambda \\frac{K \\frac{\\partial C}{\\partial K}}{\\frac{1}{2} K^2 \\frac{\\partial^2 C}{\\partial K^2}} \\\\\n",
+    "& =\\sigma^2+2 \\lambda \\sigma \\sqrt{T} \\frac{N\\left(d_2\\right)}{N^{\\prime}\\left(d_2\\right)}\n",
+    "\\end{aligned}\\\\\n",
+    "&d_2=\\frac{\\log S / K+\\lambda T}{\\sigma \\sqrt{T}}-\\frac{\\sigma \\sqrt{T}}{2}\n",
+    "\\end{aligned}"


Display issue

LouisSzeto · 2024-04-10T06:23:50Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+      "source": [
+        "\n",
+        "    \n",
+        "def get_data(sym1:str,sym2:str, sym3:str , start_time: datetime, end_time: datetime):\n",


nit - we use (self, arg1: type1 = a, arg2: type2 = b, arg3: type3 = c) -> type4:. Please fix the nit

LouisSzeto · 2024-04-10T06:24:00Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "    def __getitem__(self,v):\n",
+        "        return self.neighbors[v]\n",
+        "    \n",
+        "    def add_node(self,name):\n",


LouisSzeto · 2024-04-10T06:24:05Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "        self.weight.append({})\n",
+        "        return self.name2node[name]\n",
+        "    \n",
+        "    def add_edge(self,name_u,name_v,weight_uv=None):\n",


LouisSzeto · 2024-04-10T06:24:11Z

Documentation/Python/Bellman-Ford Currency Arbitrage.ipynb

+        "        self.add_arc(name_u, name_v, weight_uv) \n",
+        "        self.add_arc(name_v, name_u, weight_uv)\n",
+        "\n",
+        "    def add_arc(self,name_u,name_v,weight_uv=None):\n",


LouisSzeto · 2024-04-10T07:33:38Z

Local_Stochastic_Volatility_Model.ipynb

+        "r = 0.0341 \n",
+        "D = 0.0\n",


Can use Lean's InterestRateProvider

InterestRateProvider().GetInterestRate(goog_df.index[...]) # sub in the time

and DividendYieldProvider

DividendYieldProvider(goog).GetDividendYield(goog_df.index[...]) # sub in the time

leo-ai-for-trading added 2 commits May 3, 2023 22:48

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cb81a40

Merge pull request #1 from leo-ai-for-trading/leo-ai-for-trading-patch-1

71c0ff8

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leo-ai-for-trading changed the title ~~Adjust docs for the new implied volatility methodology #885~~ Adjust docs for the new implied volatility methodology May 27, 2023

leo-ai-for-trading changed the title ~~Adjust docs for the new implied volatility methodology~~ Add new tutorial for multi-currencies arbitrage using Bellman-Ford Algorithm May 27, 2023

leo-ai-for-trading added 4 commits May 27, 2023 18:36

Delete capital_structure_arbitrage.ipynb

33eaadb

LouisSzeto self-requested a review April 10, 2024 06:13

LouisSzeto suggested changes Apr 16, 2024

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leo-ai-for-trading commented May 27, 2023 • edited by LouisSzeto Loading Uh oh! There was an error while loading. Please reload this page.

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LouisSzeto commented Apr 10, 2024

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leo-ai-for-trading commented May 27, 2023 •

edited by LouisSzeto

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