PyAlgoEngine 0.4.2__tar.gz → 0.4.3__tar.gz

{PyAlgoEngine-0.4.2 → PyAlgoEngine-0.4.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.2
+Version: 0.4.3
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{PyAlgoEngine-0.4.2 → PyAlgoEngine-0.4.3}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.4.2
+Version: 0.4.3
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{PyAlgoEngine-0.4.2 → PyAlgoEngine-0.4.3}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.4.2"
+__version__ = "0.4.3"
 
 import logging
 import os

{PyAlgoEngine-0.4.2 → PyAlgoEngine-0.4.3}/algo_engine/back_test/__init__.py

@@ -1,19 +1,19 @@
-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
-
-__all__ = ['Replay', 'SimpleReplay', 'ProgressiveReplay', 'SimMatch']
+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
+
+__all__ = ['Replay', 'SimpleReplay', 'ProgressiveReplay', 'SimMatch']

{PyAlgoEngine-0.4.2 → PyAlgoEngine-0.4.3}/algo_engine/back_test/replay.py

@@ -1,258 +1,258 @@
-import abc
-import datetime
-import inspect
-from typing import Iterable
-
-from . import LOGGER
-from ..base import Progress, TickData, TransactionData, TradeData, OrderBook
-
-LOGGER = LOGGER.getChild('Replay')
-
-
-class Replay(object, metaclass=abc.ABCMeta):
-    @abc.abstractmethod
-    def __next__(self): ...
-
-    @abc.abstractmethod
-    def __iter__(self): ...
-
-
-class SimpleReplay(Replay):
-    def __init__(self, **kwargs):
-        self.eod = kwargs.pop('eod', None)
-        self.bod = kwargs.pop('bod', None)
-
-        self.replay_task = []
-        self.task_progress = 0
-        self.task_date = None
-        self.progress = Progress(tasks=1, **kwargs)
-
-    def load(self, data):
-        if isinstance(data, dict):
-            self.replay_task.extend(list(data.values()))
-        else:
-            self.replay_task.extend(data)
-
-    def reset(self):
-        self.replay_task.clear()
-        self.task_progress = 0
-        self.task_date = None
-        self.progress.reset()
-
-    def next_task(self):
-        if self.task_progress < len(self.replay_task):
-            market_data = self.replay_task[self.task_progress]
-            market_time = market_data.market_time
-
-            if isinstance(market_time, datetime.datetime):
-                market_date = market_time.date()
-            else:
-                market_date = market_time
-
-            if market_date != self.task_date:
-                if callable(self.eod) and self.task_date:
-                    self.eod(self.task_date)
-
-                self.task_date = market_date
-                self.progress.prompt = f'Replay {market_date:%Y-%m-%d}:'
-
-                if callable(self.bod):
-                    self.bod(market_date)
-
-            self.progress.done_tasks = self.task_progress / len(self.replay_task)
-
-            if (not self.progress.tick_size) or self.progress.progress >= self.progress.tick_size + self.progress.last_output:
-                self.progress.output()
-
-            self.task_progress += 1
-        else:
-            raise StopIteration()
-
-        return market_data
-
-    def __next__(self):
-        try:
-            return self.next_task()
-        except StopIteration:
-            if not self.progress.is_done:
-                self.progress.done_tasks = 1
-                self.progress.output()
-
-            self.reset()
-            raise StopIteration()
-
-    def __iter__(self):
-        return self
-
-
-class ProgressiveReplay(Replay):
-    """
-    progressively loading and replaying market data
-
-    requires arguments
-    loader: a data loading function. Expect loader = Callable(market_date: datetime.date, ticker: str, dtype: str| type) -> dict[any, MarketData]
-    start_date & end_date: the given replay period
-    or calendar: the given replay calendar.
-
-    accepts kwargs:
-    ticker / tickers: the given symbols to replay, expect a str| list[str]
-    dtype / dtypes: the given dtype(s) of symbol to replay, expect a str | type, list[str | type]. default = all, which is (TradeData, TickData, OrderBook)
-    subscription / subscribe: the given ticker-dtype pair to replay, expect a list[dict[str, str | type]]
-    """
-
-    def __init__(
-            self,
-            loader,
-            **kwargs
-    ):
-        self.loader = loader
-        self.start_date: datetime.date | None = kwargs.pop('start_date', None)
-        self.end_date: datetime.date | None = kwargs.pop('end_date', None)
-        self.calendar: list[datetime.date] | None = kwargs.pop('calendar', None)
-
-        self.eod = kwargs.pop('eod', None)
-        self.bod = kwargs.pop('bod', None)
-
-        self.replay_subscription = {}
-        self.replay_calendar = []
-        self.replay_task = []
-
-        self.date_progress = 0
-        self.task_progress = 0
-        self.progress = Progress(tasks=1, **kwargs)
-
-        tickers: list[str] = kwargs.pop('ticker', kwargs.pop('tickers', []))
-        dtypes: list[str | type] = kwargs.pop('dtype', kwargs.pop('dtypes', [TradeData, TransactionData, OrderBook, TickData]))
-
-        if not all([arg_name in inspect.getfullargspec(loader).args for arg_name in ['market_date', 'ticker', 'dtype']]):
-            raise TypeError('loader function has 3 requires args, market_date, ticker and dtype.')
