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Add detailed refactoring plan for core classes and constants #2

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be7fb2e
Add detailed refactoring plan for core classes and constants
claude Feb 28, 2026
f383227
Centralize duplicated constants into scripts/constants.py
claude Mar 3, 2026
0a1a157
Refactor Future class: type hints, remove dead parameter
claude Mar 3, 2026
099ceb0
Refactor Option class: rename attributes, add type hints, simplify me…
claude Mar 3, 2026
54b7fa7
Refactor Portfolio class: fix bugs, extract helper, simplify net greeks
claude Mar 3, 2026
ed2d790
Merge branch 'claude/refactor-20260303' into claude/update-backtestin…
claude Mar 3, 2026
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517 changes: 517 additions & 0 deletions REFACTOR_PLAN.md
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341 changes: 114 additions & 227 deletions scripts/calc.py
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606 changes: 210 additions & 396 deletions scripts/classes.py
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117 changes: 117 additions & 0 deletions scripts/constants.py
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@@ -0,0 +1,117 @@
"""
Centralized constants for the portfolio simulation system.

This module is the single source of truth for multipliers, contract months,
month/symbol mappings, tick sizes, and other constants that were previously
duplicated across multiple files.
"""

from typing import NamedTuple, Dict
from enum import Enum


class ProductSpec(NamedTuple):
dollar_mult: float
lot_mult: float
futures_tick: float
options_tick: float
pnl_mult: float


multipliers: Dict[str, ProductSpec] = {
'LH': ProductSpec(22.046, 18.143881, 0.025, 1, 400),
'LSU': ProductSpec(1, 50, 0.1, 10, 50),
'QC': ProductSpec(1.2153, 10, 1, 25, 12.153),
'SB': ProductSpec(22.046, 50.802867, 0.01, 0.25, 1120),
'CC': ProductSpec(1, 10, 1, 50, 10),
'CT': ProductSpec(22.046, 22.679851, 0.01, 1, 500),
'KC': ProductSpec(22.046, 17.009888, 0.05, 2.5, 375),
'W': ProductSpec(0.3674333, 136.07911, 0.25, 10, 50),
'S': ProductSpec(0.3674333, 136.07911, 0.25, 10, 50),
'C': ProductSpec(0.393678571428571, 127.007166832986, 0.25, 10, 50),
'BO': ProductSpec(22.046, 27.215821, 0.01, 0.5, 600),
'LC': ProductSpec(22.046, 18.143881, 0.025, 1, 400),
'LRC': ProductSpec(1, 10, 1, 50, 10),
'KW': ProductSpec(0.3674333, 136.07911, 0.25, 10, 50),
'SM': ProductSpec(1.1023113, 90.718447, 0.1, 5, 100),
'COM': ProductSpec(1.0604, 50, 0.25, 2.5, 53.02),
'CA': ProductSpec(1.0604, 50, 0.25, 1, 53.02),
'MW': ProductSpec(0.3674333, 136.07911, 0.25, 10, 50),
}

# Dictionary mapping month number to symbol and vice versa
month_to_sym = {1: 'F', 2: 'G', 3: 'H', 4: 'J', 5: 'K', 6: 'M',
7: 'N', 8: 'Q', 9: 'U', 10: 'V', 11: 'X', 12: 'Z'}
sym_to_month = {'F': 1, 'G': 2, 'H': 3, 'J': 4, 'K': 5,
'M': 6, 'N': 7, 'Q': 8, 'U': 9, 'V': 10, 'X': 11, 'Z': 12}

