02_momentum.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "9588e3f4",
   "metadata": {},
   "source": [
    "### Importing Libraries\n",
    "The first step in any Python script or Jupyter notebook is to import the necessary libraries. Here, we are importing libraries that will be used for stock data retrieval, risk portfolio analysis, time management, threading, and interaction with the Interactive Brokers API."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "79cc424d",
   "metadata": {},
   "outputs": [],
   "source": [
    "import time\n",
    "import threading\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "import datetime\n",
    "from openbb_terminal.sdk import openbb\n",
    "from ibapi.client import EClient\n",
    "from ibapi.wrapper import EWrapper\n",
    "from ibapi.contract import Contract\n",
    "from ibapi.order import *"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "4d33544e",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Set the values we'll use in the trading app\n",
    "today = pd.Timestamp.today().strftime(\"%Y-%m-%d\")\n",
    "top_N = 5"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "2b4b3070",
   "metadata": {},
   "source": [
    "### Universe Selection\n",
    "In this section, we are using the openbb_terminal.sdk library to screen for stocks that have recently hit new highs. This is as much art as science. Use your skill and experience to select your investment universe. Ideally a group of stocks you think are showing signs of momentum."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "070eeed9",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[Info] loading page [##############################] 10/10 \r"
     ]
    }
   ],
   "source": [
    "new_highs = openbb.stocks.screener.screener_data(\"new_high\")"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "4cd244d1",
   "metadata": {},
   "source": [
    "### Data Filtering\n",
    "After retrieving the stock data, we filter it based on certain criteria. Here, we are filtering for stocks with a price greater than $15 and that are based in the USA."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "763eb02c",
   "metadata": {},
   "outputs": [],
   "source": [
    "port_data = new_highs[\n",
    "    (new_highs.Price > 15) &\n",
    "    (new_highs.Country == \"USA\")\n",
    "]"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "21b5cef0",
   "metadata": {},
   "source": [
    "### Data Preparation\n",
    "Once we have our filtered list of stocks, we extract their ticker symbols and then use these symbols to download historical stock price data. This data will be used for further analysis."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "2741e294",
   "metadata": {},
   "outputs": [],
   "source": [
    "symbols = port_data.Ticker.tolist()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "4dac596a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['CYTK',\n",
       " 'MARA',\n",
       " 'MSTR',\n",
       " 'ASPN',\n",
       " 'COIN',\n",
       " 'REFI',\n",
       " 'BBIO',\n",
       " 'CBAY',\n",
       " 'ACU',\n",
       " 'LMNR',\n",
       " 'AGM',\n",
       " 'ITCI',\n",
       " 'MGRC',\n",
       " 'RCKT',\n",
       " 'CVRX',\n",
       " 'STRL',\n",
       " 'GFF',\n",
       " 'MMI',\n",
       " 'CUBI',\n",
       " 'WD',\n",
       " 'BHVN',\n",
       " 'FRPT',\n",
       " 'RYTM',\n",
       " 'SWTX',\n",
       " 'KD',\n",
       " 'LMB',\n",
       " 'HLNE',\n",
       " 'COKE',\n",
       " 'FSTR',\n",
       " 'ARVN',\n",
       " 'NWSA',\n",
       " 'NWS',\n",
       " 'RXST',\n",
       " 'MHO',\n",
       " 'AMD',\n",
       " 'VSEC',\n",
       " 'WS',\n",
       " 'BPMC',\n",
       " 'SKYW',\n",
       " 'NPO',\n",
       " 'SPXC',\n",
       " 'INTC',\n",
       " 'CVCO',\n",
       " 'HBB',\n",
       " 'INSM',\n",
       " 'BCC',\n",
       " 'BXC',\n",
       " 'UVV',\n",
       " 'CABA',\n",
       " 'CCS',\n",
       " 'ML',\n",
       " 'REGN',\n",
       " 'UHAL-B',\n",
       " 'ANDE',\n",
       " 'EVR',\n",
       " 'DLX',\n",
       " 'UHAL',\n",
       " 'GHM',\n",
       " 'EAT',\n",
       " 'RRR',\n",
       " 'BFST',\n",
       " 'SLM',\n",
       " 'AFRM',\n",
       " 'NBIX',\n",
       " 'ODP',\n",
       " 'MDC',\n",
       " 'TDW',\n",
       " 'CRVL',\n",
       " 'OVLY',\n",
       " 'STC',\n",
       " 'CENT',\n",
       " 'GPI',\n",
       " 'LOB',\n",
       " 'GOLF',\n",
       " 'TPH',\n",
       " 'BWMN',\n",
       " 'PJT',\n",
       " 'ZS',\n",
       " 'PCVX',\n",
       " 'FUNC',\n",
       " 'WMS',\n",
       " 'BX',\n",
       " 'JLL',\n",
       " 'SCSC',\n",
       " 'WFRD',\n",
       " 'KOP',\n",
       " 'DSGR',\n",
       " 'PATK',\n",
       " 'BBSI',\n",
       " 'RAMP',\n",
       " 'SSD',\n",
       " 'BR',\n",
       " 'VSTS',\n",
       " 'ALG',\n",
       " 'FNF',\n",
       " 'RUSHA',\n",
       " 'BCPC',\n",
       " 'GNE',\n",
       " 'USAP',\n",
       " 'MEDP',\n",
       " 'SKY',\n",
       " 'SCVL',\n",
       " 'CHCO',\n",
       " 'JELD',\n",
       " 'MTRN',\n",
       " 'MSBI',\n",
       " 'KBH',\n",
       " 'WING',\n",
       " 'NCNO',\n",
       " 'MLI',\n",
       " 'IBOC',\n",
       " 'ZEUS',\n",
       " 'ICE',\n",
       " 'KELYA',\n",
       " 'RKT']"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "symbols"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "2f09ea07",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Using an arbitrary list of stocks for demonstration purposes. This\n",
    "# Overrides the stock universe created above.\n",
