PyAlgoEngine 0.12.3__cp315-cp315-win_amd64.whl

algo_engine/exchange_profile/c_exchange_profile.pxd

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+from libcpp cimport bool as c_bool
+
+from cpython.datetime cimport datetime as py_datetime, date as py_date, time as py_time
+from libc.stdint cimport uint8_t, uint16_t, uint32_t, int64_t, uintptr_t
+
+
+cdef extern from "algo_engine/exchange_profile/c_ex_profile_base.h":
+    const double SECONDS_PER_DAY
+    const double SECONDS_PER_HOUR
+    const double SECONDS_PER_MINUTE
+    const double NANOS_PER_SECOND
+    const double MICROS_PER_SECOND
+    const int64_t UNIX_EPOCH_ORDINAL
+    const size_t EX_PROFILE_ID_SIZE
+    const size_t EX_PROFILE_MIN_YEAR
+    const size_t EX_PROFILE_MAX_YEAR
+    const uint32_t EX_PROFILE_MAX_ORDINAL
+
+    const uint8_t DAYS_IN_MONTH_TABLE[12]
+    const uint16_t DAYS_BEFORE_MONTH_TABLE[12]
+
+    ctypedef enum session_type:
+        SESSION_TYPE_NON_TRADING
+        SESSION_TYPE_NORMINAL
+        SESSION_TYPE_SUSPENDED
+        SESSION_TYPE_HALF_DAY
+        SESSION_TYPE_CIRCUIT_BREAK
+
+    ctypedef enum session_phase:
+        SESSION_PHASE_UNKNOWN
+        SESSION_PHASE_PREOPEN
+        SESSION_PHASE_OPEN_AUCTION
+        SESSION_PHASE_CONTINUOUS
+        SESSION_PHASE_BREAK
+        SESSION_PHASE_SUSPENDED
+        SESSION_PHASE_CLOSE_AUCTION
+        SESSION_PHASE_CLOSED
+        SESSION_PHASE_MASK
+
+    ctypedef enum auction_phase:
+        AUCTION_PHASE_ACTIVE
+        AUCTION_PHASE_NO_CANCEL
+        AUCTION_PHASE_FROZEN
+        AUCTION_PHASE_UNCROSSING
+        AUCTION_PHASE_DONE
+        AUCTION_PHASE_MASK
+
+    ctypedef struct session_time_t:
+        double   elapsed_seconds
+        uint32_t nanosecond
+        uint8_t  hour
+        uint8_t  minute
+        uint8_t  second
+        uint8_t  phase
+
+    ctypedef struct session_date_t:
+        uint16_t year
+        uint8_t month
+        uint8_t day
+        session_type stype
+
+    ctypedef struct session_datetime_t:
+        session_time_t time
+        session_date_t date
+        double unix_ts
+        double ts
+        uint32_t ordinal
+
+    ctypedef struct session_time_range_t:
+        session_time_t start
+        session_time_t end
+        double elapsed_seconds
+
+    ctypedef struct session_date_range_t:
+        session_date_t start
+        session_date_t end
+        size_t n_days
+        session_date_t dates[]
+
+    ctypedef struct call_auction:
+        session_time_t auction_start
+        const session_time_range_t* active
+        const session_time_range_t* no_cancel
+        const session_time_range_t* frozen
+        session_time_t uncross
+        session_time_t auction_end
+
+    ctypedef struct session_break:
+        session_time_t break_start
+        session_time_t break_end
+        double break_start_ts
+        double break_end_ts
+        double break_length_seconds
+        session_break* next
+
+    ctypedef void (*ex_profile_on_activate_func)(const exchange_profile* profile) noexcept nogil
+    ctypedef void (*ex_profile_on_deactivate_func)(const exchange_profile* profile) noexcept nogil
+    ctypedef session_date_range_t* (*ex_profile_trade_calendar_func)(const session_date_t* start_date, const session_date_t* end_date) noexcept nogil
+    ctypedef auction_phase (*ex_profile_resolve_auction_phase_func)(double ts) noexcept nogil
+    ctypedef session_phase (*ex_profile_resolve_session_phase_func)(double ts) noexcept nogil
