xridge/invex repository overview

|docker build| |docker pulls| |license|

.. |docker build| image:: https://img.shields.io/docker/cloud/build/xridge/invex.svg⁠ .. |docker pulls| image:: https://img.shields.io/docker/pulls/xridge/invex.svg⁠ .. |license| image:: https://img.shields.io/badge/License-Apache%202.0-blue.svg⁠

⁠===== invex

Risk analytics application for Interactive Brokers_ Flex Statements. Capable of downloading and processing XML typed Flex Statements into a report containing the key portfolio metrics:

• Annual & Cumulative returns
• Annual volatility
• Sharpe, Calmar, Omega, Sortino & Tail Ratio
• Alpha & Beta
• Skew & Kurtosis
• Max Drawdown & Daily Value at Risk

The flex statements are downloaded and transformed via Flexfolio_ to be consumed by PyFolio_ and Empyrical_ packages.

.. _Interactive Brokers: https://www.interactivebrokers.com⁠ .. _Flex Statements: https://www.interactivebrokers.com/en/software/am/am/reports/activityflexqueries.htm⁠ .. _PyFolio: https://github.com/quantopian/pyfolio⁠ .. _Empyrical: https://github.com/quantopian/empyrical⁠ .. _Flexfolio: https://github.com/xridge/flexfolio⁠

⁠Usage

.. code-block:: shell

$ docker run -v $(pwd)/workdir:/workdir xridge/invex:latest fetch_statement IB_API_KEY QUERY_ID /workdir/flex_report.xml 2019-04-24 22:23:17,097 - invex.cli - INFO - Requesting statement 2019-04-24 22:23:17,770 - invex.cli - INFO - Downloading statement

$ docker run -v $(pwd)/workdir:/workdir xridge/invex:latest to_pdf /workdir/flex_report.xml 2019-04-24 22:29:30,951 - invex.pyfolio_wrapper - INFO - Report created: /workdir/flex_statement.pdf

⁠License

Copyright (c) 2019 xridge.io_

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

Apache License Version 2.0_

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

.. _xridge.io: https://xridge.io⁠ .. _Apache License Version 2.0: http://www.apache.org/licenses/LICENSE-2.0⁠