    "# symbols = [\"NEM\", \"RGLD\", \"SSRM\", \"CDE\", \"LLY\", \"UNH\", \"JNJ\", \"MRK\"]\n",
    "stocks = []\n",
    "for symbol in symbols:\n",
    "    df = (\n",
    "        openbb\n",
    "        .stocks\n",
    "        .load(\n",
    "            symbol,\n",
    "            start_date=\"2015-01-01\", \n",
    "            end_date=today,\n",
    "            verbose=False\n",
    "        )\n",
    "        .drop([\"Close\", \"Dividends\", \"Stock Splits\"], axis=1)\n",
    "    )\n",
    "    df[\"symbol\"] = symbol\n",
    "    stocks.append(df)\n",
    "\n",
    "prices = pd.concat(stocks)\n",
    "prices.columns = [\"open\", \"high\", \"low\", \"close\", \"volume\", \"symbol\"]"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "a214b780",
   "metadata": {},
   "source": [
    "### Factor Engineering\n",
    "With the historical stock price data in hand, we can now proceed to engineer our momentum factor."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "9834ab5d",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Check to make sure we have at least 2 years worth of data\n",
    "nobs = prices.groupby(\"symbol\").size()\n",
    "mask = nobs[nobs > 2 * 12 * 21].index\n",
    "prices = prices[prices.symbol.isin(mask)]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "f2f38753",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>symbol</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2015-01-02</th>\n",
       "      <td>8.01</td>\n",
       "      <td>8.16</td>\n",
       "      <td>7.14</td>\n",
       "      <td>7.37</td>\n",
       "      <td>1675600</td>\n",
       "      <td>CYTK</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-05</th>\n",
       "      <td>7.50</td>\n",
       "      <td>7.98</td>\n",
       "      <td>7.50</td>\n",
       "      <td>7.67</td>\n",
       "      <td>730800</td>\n",
       "      <td>CYTK</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-06</th>\n",
       "      <td>7.70</td>\n",
       "      <td>7.84</td>\n",
       "      <td>6.92</td>\n",
       "      <td>7.22</td>\n",
       "      <td>979700</td>\n",
       "      <td>CYTK</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-07</th>\n",
       "      <td>7.25</td>\n",
       "      <td>7.50</td>\n",
       "      <td>7.16</td>\n",
       "      <td>7.47</td>\n",
       "      <td>546200</td>\n",
       "      <td>CYTK</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-08</th>\n",
       "      <td>7.50</td>\n",
       "      <td>8.07</td>\n",
       "      <td>7.49</td>\n",
       "      <td>7.72</td>\n",
       "      <td>892200</td>\n",
       "      <td>CYTK</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-20</th>\n",
       "      <td>14.39</td>\n",
       "      <td>14.97</td>\n",
       "      <td>14.18</td>\n",
       "      <td>14.30</td>\n",
       "      <td>9486400</td>\n",
       "      <td>RKT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-21</th>\n",
       "      <td>14.52</td>\n",
       "      <td>14.96</td>\n",
       "      <td>14.42</td>\n",
       "      <td>14.90</td>\n",
       "      <td>4865000</td>\n",
       "      <td>RKT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-22</th>\n",
       "      <td>14.87</td>\n",
       "      <td>15.00</td>\n",
       "      <td>14.60</td>\n",
       "      <td>14.73</td>\n",
       "      <td>3046100</td>\n",
       "      <td>RKT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-26</th>\n",
       "      <td>14.75</td>\n",
       "      <td>15.08</td>\n",
       "      <td>14.62</td>\n",
       "      <td>14.91</td>\n",
       "      <td>1909500</td>\n",
       "      <td>RKT</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-27</th>\n",
       "      <td>14.91</td>\n",
       "      <td>15.19</td>\n",
       "      <td>14.83</td>\n",
       "      <td>15.04</td>\n",
       "      <td>1869100</td>\n",
       "      <td>RKT</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>221906 rows × 6 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "             open   high    low  close   volume symbol\n",
       "date                                                  \n",
       "2015-01-02   8.01   8.16   7.14   7.37  1675600   CYTK\n",
       "2015-01-05   7.50   7.98   7.50   7.67   730800   CYTK\n",
       "2015-01-06   7.70   7.84   6.92   7.22   979700   CYTK\n",
       "2015-01-07   7.25   7.50   7.16   7.47   546200   CYTK\n",
       "2015-01-08   7.50   8.07   7.49   7.72   892200   CYTK\n",
       "...           ...    ...    ...    ...      ...    ...\n",
       "2023-12-20  14.39  14.97  14.18  14.30  9486400    RKT\n",
       "2023-12-21  14.52  14.96  14.42  14.90  4865000    RKT\n",
       "2023-12-22  14.87  15.00  14.60  14.73  3046100    RKT\n",
       "2023-12-26  14.75  15.08  14.62  14.91  1909500    RKT\n",
       "2023-12-27  14.91  15.19  14.83  15.04  1869100    RKT\n",
       "\n",
       "[221906 rows x 6 columns]"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "6854ff33",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Arrange the DataFrame to have a symbol and date index\n",
    "prices = (\n",
    "    prices\n",
    "    .set_index(\"symbol\", append=True)\n",
    "    .reorder_levels([\"symbol\", \"date\"])\n",
    ").drop_duplicates()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "de7c9f97",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">CYTK</th>\n",
       "      <th>2015-01-02</th>\n",
       "      <td>8.01</td>\n",
       "      <td>8.16</td>\n",
       "      <td>7.14</td>\n",
       "      <td>7.37</td>\n",