# Contract months for each commodity
# NOTE: LC previously had a missing-comma bug ('V' 'Z' -> 'VZ'). Fixed here.
contract_mths = {
'LH': ['G', 'J', 'K', 'M', 'N', 'Q', 'V', 'Z'],
'LSU': ['H', 'K', 'Q', 'V', 'Z'],
'QC': ['H', 'K', 'N', 'U', 'Z'],
'SB': ['H', 'K', 'N', 'V'],
'CC': ['H', 'K', 'N', 'U', 'Z'],
'CT': ['H', 'K', 'N', 'Z'],
'KC': ['H', 'K', 'N', 'U', 'Z'],
'W': ['H', 'K', 'N', 'U', 'Z'],
'S': ['F', 'H', 'K', 'N', 'Q', 'U', 'X'],
'C': ['H', 'K', 'N', 'U', 'Z'],
'BO': ['F', 'H', 'K', 'N', 'Q', 'U', 'V', 'Z'],
'LC': ['G', 'J', 'M', 'Q', 'V', 'Z'],
'LRC': ['F', 'H', 'K', 'N', 'U', 'X'],
'KW': ['H', 'K', 'N', 'U', 'Z'],
'SM': ['F', 'H', 'K', 'N', 'Q', 'U', 'V', 'Z'],
'COM': ['G', 'K', 'Q', 'X'],
'CA': ['H', 'K', 'U', 'Z'],
'MW': ['H', 'K', 'N', 'U', 'Z'],
}

# Options tick sizes (used for hedging strike selection)
op_ticksize = {
'QC': 1,
'CC': 1,
'SB': 0.01,
'LSU': 0.05,
'KC': 0.01,
'DF': 1,
'CT': 0.01,
'C': 0.125,
'S': 0.125,
'SM': 0.05,
'BO': 0.005,
'W': 0.125,
'MW': 0.125,
'KW': 0.125,
}

RANDOM_SEED = 7
DECADE = 10
TIMESTEP = 1 / 365
BREAKEVEN_FACTOR = 2.8


class OptionType(str, Enum):
CALL = 'call'
PUT = 'put'


class BarrierStyle(str, Enum):
AMERICAN = 'amer'
EUROPEAN = 'euro'


class BarrierDirection(str, Enum):
UP = 'up'
DOWN = 'down'


class SecurityType(str, Enum):
OPTION = 'option'
FUTURE = 'future'


class PositionFlag(str, Enum):
OTC = 'OTC'
HEDGE = 'hedge'
30 changes: 5 additions & 25 deletions scripts/fetch_data.py
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Expand Up @@ -17,27 +17,7 @@
from joblib import Parallel, delayed
import getpass

contract_mths = {

'LH': ['G', 'J', 'K', 'M', 'N', 'Q', 'V', 'Z'],
'LSU': ['H', 'K', 'Q', 'V', 'Z'],
'QC': ['H', 'K', 'N', 'U', 'Z'],
'SB': ['H', 'K', 'N', 'V'],
'CC': ['H', 'K', 'N', 'U', 'Z'],
'CT': ['H', 'K', 'N', 'V', 'Z'],
'KC': ['H', 'K', 'N', 'U', 'Z'],
'W': ['H', 'K', 'N', 'U', 'Z'],
'S': ['F', 'H', 'K', 'N', 'Q', 'U', 'X'],
'C': ['H', 'K', 'N', 'U', 'Z'],
'BO': ['F', 'H', 'K', 'N', 'Q', 'U', 'V', 'Z'],
'LC': ['G', 'J', 'M', 'Q', 'V' 'Z'],
'LRC': ['F', 'H', 'K', 'N', 'U', 'X'],
'KW': ['H', 'K', 'N', 'U', 'Z'],
'SM': ['F', 'H', 'K', 'N', 'Q', 'U', 'V', 'Z'],
'COM': ['G', 'K', 'Q', 'X'],
'CA': ['H', 'K', 'U', 'Z'],
'MW': ['H', 'K', 'N', 'U', 'Z']
}
from .constants import contract_mths


def pull_settlement_data(pdt, start_date=None, end_date=None, write_dump=False,
Expand All @@ -59,7 +39,7 @@ def pull_settlement_data(pdt, start_date=None, end_date=None, write_dump=False,
assert (start_date is not None or end_date is not None) or write_dump

print('starting clock..')
t = time.clock()
t = time.perf_counter()

user = getpass.getuser()
password = getpass.getpass()
Expand Down Expand Up @@ -94,7 +74,7 @@ def pull_settlement_data(pdt, start_date=None, end_date=None, write_dump=False,
# '_raw_data.csv', index=False)

print('finished pulling data')
print('elapsed: ', time.clock() - t)
print('elapsed: ', time.perf_counter() - t)