-
-        if isinstance(tickers, str):
-            tickers = [tickers]
-        elif isinstance(tickers, Iterable):
-            tickers = list(tickers)
-        else:
-            raise TypeError(f'Invalid ticker {tickers}, expect str or list[str]')
-
-        if isinstance(dtypes, str) or inspect.isclass(dtypes):
-            dtypes = [dtypes]
-        elif isinstance(dtypes, Iterable):
-            dtypes = list(dtypes)
-        else:
-            raise TypeError(f'Invalid dtype {dtypes}, expect str or list[str]')
-
-        for ticker in tickers:
-            for dtype in dtypes:
-                self.add_subscription(ticker=ticker, dtype=dtype)
-
-        subscription = kwargs.pop('subscription', kwargs.pop('subscribe', []))
-
-        if isinstance(subscription, dict):
-            subscription = [subscription]
-
-        for sub in subscription:
-            self.add_subscription(**sub)
-
-        self.reset()
-
-    def add_subscription(self, ticker: str, dtype: type | str):
-        if isinstance(dtype, str):
-            pass
-        elif inspect.isclass(dtype):
-            dtype = dtype.__name__
-        else:
-            raise ValueError(f'Invalid dtype {dtype}, expect str or class.')
-
-        topic = f'{ticker}.{dtype}'
-        self.replay_subscription[topic] = (ticker, dtype)
-
-    def remove_subscription(self, ticker: str, dtype: type | str):
-        if isinstance(dtype, str):
-            pass
-        else:
-            dtype = dtype.__name__
-
-        topic = f'{ticker}.{dtype}'
-        self.replay_subscription.pop(topic, None)
-
-    def reset(self):
-        if self.calendar is None:
-            self.replay_calendar = [self.start_date + datetime.timedelta(days=i) for i in range((self.end_date - self.start_date).days + 1)]
-        else:
-            self.replay_calendar = self.calendar
-
-        self.task_progress = 0
-        self.date_progress = sum([1 for _ in self.replay_calendar if _ < self.start_date])
-        self.progress.reset()
-
-        if self.date_progress:
-            self.progress.done_tasks = self.date_progress / len(self.replay_calendar)
-
-    def next_trade_day(self):
-        if self.date_progress < len(self.replay_calendar):
-            market_date = self.replay_calendar[self.date_progress]
-            self.progress.prompt = f'Replay {market_date:%Y-%m-%d} ({self.date_progress + 1} / {len(self.replay_calendar)}):'
-            for topic in self.replay_subscription:
-                ticker, dtype = self.replay_subscription[topic]
-                LOGGER.info(f'{self} loading {market_date} {ticker} {dtype}')
-                data = self.loader(market_date=market_date, ticker=ticker, dtype=dtype)
-
-                if isinstance(data, dict):
-                    self.replay_task.extend(list(data.values()))
-                elif isinstance(data, (list, tuple)):
-                    self.replay_task.extend(data)
-
-            self.date_progress += 1
-        else:
-            raise StopIteration()
-
-        self.replay_task.sort(key=lambda x: x.market_time)
-
-    def next_task(self):
-        if self.task_progress < len(self.replay_task):
-            data = self.replay_task[self.task_progress]
-            self.task_progress += 1
-        else:
-            if self.eod is not None and self.date_progress and (self.date_progress >= len(self.replay_calendar) or self.replay_calendar[self.date_progress] > self.start_date):
-                self.eod(market_date=self.replay_calendar[self.date_progress - 1], replay=self)
-
-            self.replay_task.clear()
-            self.task_progress = 0
-
-            if self.bod is not None and self.date_progress < len(self.replay_calendar):
-                self.bod(market_date=self.replay_calendar[self.date_progress], replay=self)
-
-            self.next_trade_day()
-
-            data = self.next_task()
-
-        if self.replay_task and self.replay_calendar:
-            current_progress = (self.date_progress - 1 + (self.task_progress / len(self.replay_task))) / len(self.replay_calendar)
-            self.progress.done_tasks = current_progress
-        else:
-            self.progress.done_tasks = 1
-
-        if (not self.progress.tick_size) \
-                or self.progress.progress >= self.progress.tick_size + self.progress.last_output \
-                or self.progress.is_done:
-            self.progress.output()
-
-        return data
-
-    def __next__(self):
-        try:
-            return self.next_task()
-        except StopIteration:
-            if not self.progress.is_done:
-                self.progress.done_tasks = 1
-                self.progress.output()
-
-            self.reset()
-            raise StopIteration()
-
-    def __iter__(self):
-        self.reset()
-        return self
-
-    def __repr__(self):
-        return f'{self.__class__.__name__}{{id={id(self)}, from={self.start_date}, to={self.end_date}}}'
+import abc
+import datetime
+import inspect
+from typing import Iterable
+
+from . import LOGGER
+from ..base import Progress, TickData, TransactionData, TradeData, OrderBook
+
+LOGGER = LOGGER.getChild('Replay')
+
+
+class Replay(object, metaclass=abc.ABCMeta):
+    @abc.abstractmethod
+    def __next__(self): ...
