Setting up skewabs and skewrv in production

[rorymac]

TLDR: getting an attribute error trying to access the function in rawdata.py

Hello All, Happy Christmas.
BTW running a backtest all the following works in the original code.

Reading Rob's latest book (yes it is taking a bit of time.) I am trying to implement some of the strategies, in particular skewabs and skewrv, The code for these is in the codebase under ~/pysystemtrade/systems/provided/rob_system/rawdata.py
a bit more back ground so in the config.yaml the code calling the rule is as follows"

  skewabs180:
     function: systems.provided.rules.factors.factor_trading_rule
     data:
          - 'rawdata.get_demeanded_factor_value'
     other_args:
          smooth: 45
          _factor_name: 'neg_skew'
          _demean_method: 'historic_average_factor_value_all_assets'
          _lookback_days: 180

So when calling the function get_demeanded_factor_value - you will get an error, this is because the rawdata.py file is modified in the same directory (/systems/provided/rob_system/), see explanation which follows.

So to get it to work in production.

I tried using the work around that Rob used there - but with a tweak, renamed the file in ~/pysystemtrade/systems/rawdata.py to rawdata_orig.py and then added the ~/pysystemtrade/systems/provided/rob_system/rawdata.py into the ~/pysystemtrade/systems/ as rawdata.py
As it has the following line : from systems.rawdata import RawData

but after setting up a live file to test, when running run_systems I get an attribute error the meat of which is as follows:

  File "/home/rorym/pysystemtrade/syscore/objects.py", line 97, in _recursively_get_attr_within_list
    sub_object = getattr(an_object, next_attr)
AttributeError: 'RawData' object has no attribute 'myFuturesRawData'

Generally it would appear from searching the interwebs that this is due to an incorrect reference, in this instance however I do believe there is an odd python tweak that needs to be dome as they are similarly named, and the new class is a subclass.

Has anyone any insight into this or indeed another method of accessing this code in run_systems ?

Prior to trying this hack the attribute error was not finding the get_demeanded_factor_value function

Thank you.

[rorymac]

All right all solved
I simply mashed both files together and renamed it rawdata.py
fixed up the class
And lo you can run it live.
I will put in a pull request tomorrow.

[rorymac]

I put all the new functions into the original class, and it worked. I kept getting errors with two classes. Regards Rory Mackay ***@***.***

…

On Thursday, January 4th, 2024 at 8:04 PM, t3chap ***@***.***> wrote: Did the new rawdata.py file in your solution have two combined classes? or does it contain both? I'm running into the same problem; in my case I can get it to work to run a backtest but I can't run it in production mode yet. Thanks — Reply to this email directly, [view it on GitHub](#1311 (comment)), or [unsubscribe](https://github.com/notifications/unsubscribe-auth/AA2DQX33SY3TDJ7KGT7O4STYM5NRRAVCNFSM6AAAAABBEU7SZOVHI2DSMVQWIX3LMV43SRDJONRXK43TNFXW4Q3PNVWWK3TUHM4DAMJYHA2TK). You are receiving this because you modified the open/close state.Message ID: ***@***.***>

[t3chap]

Rorymac- Thanks. I had the same problem with both classes but I found your repository and your solution and it worked for me. Thank you very much.

[t3chap]

FYI commit 1011459 might have broken this, it did for a new system I setup. I had to add

    def get_raw_cost_data(self, instrument_code: str):
        return self.data_stage.get_raw_cost_data(instrument_code)

    def get_value_of_block_price_move(self, instrument_code: str) -> float:
        return self.data_stage.get_value_of_block_price_move(instrument_code)

    def get_fx_for_instrument(self, instrument_code: str, base_currency: str):
        return self.data_stage.get_fx_for_instrument(
            instrument_code=instrument_code, base_currency=base_currency
        )

to your version of rawdata to make it work. positionsizing.py and rawdata.py were changed in this commit.