Setup: exact candidate symbols and a quiet run on students' Sparks
On a student Spark the installer's data step printed hundreds of red yfinance "Quote not found for symbol" lines and built a universe of 652 instead of ~745 stocks. Cause: the iShares holdings download (German site) answers 404 since October 2026, and setup fell back to Wikipedia's STOXX 600 table, whose Reuters-style codes give Yahoo symbols that do not exist (BNPP.PA for BNP.PA, NOV-N.SW for NOVN.SW, VESTAS.CO for VWS.CO). - sources: the iShares file is read from the Swiss site (same German CSV, same parser), the German address stays as a spare; when iShares fails, setup uses the snapshot shipped in quantcore/data/static and not the Wikipedia guesses (now a last resort when no snapshot ships); only a primary source refreshes the snapshot - yahoo: yfinance's per-symbol ERROR lines are silenced during the metadata step and summarised in one line - install.sh: builds the data with `qc setup --offline`, so every student gets the universe of the shipped lists (the course data set's); new --rebuild-data moves the existing data aside and builds it anew - qc.sh: the image build attempt logs to ~/quantcore/build.log; a Spark that allows no build shows one plain line, then the no-build setup - tests for the source order, the address fallback and the summary Tested on a stripped-down machine (no git/curl/wget/python3, broken APPTAINER_TMPDIR): install, then install.sh --rebuild-data built 746 stocks (382 US, 364 Europe) from the 1117 shipped candidates in under 10 minutes with no yfinance error line; self-test passes; qc upgrade rebuilt and restarted. 142 tests pass. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
herzogflorian
parent
fdbb69ca98
commit
772aa2de84
@ -329,9 +329,8 @@ get_quantcore_image() { # force(0|1)
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say " present: virtualenv $QC_VENV (no-build fallback; reinstall: $0 build)"; return 0
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fi
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build_sif || {
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say ""
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say " The image build is not possible on this Spark without root. Falling back to the no-build"
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say " setup: a plain Python image plus a virtualenv in $QC_VENV (same libraries, same results)."
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say " -> using the no-build setup instead: a plain Python image plus a virtualenv in $QC_VENV"
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say " (same libraries, same results)"
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build_venv
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} ;;
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venv)
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@ -348,15 +347,18 @@ get_quantcore_image() { # force(0|1)
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}
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build_sif() { # build quantcore.sif from the definition; non-zero when this Apptainer cannot build
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local dst="$QC_IMAGES/quantcore.sif"
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local dst="$QC_IMAGES/quantcore.sif" log="$QC_HOME/build.log" reason
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mkdir -p "$QC_IMAGES"
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say " building $dst from $REPO_DIR (a few minutes)"
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say " building $dst from $REPO_DIR (a few minutes; log: $log)"
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prepare_apptainer_dirs
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rm -f "$dst.part"
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# %files paths in the definition are relative to the repository root. Without root Apptainer
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# builds through --fakeroot (user namespaces); a Spark may not allow that.
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if ! (cd "$REPO_DIR" && "$APPTAINER" build "$dst.part" deploy/apptainer/quantcore.def); then
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# builds through --fakeroot (user namespaces); many Sparks do not allow that. The output goes to a
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# log: on such a Spark Apptainer's red ERROR line is expected, and the caller falls back.
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if ! (cd "$REPO_DIR" && "$APPTAINER" build "$dst.part" deploy/apptainer/quantcore.def) >"$log" 2>&1; then
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rm -f "$dst.part"
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reason="$(grep -E 'FATAL|ERROR' "$log" | tail -n 1 | sed -e 's/\x1b\[[0-9;]*m//g' -e 's/^[A-Z]* *: *//')"
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say " no image build on this machine${reason:+ ($reason)}"
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return 1
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fi
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mv -f "$dst.part" "$dst"
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@ -391,8 +393,8 @@ cmd_build() { # rebuild after a code change, in the mode in use
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if [[ "$mode" == venv ]]; then
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build_venv
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elif [[ "$QC_IMAGE" == build ]]; then
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build_sif || die "the image build failed (see above). Without root it needs Apptainer's --fakeroot. Use the
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no-build fallback instead: set QC_IMAGE=venv in $CONFIG and run: $0 build"
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build_sif || die "the image build failed (log: $QC_HOME/build.log). Without root it needs Apptainer's
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--fakeroot. Use the no-build setup instead: set QC_IMAGE=venv in $CONFIG and run: $0 build"
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else
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die "QC_IMAGE=$QC_IMAGE is a prebuilt image; nothing to build"
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fi
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@ -45,7 +45,9 @@ The installer takes 20 to 30 minutes the first time and prints each step:
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2. It downloads the code to `~/Portfolio_Risk_Management`. If the Spark has no git, it uses git
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from a small container.
