PyAlgoEngine 0.5.3__tar.gz → 0.5.4__tar.gz

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/PKG-INFO

@@ -1,20 +1,27 @@
-Metadata-Version: 2.1
-Name: PyAlgoEngine
-Version: 0.5.3
-Summary: Basic algo engine
-Home-page: https://github.com/BolunHan/PyAlgoEngine
-Author: Bolun.Han
-Author-email: Bolun.Han@outlook.com
-Classifier: Programming Language :: Python :: 3.8
-Classifier: Programming Language :: Python :: 3.9
-Classifier: Programming Language :: Python :: 3.10
-Classifier: Programming Language :: Python :: 3.11
-Classifier: Programming Language :: Python :: 3.12
-Classifier: Operating System :: OS Independent
-Requires-Python: >=3.1
-Description-Content-Type: text/markdown
-Provides-Extra: WebApps
-License-File: LICENSE
-
-# PyAlgoEngine
-python algo trading engine
+Metadata-Version: 2.1
+Name: PyAlgoEngine
+Version: 0.5.4
+Summary: Basic algo engine
+Home-page: https://github.com/BolunHan/PyAlgoEngine
+Author: Bolun.Han
+Author-email: Bolun.Han@outlook.com
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+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: PyEventEngine
+Provides-Extra: webapps
+Requires-Dist: flask; extra == "webapps"
+Requires-Dist: waitress; extra == "webapps"
+Requires-Dist: bokeh; extra == "webapps"
+
+# PyAlgoEngine
+python algo trading engine

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,20 +1,27 @@
-Metadata-Version: 2.1
-Name: PyAlgoEngine
-Version: 0.5.3
-Summary: Basic algo engine
-Home-page: https://github.com/BolunHan/PyAlgoEngine
-Author: Bolun.Han
-Author-email: Bolun.Han@outlook.com
-Classifier: Programming Language :: Python :: 3.8
-Classifier: Programming Language :: Python :: 3.9
-Classifier: Programming Language :: Python :: 3.10
-Classifier: Programming Language :: Python :: 3.11
-Classifier: Programming Language :: Python :: 3.12
-Classifier: Operating System :: OS Independent
-Requires-Python: >=3.1
-Description-Content-Type: text/markdown
-Provides-Extra: WebApps
-License-File: LICENSE
-
-# PyAlgoEngine
-python algo trading engine
+Metadata-Version: 2.1
+Name: PyAlgoEngine
+Version: 0.5.4
+Summary: Basic algo engine
+Home-page: https://github.com/BolunHan/PyAlgoEngine
+Author: Bolun.Han
+Author-email: Bolun.Han@outlook.com
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+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: PyEventEngine
+Provides-Extra: webapps
+Requires-Dist: flask; extra == "webapps"
+Requires-Dist: waitress; extra == "webapps"
+Requires-Dist: bokeh; extra == "webapps"
+
+# PyAlgoEngine
+python algo trading engine

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.5.3"
+__version__ = "0.5.4"
 
 import logging
 import os

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/algo_engine/backtest/metrics.py

@@ -13,16 +13,16 @@ class TradeMetrics(object):
         self.total_pnl = 0.
         self.total_cash_flow = 0.
 
-        self._current_pnl = 0.
-        self._current_cash_flow = 0.
-        self._current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
-        self._market_price = None
+        self.current_pnl = 0.
+        self.current_cash_flow = 0.
+        self.current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
+        self.market_price = None
 
     def update(self, market_price: float):
-        self._market_price = market_price
+        self.market_price = market_price
         self.total_pnl = self.exposure * market_price + self.total_cash_flow
-        self._current_pnl = self.exposure * market_price + self._current_cash_flow
-        self._current_trade_batch['pnl'] = self.exposure * market_price + self._current_trade_batch['cash_flow']
+        self.current_pnl = self.exposure * market_price + self.current_cash_flow
+        self.current_trade_batch['pnl'] = self.exposure * market_price + self.current_trade_batch['cash_flow']
 
     def add_trades(self, side: int, price: float, timestamp: float, volume: float = None, trade_id: int | str = None):
         assert side in {1, -1}, f"trade side must in {1, -1}, got {side}."
@@ -50,9 +50,9 @@ class TradeMetrics(object):
         self.exposure += volume * side
         self.total_cash_flow -= volume * side * price
         self.total_pnl = self.exposure * price + self.total_cash_flow
-        self._current_cash_flow -= volume * side * price
-        self._current_pnl = self.exposure * price + self._current_cash_flow
-        self._market_price = price
+        self.current_cash_flow -= volume * side * price
+        self.current_pnl = self.exposure * price + self.current_cash_flow
+        self.market_price = price
 
         self.trades[trade_id] = trade_log = dict(
             side=side,
@@ -60,22 +60,22 @@ class TradeMetrics(object):
             timestamp=timestamp,
             price=price,
             exposure=self.exposure,
-            cash_flow=self._current_cash_flow,
-            pnl=self._current_pnl
+            cash_flow=self.current_cash_flow,
+            pnl=self.current_pnl
         )
 
