Merge pull request #107 from ben9809/feature/poetry-setup

Poetry Setup for Enhanced Compatibility Across Python 3.8, 3.9, 3.10, 3.11, 3.12

.coveragerc

@@ -3,6 +3,7 @@ directory = build/coverage/html
 
 [run]
 branch = True
+parallel = True
 omit =
      *__init__*
      arbitragelab/network/imports.py

.github/workflows/python-tests.yaml

@@ -13,7 +13,7 @@ jobs:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.8]  # Add versions as needed
+        python-version: ['3.8', '3.9', '3.10', '3.11', '3.12']  # Add versions as needed
 
     steps:
       - name: Checkout code
@@ -24,23 +24,32 @@ jobs:
         with:
           python-version: ${{ matrix.python-version }}
 
+      - name: Install Poetry
+        run: |
+          pip install --upgrade pip
+          pip install poetry
+
+
       - name: Install dependencies
         run: |
-          python -m venv venv
-          source venv/bin/activate
-          pip install -r requirements.txt
+          poetry install
 
       - name: Run Pylint
         run: |
-          source venv/bin/activate
-          pylint arbitragelab tests --rcfile=.pylintrc -f text
+          poetry run pylint arbitragelab tests --rcfile=.pylintrc --output-format=text --output=pylint-report.txt
+
+      - name: Upload test results
+        uses: actions/upload-artifact@v3
+        with:
+          name: pylint-report-${{ matrix.python-version }}
+          path: pylint-report.txt
 
 
   test-coverage:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.8]  # Add versions as needed
+        python-version: ['3.8', '3.9', '3.10', '3.11', '3.12']  # Add versions as needed
 
     steps:
       - name: Checkout code
@@ -51,22 +60,30 @@ jobs:
         with:
           python-version: ${{ matrix.python-version }}
 
+      - name: Install Poetry
+        run: |
+          pip install --upgrade pip
+          pip install poetry
+
       - name: Install dependencies
         run: |
-          python -m venv venv
-          source venv/bin/activate
-          pip install -r requirements.txt
+          poetry install
 
       - name: Run tests with coverage
         run: |
-          source venv/bin/activate
-          bash coverage
+          poetry run pytest tests/ --cov=arbitragelab --cov-report=term --cov-branch --cov-config=.coveragerc
 
-      - name: Upload test results
-        uses: actions/upload-artifact@v3
+      - name: Generate coverage XML report
+        run: poetry run coverage html
+
+      - name: Upload Coverage XML Report as Artifact
+        uses: actions/upload-artifact@v2
         with:
-          name: test-reports-${{ matrix.python-version }}
-          path: test-reports
+          name: coverage-html
+          path: coverage.html
+
+      - name: Check coverage
+        run: poetry run coverage report --fail-under=100
 
   test-docs:
     runs-on: ubuntu-latest
@@ -83,19 +100,27 @@ jobs:
         with:
           python-version: ${{ matrix.python-version }}
 
+      - name: Install Poetry
+        run: |
+          pip install poetry
+
       - name: Install requirements
         run: |
-          python -m venv venv
-          source venv/bin/activate
-          pip install -r requirements.txt
-          pip install -r docs/source/requirements.txt
+          poetry install
 
       - name: Build documentation
         run: |
-          source venv/bin/activate
-          make -C docs html
+          cd docs
+          poetry run make html
 
       - name: Run doctests
         run: |
-          source venv/bin/activate
-          make -C docs doctest
+          cd docs
+          poetry run make doctest
+
+      - name: Upload doctest results as an artifact
+        uses: actions/upload-artifact@v2
+        with:
+          name: doctest-results
+          path: docs/build/doctest/output.txt
+

.pylintrc

@@ -41,11 +41,11 @@ load-plugins=
 # Reference: http://pylint-messages.wikidot.com/all-codes
 disable=I,
         maybe-no-member,
-        star-args,
-        abstract-class-not-used,
+#        star-args,
+#        abstract-class-not-used,
         duplicate-code,
         superfluous-parens,
-        abstract-class-little-used,
+#        abstract-class-little-used,
         too-few-public-methods,
         RP0401,
         RP0801,
@@ -70,7 +70,7 @@ output-format=text
 # Put messages in a separate file for each module / package specified on the
 # command line instead of printing them on stdout. Reports (if any) will be
 # written in a file name "pylint_global.[txt|html]".
-files-output=no
+#files-output=no
 
