├── .gitignore
├── Preprocess Stock Data.ipynb
├── README.md
├── floyd_requirements.txt
└── stock2vec.ipynb


/.gitignore:
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1 | .ipynb_checkpoints/
2 | input/
3 | output/
4 | .floyd*
5 | 


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/Preprocess Stock Data.ipynb:
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  1 | {
  2 |  "cells": [
  3 |   {
  4 |    "cell_type": "markdown",
  5 |    "metadata": {},
  6 |    "source": [
  7 |     "## Import to Postgres\n",
  8 |     "\n",
  9 |     "Load the prices and fundamentals into postgres."
 10 |    ]
 11 |   },
 12 |   {
 13 |    "cell_type": "markdown",
 14 |    "metadata": {},
 15 |    "source": [
 16 |     "```shell\n",
 17 |     "DB_NAME=stocks pgfutter csv prices.csv\n",
 18 |     "DB_NAME=stocks pgfutter csv  --fields \"ticker_indicator,date,value\" fundamentals.csv\n",
 19 |     "```\n",
 20 |     "\n",
 21 |     "Setup the prices table.\n",
 22 |     "\n",
 23 |     "```sql\n",
 24 |     "ALTER TABLE import.prices\n",
 25 |     "SET SCHEMA public;\n",
 26 |     "\n",
 27 |     "ALTER TABLE prices ALTER COLUMN \"date\" \n",
 28 |     "SET DATA TYPE date \n",
 29 |     "USING date::date;\n",
 30 |     "\n",
 31 |     "CREATE INDEX idx_prices_date \n",
 32 |     "ON prices(date);\n",
 33 |     "```\n",
 34 |     "\n",
 35 |     "Setup the fundamentals materialized view.\n",
 36 |     "\n",
 37 |     "```sql\n",
 38 |     "ALTER TABLE import.fundamentals ALTER COLUMN \"date\" \n",
 39 |     "SET DATA TYPE date \n",
 40 |     "USING date::date;\n",
 41 |     "\n",
 42 |     "CREATE MATERIALIZED VIEW fundamentals AS\n",
 43 |     "SELECT split_part(ticker_indicator, '_', 1) as ticker, date, value as epsdil \n",
 44 |     "FROM import.fundamentals\n",
 45 |     "WHERE ticker_indicator LIKE '%EPSDIL_MRT';\n",
 46 |     "\n",
 47 |     "CREATE INDEX idx_fundamentals_date \n",
 48 |     "ON fundamentals(date);\n",
 49 |     "\n",
 50 |     "CREATE INDEX idx_fundamentals_ticker \n",
 51 |     "ON fundamentals(ticker);\n",
 52 |     "```"
 53 |    ]
 54 |   },
 55 |   {
 56 |    "cell_type": "markdown",
 57 |    "metadata": {},
 58 |    "source": [
 59 |     "## Query and Export\n",
 60 |     "\n",
 61 |     "Export the prices with fundamentals. This took about 40 minutes."
 62 |    ]
 63 |   },
 64 |   {
 65 |    "cell_type": "markdown",
 66 |    "metadata": {},
 67 |    "source": [
 68 |     "```sql\n",
 69 |     "COPY \n",
 70 |     "\n",
 71 |     "(SELECT p.*, \n",
 72 |     "\n",
 73 |     "CASE p.epsdil::numeric\n",
 74 |     "\tWHEN 0 THEN 0\n",
 75 |     "\tELSE p.adj_close::numeric / p.epsdil::numeric\n",
 76 |     "END as pe\n",
 77 |     "\n",
 78 |     "FROM (\n",
 79 |     "\tSELECT prices.adj_close, prices.date, prices.ticker,\n",
 80 |     "\t(\n",
 81 |     "\t\tSELECT fundamentals.epsdil\n",
 82 |     "\t\tFROM fundamentals\n",
 83 |     "\t\tWHERE prices.ticker = fundamentals.ticker\n",
 84 |     "\t\tAND prices.date >= fundamentals.date \n",
 85 |     "\t\tORDER BY fundamentals.date DESC\n",
 86 |     "\t\tLIMIT 1\n",
 87 |     "\t)\n",
 88 |     "\tFROM prices\n",
 89 |     "\tWHERE prices.adj_close IS NOT NULL AND prices.adj_close != ''\n",
 90 |     ") p\n",
 91 |     "WHERE p.epsdil IS NOT NULL AND p.epsdil != ''\n",
 92 |     ")\n",
 93 |     "\n",
 94 |     "TO 'prices.csv' (format CSV);\n",
 95 |     "```"
 96 |    ]
 97 |   },
 98 |   {
 99 |    "cell_type": "code",
100 |    "execution_count": null,
101 |    "metadata": {
102 |     "collapsed": true
103 |    },
104 |    "outputs": [],
105 |    "source": []
106 |   }
107 |  ],
108 |  "metadata": {
109 |   "kernelspec": {
110 |    "display_name": "Python 3",
111 |    "language": "python",
112 |    "name": "python3"
113 |   },
114 |   "language_info": {
115 |    "codemirror_mode": {
116 |     "name": "ipython",
117 |     "version": 3
118 |    },
119 |    "file_extension": ".py",
120 |    "mimetype": "text/x-python",
121 |    "name": "python",
122 |    "nbconvert_exporter": "python",
123 |    "pygments_lexer": "ipython3",
124 |    "version": "3.6.0"
125 |   }
126 |  },
127 |  "nbformat": 4,
128 |  "nbformat_minor": 2
129 | }
130 | 


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/README.md:
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 1 | ## Run on floydhub
 2 | 
 3 | ```shell
 4 | floyd run --gpu --mode jupyter --env tensorflow-1.0
 5 | ```
 6 | 
 7 | ## View in Tensorboard
 8 | 
 9 | ```
10 | tensorboard --logdir output
11 | ```
12 | 


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/floyd_requirements.txt:
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1 | tqdm
2 | 


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