PyAlgoEngine 0.4.0.post1__tar.gz → 0.4.1__tar.gz

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.0.post1
+Version: 0.4.1
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han
@@ -14,11 +14,6 @@ Classifier: Operating System :: OS Independent
 Requires-Python: >=3.1
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: numpy
-Requires-Dist: pandas
-Requires-Dist: exchange_calendars
-Requires-Dist: PyQuantKit>=0.3.0
-Requires-Dist: PyEventEngine>=0.3.0.post3
 
 # PyAlgoEngine
 python algo trading engine

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.0.post1
+Version: 0.4.1
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han
@@ -14,11 +14,6 @@ Classifier: Operating System :: OS Independent
 Requires-Python: >=3.1
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: numpy
-Requires-Dist: pandas
-Requires-Dist: exchange_calendars
-Requires-Dist: PyQuantKit>=0.3.0
-Requires-Dist: PyEventEngine>=0.3.0.post3
 
 # PyAlgoEngine
 python algo trading engine

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -11,6 +11,13 @@ algo_engine/back_test/__init__.py
 algo_engine/back_test/__main__.py
 algo_engine/back_test/replay.py
 algo_engine/back_test/sim_match.py
+algo_engine/base/__init__.py
+algo_engine/base/console_utils.py
+algo_engine/base/finance_decimal.py
+algo_engine/base/market_utils.py
+algo_engine/base/technical_analysis.py
+algo_engine/base/telemetrics.py
+algo_engine/base/trade_utils.py
 algo_engine/engine/__init__.py
 algo_engine/engine/algo_engine.py
 algo_engine/engine/event_engine.py
@@ -20,5 +27,5 @@ algo_engine/monitor/__init__.py
 algo_engine/monitor/advanced_data_interface.py
 algo_engine/profile/__init__.py
 algo_engine/profile/cn.py
-algo_engine/strategie/__init__.py
-algo_engine/strategie/strategy_engine.py
+algo_engine/strategy/__init__.py
+algo_engine/strategy/strategy_engine.py

PyAlgoEngine-0.4.1/PyAlgoEngine.egg-info/requires.txt

@@ -0,0 +1,4 @@
+numpy
+pandas
+exchange_calendars
+PyEventEngine>=0.3.0.post4

PyAlgoEngine-0.4.1/algo_engine/__init__.py

@@ -0,0 +1,39 @@
+__version__ = "0.4.1"
+
+import logging
+import os
+import traceback
+
+from . import profile
+from .base.telemetrics import LOGGER
+
+if 'ALGO_DIR' in os.environ:
+    WORKING_DIRECTORY = os.path.realpath(os.environ['ALGO_DIR'])
+else:
+    WORKING_DIRECTORY = str(os.getcwd())
+
+
+def set_logger(logger: logging.Logger):
+    base.set_logger(logger=logger)
+    engine.set_logger(logger=logger.getChild('Engine'))
+    back_test.set_logger(logger=logger.getChild('BackTest'))
+    strategy.set_logger(logger=logger.getChild('Strategy'))
+
+
+from . import base
+from . import engine
+from . import back_test
+from . import strategy
+
+engine.LOGGER.info(f'AlgoEngine version {__version__}')
+
+# import addon module
+try:
+    from . import algo_addon
+
+    engine.LOGGER.info(f'PyAlgoEngineAddons import successful, version {algo_addon.__version__}')
+except ImportError:
+    algo_addon = None
+    engine.LOGGER.debug(f'Install PyAlgoEngineAddons to use additional trading algos module\n{traceback.format_exc()}')
+
+__all__ = ['LOGGER', 'base', 'engine', 'back_test', 'strategy', 'algo_addon']

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/algo_engine/back_test/__init__.py

@@ -1,7 +1,18 @@
+import logging
+
 from .. import LOGGER
 
 LOGGER = LOGGER.getChild('BackTest')
 
+
+def set_logger(logger: logging.Logger):
+    global LOGGER
+    LOGGER = logger
+
+    replay.LOGGER = LOGGER.getChild('Replay')
+    sim_match.LOGGER = LOGGER.getChild('SimMatch')
+
+
 from .replay import Replay, SimpleReplay, ProgressiveReplay
 from .sim_match import SimMatch
 

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/algo_engine/back_test/__main__.py

@@ -3,12 +3,12 @@ __package__ = 'algo_engine.back_test'
 import datetime
 from typing import Callable
 
-import EventEngine
+import event_engine
 
 from ..engine import TOPIC, MarketDataService, Balance, RiskProfile, PositionManagementService
 from ..engine.algo_engine import AlgoRegistry, AlgoEngine
-from ..strategie import EventDMA
-from ..strategie.strategy_engine import StrategyEngine
+from ..strategy import EventDMA
+from ..strategy.strategy_engine import StrategyEngine
 
 
 def test_stop(code=0):
@@ -29,7 +29,7 @@ def test_start(start_date: datetime.date, end_date: datetime.date, data_loader:
 