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3. It gets the cuOpt image and the quantcore image.
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4. It builds the market data from Yahoo Finance, which takes about 15 minutes.
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4. It builds the market data from Yahoo Finance, which takes about 15 minutes. The candidate
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stocks come from the list shipped in the repository, so every student gets the same universe.
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Companies that Yahoo no longer lists are left out, and setup names them in one summary line.
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5. It starts the service, runs the self-test and installs the command `qc`.
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With a prepared data set from your lecturer, the data step takes seconds instead. Pass the file
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@ -78,6 +80,7 @@ qc status # what runs, whether cuOpt is reachable, how much data
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qc logs # API log; `qc logs cuopt` for the solver, add -f to follow
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qc update # the newest prices and FX rates from Yahoo Finance
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qc upgrade # the newest version of the code: download, rebuild, restart
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~/Portfolio_Risk_Management/install.sh --rebuild-data # set the data aside and build it anew
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qc stop # stop both containers
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```
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@ -215,6 +218,7 @@ and restarts the service.
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| Yahoo errors during `qc setup` or `qc update` | Yahoo limits how fast it answers. Run the command again later; stored data stays intact. |
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| `FATAL: ... failed to create build parent dir: stat /scratch/...` | Your account sets `APPTAINER_TMPDIR` to a folder that does not exist. The installer and `qc` now detect this, use a folder that works, and save the choice in `~/quantcore/quantcore.env`. Run the installer again. |
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| `git: command not found` | Use the one-line installer. It needs no git. |
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| Hundreds of red `Quote not found for symbol` lines during setup | Your installation predates the fix. Its setup used guessed symbols, so many European companies are missing from your data. Run `qc upgrade`, then `~/Portfolio_Risk_Management/install.sh --rebuild-data`. |
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| `qc: command not found` right after the installation | Open a new terminal, or run `export PATH="$HOME/.local/bin:$PATH"`. |
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| `qc install` stops with "no 'instance run'" | The Spark's Apptainer is older than 1.1. Ask the administrator to update it. |
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| The cuOpt pull fails with "no space left on device" | Apptainer unpacks images in `/tmp`. Point it at a larger directory: `APPTAINER_TMPDIR=~/quantcore/tmp qc pull-cuopt`. |
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@ -278,6 +282,10 @@ code with git from a container, installed, started and passed the self-test. `qc
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a new commit, rebuilt quantcore and restarted it in under a minute. `qc setup` built a data set from
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scratch inside the container.
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`qc setup` takes the STOXX 600 candidates from the iShares holdings file. In October 2026 that link
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answered 404, and setup fell back to Wikipedia's list of 465 names. A data set built by a student can
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therefore have fewer European stocks than the prepared one.
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**Where the candidate stocks come from.** The installer runs `qc setup --offline`. It takes the
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candidates from the lists shipped in `quantcore/data/static/`: the S&P 500 and the iShares STOXX
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Europe 600 holdings of September 2026, from which the course data set was built. `qc setup` without
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`--offline` fetches the current lists instead. In October 2026 iShares moved the German download, so
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setup now reads the same file from iShares' Swiss site. If that fails too, setup uses the shipped
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list. It no longer uses Wikipedia's STOXX 600 table, whose codes mostly do not exist on Yahoo, for
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example `BNPP.PA` instead of `BNP.PA`.
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24
install.sh
24
install.sh
@ -9,7 +9,8 @@
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#
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# Options go after `bash -s --`, e.g. ... | bash -s -- --data ~/Downloads/quantcore_data.tar.gz
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# --data FILE|URL import this prepared data set instead of building one from Yahoo Finance
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# --no-data skip the data step (later: qc setup, or qc data-import FILE)
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# --no-data skip the data step (later: qc setup --offline, or qc data-import FILE)
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# --rebuild-data move the existing data set aside (to ~/quantcore/data.<date>) and build a new one
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# --no-start install only, do not start the services
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# --dir DIR where the code goes (default ~/Portfolio_Risk_Management)
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#
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@ -18,7 +19,10 @@
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# point to a directory that does not exist (seen on managed machines: /scratch/$USER/...)
