From b9eeabb6694a64236cb6c836f560ed7b42086035 Mon Sep 17 00:00:00 2001
From: sb <sbenthall@gmail.com>
Date: Mon, 5 Feb 2024 16:40:58 -0500
Subject: [PATCH] adding ranges tracking to markets, and reporting to sim_stats

---
 sharkfin/markets/__init__.py |  3 +++
 sharkfin/markets/ammps.py    | 11 ++++++++++-
 sharkfin/simulation.py       | 10 ++++++++++
 3 files changed, 23 insertions(+), 1 deletion(-)

diff --git a/sharkfin/markets/__init__.py b/sharkfin/markets/__init__.py
index 24c81a2..0ba55a0 100644
--- a/sharkfin/markets/__init__.py
+++ b/sharkfin/markets/__init__.py
@@ -168,6 +168,7 @@ class MockMarket(AbstractMarket):
 
     prices = None
     dividends = None
+    ranges = None
 
     dividend_growth_rate = None
     dividend_shock_std = None
@@ -191,6 +192,7 @@ def __init__(
 
         self.prices = [self.default_sim_price]
         self.dividends = [self.default_sim_price / self.price_to_dividend_ratio]
+        self.ranges = []
 
         self.rng = rng if rng is not None else np.random.default_rng()
 
@@ -213,6 +215,7 @@ def run_market(self, seed=0, buy_sell=(0,0), run_args = None):
         print('dividend: ' + str(new_dividend))
 
         self.dividends.append(new_dividend)
+        self.ranges.append(new_price / 10) # entirely arbitrary value for now.
 
         return new_price, new_dividend
 
diff --git a/sharkfin/markets/ammps.py b/sharkfin/markets/ammps.py
index 8c86f40..bd49aae 100644
--- a/sharkfin/markets/ammps.py
+++ b/sharkfin/markets/ammps.py
@@ -25,6 +25,7 @@ class ClientRPCMarket(AbstractMarket):
     rng = None
 
     macro_price_field = None
+    range_field = None
 
     def __init__(self,
         seed=None,
@@ -34,7 +35,8 @@ def __init__(self,
         dividend_std = 0.011988,
         price_to_dividend_ratio = 60 / 0.05,
         rng = None,
-        macro_price_field = None
+        macro_price_field = None,
+        range_field = None
         ):
 
         # discounted future value, divided by days per quarter
@@ -51,6 +53,7 @@ def __init__(self,
         self.latest_price = None
         self.prices = [self.default_sim_price]
         self.dividends = [self.default_sim_price / self.price_to_dividend_ratio]
+        self.ranges = []
 
         self.rpc_queue_name = queue_name
         self.rpc_host_name = host
@@ -59,6 +62,10 @@ def __init__(self,
             if macro_price_field is not None \
             else "ClosingPrice"
 
+        self.range_field = range_field \
+            if range_field is not None \
+            else "DailyRange"
+
         self.init_rpc()
 
     def _get_rpc_market_host(self):
@@ -142,6 +149,7 @@ def run_market(self, buy_sell=(0, 0), run_args = None):
 
             self.latest_price = np.nan
             self.prices.append(np.nan)
+            self.ranges.append(np.nan)
 
             raise MarketFailureError(f"AMMPS Market Failure: {self.response['MarketState']}")
 
@@ -149,6 +157,7 @@ def run_market(self, buy_sell=(0, 0), run_args = None):
 
             self.latest_price = self.response[ self.macro_price_field ]
             self.prices.append(float(self.response[ self.macro_price_field ]))
+            self.ranges.append(float(self.response[self.range_field]))
         
             return self.latest_price, new_dividend
 
diff --git a/sharkfin/simulation.py b/sharkfin/simulation.py
index 81dbdf2..ddff5e4 100644
--- a/sharkfin/simulation.py
+++ b/sharkfin/simulation.py
@@ -700,6 +700,16 @@ def class_stat_column_to_dict(clabel):
         }).dropna()
         sim_stats["price_dividend_pearsonr"] = pd_df.corr()['p']['d']
 
+
+        sim_stats["ranges_mean"] = mean(self.market.ranges)
+        sim_stats["ranges_stdev"] = stdev(self.market.ranges)
+        sim_stats["ranges_min"] = min(self.market.ranges)
+        sim_stats["ranges_max"] = max(self.market.ranges)
+
+        ranges_zscore = stats.zscore(np.array(self.market.ranges))
+
+        sim_stats["ranges_zs_max"] = ranges_zscore.max()
+
         return sim_stats