PyAlgoEngine 0.4.1__tar.gz → 0.4.2__tar.gz

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.1
+Version: 0.4.2
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.1
+Version: 0.4.2
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.4.1"
+__version__ = "0.4.2"
 
 import logging
 import os

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/back_test/sim_match.py

@@ -292,4 +292,4 @@ class SimMatch(object):
 
     @property
     def market_time(self) -> datetime.datetime:
-        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/base/market_utils.py

@@ -269,7 +269,7 @@ class MarketData(dict, metaclass=abc.ABCMeta):
 
     @property
     def market_time(self) -> datetime.datetime | datetime.date:
-        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)
 
     @property
     @abc.abstractmethod
@@ -823,9 +823,9 @@ class BarData(MarketData):
     @property
     def bar_start_time(self) -> datetime.datetime:
         if 'start_timestamp' in self:
-            return datetime.datetime.fromtimestamp(self['start_timestamp'], tz=PROFILE.timezone)
+            return datetime.datetime.fromtimestamp(self['start_timestamp'], tz=PROFILE.time_zone)
         else:
-            return datetime.datetime.fromtimestamp(self['timestamp'] - self['bar_span'], tz=PROFILE.timezone)
+            return datetime.datetime.fromtimestamp(self['timestamp'] - self['bar_span'], tz=PROFILE.time_zone)
 
     @property
     def vwap(self) -> float:

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/base/trade_utils.py

@@ -152,7 +152,7 @@ class TradeBaseClass(dict, metaclass=abc.ABCMeta):
 
     @property
     def market_time(self) -> datetime.datetime | datetime.date:
-        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)
 
 
 class TradeReport(TradeBaseClass):
@@ -377,7 +377,7 @@ class TradeReport(TradeBaseClass):
 
     @property
     def trade_time(self) -> datetime.datetime:
-        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)
 
 
 class TradeInstruction(TradeBaseClass):
@@ -681,26 +681,26 @@ class TradeInstruction(TradeBaseClass):
 
     @property
     def start_time(self) -> datetime.datetime | None:
-        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.timezone)
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)
 
     @property
     def placed_time(self) -> datetime.datetime | None:
         if 'ts_placed' in self:
-            return datetime.datetime.fromtimestamp(self['ts_placed'], tz=PROFILE.timezone)
+            return datetime.datetime.fromtimestamp(self['ts_placed'], tz=PROFILE.time_zone)
 
         return None
 
     @property
     def canceled_time(self) -> datetime.datetime | None:
         if 'ts_canceled' in self:
-            return datetime.datetime.fromtimestamp(self['ts_canceled'], tz=PROFILE.timezone)
+            return datetime.datetime.fromtimestamp(self['ts_canceled'], tz=PROFILE.time_zone)
 
         return None
 
     @property
     def finished_time(self) -> datetime.datetime | None:
         if 'ts_finished' in self:
-            return datetime.datetime.fromtimestamp(self['ts_finished'], tz=PROFILE.timezone)
+            return datetime.datetime.fromtimestamp(self['ts_finished'], tz=PROFILE.time_zone)
 
         return None
 

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/engine/algo_engine.py

@@ -453,14 +453,14 @@ class AlgoTemplate(object, metaclass=abc.ABCMeta):
         if self.ts_started is None:
             return None
 
-        return datetime.datetime.fromtimestamp(self.ts_started, tz=self.algo_engine.mds.profile.timezone)
+        return datetime.datetime.fromtimestamp(self.ts_started, tz=self.algo_engine.mds.profile.time_zone)
 
     @property
     def finish_time(self) -> datetime.datetime | None:
         if self.ts_finished is None:
             return None
 
-        return datetime.datetime.fromtimestamp(self.ts_finished, tz=self.algo_engine.mds.profile.timezone)
+        return datetime.datetime.fromtimestamp(self.ts_finished, tz=self.algo_engine.mds.profile.time_zone)
 
 
 class Passive(AlgoTemplate):

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/engine/market_engine.py

@@ -8,7 +8,7 @@ from typing import Self
 
 from . import LOGGER
 from ..base import TickData, TradeData, OrderBook, MarketData, TransactionSide
-from ..profile import PROFILE, Profile, PROFILE_CN
+from ..profile import PROFILE, Profile
 
 LOGGER = LOGGER.getChild('MarketEngine')
 
@@ -199,9 +199,6 @@ class MarketDataService(object):
         self.monitor.pop(monitor_id)
         self.monitor_manager.pop_monitor(monitor_id)
 
-    def init_cn_override(self):
-        self.profile = PROFILE_CN
-
     def _on_trade_data(self, trade_data: TradeData):
         ticker = trade_data.ticker
 
@@ -281,8 +278,8 @@ class MarketDataService(object):
     def trade_time_between(self, start_time: datetime.datetime | float, end_time: datetime.datetime | float, **kwargs) -> datetime.timedelta:
         return self.profile.trade_time_between(start_time=start_time, end_time=end_time, **kwargs)
 
-    def in_trade_session(self, market_time: datetime.datetime | float) -> bool:
-        return self.profile.in_trade_session(market_time=market_time)
+    def is_market_session(self, market_time: datetime.datetime | float | int) -> bool:
+        return self.profile.is_market_session(timestamp=market_time)
 
     def clear(self):
         # self._market_price.clear()
@@ -310,7 +307,7 @@ class MarketDataService(object):
             if self._timestamp is None:
                 return None
             else:
-                return datetime.datetime.fromtimestamp(self._timestamp, tz=self.profile.timezone)
+                return datetime.datetime.fromtimestamp(self._timestamp, tz=self.profile.time_zone)
         else:
             return self._market_time
 

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/profile/__init__.py

@@ -14,7 +14,7 @@ class Profile(object, metaclass=abc.ABCMeta):
         self.session_end = session_end
         self.session_break = [] if session_break is None else session_break
 
-        self.timezone = None
+        self.time_zone = None
 
     @abc.abstractmethod
     def override_profile(self, profile: Self): ...
@@ -24,9 +24,16 @@ class Profile(object, metaclass=abc.ABCMeta):
         ...
 
