Merge pull request #162 from ultima-ib/pyrelease

Pyrelease
ultima-ib · Jul 22, 2023 · 2c01b9a · 2c01b9a
2 parents eec934c + af2f3b5
commit 2c01b9a
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Showing 4 changed files with 11 additions and 9 deletions.
diff --git a/frtb_engine/data/frtb/datasource_config.toml b/frtb_engine/data/frtb/datasource_config.toml
@@ -6,14 +6,18 @@ type = "CSV"
 #If using AwsCSV then provide the bucket name
 #bucket = "ultima-bi"
 
+# source_type defaults to "InMemory"
+# can be one of "InMemory", "Scan", "Db" (work in progress).
+#source_type = "InMemory"
+
 # Risk file paths, can be many, expecting at least one
-files = ["data/frtb/Delta.csv"]
+files = ["./data/frtb/Delta.csv"]
 
 # Optional: trade attributes
-attributes_path = "data/frtb/TradeAttributes.csv"
+attributes_path = "./data/frtb/TradeAttributes.csv"
 
 # Optional: Hierarchy
-hierarchy_path = "data/frtb/hms.csv"
+hierarchy_path = "./data/frtb/hms.csv"
 
 # file_1/file_2/file_3 <-> attributes
 # must be provided if attributes file is provided

diff --git a/frtb_engine/src/sbm/fx/delta.rs b/frtb_engine/src/sbm/fx/delta.rs
@@ -161,7 +161,6 @@ fn fx_delta_charge(gamma: f64, rtrn: ReturnMetric, ccy_regex: String) -> PolarsR
             //21.4.5.a sb == dw_sum
             let dw_sum = df["dw_sum"].f64()?.to_ndarray()?; //Ok since we have filtered out NULLs above
                                                             // Early return Kb or Sb, ie the required metric
-            dbg!(&dw_sum);
             let res_len = columns[0].len();
             if let ReturnMetric::Sb = rtrn {
                 return Ok(Some(Series::new("res", [dw_sum.sum()])));

diff --git a/pyultima/src/conversions/series.rs b/pyultima/src/conversions/series.rs
@@ -1,9 +1,9 @@
 #![allow(dead_code)]
 
-use std::collections::HashMap;
-use polars::export::arrow;
 use arrow::ffi;
+use polars::export::arrow;
 use polars::prelude::*;
+use std::collections::HashMap;
 //use polars_arrow::export::arrow;
 use pyo3::exceptions::PyValueError;
 use pyo3::ffi::Py_uintptr_t;

diff --git a/pyultima/ultibi/internals/datasource.py b/pyultima/ultibi/internals/datasource.py
@@ -1,5 +1,4 @@
 from polars import DataFrame, LazyFrame
-from typing_extensions import Self
 
 from ..rust_module.ultibi_engine import DataSourceWrapper
 
@@ -55,11 +54,11 @@ class DataSource:
     inner: DataSourceWrapper
 
     @classmethod
-    def inmemory(cls, data: DataFrame) -> Self:
+    def inmemory(cls, data: DataFrame) -> "DataSource":
         return cls(data)
 
     @classmethod
-    def scan(cls, data: LazyFrame) -> Self:
+    def scan(cls, data: LazyFrame) -> "DataSource":
         return cls(data)
 
     def __init__(self, data: "DataFrame | LazyFrame | str"):