+
+    @abc.abstractmethod
+    def __iter__(self): ...
+
+
+class SimpleReplay(Replay):
+    def __init__(self, **kwargs):
+        self.eod = kwargs.pop('eod', None)
+        self.bod = kwargs.pop('bod', None)
+
+        self.replay_task = []
+        self.task_progress = 0
+        self.task_date = None
+        self.progress = Progress(tasks=1, **kwargs)
+
+    def load(self, data):
+        if isinstance(data, dict):
+            self.replay_task.extend(list(data.values()))
+        else:
+            self.replay_task.extend(data)
+
+    def reset(self):
+        self.replay_task.clear()
+        self.task_progress = 0
+        self.task_date = None
+        self.progress.reset()
+
+    def next_task(self):
+        if self.task_progress < len(self.replay_task):
+            market_data = self.replay_task[self.task_progress]
+            market_time = market_data.market_time
+
+            if isinstance(market_time, datetime.datetime):
+                market_date = market_time.date()
+            else:
+                market_date = market_time
+
+            if market_date != self.task_date:
+                if callable(self.eod) and self.task_date:
+                    self.eod(self.task_date)
+
+                self.task_date = market_date
+                self.progress.prompt = f'Replay {market_date:%Y-%m-%d}:'
+
+                if callable(self.bod):
+                    self.bod(market_date)
+
+            self.progress.done_tasks = self.task_progress / len(self.replay_task)
+
+            if (not self.progress.tick_size) or self.progress.progress >= self.progress.tick_size + self.progress.last_output:
+                self.progress.output()
+
+            self.task_progress += 1
+        else:
+            raise StopIteration()
+
+        return market_data
+
+    def __next__(self):
+        try:
+            return self.next_task()
+        except StopIteration:
+            if not self.progress.is_done:
+                self.progress.done_tasks = 1
+                self.progress.output()
+
+            self.reset()
+            raise StopIteration()
+
+    def __iter__(self):
+        return self
+
+
+class ProgressiveReplay(Replay):
+    """
+    progressively loading and replaying market data
+
+    requires arguments
+    loader: a data loading function. Expect loader = Callable(market_date: datetime.date, ticker: str, dtype: str| type) -> dict[any, MarketData]
+    start_date & end_date: the given replay period
+    or calendar: the given replay calendar.
+
+    accepts kwargs:
+    ticker / tickers: the given symbols to replay, expect a str| list[str]
+    dtype / dtypes: the given dtype(s) of symbol to replay, expect a str | type, list[str | type]. default = all, which is (TradeData, TickData, OrderBook)
+    subscription / subscribe: the given ticker-dtype pair to replay, expect a list[dict[str, str | type]]
+    """
+
+    def __init__(
+            self,
+            loader,
+            **kwargs
+    ):
+        self.loader = loader
+        self.start_date: datetime.date | None = kwargs.pop('start_date', None)
+        self.end_date: datetime.date | None = kwargs.pop('end_date', None)
+        self.calendar: list[datetime.date] | None = kwargs.pop('calendar', None)
+
+        self.eod = kwargs.pop('eod', None)
+        self.bod = kwargs.pop('bod', None)
+
+        self.replay_subscription = {}
+        self.replay_calendar = []
+        self.replay_task = []
+
+        self.date_progress = 0
+        self.task_progress = 0
+        self.progress = Progress(tasks=1, **kwargs)
+
+        tickers: list[str] = kwargs.pop('ticker', kwargs.pop('tickers', []))
+        dtypes: list[str | type] = kwargs.pop('dtype', kwargs.pop('dtypes', [TradeData, TransactionData, OrderBook, TickData]))
+
+        if not all([arg_name in inspect.getfullargspec(loader).args for arg_name in ['market_date', 'ticker', 'dtype']]):
+            raise TypeError('loader function has 3 requires args, market_date, ticker and dtype.')