     @abc.abstractmethod
-    def in_trade_session(self, market_time: datetime.datetime | float) -> bool:
+    def is_market_session(self, timestamp: float | int | datetime.datetime) -> bool:
         ...
 
+    @property
+    def range_break(self) -> list[dict]:
+        """
+        an range break designed for plotly.
+        """
+        return []
+
 
 class DefaultProfile(Profile):
     def __init__(self):
@@ -41,10 +48,10 @@ class DefaultProfile(Profile):
 
     def trade_time_between(self, start_time: datetime.datetime | float, end_time: datetime.datetime | float, **kwargs) -> datetime.timedelta:
         if start_time is not None and isinstance(start_time, (float, int)):
-            start_time = datetime.datetime.fromtimestamp(start_time, tz=self.timezone)
+            start_time = datetime.datetime.fromtimestamp(start_time, tz=self.time_zone)
 
         if end_time is not None and isinstance(end_time, (float, int)):
-            end_time = datetime.datetime.fromtimestamp(end_time, tz=self.timezone)
+            end_time = datetime.datetime.fromtimestamp(end_time, tz=self.time_zone)
 
         if start_time is None or end_time is None:
             return datetime.timedelta(seconds=0)
@@ -54,7 +61,7 @@ class DefaultProfile(Profile):
 
         return end_time - start_time
 
-    def in_trade_session(self, market_time: datetime.datetime | float) -> bool:
+    def is_market_session(self, timestamp: float | int | datetime.datetime) -> bool:
         return True
 
 

{PyAlgoEngine-0.4.1 → PyAlgoEngine-0.4.2}/algo_engine/profile/cn.py

@@ -31,7 +31,7 @@ class ProfileCN(Profile):
         profile.in_trade_session = self.in_trade_session
 
     @functools.lru_cache
-    def trade_calendar(self, start_date: datetime.date, end_date: datetime.date, market='XSHG', tz='UTC') -> list[datetime.date]:
+    def query_trade_calendar(self, start_date: datetime.date, end_date: datetime.date, market='XSHG', tz='UTC') -> list[datetime.date]:
         import pandas as pd
 
         if market in self.trade_calendar:
@@ -72,7 +72,7 @@ class ProfileCN(Profile):
         if start_date == end_date:
             offset = 0
         else:
-            market_date_list = self.trade_calendar(start_date=start_date, end_date=end_date, **kwargs)
+            market_date_list = self.query_trade_calendar(start_date=start_date, end_date=end_date, **kwargs)
             if not market_date_list:
                 offset = 0
             else:
@@ -106,11 +106,11 @@ class ProfileCN(Profile):
         implied_date = datetime.date.today()
 
         if isinstance(start_time, (float, int)):
-            start_time = datetime.datetime.fromtimestamp(start_time, tz=self.timezone)
+            start_time = datetime.datetime.fromtimestamp(start_time, tz=self.time_zone)
             implied_date = start_time.date()
 
         if isinstance(end_time, (float, int)):
-            end_time = datetime.datetime.fromtimestamp(end_time, tz=self.timezone)
+            end_time = datetime.datetime.fromtimestamp(end_time, tz=self.time_zone)
             implied_date = end_time.date()
 
         if isinstance(start_time, datetime.time):
@@ -164,29 +164,24 @@ class ProfileCN(Profile):
         else:
             raise NotImplementedError(f'Invalid fmt {fmt}, should be "timestamp" or "timedelta"')
 
-    def in_trade_session(self, market_time: datetime.datetime | float | int = None) -> bool:
-        if market_time is None:
-            market_time = datetime.datetime.now()
-
-        if isinstance(market_time, (float, int)):
-            market_time = datetime.datetime.fromtimestamp(market_time, tz=self.timezone)
-
-        market_date = market_time.date()
-        market_time = market_time.time()
-
-        if not self.is_trade_day(market_date=market_date):
-            return False
-
-        if market_time < datetime.time(9, 30):
-            return False
-
-        if datetime.time(11, 30) < market_time < datetime.time(13, 00):
-            return False
+    def is_market_session(self, timestamp: float | int | datetime.datetime) -> bool:
+        if isinstance(timestamp, (float, int)):
+            market_time = datetime.datetime.fromtimestamp(timestamp, tz=self.time_zone).time()
+        elif isinstance(timestamp, datetime.datetime):
+            market_time = timestamp
+        else:
+            raise TypeError(f'Expect timestamp to be a float, int or datetime, got {type(timestamp)}!')
 
-        if market_time > datetime.time(15, 00):
+        if (market_time < datetime.time(9, 30)
+                or datetime.time(11, 30) < market_time < datetime.time(13, 0)
+                or datetime.time(15, 0) < market_time):
             return False
 
         return True
 
+    @property
+    def range_break(self) -> list[dict]:
+        return [dict(bounds=[0, 9.5], pattern="hour"), dict(bounds=[11.5, 13], pattern="hour"), dict(bounds=[15, 24], pattern="hour")]
+
 
 PROFILE_CN = ProfileCN()