 # Tells whether to display a full report or only the messages
 reports=yes
@@ -91,7 +91,7 @@ msg-template={C}:{line:3d},{column:2d}: [{obj}] {msg} ({msg_id} - {symbol})
 [BASIC]
 
 # List of builtins function names that should not be used, separated by a comma
-bad-functions=map,filter,apply,input
+#bad-functions=map,filter,apply,input
 
 # Regular expression which should only match correct module names
 module-rgx=(([a-z_][a-z0-9_]*)|([A-Z][a-zA-Z0-9]+))$
@@ -275,4 +275,4 @@ int-import-graph=
 
 # Exceptions that will emit a warning when being caught. Defaults to
 # "Exception"
-overgeneral-exceptions=Exception
+overgeneral-exceptions=builtins.Exception

arbitragelab/__init__.py

@@ -3,17 +3,17 @@
 reproducible, interpretable, and easy to use tools.
 """
 
-import arbitragelab.codependence as codependence
-import arbitragelab.cointegration_approach as cointegration_approach
-import arbitragelab.copula_approach as copula_approach
-import arbitragelab.distance_approach as distance_approach
-import arbitragelab.hedge_ratios as hedge_ratios
-import arbitragelab.ml_approach as ml_approach
-import arbitragelab.optimal_mean_reversion as optimal_mean_reversion
-import arbitragelab.other_approaches as other_approaches
-import arbitragelab.spread_selection as spread_selection
-import arbitragelab.stochastic_control_approach as stochastic_control_approach
-import arbitragelab.tearsheet as tearsheet
-import arbitragelab.time_series_approach as time_series_approach
-import arbitragelab.trading as trading
-import arbitragelab.util as util
+from arbitragelab import codependence
+from arbitragelab import cointegration_approach
+from arbitragelab import copula_approach
+from arbitragelab import distance_approach
+from arbitragelab import hedge_ratios
+from arbitragelab import ml_approach
+from arbitragelab import optimal_mean_reversion
+from arbitragelab import other_approaches
+from arbitragelab import spread_selection
+from arbitragelab import stochastic_control_approach
+from arbitragelab import tearsheet
+from arbitragelab import time_series_approach
+from arbitragelab import trading
+from arbitragelab import util

arbitragelab/codependence/codependence_matrix.py

@@ -13,7 +13,7 @@
 from arbitragelab.codependence.optimal_transport import optimal_transport_dependence
 
 
-# pylint: disable=invalid-name
+# pylint: disable=invalid-name, unnecessary-lambda-assignment
 def get_dependence_matrix(df: pd.DataFrame, dependence_method: str, theta: float = 0.5,
                           n_bins: int = None, normalize: bool = True,
                           estimator: str = 'standard', target_dependence: str = 'comonotonicity',

arbitragelab/codependence/optimal_transport.py

@@ -2,6 +2,7 @@
 Implementations of Optimal Copula Transport dependence measure proposed by Marti et al.: https://arxiv.org/abs/1610.09659
 And implemented in the blog post by Marti: https://gmarti.gitlab.io/qfin/2020/06/25/copula-optimal-transport-dependence.html
 """
+# pylint: disable=broad-exception-raised
 
 import warnings
 import numpy as np

arbitragelab/cointegration_approach/coint_sim.py

@@ -2,6 +2,7 @@
 """
 This module allows simulation of cointegrated time series pairs.
 """
+# pylint: disable=consider-using-f-string
 
 from typing import Tuple, Optional
 

arbitragelab/cointegration_approach/engle_granger.py

@@ -7,7 +7,6 @@
 import pandas as pd
 from statsmodels.tsa.stattools import adfuller
 from sklearn.linear_model import LinearRegression
-
 from arbitragelab.cointegration_approach.base import CointegratedPortfolio
 