+    ctypedef session_type (*ex_profile_resolve_session_type_func)(uint16_t year, uint8_t month, uint8_t day) noexcept nogil
+
+    ctypedef struct exchange_profile:
+        char profile_id[EX_PROFILE_ID_SIZE]
+        session_time_t session_start
+        session_time_t session_end
+        double session_start_ts
+        double session_end_ts
+        double session_length_seconds
+        const call_auction* open_call_auction
+        const call_auction* close_call_auction
+        const session_break* session_breaks
+        const char* time_zone
+        double tz_offset_seconds
+        # Function pointers for exchange-specific logic
+        ex_profile_on_activate_func on_activate
+        ex_profile_on_deactivate_func on_deactivate
+        ex_profile_trade_calendar_func trade_calendar
+        ex_profile_resolve_auction_phase_func resolve_auction_phase
+        ex_profile_resolve_session_phase_func resolve_session_phase
+        ex_profile_resolve_session_type_func resolve_session_type
+
+    ctypedef void (*ex_profile_activation_callback)(const exchange_profile* previous_profile, const exchange_profile* new_profile, void* user_data) noexcept
+
+    ctypedef struct ex_profile_activation_listener:
+        uintptr_t listener_id;
+        ex_profile_activation_callback callback;
+        void* user_data;
+        ex_profile_activation_listener* next;
+
+    extern const exchange_profile* EX_PROFILE
+    extern const session_date_range_t* EX_TRADE_CALENDAR_CACHE
+    extern ex_profile_activation_listener* EX_PROFILE_ACTIVATION_LISTENERS
+
+    extern const exchange_profile EX_PROFILE_DEFAULT;
+
+    double c_utc_offset_seconds() noexcept nogil
+    int c_ex_profile_time_compare(const void* t1, const void* t2) noexcept nogil
+    double c_ex_profile_time_to_ts(uint8_t hour, uint8_t minute, uint8_t second, uint32_t nanosecond) noexcept nogil
+    double c_ex_profile_unix_to_ts(double unix_ts) noexcept nogil
+    double c_ex_profile_ts_to_elapsed(double ts) noexcept nogil
+
+    int c_ex_profile_date_compare(const void* d1, const void* d2) noexcept nogil
+    uint32_t c_ex_profile_days_before_year(uint16_t year) noexcept nogil
+    c_bool c_ex_profile_is_leap_year(uint16_t year) noexcept nogil
+    uint8_t c_ex_profile_days_in_month(uint16_t year, uint8_t month) noexcept nogil
+    c_bool c_ex_profile_date_is_valid(const session_date_t* date) noexcept nogil
+    uint32_t c_ex_profile_date_to_ordinal(const session_date_t* date) noexcept nogil
+    uint32_t c_ex_profile_unix_to_ordinal(double unix_ts, double tz_offset_seconds) noexcept nogil
+    int c_ex_profile_date_from_ordinal(uint32_t ordinal, session_date_t* out) noexcept nogil
+    int c_ex_profile_date_from_year_day(uint16_t year, uint32_t day_of_year, session_date_t* out) noexcept nogil
+    int c_ex_profile_next_day(const session_date_t* date, session_date_t* out) noexcept nogil
+    int c_ex_profile_previous_day(const session_date_t* date, session_date_t* out) noexcept nogil
+    int c_ex_profile_days_after(const session_date_t* date, size_t days_after, session_date_t* out) noexcept nogil
+    int c_ex_profile_days_before(const session_date_t* date, size_t days_before, session_date_t* out) noexcept nogil
+    c_bool c_ex_profile_is_weekend(const session_date_t* date) noexcept nogil
+    session_date_range_t* c_ex_profile_date_range(const session_date_t* start_date, const session_date_t* end_date) noexcept nogil
+
+    void c_ex_profile_activate(const exchange_profile* profile) noexcept nogil
+    uintptr_t c_ex_profile_register_activation_listener(ex_profile_activation_callback callback, void* user_data)