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# 2. downloads the code with git -- or, without git on the machine, with git in a small container
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# 3. deploy/apptainer/qc.sh install: the cuOpt image and the quantcore image (or its no-build fallback)
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# 4. market data: imports --data, or builds the data set from Yahoo Finance (~15 min) when there is none
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# 4. market data: imports --data, or builds the data set from Yahoo Finance (~15 min) when there is none.
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# The candidate stocks come from the list shipped in the repository (the iShares STOXX Europe 600
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# and S&P 500 constituents the course data was built from), so every installation gets the same
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# universe; prices and company data come from Yahoo.
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# 5. starts cuOpt and the API, runs the self-test, and installs the command `qc`
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#
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# Everything is wrapped in main(), which runs only after bash has read the whole script: with
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@ -29,7 +33,7 @@ main() {
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local repo_url="${QC_REPO_URL:-https://gitea.fhgr.ch/herzogfloria/Portfolio_Risk_Management.git}"
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local branch="${QC_BRANCH:-main}"
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local dir="${QC_DIR:-$HOME/Portfolio_Risk_Management}"
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local data="" do_data=1 do_start=1
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local data="" do_data=1 do_start=1 rebuild_data=0
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QC_HOME="${QC_HOME:-$HOME/quantcore}"
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APPTAINER="${APPTAINER:-apptainer}"
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GIT_IMAGE="${QC_GIT_IMAGE:-docker://alpine/git:2.54.0}"
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@ -43,7 +47,8 @@ main() {
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--no-start) do_start=0 ;;
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--dir) dir="${2:?--dir needs a directory}"; shift ;;
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--dir=*) dir="${1#--dir=}" ;;
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-h|--help) sed -n '2,26p' "${BASH_SOURCE[0]:-/dev/null}" 2>/dev/null || true; return 0 ;;
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--rebuild-data) rebuild_data=1 ;;
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-h|--help) sed -n '2,30p' "${BASH_SOURCE[0]:-/dev/null}" 2>/dev/null || true; return 0 ;;
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*) die "unknown option: $1 (see the top of install.sh)" ;;
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esac
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shift
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@ -88,6 +93,14 @@ main() {
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fi
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step "4/5 Market data"
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if [[ "$rebuild_data" == 1 ]] && "$qc" has-data; then
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local data_dir aside
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data_dir="$("$qc" env | sed -n 's|^QC_DATA=||p')"
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aside="$data_dir.$(date +%Y%m%d-%H%M%S)"
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"$qc" stop >/dev/null 2>&1 || true
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mv "$data_dir" "$aside"
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say " moved the existing data set to $aside"
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fi
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if [[ -n "$data" ]]; then
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local file="$data"
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if [[ "$data" == http://* || "$data" == https://* ]]; then
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@ -100,7 +113,8 @@ main() {
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say " present -- newest prices later with: qc update"
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elif [[ "$do_data" == 1 ]]; then
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say " no data yet: building the data set from Yahoo Finance (~15 min, needs internet)"
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"$qc" setup
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say " candidates: the list shipped in the repository; companies Yahoo no longer knows are left out"
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"$qc" setup --offline
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else
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say " skipped (--no-data). Later: qc setup or qc data-import FILE"
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fi
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@ -141,6 +141,9 @@ class YahooClient:
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# -- metadata --------------------------------------------------------------------------
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def ticker_info(self, symbol: str) -> dict:
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"""Selected ``Ticker.info`` fields for one symbol (``{}`` when Yahoo has nothing)."""
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return normalise_info(symbol, self._info_fields(symbol))
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def _info_fields(self, symbol: str) -> dict:
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import yfinance as yf
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def _info():
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@ -155,15 +158,32 @@ class YahooClient:
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log.warning("no info for %s: %s", symbol, exc)
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data = {}
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time.sleep(self.settings.yahoo_info_pause)
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return normalise_info(symbol, data)
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return data
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def ticker_infos(self, symbols: list[str], progress=None) -> pd.DataFrame:
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"""``ticker_info`` for many symbols as a DataFrame indexed by symbol."""
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rows = []
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"""``ticker_info`` for many symbols as a DataFrame indexed by symbol.
