Resolve #1: Fix upper bound when optimising stake

.github/workflows/CI.yml

@@ -1,4 +1,4 @@
-# This file is autogenerated by maturin v1.1.0
+# This file is autogenerated by maturin v1.7.4
 # To update, run
 #
 #    maturin generate-ci github
@@ -20,101 +20,162 @@ permissions:
 
 jobs:
   linux:
-    runs-on: ubuntu-latest
+    runs-on: ${{ matrix.platform.runner }}
     strategy:
       matrix:
-        target: [x86_64, x86, aarch64, armv7, s390x, ppc64le]
+        platform:
+          - runner: ubuntu-latest
+            target: x86_64
+          - runner: ubuntu-latest
+            target: x86
+          - runner: ubuntu-latest
+            target: aarch64
+          - runner: ubuntu-latest
+            target: armv7
+          - runner: ubuntu-latest
+            target: s390x
+          - runner: ubuntu-latest
+            target: ppc64le
     steps:
-      - uses: actions/checkout@v3
-      - uses: actions/setup-python@v4
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
         with:
-          python-version: '3.10'
+          python-version: 3.x
       - name: Build wheels
         uses: PyO3/maturin-action@v1
         with:
-          target: ${{ matrix.target }}
+          target: ${{ matrix.platform.target }}
           args: --release --out dist --find-interpreter
           sccache: 'true'
           manylinux: auto
       - name: Upload wheels
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
+        with:
+          name: wheels-linux-${{ matrix.platform.target }}
+          path: dist
+
+  musllinux:
+    runs-on: ${{ matrix.platform.runner }}
+    strategy:
+      matrix:
+        platform:
+          - runner: ubuntu-latest
+            target: x86_64
+          - runner: ubuntu-latest
+            target: x86
+          - runner: ubuntu-latest
+            target: aarch64
+          - runner: ubuntu-latest
+            target: armv7
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: 3.x
+      - name: Build wheels
+        uses: PyO3/maturin-action@v1
+        with:
+          target: ${{ matrix.platform.target }}
+          args: --release --out dist --find-interpreter
+          sccache: 'true'
+          manylinux: musllinux_1_2
+      - name: Upload wheels
+        uses: actions/upload-artifact@v4
         with:
-          name: wheels
+          name: wheels-musllinux-${{ matrix.platform.target }}
           path: dist
 
   windows:
-    runs-on: windows-latest
+    runs-on: ${{ matrix.platform.runner }}
     strategy:
       matrix:
-        target: [x64, x86]
+        platform:
+          - runner: windows-latest
+            target: x64
+          - runner: windows-latest
+            target: x86
     steps:
-      - uses: actions/checkout@v3
-      - uses: actions/setup-python@v4
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
         with:
-          python-version: '3.10'
-          architecture: ${{ matrix.target }}
+          python-version: 3.x
+          architecture: ${{ matrix.platform.target }}
       - name: Build wheels
         uses: PyO3/maturin-action@v1
         with:
-          target: ${{ matrix.target }}
+          target: ${{ matrix.platform.target }}
           args: --release --out dist --find-interpreter
           sccache: 'true'
       - name: Upload wheels
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
-          name: wheels
+          name: wheels-windows-${{ matrix.platform.target }}
           path: dist
 
   macos:
-    runs-on: macos-latest
+    runs-on: ${{ matrix.platform.runner }}
     strategy:
       matrix:
-        target: [x86_64, aarch64]
+        platform:
+          - runner: macos-12
+            target: x86_64
+          - runner: macos-14
+            target: aarch64
     steps:
-      - uses: actions/checkout@v3
-      - uses: actions/setup-python@v4
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
         with:
-          python-version: '3.10'
+          python-version: 3.x
       - name: Build wheels
         uses: PyO3/maturin-action@v1
         with:
-          target: ${{ matrix.target }}
+          target: ${{ matrix.platform.target }}
           args: --release --out dist --find-interpreter
           sccache: 'true'
       - name: Upload wheels
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
-          name: wheels
+          name: wheels-macos-${{ matrix.platform.target }}
           path: dist
 
   sdist:
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v3
+      - uses: actions/checkout@v4
       - name: Build sdist
         uses: PyO3/maturin-action@v1
         with:
           command: sdist
           args: --out dist
       - name: Upload sdist
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
-          name: wheels
+          name: wheels-sdist
           path: dist
 