-        if 'init_side' not in self._current_trade_batch:
-            self._current_trade_batch['init_side'] = side
+        if 'init_side' not in self.current_trade_batch:
+            self.current_trade_batch['init_side'] = side
 
-        self._current_trade_batch['cash_flow'] -= volume * side * price
-        self._current_trade_batch['pnl'] = self.exposure * price + self._current_trade_batch['cash_flow']
-        self._current_trade_batch['turnover'] += abs(volume) * price
-        self._current_trade_batch['trades'].append(trade_log)
+        self.current_trade_batch['cash_flow'] -= volume * side * price
+        self.current_trade_batch['pnl'] = self.exposure * price + self.current_trade_batch['cash_flow']
+        self.current_trade_batch['turnover'] += abs(volume) * price
+        self.current_trade_batch['trades'].append(trade_log)
 
         if not self.exposure:
-            self.trade_batch.append(self._current_trade_batch)
-            self._current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
-            self._current_pnl = self._current_cash_flow = 0.
+            self.trade_batch.append(self.current_trade_batch)
+            self.current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
+            self.current_pnl = self.current_cash_flow = 0.
 
     def add_trades_batch(self, trade_logs: pd.DataFrame):
         for timestamp, row in trade_logs.iterrows():  # type: float, dict
@@ -92,10 +92,10 @@ class TradeMetrics(object):
         self.total_pnl = 0.
         self.total_cash_flow = 0.
 
-        self._current_pnl = 0.
-        self._current_cash_flow = 0.
-        self._current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
-        self._market_price = None
+        self.current_pnl = 0.
+        self.current_cash_flow = 0.
+        self.current_trade_batch = {'cash_flow': 0., 'pnl': 0., 'turnover': 0., 'trades': []}
+        self.market_price = None
 
     @property
     def summary(self):
@@ -121,11 +121,11 @@ class TradeMetrics(object):
                 info_dict['turnover'] += trade_batch['turnover']
 
         info_dict['win_rate'] = info_dict['win_count'] / info_dict['trade_count'] if info_dict['trade_count'] else 0.
-        info_dict['average_gain'] = info_dict['total_gain'] / info_dict['win_count'] / self._market_price if info_dict['win_count'] else 0.
-        info_dict['average_loss'] = info_dict['total_loss'] / info_dict['lose_count'] / self._market_price if info_dict['lose_count'] else 0.
+        info_dict['average_gain'] = info_dict['total_gain'] / info_dict['win_count'] / self.market_price if info_dict['win_count'] else 0.
+        info_dict['average_loss'] = info_dict['total_loss'] / info_dict['lose_count'] / self.market_price if info_dict['lose_count'] else 0.
         info_dict['gain_loss_ratio'] = -info_dict['average_gain'] / info_dict['average_loss'] if info_dict['average_loss'] else 1.
-        info_dict['long_avg_pnl'] = np.average([_['pnl'] for _ in long_trades]) / self._market_price if (long_trades := [_ for _ in self.trade_batch if _['init_side'] == 1]) else np.nan
-        info_dict['short_avg_pnl'] = np.average([_['pnl'] for _ in short_trades]) / self._market_price if (short_trades := [_ for _ in self.trade_batch if _['init_side'] == -1]) else np.nan
+        info_dict['long_avg_pnl'] = np.average([_['pnl'] for _ in long_trades]) / self.market_price if (long_trades := [_ for _ in self.trade_batch if _['init_side'] == 1]) else np.nan
+        info_dict['short_avg_pnl'] = np.average([_['pnl'] for _ in short_trades]) / self.market_price if (short_trades := [_ for _ in self.trade_batch if _['init_side'] == -1]) else np.nan
         info_dict['ttl_pnl.no_leverage'] = np.sum([trade_batch['pnl'] for trade_batch in self.trade_batch])
         info_dict['net_pnl.optimistic'] = info_dict['ttl_pnl.no_leverage'] - (0.00034 + 0.000023) / 2 * info_dict['turnover']
 

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/algo_engine/strategy/strategy_engine.py

@@ -35,7 +35,7 @@ class StrategyEngineTemplate(object, metaclass=abc.ABCMeta):
 
     @property
     def dma(self):
-        return self.position_tracker.dma.mds
+        return self.position_tracker.dma
 
     @property
     def risk_profile(self):

{PyAlgoEngine-0.5.3 → pyalgoengine-0.5.4}/setup.cfg

@@ -1,4 +1,4 @@
-[egg_info]
-tag_build = 
-tag_date = 0
-
+[egg_info]
+tag_build = 
+tag_date = 0
+