Melvin Alvarez
9a8032e4ee
- Implement 6 helper functions in src/timeseries_utils.rs: * prepare_for_hmm: Feature engineering for HMM regime detection * rolling_hurst_exponent: Mean-reversion detection (H < 0.5 = mean-reverting) * rolling_half_life: Mean-reversion speed for pairs trading * return_statistics: Risk metrics (mean, std, skew, kurt, sharpe) * create_lagged_features: ML feature matrix creation * rolling_correlation: Rolling correlation for pairs trading - Add PyO3 bindings in src/timeseries_utils/python_bindings.rs: * All functions exposed with _py suffix * Proper signature decorators and error handling * Registered in lib.rs module system - Update Python module exports: * python/optimizr/core.py: Import from _core * python/optimizr/__init__.py: Re-export all functions - Create comprehensive example: * examples/timeseries_integration.py demonstrates all 6 functions * Includes integrated pairs trading workflow * Shows feature engineering for regime detection - Technical details: * Fixed Array1<f64> type conversions for ndarray compatibility * Uses risk_metrics::hurst_exponent and estimate_half_life * Built successfully with maturin develop --release (40.93s) * All functions tested and working correctly Part of Priority 3: Time-series integration helpers (Enhancement Strategy) Addresses v0.3.0 roadmap: Bridge optimization with time-series analysis
58 lines
1.4 KiB
Docker
58 lines
1.4 KiB
Docker
# OptimizR Development Container
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# Multi-stage build for efficient image size
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FROM rust:1.75-slim as rust-builder
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# Install build dependencies
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RUN apt-get update && apt-get install -y \
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build-essential \
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python3-dev \
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libssl-dev \
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pkg-config \
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&& rm -rf /var/lib/apt/lists/*
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WORKDIR /app
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# Copy Rust source and build
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COPY Cargo.toml Cargo.lock ./
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COPY src ./src
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RUN cargo build --release
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# Final stage with Python
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FROM python:3.11-slim
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# Install system dependencies
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RUN apt-get update && apt-get install -y \
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build-essential \
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curl \
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git \
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pkg-config \
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libssl-dev \
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libopenblas-dev \
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gfortran \
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patchelf \
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&& rm -rf /var/lib/apt/lists/*
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# Install Rust (needed for maturin)
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RUN curl --proto '=https' --tlsv1.2 -sSf https://sh.rustup.rs | sh -s -- -y
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ENV PATH="/root/.cargo/bin:${PATH}"
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WORKDIR /workspace
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# Copy project files
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COPY . .
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# Install Python dependencies
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RUN pip install --no-cache-dir --upgrade pip && \
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pip install --no-cache-dir maturin numpy scipy matplotlib pytest jupyter notebook ipykernel pandas seaborn
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# Build the wheel and install it (without needing virtualenv)
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RUN maturin build --release --out dist && \
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pip install --no-cache-dir dist/*.whl
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# Expose Jupyter port
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EXPOSE 8888
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# Default command: start Jupyter notebook
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CMD ["jupyter", "notebook", "--ip=0.0.0.0", "--port=8888", "--no-browser", "--allow-root", "--NotebookApp.token=''", "--NotebookApp.password=''"]
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