 

arbitragelab/cointegration_approach/minimum_profit.py

@@ -1,7 +1,8 @@
-# pylint: disable=invalid-name, too-many-arguments
 """
 This module optimizes the upper and lower bounds for mean-reversion cointegration pair trading.
 """
+# pylint: disable=invalid-name, too-many-arguments
+# pylint: disable=broad-exception-raised, consider-using-f-string
 
 import sys
 import warnings

arbitragelab/cointegration_approach/multi_coint.py

@@ -1,6 +1,7 @@
 """
 This module generates a cointegration vector for mean-reversion trading of three or more cointegrated assets.
 """
+# pylint: disable=consider-using-f-string
 
 import warnings
 from typing import Tuple, Optional
@@ -147,7 +148,7 @@ def fit(self, log_price: pd.DataFrame, sig_level: str = "95%", suppress_warnings
         coint_vec = jo_portfolio.cointegration_vectors.loc[0]
         self.__coint_vec = coint_vec
 
-        return coint_vec
+        return self.__coint_vec
 
     # pylint: disable=invalid-name, too-many-locals
     def get_coint_vec(self) -> Tuple[pd.DataFrame, ...]:

arbitragelab/cointegration_approach/sparse_mr_portfolio.py

@@ -1,4 +1,3 @@
-# pylint: disable=invalid-name
 """
 This module selects sparse mean-reverting portfolios out of an asset universe. The methods implemented in this module
 include the following:
@@ -12,6 +11,8 @@
 7. Semidefinite programming approach to portmanteau statistics optimization under a minimum volatility constraint.
 8. Semidefinite programming approach to crossing statistics optimization under a minimum volatility constraint.
 """
+# pylint: disable=consider-using-f-string
+# pylint: disable=invalid-name
 
 from typing import Tuple
 import warnings

arbitragelab/copula_approach/archimedean/joe.py

@@ -2,7 +2,7 @@
 Module that houses Joe copula class.
 """
 
-# pylint: disable = invalid-name, too-many-lines
+# pylint: disable=invalid-name, too-many-lines, unnecessary-lambda-assignment
 from typing import Callable
 
 import numpy as np

arbitragelab/copula_approach/archimedean/n13.py

@@ -2,7 +2,7 @@
 Module that houses N13 copula class.
 """
 
-# pylint: disable = invalid-name, too-many-lines
+# pylint: disable=invalid-name, too-many-lines, unnecessary-lambda-assignment
 from typing import Callable
 
 import numpy as np

arbitragelab/copula_approach/copula_calculation.py

@@ -20,7 +20,7 @@
 <https://www.tandfonline.com/doi/pdf/10.1080/01621459.2013.873366?casa_token=sey8HrojSgYAAAAA:TEMBX8wLYdGFGyM78UXSYm6hXl1Qp_K6wiLgRJf6kPcqW4dYT8z3oA3I_odrAL48DNr3OSoqkQsEmQ>`__
 """
 
-# pylint: disable = invalid-name
+# pylint: disable=invalid-name, unnecessary-lambda-assignment
 from typing import Callable, Tuple
 
 import numpy as np

arbitragelab/copula_approach/mixed_copulas/cfg_mix_copula.py

@@ -2,7 +2,7 @@
 Module that implements Clayton, Frank and Gumbel mixed copula.
 """
 
-# pylint: disable = invalid-name, too-many-locals, arguments-differ
+# pylint: disable=invalid-name, too-many-locals, arguments-differ, arguments-renamed
 import numpy as np
 import pandas as pd
 from scipy.optimize import minimize

arbitragelab/copula_approach/mixed_copulas/ctg_mix_copula.py

@@ -2,7 +2,7 @@
 Module that implements Clayton, Student-t and Gumbel mixed copula.
 """
 
-# pylint: disable = invalid-name, too-many-locals, arguments-differ
+# pylint: disable=invalid-name, too-many-locals, arguments-differ, arguments-renamed
 import numpy as np
 import pandas as pd
 from scipy.optimize import minimize

arbitragelab/copula_approach/vine_copula_partner_selection.py

@@ -2,7 +2,7 @@
 Module for implementing partner selection approaches for vine copulas.
 """
 
-# pylint: disable = invalid-name
+# pylint: disable = invalid-name, broad-exception-raised
 import functools
 import itertools
 import matplotlib.pyplot as plt