       "      <td>1675600</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-05</th>\n",
       "      <td>7.50</td>\n",
       "      <td>7.98</td>\n",
       "      <td>7.50</td>\n",
       "      <td>7.67</td>\n",
       "      <td>730800</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-06</th>\n",
       "      <td>7.70</td>\n",
       "      <td>7.84</td>\n",
       "      <td>6.92</td>\n",
       "      <td>7.22</td>\n",
       "      <td>979700</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-07</th>\n",
       "      <td>7.25</td>\n",
       "      <td>7.50</td>\n",
       "      <td>7.16</td>\n",
       "      <td>7.47</td>\n",
       "      <td>546200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2015-01-08</th>\n",
       "      <td>7.50</td>\n",
       "      <td>8.07</td>\n",
       "      <td>7.49</td>\n",
       "      <td>7.72</td>\n",
       "      <td>892200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">RKT</th>\n",
       "      <th>2023-12-20</th>\n",
       "      <td>14.39</td>\n",
       "      <td>14.97</td>\n",
       "      <td>14.18</td>\n",
       "      <td>14.30</td>\n",
       "      <td>9486400</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-21</th>\n",
       "      <td>14.52</td>\n",
       "      <td>14.96</td>\n",
       "      <td>14.42</td>\n",
       "      <td>14.90</td>\n",
       "      <td>4865000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-22</th>\n",
       "      <td>14.87</td>\n",
       "      <td>15.00</td>\n",
       "      <td>14.60</td>\n",
       "      <td>14.73</td>\n",
       "      <td>3046100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-26</th>\n",
       "      <td>14.75</td>\n",
       "      <td>15.08</td>\n",
       "      <td>14.62</td>\n",
       "      <td>14.91</td>\n",
       "      <td>1909500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-27</th>\n",
       "      <td>14.91</td>\n",
       "      <td>15.19</td>\n",
       "      <td>14.83</td>\n",
       "      <td>15.04</td>\n",
       "      <td>1869100</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>221635 rows × 5 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                    open   high    low  close   volume\n",
       "symbol date                                           \n",
       "CYTK   2015-01-02   8.01   8.16   7.14   7.37  1675600\n",
       "       2015-01-05   7.50   7.98   7.50   7.67   730800\n",
       "       2015-01-06   7.70   7.84   6.92   7.22   979700\n",
       "       2015-01-07   7.25   7.50   7.16   7.47   546200\n",
       "       2015-01-08   7.50   8.07   7.49   7.72   892200\n",
       "...                  ...    ...    ...    ...      ...\n",
       "RKT    2023-12-20  14.39  14.97  14.18  14.30  9486400\n",
       "       2023-12-21  14.52  14.96  14.42  14.90  4865000\n",
       "       2023-12-22  14.87  15.00  14.60  14.73  3046100\n",
       "       2023-12-26  14.75  15.08  14.62  14.91  1909500\n",
       "       2023-12-27  14.91  15.19  14.83  15.04  1869100\n",
       "\n",
       "[221635 rows x 5 columns]"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "b0a98780",
   "metadata": {},
   "outputs": [],
   "source": [
    "# The function first computes the percentage change in the \n",
    "# closing prices over the most recent 126 trading days, \n",
    "# which is used later for normalization. The momentum \n",
    "# score is then calculated as the difference between \n",
    "# the long-term return (the percentage change in closing \n",
    "# price over the past 252 days) and the short-term return \n",
    "# (the percentage change in closing price over the past 21\n",
    "# days). This score is normalized by dividing it by the \n",
    "# standard deviation of the returns over the past 126 days, \n",
    "# providing a standardized measure of momentum that accounts \n",
    "# for recent volatility. \n",
    "def momentum(close):\n",
    "    returns = close.pct_change()[-126:]\n",
    "    return(\n",
    "        (close[-21] - close[-252]) / close[-252] \n",
    "        - (close[-1] - close[-21]) / close[-21]\n",
    "    ) / np.std(returns)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "dca76305",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Apply the momentum factor to a 252 trading day rolling\n",
    "# window to generate the momentum factor\n",
    "df = (\n",
    "    prices\n",
    "    .groupby(\n",
    "        \"symbol\", \n",
    "        group_keys=False\n",
    "    )\n",
    "    .rolling(252)\n",
    "    .close\n",
    "    .apply(momentum)\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "id": "1259b108",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Pandas adds an extra symbol index, so remove it\n",
    "df.index = df.index.droplevel(0)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "f9912b78",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Add our momentum factor values to our original DataFrame\n",
    "# and drop any NA values\n",
    "prices[\"momentum\"] = df\n",
    "prices.dropna(inplace=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "212a0235",
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">CYTK</th>\n",
       "      <th>2015-12-31</th>\n",
       "      <td>10.49</td>\n",
       "      <td>10.64</td>\n",
       "      <td>10.26</td>\n",
       "      <td>10.46</td>\n",
       "      <td>600200</td>\n",
       "      <td>21.555587</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-04</th>\n",
       "      <td>10.22</td>\n",
       "      <td>10.34</td>\n",
       "      <td>9.85</td>\n",
       "      <td>10.00</td>\n",
