import pandas as pd from datetime import datetime import numpy as np import ujson import asyncio import sqlite3 import os from tqdm import tqdm async def save_json(symbol, data): os.makedirs("json/var", exist_ok=True) # Ensure directory exists with open(f"json/var/{symbol}.json", 'w') as file: ujson.dump(data, file) # Define risk rating scale def assign_risk_rating(var): if var >= 25: return 1 elif var >= 20: return 2 elif var >= 15: return 3 elif var >= 10: return 4 elif var >= 8: return 5 elif var >= 6: return 6 elif var >= 4: return 7 elif var >= 2: return 8 elif var >= 1: return 9 else: return 10 def compute_var(df): # Calculate daily returns df['Returns'] = df['close'].pct_change() df = df.dropna() # Calculate VaR at 95% confidence level confidence_level = 0.95 var = np.percentile(df['Returns'], 100 * (1 - confidence_level)) var_N_days = round(var * np.sqrt(len(df)) * 100, 2) # N days: the length of df represents the N days if var_N_days <= -100: var_N_days = -99 return var_N_days # Positive value represents a loss async def run(): start_date = "2015-01-01" end_date = datetime.today().strftime("%Y-%m-%d") con = sqlite3.connect('stocks.db') etf_con = sqlite3.connect('etf.db') crypto_con = sqlite3.connect('crypto.db') cursor = con.cursor() cursor.execute("PRAGMA journal_mode = wal") cursor.execute("SELECT DISTINCT symbol FROM stocks") stocks_symbols = [row[0] for row in cursor.fetchall()] etf_cursor = etf_con.cursor() etf_cursor.execute("PRAGMA journal_mode = wal") etf_cursor.execute("SELECT DISTINCT symbol FROM etfs") etf_symbols = [row[0] for row in etf_cursor.fetchall()] crypto_cursor = crypto_con.cursor() crypto_cursor.execute("PRAGMA journal_mode = wal") crypto_cursor.execute("SELECT DISTINCT symbol FROM cryptos") crypto_symbols = [row[0] for row in crypto_cursor.fetchall()] total_symbols = stocks_symbols + etf_symbols + crypto_symbols for symbol in tqdm(total_symbols): try: if symbol in etf_symbols: query_con = etf_con elif symbol in crypto_symbols: query_con = crypto_con elif symbol in stocks_symbols: query_con = con else: continue query_template = """ SELECT date, open, high, low, close, volume FROM "{symbol}" WHERE date BETWEEN ? AND ? """ query = query_template.format(symbol=symbol) df = pd.read_sql_query(query, query_con, params=(start_date, end_date)) # Convert date to datetime df['date'] = pd.to_datetime(df['date']) # Group by year and month monthly_groups = df.groupby(df['date'].dt.to_period('M')) history = [] for period, group in monthly_groups: if len(group) >=19: # Check if the month has at least 19 data points var_data = compute_var(group) history.append({'date': str(period), 'var': var_data}) risk_rating = assign_risk_rating(abs(history[-1]['var'])) outlook = 'Neutral' if risk_rating < 5: outlook = 'Risky' elif risk_rating > 5: outlook = 'Minimum Risk' res = {'rating': risk_rating, 'history': history, 'outlook': outlook} await save_json(symbol, res) except Exception as e: print(f"Error processing {symbol}: {e}") con.close() etf_con.close() crypto_con.close() try: asyncio.run(run()) except Exception as e: print(e)