add = 1 if len(pdt) == 2 else 0

Expand Down Expand Up @@ -554,7 +534,7 @@ def pull_intraday_data(pdts, start_date=None, end_date=None, filepath='', contra
"""
overnight_pdts = {'BO', 'C', 'KW', 'S', 'SM', 'W', 'CT', 'MW'}

t = time.clock()
t = time.perf_counter()

par = True if len(pdts) > 1 else False

Expand All @@ -568,7 +548,7 @@ def pull_intraday_data(pdts, start_date=None, end_date=None, filepath='', contra
overnight_pdts=overnight_pdts) for pdt in pdts)
df = pd.concat(res)

print('elapsed: ', time.clock() - t)
print('elapsed: ', time.perf_counter() - t)

return df

Expand Down
54 changes: 8 additions & 46 deletions scripts/hedge.py
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Expand Up @@ -10,45 +10,7 @@
from .util import create_straddle, create_underlying, create_strangle, create_vanilla_option
from .calc import _compute_value
from .hedge_mods import TrailingStop, HedgeParser

multipliers = {
'LH': [22.046, 18.143881, 0.025, 1, 400],
'LSU': [1, 50, 0.1, 10, 50],
'QC': [1.2153, 10, 1, 25, 12.153],
'SB': [22.046, 50.802867, 0.01, 0.25, 1120],
'CC': [1, 10, 1, 50, 10],
'CT': [22.046, 22.679851, 0.01, 1, 500],
'KC': [22.046, 17.009888, 0.05, 2.5, 375],
'W': [0.3674333, 136.07911, 0.25, 10, 50],
'S': [0.3674333, 136.07911, 0.25, 10, 50],
'C': [0.393678571428571, 127.007166832986, 0.25, 10, 50],
'BO': [22.046, 27.215821, 0.01, 0.5, 600],
'LC': [22.046, 18.143881, 0.025, 1, 400],
'LRC': [1, 10, 1, 50, 10],
'KW': [0.3674333, 136.07911, 0.25, 10, 50],
'SM': [1.1023113, 90.718447, 0.1, 5, 100],
'COM': [1.0604, 50, 0.25, 2.5, 53.02],
'CA': [1.0604, 50, 0.25, 1, 53.02],
'MW': [0.3674333, 136.07911, 0.25, 10, 50]
}

op_ticksize = {

'QC': 1,
'CC': 1,
'SB': 0.01,
'LSU': 0.05,
'KC': 0.01,
'DF': 1,
'CT': 0.01,
'C': 0.125,
'S': 0.125,
'SM': 0.05,
'BO': 0.005,
'W': 0.125,
'MW': 0.125,
'KW': 0.125
}
from .constants import multipliers, op_ticksize


class Hedge:
Expand Down Expand Up @@ -718,21 +680,21 @@ def hedge(self, flag, product, loc, greekval, target):
if self.book:
for op in ops:
try:
cpi = 'C' if op.char == 'call' else 'P'
cpi = 'C' if op.option_type == 'call' else 'P'
df = self.settlements
settle_vol = df[(df.vol_id == op.get_vol_id()) &
(df.call_put_id == cpi) &
(df.strike == op.K)].vol.values[0]
(df.strike == op.strike)].vol.values[0]
except IndexError as e:
print('scripts.hedge - book vol case: cannot find vol: ',
op.get_vol_id(), cpi, op.K)
op.get_vol_id(), cpi, op.strike)
settle_vol = op.vol
# print(op.get_vol_id() + ' settle_vol: ', settle_vol)
# print('op.book vol: ', op.vol)
true_value = _compute_value(op.char, op.tau, settle_vol, op.K,
op.underlying.get_price(), 0, 'amer', ki=op.ki,
ko=op.ko, barrier=op.barrier, d=op.direc,
product=op.get_product(), bvol=op.bvol)
true_value = _compute_value(op.option_type, op.tau, settle_vol, op.strike,
op.underlying.get_price(), 0, 'amer', knock_in=op.knock_in,
knock_out=op.knock_out, barrier=op.barrier, d=op.direction,
product=op.get_product(), barrier_vol=op.barrier_vol)
# print('op value basis settlements: ', true_value)
pnl_mult = multipliers[op.get_product()][-1]
diff = (true_value - op.get_price()) * op.lots * pnl_mult
Expand Down
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