 
 # in backtest, the global objects is newly inited to separate from production
-EVENT_ENGINE = EventEngine.EventEngine()
+EVENT_ENGINE = event_engine.EventEngine()
 MDS = MarketDataService()
 ALGO_REGISTRY = AlgoRegistry()
 ALGO_ENGINE = AlgoEngine(mds=MDS, registry=ALGO_REGISTRY)

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/algo_engine/back_test/replay.py

@@ -3,9 +3,10 @@ import datetime
 import inspect
 from typing import Iterable
 
-from PyQuantKit import Progress, TickData, TransactionData, TradeData, OrderBook
-
 from . import LOGGER
+from ..base import Progress, TickData, TransactionData, TradeData, OrderBook
+
+LOGGER = LOGGER.getChild('Replay')
 
 
 class Replay(object, metaclass=abc.ABCMeta):

{pyalgoengine-0.4.0.post1 → PyAlgoEngine-0.4.1}/algo_engine/back_test/sim_match.py

@@ -1,9 +1,11 @@
 import datetime
 
-from PyQuantKit import OrderType, MarketData, BarData, TradeData, TickData, OrderState, OrderBook, TradeReport, TradeInstruction
-
 from . import LOGGER
+from ..base import OrderType, MarketData, BarData, TradeData, TickData, OrderState, OrderBook, TradeReport, TradeInstruction
 from ..engine.event_engine import TOPIC, EVENT_ENGINE
+from ..profile import PROFILE
+
+LOGGER = LOGGER.getChild('SimMatch')
 
 
 class SimMatch(object):
@@ -67,7 +69,10 @@ class SimMatch(object):
             # raise ValueError(f'Invalid instruction {order}, instruction must have a LimitPrice')
 
         order.set_order_state(order_state=OrderState.Placed, timestamp=self.timestamp)
-        self.working[order.order_id] = order
+
+        if not self.instant_fill:
+            self.working[order.order_id] = order
+
         self.on_order(order=order, **kwargs)
 
         if self.instant_fill:
@@ -253,7 +258,7 @@ class SimMatch(object):
                 order_id=order.order_id,
                 price=match_price,
                 multiplier=order.multiplier,
-                fee=self.fee * match_volume * match_price * order.multiplier
+                fee=self.fee_rate * match_volume * match_price * order.multiplier
             )
 
             LOGGER.info(f'[{self.market_time:%Y-%m-%d %H:%M:%S}] Sim-filled {order.ticker} {order.side.name} {report.volume:,.2f} @ {report.price:.2f}')
@@ -280,11 +285,11 @@ class SimMatch(object):
             self.cancel_order(order_id=order_id)
 
     def clear(self):
-        self.fee = 0.
+        # self.fee_rate = 0.
         self.working.clear()
         self.history.clear()
         self.timestamp = 0.
 
     @property
     def market_time(self) -> datetime.datetime:
-        return datetime.datetime.fromtimestamp(self.timestamp)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)

PyAlgoEngine-0.4.1/algo_engine/base/__init__.py

@@ -0,0 +1,28 @@
+import logging
+
+from .telemetrics import LOGGER
+from ..profile import PROFILE
+
+
+def set_logger(logger: logging.Logger):
+    global LOGGER
+    LOGGER = logger
+
+    market_utils.LOGGER = logger.getChild('MarketUtils')
+    trade_utils.LOGGER = logger.getChild('TradeUtils')
+    technical_analysis.LOGGER = logger.getChild('TA')
+    console_utils.LOGGER = logger.getChild('Console')
+
+
+from .finance_decimal import FinancialDecimal
+from .market_utils import TransactionSide, MarketData, OrderBook, BarData, TickData, TransactionData, TradeData, OrderBookBuffer, BarDataBuffer, TickDataBuffer, TransactionDataBuffer
+from .technical_analysis import TechnicalAnalysis
+from .trade_utils import OrderState, OrderType, TradeInstruction, TradeReport
+from .console_utils import Progress, GetInput, GetArgs, count_ordinal, TerminalStyle, InteractiveShell, ShellTransfer
+
+__all__ = ['PROFILE',
+           'FinancialDecimal',
+           'TransactionSide', 'MarketData', 'OrderBook', 'BarData', 'TickData', 'TransactionData', 'TradeData', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
+           'TechnicalAnalysis',
+           'OrderState', 'OrderType', 'TradeInstruction', 'TradeReport',
+           'Progress', 'GetInput', 'GetArgs', 'count_ordinal', 'TerminalStyle', 'InteractiveShell', 'ShellTransfer']