       "      <td>403000</td>\n",
       "      <td>13.528984</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-05</th>\n",
       "      <td>10.09</td>\n",
       "      <td>10.71</td>\n",
       "      <td>9.95</td>\n",
       "      <td>10.60</td>\n",
       "      <td>540300</td>\n",
       "      <td>14.039476</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-06</th>\n",
       "      <td>10.44</td>\n",
       "      <td>10.44</td>\n",
       "      <td>9.86</td>\n",
       "      <td>9.94</td>\n",
       "      <td>375200</td>\n",
       "      <td>13.016054</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-07</th>\n",
       "      <td>9.77</td>\n",
       "      <td>10.10</td>\n",
       "      <td>9.55</td>\n",
       "      <td>9.82</td>\n",
       "      <td>445900</td>\n",
       "      <td>15.389432</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">RKT</th>\n",
       "      <th>2023-12-20</th>\n",
       "      <td>14.39</td>\n",
       "      <td>14.97</td>\n",
       "      <td>14.18</td>\n",
       "      <td>14.30</td>\n",
       "      <td>9486400</td>\n",
       "      <td>-12.373634</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-21</th>\n",
       "      <td>14.52</td>\n",
       "      <td>14.96</td>\n",
       "      <td>14.42</td>\n",
       "      <td>14.90</td>\n",
       "      <td>4865000</td>\n",
       "      <td>-13.944638</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-22</th>\n",
       "      <td>14.87</td>\n",
       "      <td>15.00</td>\n",
       "      <td>14.60</td>\n",
       "      <td>14.73</td>\n",
       "      <td>3046100</td>\n",
       "      <td>-11.968475</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-26</th>\n",
       "      <td>14.75</td>\n",
       "      <td>15.08</td>\n",
       "      <td>14.62</td>\n",
       "      <td>14.91</td>\n",
       "      <td>1909500</td>\n",
       "      <td>-10.829116</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-27</th>\n",
       "      <td>14.91</td>\n",
       "      <td>15.19</td>\n",
       "      <td>14.83</td>\n",
       "      <td>15.04</td>\n",
       "      <td>1869100</td>\n",
       "      <td>-7.366365</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>193774 rows × 6 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                    open   high    low  close   volume   momentum\n",
       "symbol date                                                      \n",
       "CYTK   2015-12-31  10.49  10.64  10.26  10.46   600200  21.555587\n",
       "       2016-01-04  10.22  10.34   9.85  10.00   403000  13.528984\n",
       "       2016-01-05  10.09  10.71   9.95  10.60   540300  14.039476\n",
       "       2016-01-06  10.44  10.44   9.86   9.94   375200  13.016054\n",
       "       2016-01-07   9.77  10.10   9.55   9.82   445900  15.389432\n",
       "...                  ...    ...    ...    ...      ...        ...\n",
       "RKT    2023-12-20  14.39  14.97  14.18  14.30  9486400 -12.373634\n",
       "       2023-12-21  14.52  14.96  14.42  14.90  4865000 -13.944638\n",
       "       2023-12-22  14.87  15.00  14.60  14.73  3046100 -11.968475\n",
       "       2023-12-26  14.75  15.08  14.62  14.91  1909500 -10.829116\n",
       "       2023-12-27  14.91  15.19  14.83  15.04  1869100  -7.366365\n",
       "\n",
       "[193774 rows x 6 columns]"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "1f519028",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Rank the momentum factor for each stock, every day\n",
    "prices[\"factor_rank\"] = (\n",
    "    prices\n",
    "    .groupby(level=[1])\n",
    "    .momentum\n",
    "    .rank(ascending=False)\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "id": "d9c5dbfb",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "      <th>factor_rank</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">CYTK</th>\n",
       "      <th>2015-12-31</th>\n",
       "      <td>10.49</td>\n",
       "      <td>10.64</td>\n",
       "      <td>10.26</td>\n",
       "      <td>10.46</td>\n",
       "      <td>600200</td>\n",
       "      <td>21.555587</td>\n",
       "      <td>12.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-04</th>\n",
       "      <td>10.22</td>\n",
       "      <td>10.34</td>\n",
       "      <td>9.85</td>\n",
       "      <td>10.00</td>\n",
       "      <td>403000</td>\n",
       "      <td>13.528984</td>\n",
       "      <td>22.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-05</th>\n",
       "      <td>10.09</td>\n",
       "      <td>10.71</td>\n",
       "      <td>9.95</td>\n",
       "      <td>10.60</td>\n",
       "      <td>540300</td>\n",
       "      <td>14.039476</td>\n",
       "      <td>23.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-06</th>\n",
       "      <td>10.44</td>\n",
       "      <td>10.44</td>\n",
       "      <td>9.86</td>\n",
       "      <td>9.94</td>\n",
       "      <td>375200</td>\n",
       "      <td>13.016054</td>\n",
       "      <td>22.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-01-07</th>\n",
       "      <td>9.77</td>\n",
       "      <td>10.10</td>\n",
       "      <td>9.55</td>\n",
       "      <td>9.82</td>\n",
       "      <td>445900</td>\n",
       "      <td>15.389432</td>\n",
       "      <td>17.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">RKT</th>\n",
       "      <th>2023-12-20</th>\n",
       "      <td>14.39</td>\n",
       "      <td>14.97</td>\n",
       "      <td>14.18</td>\n",
       "      <td>14.30</td>\n",
       "      <td>9486400</td>\n",
       "      <td>-12.373634</td>\n",