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yfinance logs an ERROR line for every symbol Yahoo does not know -- a delisted, renamed or
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merged company. They are expected among ~1100 candidates and the selection drops them, so
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they are collected and reported in one line instead."""
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rows, unknown = [], []
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yf_log = logging.getLogger("yfinance")
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previous = yf_log.level
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yf_log.setLevel(logging.CRITICAL)
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try:
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for i, s in enumerate(symbols, 1):
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rows.append(self.ticker_info(s))
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data = self._info_fields(s)
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if not data:
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unknown.append(s)
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rows.append(normalise_info(s, data))
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if progress and (i % 25 == 0 or i == len(symbols)):
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progress(i, len(symbols))
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finally:
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yf_log.setLevel(previous)
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if unknown:
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shown = ", ".join(unknown[:12]) + (f" and {len(unknown) - 12} more" if len(unknown) > 12 else "")
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log.info("Yahoo has no quote for %d of %d candidates (delisted, renamed or merged); "
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"the selection leaves them out: %s", len(unknown), len(symbols), shown)
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df = pd.DataFrame(rows).set_index("symbol")
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return df
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@ -47,12 +47,17 @@ USER_AGENT = "Mozilla/5.0 (compatible; quantcore-setup/0.1; +https://fhgr.ch)"
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SP500_URL = "https://en.wikipedia.org/wiki/List_of_S%26P_500_companies"
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STOXX600_WIKI_URL = "https://en.wikipedia.org/wiki/STOXX_Europe_600"
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# iShares STOXX Europe 600 UCITS ETF (DE), holdings download of the German retail site
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ISHARES_STOXX600_URL = (
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"https://www.ishares.com/de/privatanleger/de/produkte/251931/"
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# iShares STOXX Europe 600 UCITS ETF (DE), holdings file in German, tried in this order. The Swiss
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# site serves it; the German site's download answered 404 from October 2026 on and stays as a spare.
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ISHARES_STOXX600_URLS = (
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("https://www.ishares.com/ch/privatkunden/de/produkte/251931/"
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"ishares-stoxx-europe-600-ucits-etf-de-fund/1495092304805.ajax"
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"?fileType=csv&fileName=EXSA_holdings&dataType=fund"),
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("https://www.ishares.com/de/privatanleger/de/produkte/251931/"
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"ishares-stoxx-europe-600-ucits-etf-de-fund/1478358465952.ajax"
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"?fileType=csv&fileName=EXSA_holdings&dataType=fund"
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"?fileType=csv&fileName=EXSA_holdings&dataType=fund"),
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)
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ISHARES_STOXX600_URL = ISHARES_STOXX600_URLS[0]
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# German labels of the iShares file -> English
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ISHARES_SECTOR_EN = {
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@ -209,15 +214,30 @@ def parse_ishares_holdings(text: str, source_date: str | None = None) -> pd.Data
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def fetch_stoxx600_ishares(timeout: float = 30.0) -> pd.DataFrame:
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"""STOXX Europe 600 constituents from the iShares ETF holdings (complete, with weights)."""
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raw = _get(ISHARES_STOXX600_URL, timeout).decode("utf-8-sig", errors="replace")
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"""STOXX 600 constituents from the iShares holdings file: exchange and ticker per line, so the
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Yahoo symbols are exact. Tries every address in :data:`ISHARES_STOXX600_URLS`."""
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last: Exception | None = None
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for url in ISHARES_STOXX600_URLS:
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try:
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raw = _get(url, timeout).decode("utf-8-sig", errors="replace")
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df = parse_ishares_holdings(raw)
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log.info("STOXX 600 candidates from iShares: %d", len(df))
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except Exception as exc: # noqa: BLE001 - next address
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log.info("iShares holdings not available at %s: %s", url.split("?")[0], exc)
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last = exc
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continue
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if len(df) >= 100:
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log.info("STOXX 600 candidates from iShares: %d (as of %s)", len(df), df["source_date"].iloc[0])
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return df
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last = ValueError(f"only {len(df)} rows in the iShares file at {url.split('?')[0]}")
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raise RuntimeError(f"iShares holdings file not available: {last}")
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def fetch_stoxx600_wikipedia(timeout: float = 30.0) -> pd.DataFrame:
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"""Partial STOXX 600 list from Wikipedia (fallback; no exchange, so the suffix is by country)."""