+    int c_ex_profile_deregister_activation_listener(uintptr_t listener_id)
+
+    session_time_t* c_ex_profile_session_time_new(uint8_t hour, uint8_t minute, uint8_t second, uint32_t nanosecond) noexcept nogil
+    int c_ex_profile_session_time_from_ts(double ts, session_time_t* out) noexcept nogil
+    int c_ex_profile_session_time_from_unix(double unix_ts, session_time_t* out) noexcept nogil
+    session_time_range_t* c_ex_profile_session_trange_between_time(const session_time_t* start_time, const session_time_t* end_time) noexcept nogil
+    session_time_range_t* c_ex_profile_session_trange_between_unix(double start_unix_ts, double end_unix_ts) noexcept nogil
+
+    session_date_t* c_ex_profile_session_date_new(uint16_t year, uint8_t month, uint8_t day) noexcept nogil
+    int c_ex_profile_session_date_init(session_date_t* date, uint16_t year, uint8_t month, uint8_t day) noexcept nogil
+    int c_ex_profile_session_date_from_unix(double unix_ts, session_date_t* out) noexcept nogil
+    double c_ex_profile_session_date_to_unix(const session_date_t* date) noexcept nogil
+    size_t c_ex_profile_session_date_index(const session_date_t* date, const session_date_range_t* drange) noexcept nogil
+    size_t c_ex_profile_session_ymd_index(uint16_t year, uint8_t month, uint8_t day, const session_date_t* date_array, size_t n_days) noexcept nogil
+    session_date_range_t* c_ex_profile_session_drange_between(const session_date_t* start_date, const session_date_t* end_date) noexcept nogil
+    int c_ex_profile_session_trading_days_before(const session_date_t* market_date, size_t days, session_date_t* out) noexcept nogil
+    int c_ex_profile_session_trading_days_after(const session_date_t* market_date, size_t days, session_date_t* out) noexcept nogil
+    int c_ex_profile_nearest_trading_date(const session_date_t* market_date, c_bool previous, session_date_t* out) noexcept nogil
+    c_bool c_ex_profile_is_trading_day(const session_date_t* market_date) noexcept nogil
+    int c_ex_profile_trading_days_between(const session_date_t* start_date, const session_date_t* end_date, ssize_t* out) noexcept nogil
+
+    int c_ex_profile_session_datetime_from_unix(double unix_ts, session_datetime_t* out) noexcept nogil
+    int c_ex_profile_session_datetime_update(session_datetime_t* dt, double unix_ts) noexcept nogil
+
+
+cdef extern from "algo_engine/exchange_profile/c_ex_profile_cn.h":
+    extern const exchange_profile EX_PROFILE_CN
+
+    c_bool c_ex_profile_cn_date_in_list(const session_date_t* date, const session_date_t* date_list, size_t n) noexcept nogil
+    c_bool c_ex_profile_cn_is_holiday(const session_date_t* date) noexcept nogil
+    c_bool c_ex_profile_cn_is_circuit_break(const session_date_t* date) noexcept nogil
+    void c_ex_profile_cn_get_calendar() noexcept nogil
+
+
+cpdef double local_utc_offset_seconds()
+cdef int c_ex_profile_unix_to_datetime(double unix_ts, session_datetime_t* out)
+cpdef py_datetime unix_to_datetime(double unix_ts)
+
+
+cdef class SessionTime:
+    cdef const session_time_t* header
+    cdef bint owner
+
+    @staticmethod
+    cdef SessionTime c_from_header(const session_time_t* header, bint owner)
+
+
+cdef class SessionTimeRange:
+    cdef const session_time_range_t* header
+    cdef bint owner
+
+    cdef readonly SessionTime start_time
+    cdef readonly SessionTime end_time
+
+    @staticmethod
+    cdef SessionTimeRange c_from_header(const session_time_range_t* header, bint owner)
+
+
+cdef class SessionDate(py_date):