       "      <td>103.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-21</th>\n",
       "      <td>14.52</td>\n",
       "      <td>14.96</td>\n",
       "      <td>14.42</td>\n",
       "      <td>14.90</td>\n",
       "      <td>4865000</td>\n",
       "      <td>-13.944638</td>\n",
       "      <td>104.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-22</th>\n",
       "      <td>14.87</td>\n",
       "      <td>15.00</td>\n",
       "      <td>14.60</td>\n",
       "      <td>14.73</td>\n",
       "      <td>3046100</td>\n",
       "      <td>-11.968475</td>\n",
       "      <td>101.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-26</th>\n",
       "      <td>14.75</td>\n",
       "      <td>15.08</td>\n",
       "      <td>14.62</td>\n",
       "      <td>14.91</td>\n",
       "      <td>1909500</td>\n",
       "      <td>-10.829116</td>\n",
       "      <td>95.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-27</th>\n",
       "      <td>14.91</td>\n",
       "      <td>15.19</td>\n",
       "      <td>14.83</td>\n",
       "      <td>15.04</td>\n",
       "      <td>1869100</td>\n",
       "      <td>-7.366365</td>\n",
       "      <td>87.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>193774 rows × 7 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                    open   high    low  close   volume   momentum  factor_rank\n",
       "symbol date                                                                   \n",
       "CYTK   2015-12-31  10.49  10.64  10.26  10.46   600200  21.555587         12.0\n",
       "       2016-01-04  10.22  10.34   9.85  10.00   403000  13.528984         22.0\n",
       "       2016-01-05  10.09  10.71   9.95  10.60   540300  14.039476         23.0\n",
       "       2016-01-06  10.44  10.44   9.86   9.94   375200  13.016054         22.0\n",
       "       2016-01-07   9.77  10.10   9.55   9.82   445900  15.389432         17.0\n",
       "...                  ...    ...    ...    ...      ...        ...          ...\n",
       "RKT    2023-12-20  14.39  14.97  14.18  14.30  9486400 -12.373634        103.0\n",
       "       2023-12-21  14.52  14.96  14.42  14.90  4865000 -13.944638        104.0\n",
       "       2023-12-22  14.87  15.00  14.60  14.73  3046100 -11.968475        101.0\n",
       "       2023-12-26  14.75  15.08  14.62  14.91  1909500 -10.829116         95.0\n",
       "       2023-12-27  14.91  15.19  14.83  15.04  1869100  -7.366365         87.0\n",
       "\n",
       "[193774 rows x 7 columns]"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "117ca4b7",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "      <th>factor_rank</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>ACU</th>\n",
       "      <td>ACU</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>43.200001</td>\n",
       "      <td>44.860001</td>\n",
       "      <td>43.200001</td>\n",
       "      <td>44.860001</td>\n",
       "      <td>12400</td>\n",
       "      <td>8.284886</td>\n",
       "      <td>47.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>AFRM</th>\n",
       "      <td>AFRM</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>50.200001</td>\n",
       "      <td>52.480000</td>\n",
       "      <td>49.799999</td>\n",
       "      <td>51.240002</td>\n",
       "      <td>20755800</td>\n",
       "      <td>35.393350</td>\n",
       "      <td>12.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>AGM</th>\n",
       "      <td>AGM</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>192.000000</td>\n",
       "      <td>198.169998</td>\n",
       "      <td>190.699997</td>\n",
       "      <td>194.919998</td>\n",
       "      <td>74400</td>\n",
       "      <td>15.889454</td>\n",
       "      <td>28.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ALG</th>\n",
       "      <td>ALG</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>214.000000</td>\n",
       "      <td>216.339996</td>\n",
       "      <td>211.410004</td>\n",
       "      <td>213.250000</td>\n",
       "      <td>46400</td>\n",
       "      <td>6.705429</td>\n",
       "      <td>54.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>AMD</th>\n",
       "      <td>AMD</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>144.720001</td>\n",
       "      <td>146.250000</td>\n",
       "      <td>143.179993</td>\n",
       "      <td>146.070007</td>\n",
       "      <td>48984900</td>\n",
       "      <td>28.081430</td>\n",
       "      <td>17.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>WFRD</th>\n",
       "      <td>WFRD</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>101.260002</td>\n",
       "      <td>102.644997</td>\n",
       "      <td>100.519997</td>\n",
       "      <td>100.680000</td>\n",
       "      <td>696700</td>\n",
       "      <td>34.732896</td>\n",
       "      <td>13.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>WING</th>\n",
       "      <td>WING</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>259.149994</td>\n",
       "      <td>261.970001</td>\n",
       "      <td>258.609985</td>\n",
       "      <td>260.390015</td>\n",
       "      <td>180600</td>\n",
       "      <td>27.790784</td>\n",
       "      <td>18.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>WMS</th>\n",
       "      <td>WMS</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>144.639999</td>\n",
       "      <td>145.679993</td>\n",
       "      <td>143.445007</td>\n",
       "      <td>143.800003</td>\n",
       "      <td>345200</td>\n",
       "      <td>13.451969</td>\n",