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"""Partial STOXX 600 list from Wikipedia -- the last resort, used only when no snapshot ships.
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The table gives Reuters-style codes without the exchange, so the Yahoo suffix is guessed from the
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country; for a large share of the index the guess does not exist on Yahoo (BNPP.PA for BNP.PA,
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NOV-N.SW for NOVN.SW, VESTAS.CO for VWS.CO, UC.MI for UCG.MI)."""
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html = _get(STOXX600_WIKI_URL, timeout)
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tables = pd.read_html(io.BytesIO(html))
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table = next(t for t in tables if "Ticker" in t.columns and "Country" in t.columns)
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@ -277,20 +297,25 @@ def save_static_candidates(df: pd.DataFrame, region: str, path: Path | None = No
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def fetch_candidates(region: str, allow_web: bool = True, timeout: float = 30.0) -> pd.DataFrame:
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"""Best-effort candidate list: web sources first, then the static snapshot.
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"""Candidate list of a region: the primary web source, else the snapshot shipped with the package.
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Every web source is wrapped: a failing source is logged and the next one is tried
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(timeout, retry and fallback -- the resilience the platform requires on external calls).
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US: the S&P 500 table on Wikipedia. Europe: the iShares STOXX Europe 600 holdings. When the
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primary source fails, the shipped snapshot (taken from the same sources) is used -- not the
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Wikipedia STOXX 600 table, whose guessed symbols miss a large share of the index; that table is
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the last resort when no snapshot ships. ``allow_web=False`` (``quantcore setup --offline``) uses
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the snapshot directly, so every installation builds its universe from the same candidates.
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Only a primary source refreshes the snapshot. Every web call is wrapped: a failure is logged
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and the next option is used (timeout, retry and fallback, as the platform requires).
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"""
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region = "US" if region.upper() == "US" else "Europe"
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fetchers = [fetch_sp500_wikipedia] if region == "US" else [fetch_stoxx600_ishares, fetch_stoxx600_wikipedia]
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primary = fetch_sp500_wikipedia if region == "US" else fetch_stoxx600_ishares
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if allow_web:
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for fetch in fetchers:
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try:
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df = fetch(timeout)
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except Exception as exc: # noqa: BLE001 - any failure -> next source
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log.warning("Candidate source %s failed: %s", fetch.__name__, exc)
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continue
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df = primary(timeout)
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except Exception as exc: # noqa: BLE001 - any failure -> the snapshot
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log.warning("Candidate source %s failed: %s", primary.__name__, exc)
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df = _empty()
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if len(df) >= 100:
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if region == "Europe":
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df = df[df["country"].isin(EUROPE_COUNTRIES)].reset_index(drop=True)
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@ -299,4 +324,16 @@ def fetch_candidates(region: str, allow_web: bool = True, timeout: float = 30.0)
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except OSError as exc: # read-only install
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log.debug("Could not refresh static snapshot: %s", exc)
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return df
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return load_static_candidates(region)
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static = load_static_candidates(region)
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if len(static):
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if allow_web:
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log.warning("Using the %s candidates shipped with the package instead (%d, as of %s)",
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region, len(static), static["source_date"].iloc[0])
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return static
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if allow_web and region == "Europe":
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try:
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df = fetch_stoxx600_wikipedia(timeout)
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return df[df["country"].isin(EUROPE_COUNTRIES)].reset_index(drop=True)
|
||||
except Exception as exc: # noqa: BLE001
|
||||
log.warning("Candidate source fetch_stoxx600_wikipedia failed: %s", exc)
|
||||
return static
|
||||
|
||||
@ -79,3 +79,74 @@ def test_parse_ishares_holdings():
|
||||
assert df.iloc[0]["gics_sector"] == "Information Technology" and df.iloc[0]["country"] == "Netherlands"
|
||||
assert df.iloc[0]["index_weight"] == pytest.approx(4.23)
|
||||
assert df.iloc[0]["source_date"] == "2026-09-18"
|
||||
|
||||
|
||||
# -- candidate sources: which list a setup builds its universe from ---------------------------------
|
||||
def _frame(symbols, source):
|
||||
from quantcore.universe.sources import CANDIDATE_COLUMNS
|
||||
|
||||
rows = [{c: "" for c in CANDIDATE_COLUMNS} | {"symbol": s, "country": "Switzerland", "region": "Europe",
|
||||
"source": source, "source_date": "2026-10-06"} for s in symbols]
|
||||
return pd.DataFrame(rows, columns=CANDIDATE_COLUMNS)
|
||||
|
||||
|
||||
def test_europe_falls_back_to_the_shipped_list_not_to_wikipedia(monkeypatch):
|
||||
"""iShares down (it answered 404 in October 2026): the shipped snapshot, with exact symbols, is used.