+
+        if isinstance(tickers, str):
+            tickers = [tickers]
+        elif isinstance(tickers, Iterable):
+            tickers = list(tickers)
+        else:
+            raise TypeError(f'Invalid ticker {tickers}, expect str or list[str]')
+
+        if isinstance(dtypes, str) or inspect.isclass(dtypes):
+            dtypes = [dtypes]
+        elif isinstance(dtypes, Iterable):
+            dtypes = list(dtypes)
+        else:
+            raise TypeError(f'Invalid dtype {dtypes}, expect str or list[str]')
+
+        for ticker in tickers:
+            for dtype in dtypes:
+                self.add_subscription(ticker=ticker, dtype=dtype)
+
+        subscription = kwargs.pop('subscription', kwargs.pop('subscribe', []))
+
+        if isinstance(subscription, dict):
+            subscription = [subscription]
+
+        for sub in subscription:
+            self.add_subscription(**sub)
+
+        self.reset()
+
+    def add_subscription(self, ticker: str, dtype: type | str):
+        if isinstance(dtype, str):
+            pass
+        elif inspect.isclass(dtype):
+            dtype = dtype.__name__
+        else:
+            raise ValueError(f'Invalid dtype {dtype}, expect str or class.')
+
+        topic = f'{ticker}.{dtype}'
+        self.replay_subscription[topic] = (ticker, dtype)
+
+    def remove_subscription(self, ticker: str, dtype: type | str):
+        if isinstance(dtype, str):
+            pass
+        else:
+            dtype = dtype.__name__
+
+        topic = f'{ticker}.{dtype}'
+        self.replay_subscription.pop(topic, None)
+
+    def reset(self):
+        if self.calendar is None:
+            self.replay_calendar = [self.start_date + datetime.timedelta(days=i) for i in range((self.end_date - self.start_date).days + 1)]
+        else:
+            self.replay_calendar = self.calendar
+
+        self.task_progress = 0
+        self.date_progress = sum([1 for _ in self.replay_calendar if _ < self.start_date])
+        self.progress.reset()
+
+        if self.date_progress:
+            self.progress.done_tasks = self.date_progress / len(self.replay_calendar)
+
+    def next_trade_day(self):
+        if self.date_progress < len(self.replay_calendar):
+            market_date = self.replay_calendar[self.date_progress]
+            self.progress.prompt = f'Replay {market_date:%Y-%m-%d} ({self.date_progress + 1} / {len(self.replay_calendar)}):'
+            for topic in self.replay_subscription:
+                ticker, dtype = self.replay_subscription[topic]
+                LOGGER.info(f'{self} loading {market_date} {ticker} {dtype}')
+                data = self.loader(market_date=market_date, ticker=ticker, dtype=dtype)
+
+                if isinstance(data, dict):
+                    self.replay_task.extend(list(data.values()))
+                elif isinstance(data, (list, tuple)):
+                    self.replay_task.extend(data)
+
+            self.date_progress += 1
+        else:
+            raise StopIteration()
+
+        self.replay_task.sort(key=lambda x: x.market_time)
+
+    def next_task(self):
+        if self.task_progress < len(self.replay_task):
+            data = self.replay_task[self.task_progress]
+            self.task_progress += 1
+        else:
+            if self.eod is not None and self.date_progress and (self.date_progress >= len(self.replay_calendar) or self.replay_calendar[self.date_progress] > self.start_date):
+                self.eod(market_date=self.replay_calendar[self.date_progress - 1], replay=self)
+
+            self.replay_task.clear()
+            self.task_progress = 0
+
+            if self.bod is not None and self.date_progress < len(self.replay_calendar):
+                self.bod(market_date=self.replay_calendar[self.date_progress], replay=self)
+
+            self.next_trade_day()
+
+            data = self.next_task()
+
+        if self.replay_task and self.replay_calendar:
+            current_progress = (self.date_progress - 1 + (self.task_progress / len(self.replay_task))) / len(self.replay_calendar)
+            self.progress.done_tasks = current_progress
+        else:
+            self.progress.done_tasks = 1
+
+        if (not self.progress.tick_size) \
+                or self.progress.progress >= self.progress.tick_size + self.progress.last_output \
+                or self.progress.is_done:
+            self.progress.output()
+
+        return data
+
+    def __next__(self):
+        try:
+            return self.next_task()
+        except StopIteration:
+            if not self.progress.is_done:
+                self.progress.done_tasks = 1
+                self.progress.output()
+
+            self.reset()
+            raise StopIteration()
+
+    def __iter__(self):
+        self.reset()
+        return self
+
+    def __repr__(self):
+        return f'{self.__class__.__name__}{{id={id(self)}, from={self.start_date}, to={self.end_date}}}'