       "      <td>34.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZEUS</th>\n",
       "      <td>ZEUS</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>68.180000</td>\n",
       "      <td>68.910004</td>\n",
       "      <td>67.800003</td>\n",
       "      <td>68.269997</td>\n",
       "      <td>62600</td>\n",
       "      <td>16.535804</td>\n",
       "      <td>27.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ZS</th>\n",
       "      <td>ZS</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>225.160004</td>\n",
       "      <td>227.289993</td>\n",
       "      <td>224.000000</td>\n",
       "      <td>225.020004</td>\n",
       "      <td>840500</td>\n",
       "      <td>24.253401</td>\n",
       "      <td>20.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>111 rows × 9 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "       symbol       date        open        high         low       close  \\\n",
       "symbol                                                                     \n",
       "ACU       ACU 2023-12-27   43.200001   44.860001   43.200001   44.860001   \n",
       "AFRM     AFRM 2023-12-27   50.200001   52.480000   49.799999   51.240002   \n",
       "AGM       AGM 2023-12-27  192.000000  198.169998  190.699997  194.919998   \n",
       "ALG       ALG 2023-12-27  214.000000  216.339996  211.410004  213.250000   \n",
       "AMD       AMD 2023-12-27  144.720001  146.250000  143.179993  146.070007   \n",
       "...       ...        ...         ...         ...         ...         ...   \n",
       "WFRD     WFRD 2023-12-27  101.260002  102.644997  100.519997  100.680000   \n",
       "WING     WING 2023-12-27  259.149994  261.970001  258.609985  260.390015   \n",
       "WMS       WMS 2023-12-27  144.639999  145.679993  143.445007  143.800003   \n",
       "ZEUS     ZEUS 2023-12-27   68.180000   68.910004   67.800003   68.269997   \n",
       "ZS         ZS 2023-12-27  225.160004  227.289993  224.000000  225.020004   \n",
       "\n",
       "          volume   momentum  factor_rank  \n",
       "symbol                                    \n",
       "ACU        12400   8.284886         47.0  \n",
       "AFRM    20755800  35.393350         12.0  \n",
       "AGM        74400  15.889454         28.0  \n",
       "ALG        46400   6.705429         54.0  \n",
       "AMD     48984900  28.081430         17.0  \n",
       "...          ...        ...          ...  \n",
       "WFRD      696700  34.732896         13.0  \n",
       "WING      180600  27.790784         18.0  \n",
       "WMS       345200  13.451969         34.0  \n",
       "ZEUS       62600  16.535804         27.0  \n",
       "ZS        840500  24.253401         20.0  \n",
       "\n",
       "[111 rows x 9 columns]"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices.reset_index().groupby('symbol').apply(lambda x: x.loc[x['date'].idxmax()])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "777c499e",
   "metadata": {},
   "outputs": [],
   "source": [
    "# Generate the portfolio we want to trade based on the Top\n",
    "# N stocks we want to trade\n",
    "stocks_to_trade = (\n",
    "    prices.reset_index()\n",
    "    .groupby('symbol')\n",
    "    .apply(lambda x: x.loc[x['date'].idxmax()])\n",
    "    .sort_values(\"factor_rank\")\n",
    "    .head(top_N)\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "id": "fcdfbefe",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "      <th>factor_rank</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SKYW</th>\n",
       "      <td>SKYW</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>52.000000</td>\n",
       "      <td>53.130001</td>\n",
       "      <td>51.910000</td>\n",
       "      <td>52.610001</td>\n",
       "      <td>301500</td>\n",
       "      <td>75.623469</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LMB</th>\n",
       "      <td>LMB</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>44.799999</td>\n",
       "      <td>46.320000</td>\n",
       "      <td>44.530998</td>\n",
       "      <td>46.110001</td>\n",
       "      <td>154100</td>\n",
       "      <td>58.977474</td>\n",
       "      <td>2.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MSTR</th>\n",
       "      <td>MSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>613.799988</td>\n",
       "      <td>673.820007</td>\n",
       "      <td>612.010010</td>\n",
       "      <td>670.710022</td>\n",
       "      <td>2117100</td>\n",
       "      <td>56.677805</td>\n",
       "      <td>3.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>COIN</th>\n",
       "      <td>COIN</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>176.320007</td>\n",
       "      <td>186.970001</td>\n",
       "      <td>175.500000</td>\n",
       "      <td>185.240005</td>\n",
       "      <td>15482900</td>\n",
       "      <td>55.487895</td>\n",
       "      <td>4.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>FSTR</th>\n",
       "      <td>FSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.559999</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.320000</td>\n",
       "      <td>52800</td>\n",
       "      <td>51.099499</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       symbol       date        open        high         low       close  \\\n",
       "symbol                                                                     \n",
       "SKYW     SKYW 2023-12-27   52.000000   53.130001   51.910000   52.610001   \n",
       "LMB       LMB 2023-12-27   44.799999   46.320000   44.530998   46.110001   \n",