   release:
     name: Release
     runs-on: ubuntu-latest
-    if: "startsWith(github.ref, 'refs/tags/')"
-    needs: [linux, windows, macos, sdist]
+    if: ${{ startsWith(github.ref, 'refs/tags/') || github.event_name == 'workflow_dispatch' }}
+    needs: [linux, musllinux, windows, macos, sdist]
+    permissions:
+      # Use to sign the release artifacts
+      id-token: write
+      # Used to upload release artifacts
+      contents: write
+      # Used to generate artifact attestation
+      attestations: write
     steps:
-      - uses: actions/download-artifact@v3
+      - uses: actions/download-artifact@v4
+      - name: Generate artifact attestation
+        uses: actions/attest-build-provenance@v1
         with:
-          name: wheels
+          subject-path: 'wheels-*/*'
       - name: Publish to PyPI
+        if: "startsWith(github.ref, 'refs/tags/')"
         uses: PyO3/maturin-action@v1
         env:
           MATURIN_PYPI_TOKEN: ${{ secrets.PYPI_API_TOKEN }}
         with:
           command: upload
-          args: --skip-existing *
+          args: --non-interactive --skip-existing wheels-*/*

.github/workflows/test.yml

@@ -0,0 +1,41 @@
+name: test
+
+on:
+  push:
+    branches: [ master, "release-*" ]
+  pull_request:
+    branches: [ master, "release-*" ]
+
+jobs:
+  build:
+
+    runs-on: ubuntu-latest
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ["3.9", "3.10", "3.11", "3.12"]
+
+    steps:
+      - uses: actions/checkout@v3
+      - name: Set up Python ${{ matrix.python-version }}
+        uses: actions/setup-python@v3
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Run maturin build
+        uses: PyO3/maturin-action@v1
+        with:
+          manylinux: auto
+          command: build
+          args: --release --sdist -o dist --interpreter python${{ matrix.python-version }}
+      - name: Install dependencies
+        run: |
+          python -m pip install --upgrade pip
+          python -m pip install -r requirements-test.txt
+      - name: Install package
+        run: python3 -m pip install --user dist/kelly*.tar.gz
+      - name: Lint with black
+        run: |
+          black . --check
+      - name: Test with pytest
+        run: |
+          pytest

README.md

@@ -13,7 +13,7 @@ Scenarios to be covered in the near future include:
 
 ## Installation
 
-Requires Python 3.7 or above
+Requires Python 3.9 or above
 
 ```
 pip install git+https://github.com/mberk/kelly.git

pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "maturin"
 
 [project]
 name = "kelly"
-requires-python = ">=3.7"
+requires-python = ">=3.9"
 classifiers = [
     "Programming Language :: Rust",
     "Programming Language :: Python :: Implementation :: CPython",

requirements-test.txt

@@ -0,0 +1,2 @@
+black==24.8.0
+pytest==8.3.3

src/lib.rs

@@ -222,6 +222,11 @@ fn calculate_kelly_stake(
     kelly_fraction: f64,
     verbose: bool,
 ) -> PyResult<f64> {
+    let upper_bound = if is_back {
+        bankroll
+    } else {
+        bankroll / (price - 1.0)
+    };
     let kelly_stake = bounded_minimisation(
         |stake| {
             -calculate_log_expected_wealth(
@@ -236,7 +241,7 @@ fn calculate_kelly_stake(
             )
         },
         0.0,
-        bankroll, // TODO: Fix upper bound; this should depend on current position and might even exceed the bankroll if green on all selections
+        upper_bound, // TODO: Fix upper bound; this should depend on current position and might even exceed the bankroll if green on all selections
         verbose,
     );
     Ok(kelly_stake * kelly_fraction)

tests/test_kelly.py

@@ -0,0 +1,17 @@
+import kelly
+
+
+def test_calculate_kelly_stake():
+    stake = kelly.calculate_kelly_stake(
+        price=100,
+        is_back=False,
+        probability=1 / 100,
+        other_probabilities=[99 / 100],
+        position=0.0,
+        other_positions=[0.0],
+        bankroll=100.0,
+        kelly_fraction=1.0,
+        verbose=True,
+    )
+    assert stake > 0
+    assert round(stake, 2) == 0.0