+    cdef const session_date_t* header
+    cdef bint owner
+
+    @staticmethod
+    cdef SessionDate c_from_header(const session_date_t* header, bint owner)
+
+    cdef const session_date_t* c_sync(self)
+
+    cpdef SessionDate fork(self)
+
+
+cdef class SessionDateEx:
+    cdef const session_date_t* header
+    cdef bint owner
+
+    @staticmethod
+    cdef SessionDateEx c_from_header(const session_date_t* header, bint owner)
+
+    cpdef SessionDateEx fork(self)
+
+
+cdef class SessionDateRange:
+    cdef const session_date_range_t* header
+    cdef bint owner
+
+    cdef readonly SessionDate start_date
+    cdef readonly SessionDate end_date
+    cdef readonly tuple dates
+
+    @staticmethod
+    cdef SessionDateRange c_from_header(const session_date_range_t* header, bint owner)
+
+    cpdef list to_list(self)
+
+
+cdef class SessionDateTime:
+    cdef session_datetime_t* header
+    cdef bint owner
+
+    cdef readonly SessionTime time
+    cdef readonly SessionDateEx date
+
+    @staticmethod
+    cdef SessionDateTime c_from_header(session_datetime_t* header, bint owner=?)
+
+
+cdef class CallAuction:
+    cdef const call_auction* header
+
+    @staticmethod
+    cdef CallAuction c_from_header(const call_auction* header)
+
+
+cdef class SessionBreak:
+    cdef const session_break* header
+
+    @staticmethod
+    cdef SessionBreak c_from_header(const session_break* header)
+
+
+cdef class ExchangeProfile:
+    cdef const exchange_profile* header
+    cdef uintptr_t listener_id
+
+    cdef readonly str profile_id
+    cdef readonly SessionTime session_start
+    cdef readonly SessionTime session_end
+    cdef readonly CallAuction open_call_auction
+    cdef readonly CallAuction close_call_auction
+    cdef readonly tuple[SessionBreak] session_breaks
+    cdef readonly object time_zone
+
+    @staticmethod
+    cdef ExchangeProfile c_new_bound_instance()
+
+    @staticmethod
+    cdef ExchangeProfile c_from_header(const exchange_profile* header)
+
+    @staticmethod
+    cdef void c_listener_adapter(const exchange_profile* previous_profile, const exchange_profile* new_profile, void* user_data) noexcept
+
+    cdef inline void c_bind(self, const exchange_profile* header)
+
+    cdef inline bint c_time_in_market_session(self, py_time t)
+
+    cdef inline bint c_timestamp_in_market_session(self, double unix_ts)
+
+    cdef inline bint c_timestamp_in_auction_session(self, double unix_ts)
+
+    cdef inline SessionDateRange c_trade_calendar(self, py_date start_date, py_date end_date)
+
+    cdef inline bint c_date_in_market_session(self, py_date market_date)
+
+    cdef inline py_datetime c_timestamp_to_datetime(self, double unix_ts)
+
+    cdef inline py_date c_timestamp_to_date(self, double unix_ts)
+
+    cdef inline double c_time_to_seconds(self, py_time t, bint break_adjusted)
+
+    cdef inline double c_timestamp_to_seconds(self, double t, bint break_adjusted)
+
+    cdef inline double c_break_adjusted(self, double ts)
+
+    cdef inline double c_trading_time_between(self, py_datetime start_time, py_datetime end_time)
+
+    cdef inline py_date c_trading_days_before(self, py_date market_date, size_t days)
+
+    cdef inline py_date c_trading_days_after(self, py_date market_date, size_t days)
+
+    cdef inline ssize_t c_trading_days_between(self, py_date start_date, py_date end_date)
+
+    cdef inline py_date c_nearest_trading_date(self, py_date market_date, bint previous)
+
+
+cdef ExchangeProfile PROFILE
+cdef ExchangeProfile PROFILE_DEFAULT
+cdef ExchangeProfile PROFILE_CN