|
||||
Wikipedia's table yields guesses such as BNPP.PA or NOV-N.SW that Yahoo does not know."""
|
||||
from quantcore.universe import sources as S
|
||||
|
||||
calls = []
|
||||
monkeypatch.setattr(S, "fetch_stoxx600_ishares", lambda timeout=30.0: (_ for _ in ()).throw(RuntimeError("404")))
|
||||
monkeypatch.setattr(S, "fetch_stoxx600_wikipedia", lambda timeout=30.0: calls.append("wiki") or _frame(["X"] * 200, "w"))
|
||||
monkeypatch.setattr(S, "save_static_candidates", lambda *a, **k: calls.append("save"))
|
||||
df = S.fetch_candidates("Europe")
|
||||
assert calls == [] and len(df) > 500 and set(df["source"]) == {"ishares_stoxx600"}
|
||||
assert {"BNP.PA", "NOVN.SW", "VWS.CO", "UCG.MI"} <= set(df["symbol"])
|
||||
|
||||
|
||||
def test_offline_setup_uses_the_shipped_lists_without_the_web(monkeypatch):
|
||||
from quantcore.universe import sources as S
|
||||
|
||||
def no_web(*a, **k):
|
||||
raise AssertionError("no web access with allow_web=False")
|
||||
|
||||
monkeypatch.setattr(S, "_get", no_web)
|
||||
assert len(S.fetch_candidates("US", allow_web=False)) > 400
|
||||
assert len(S.fetch_candidates("Europe", allow_web=False)) > 500
|
||||
|
||||
|
||||
def test_ishares_tries_the_next_address(monkeypatch):
|
||||
from quantcore.universe import sources as S
|
||||
|
||||
tried = []
|
||||
|
||||
def fake_get(url, timeout=30.0):
|
||||
tried.append(url)
|
||||
if len(tried) == 1:
|
||||
raise RuntimeError("404 Client Error")
|
||||
return b"csv"
|
||||
|
||||
monkeypatch.setattr(S, "_get", fake_get)
|
||||
monkeypatch.setattr(S, "parse_ishares_holdings", lambda raw: _frame([f"S{i}.SW" for i in range(150)], "ishares"))
|
||||
df = S.fetch_stoxx600_ishares()
|
||||
assert tried == list(S.ISHARES_STOXX600_URLS[:2]) and len(df) == 150
|
||||
|
||||
|
||||
def test_unknown_symbols_are_summarised_not_logged_one_by_one(monkeypatch, caplog):
|
||||
import logging
|
||||
|
||||
from quantcore.config import Settings
|
||||
from quantcore.data.yahoo import YahooClient
|
||||
|
||||
client = YahooClient(Settings(yahoo_info_pause=0.0))
|
||||
known = {"quoteType": "EQUITY", "currency": "CHF", "longName": "Known AG", "exchange": "EBS"}
|
||||
monkeypatch.setattr(YahooClient, "_info_fields",
|
||||
lambda self, s: logging.getLogger("yfinance").error("HTTP Error 404 %s", s) or
|
||||
({} if s.startswith("GONE") else known))
|
||||
with caplog.at_level(logging.INFO):
|
||||
df = client.ticker_infos(["KNOWN.SW", "GONE1.PA", "GONE2.SW"])
|
||||
assert list(df.index) == ["KNOWN.SW", "GONE1.PA", "GONE2.SW"] and df.loc["KNOWN.SW", "currency"] == "CHF"
|
||||
assert not [r for r in caplog.records if r.name == "yfinance"] # no per-symbol ERROR lines
|
||||
summary = [r.getMessage() for r in caplog.records if "no quote for 2 of 3" in r.getMessage()]
|
||||
assert summary and "GONE1.PA, GONE2.SW" in summary[0]
|
||||
assert logging.getLogger("yfinance").level == logging.NOTSET # restored afterwards
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user