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.
$ 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.pdfCopyright (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
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.