       "MSTR     MSTR 2023-12-27  613.799988  673.820007  612.010010  670.710022   \n",
       "COIN     COIN 2023-12-27  176.320007  186.970001  175.500000  185.240005   \n",
       "FSTR     FSTR 2023-12-27   21.200001   22.559999   21.200001   22.320000   \n",
       "\n",
       "          volume   momentum  factor_rank  \n",
       "symbol                                    \n",
       "SKYW      301500  75.623469          1.0  \n",
       "LMB       154100  58.977474          2.0  \n",
       "MSTR     2117100  56.677805          3.0  \n",
       "COIN    15482900  55.487895          4.0  \n",
       "FSTR       52800  51.099499          5.0  "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stocks_to_trade"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "2d85d1f3",
   "metadata": {},
   "source": [
    "### Compute the number of shares to purchase\n",
    "Compute the number of shares to purchase based on the optimized weights"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "c53f4759",
   "metadata": {},
   "outputs": [],
   "source": [
    "port_val = 60_000"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "191080bb",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "      <th>factor_rank</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SKYW</th>\n",
       "      <td>SKYW</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>52.000000</td>\n",
       "      <td>53.130001</td>\n",
       "      <td>51.910000</td>\n",
       "      <td>52.610001</td>\n",
       "      <td>301500</td>\n",
       "      <td>75.623469</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LMB</th>\n",
       "      <td>LMB</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>44.799999</td>\n",
       "      <td>46.320000</td>\n",
       "      <td>44.530998</td>\n",
       "      <td>46.110001</td>\n",
       "      <td>154100</td>\n",
       "      <td>58.977474</td>\n",
       "      <td>2.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MSTR</th>\n",
       "      <td>MSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>613.799988</td>\n",
       "      <td>673.820007</td>\n",
       "      <td>612.010010</td>\n",
       "      <td>670.710022</td>\n",
       "      <td>2117100</td>\n",
       "      <td>56.677805</td>\n",
       "      <td>3.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>COIN</th>\n",
       "      <td>COIN</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>176.320007</td>\n",
       "      <td>186.970001</td>\n",
       "      <td>175.500000</td>\n",
       "      <td>185.240005</td>\n",
       "      <td>15482900</td>\n",
       "      <td>55.487895</td>\n",
       "      <td>4.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>FSTR</th>\n",
       "      <td>FSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.559999</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.320000</td>\n",
       "      <td>52800</td>\n",
       "      <td>51.099499</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       symbol       date        open        high         low       close  \\\n",
       "symbol                                                                     \n",
       "SKYW     SKYW 2023-12-27   52.000000   53.130001   51.910000   52.610001   \n",
       "LMB       LMB 2023-12-27   44.799999   46.320000   44.530998   46.110001   \n",
       "MSTR     MSTR 2023-12-27  613.799988  673.820007  612.010010  670.710022   \n",
       "COIN     COIN 2023-12-27  176.320007  186.970001  175.500000  185.240005   \n",
       "FSTR     FSTR 2023-12-27   21.200001   22.559999   21.200001   22.320000   \n",
       "\n",
       "          volume   momentum  factor_rank  \n",
       "symbol                                    \n",
       "SKYW      301500  75.623469          1.0  \n",
       "LMB       154100  58.977474          2.0  \n",
       "MSTR     2117100  56.677805          3.0  \n",
       "COIN    15482900  55.487895          4.0  \n",
       "FSTR       52800  51.099499          5.0  "
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stocks_to_trade"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "id": "8c9f155d",
   "metadata": {},
   "outputs": [],
   "source": [
    "stocks_to_trade[\"invest_amt\"] = (1 / top_N) * port_val"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "id": "62c13f74",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>symbol</th>\n",
       "      <th>date</th>\n",
       "      <th>open</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>close</th>\n",
       "      <th>volume</th>\n",
       "      <th>momentum</th>\n",
       "      <th>factor_rank</th>\n",
       "      <th>invest_amt</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>symbol</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SKYW</th>\n",
       "      <td>SKYW</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>52.000000</td>\n",
       "      <td>53.130001</td>\n",
       "      <td>51.910000</td>\n",
       "      <td>52.610001</td>\n",
       "      <td>301500</td>\n",
       "      <td>75.623469</td>\n",
       "      <td>1.0</td>\n",
       "      <td>12000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>LMB</th>\n",
       "      <td>LMB</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>44.799999</td>\n",
       "      <td>46.320000</td>\n",
       "      <td>44.530998</td>\n",
       "      <td>46.110001</td>\n",
       "      <td>154100</td>\n",
       "      <td>58.977474</td>\n",
       "      <td>2.0</td>\n",
       "      <td>12000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>MSTR</th>\n",
       "      <td>MSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>613.799988</td>\n",
       "      <td>673.820007</td>\n",
       "      <td>612.010010</td>\n",
       "      <td>670.710022</td>\n",
       "      <td>2117100</td>\n",
       "      <td>56.677805</td>\n",
       "      <td>3.0</td>\n",
       "      <td>12000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>COIN</th>\n",
       "      <td>COIN</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>176.320007</td>\n",
       "      <td>186.970001</td>\n",
       "      <td>175.500000</td>\n",
       "      <td>185.240005</td>\n",
       "      <td>15482900</td>\n",
       "      <td>55.487895</td>\n",
       "      <td>4.0</td>\n",
       "      <td>12000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>FSTR</th>\n",
       "      <td>FSTR</td>\n",
       "      <td>2023-12-27</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.559999</td>\n",
       "      <td>21.200001</td>\n",
       "      <td>22.320000</td>\n",
       "      <td>52800</td>\n",
       "      <td>51.099499</td>\n",
       "      <td>5.0</td>\n",
       "      <td>12000.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       symbol       date        open        high         low       close  \\\n",
       "symbol                                                                     \n",
       "SKYW     SKYW 2023-12-27   52.000000   53.130001   51.910000   52.610001   \n",
       "LMB       LMB 2023-12-27   44.799999   46.320000   44.530998   46.110001   \n",
       "MSTR     MSTR 2023-12-27  613.799988  673.820007  612.010010  670.710022   \n",
       "COIN     COIN 2023-12-27  176.320007  186.970001  175.500000  185.240005   \n",
       "FSTR     FSTR 2023-12-27   21.200001   22.559999   21.200001   22.320000   \n",
       "\n",
       "          volume   momentum  factor_rank  invest_amt  \n",
       "symbol                                                \n",
       "SKYW      301500  75.623469          1.0     12000.0  \n",
       "LMB       154100  58.977474          2.0     12000.0  \n",
       "MSTR     2117100  56.677805          3.0     12000.0  \n",
       "COIN    15482900  55.487895          4.0     12000.0  \n",
       "FSTR       52800  51.099499          5.0     12000.0  "
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stocks_to_trade"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "id": "3b8ef0b4",
   "metadata": {},
   "outputs": [],
   "source": [
    "stocks_to_trade[\"shares\"] = (stocks_to_trade.invest_amt / stocks_to_trade.close).astype(int)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "id": "a0facee7",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "59226.950859069824"
      ]
     },
     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(stocks_to_trade.shares * stocks_to_trade.close).sum()"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "de3984f5",
   "metadata": {},
   "source": [
    "### Execute the orders on IB\n",
    "Set up the IB app, contracts, and order submission. Connect to the app and execute orders through the API."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "id": "7a5094b1",
   "metadata": {},
   "outputs": [],
   "source": [
    "class IBapi(EWrapper, EClient):\n",
    "    def __init__(self):\n",
    "        EClient.__init__(self, self)\n",
    "    \n",
    "    def nextValidId(self, orderId):\n",
    "        super().nextValidId(orderId)\n",
    "        self.nextOrderId = orderId"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "id": "e9de45db",
   "metadata": {},
   "outputs": [],
   "source": [
    "def stock_contract(symbol, secType=\"STK\", exchange=\"SMART\", currency=\"USD\"):\n",
    "    contract = Contract()\n",
    "    contract.symbol = symbol\n",
    "    contract.secType = secType\n",
    "    contract.exchange = exchange\n",
    "    contract.currency = currency\n",
    "\n",
    "    return contract\n",
    "\n",
    "def submit_order(contract, direction, qty=100, orderType=\"MKT\", transmit=True):\n",
    "    order = Order()\n",
    "    order.action = direction\n",
    "    order.totalQuantity = qty\n",
    "    order.orderType = orderType\n",
    "    order.transmit = transmit\n",
    "    order.eTradeOnly = \"\"\n",
    "    order.firmQuoteOnly = \"\"\n",
    "    # submit order\n",
    "    app.placeOrder(app.nextOrderId, contract, order)\n",
    "    app.nextOrderId += 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "id": "cb89fd33",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Waiting\n",
      "Connected\n"
     ]
    }
   ],
   "source": [
    "def run_loop():\n",
    "    app.run()\n",
    "\n",
    "app = IBapi()\n",
    "app.connect('127.0.0.1', 7497, 123)\n",
    "app.nextOrderId = None\n",
    "\n",
    "api_thread = threading.Thread(target=run_loop, daemon=True)\n",
    "api_thread.start()\n",
    "\n",
    "while True:\n",
    "    if isinstance(app.nextOrderId, int):\n",
    "        print(\"Connected\")\n",
    "        break\n",
    "    else:\n",
    "        print(\"Waiting\")\n",
    "        time.sleep(1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "id": "87696c9f",
   "metadata": {},
   "outputs": [],
   "source": [
    "for row in stocks_to_trade.itertuples():\n",
    "    contract = stock_contract(row.Index)\n",
    "    submit_order(contract, direction=\"BUY\", qty=row.shares)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "883e06f8",
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Python 3 (ipykernel)",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.9.13"
  }
 },
 "nbformat": 4,
 "nbformat_minor": 5
}