PyAlgoEngine 0.5.4.post10__tar.gz → 0.7.4__tar.gz

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post10
+Version: 0.7.4
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post10
+Version: 0.7.4
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -23,7 +23,10 @@ algo_engine/backtest/sim_match.py
 algo_engine/base/__init__.py
 algo_engine/base/console_utils.py
 algo_engine/base/finance_decimal.py
+algo_engine/base/market_buffer.py
 algo_engine/base/market_utils.py
+algo_engine/base/market_utils_nt.py
+algo_engine/base/market_utils_posix.py
 algo_engine/base/technical_analysis.py
 algo_engine/base/telemetrics.py
 algo_engine/base/trade_utils.py

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.5.4.post10"
+__version__ = "0.7.4"
 
 import logging
 import os

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/algo_engine/apps/backtest/doc_server.py

@@ -71,18 +71,18 @@ class CandleStick(DocServer):
         self.theme = StickTheme(profile=self.profile) if self.theme is None else self.theme
         self.timestamp: float = 0.
         self.active_bar_data: CandleStick.ActiveBarData | None = None
-        self.data.update(
-            index=[],
-            market_time=[],
-            open_price=[],
-            high_price=[],
-            low_price=[],
-            close_price=[],
-            volume=[],
-            _max_price=[],
-            _min_price=[],
-            stick_color=[]
-        )
+        self._data = {
+            'index': [],
+            'market_time': [],
+            'open_price': [],
+            'cs.high_price': [],
+            'cs.low_price': [],
+            'close_price': [],
+            'volume': [],
+            '_max_price': [],
+            '_min_price': [],
+            'stick_color': []
+        }
 
     def ts_indices(self) -> list[float]:
         """generate integer indices
@@ -187,7 +187,7 @@ class CandleStick(DocServer):
 
             for doc_id in list(self.bokeh_documents):
                 doc = self.bokeh_documents[doc_id]
-                new_data = self.bokeh_data_queue[doc_id]
+                new_data = self.bokeh_data_pipe[doc_id]
 
                 self.pipe(sequence=new_data)
 
@@ -209,8 +209,8 @@ class CandleStick(DocServer):
         sequence['market_time'].append(datetime.datetime.fromtimestamp(self.active_bar_data['ts_start'], tz=self.profile.time_zone))
         sequence['open_price'].append(self.active_bar_data['open_price'])
         sequence['close_price'].append(self.active_bar_data['close_price'])
-        sequence['high_price'].append(self.active_bar_data['high_price'])
-        sequence['low_price'].append(self.active_bar_data['low_price'])
+        sequence['cs.high_price'].append(self.active_bar_data['high_price'])
+        sequence['cs.low_price'].append(self.active_bar_data['low_price'])
         sequence['volume'].append(self.active_bar_data['volume'])
         sequence['_max_price'].append(max(self.active_bar_data['open_price'], self.active_bar_data['close_price']))
         sequence['_min_price'].append(min(self.active_bar_data['open_price'], self.active_bar_data['close_price']))
@@ -224,7 +224,7 @@ class CandleStick(DocServer):
         from bokeh.plotting import figure, gridplot
 
         doc = self.bokeh_documents[doc_id]
-        source = self.bokeh_source[doc_id]
+        source = self.bokeh_data_source[doc_id]
 
         tools = [
             PanTool(dimensions="width", syncable=False),
@@ -242,8 +242,8 @@ class CandleStick(DocServer):
             ("market_time", "@market_time{%H:%M:%S}"),
             ("close_price", "@close_price"),
             ("open_price", "@open_price"),
-            ("high_price", "@high_price"),
-            ("low_price", "@low_price"),
+            ("high_price", "@{cs.high_price}"),
+            ("low_price", "@{cs.low_price}"),
         ]
 
         plot = figure(
@@ -261,8 +261,8 @@ class CandleStick(DocServer):
             name='candlestick.shade',
             x0='index',
             x1='index',
-            y0='low_price',
-            y1='high_price',
+            y0='cs.low_price',
+            y1='cs.high_price',
             line_width=1,
             color="black",
             alpha=0.8,
@@ -325,3 +325,7 @@ class CandleStick(DocServer):
         df = pd.DataFrame(self.data).set_index(keys='market_time')
         df = df[['open_price', 'high_price', 'low_price', 'close_price', 'volume']]
         df.to_csv(filename)
+
+    @property
+    def data(self) -> dict[str, list]:
+        return self._data

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/algo_engine/apps/bokeh_server.py

@@ -24,9 +24,10 @@ class DocServer(object, metaclass=abc.ABCMeta):
         self.lock = Lock() if lock is None else lock
 
         self.bokeh_documents: dict[int, Document] = {}
-        self.bokeh_source: dict[int, ColumnDataSource] = {}
-        self.bokeh_data_queue: dict[int, dict[str, list]] = {}  # this is a dict of deepcopy of self.data, to update each documents
-        self.data: dict[str, list] = dict()
+        # self.bokeh_source: dict[int, ColumnDataSource] = {}
+        self.bokeh_data_pipe: dict[int, dict[str, list[...]]] = {}
+        self.bokeh_data_patch: dict[int, dict[str, list[tuple[int, ...]]]] = {}
+        self.bokeh_data_source: dict[int, ColumnDataSource] = {}
 
     def __str__(self):
         return f'<{self.__class__.__name__}>(id={id(self.__class__)})'
@@ -63,15 +64,31 @@ class DocServer(object, metaclass=abc.ABCMeta):
                 self.stream(doc_id=doc_id)
             return
 
-        doc = self.bokeh_documents[doc_id]
-        new_data = self.bokeh_data_queue[doc_id]
-        source = self.bokeh_source[doc_id]
+        # doc = self.bokeh_documents[doc_id]
+        data_pipe = self.bokeh_data_pipe[doc_id]
+        source = self.bokeh_data_source[doc_id]
 
-        source.stream(new_data=deepcopy(new_data), rollover=self.max_size)
-        for key, seq in new_data.items():
+        source.stream(new_data=deepcopy(data_pipe), rollover=self.max_size)
+        for key, seq in data_pipe.items():
             seq.clear()
 
-        LOGGER.debug(f'{self.__class__} stream updated!')
+        LOGGER.debug(f'{self.__class__} <stream> updated!')
+
+    def patch(self, doc_id: int = None):
+        if doc_id is None:
+            for doc_id in list(self.bokeh_documents):
+                self.patch(doc_id=doc_id)
+            return
+
+        # doc = self.bokeh_documents[doc_id]
+        data_patch = self.bokeh_data_patch[doc_id]
+        source = self.bokeh_data_source[doc_id]
+
+        source.patch(patches=deepcopy(data_patch))
+        for key, seq in data_patch.items():
+            seq.clear()
+
+        LOGGER.debug(f'{self.__class__} <patch> updated!')
 
     def register_document(self, doc):
         from bokeh.models import ColumnDataSource
@@ -80,14 +97,17 @@ class DocServer(object, metaclass=abc.ABCMeta):
 
         doc_id = uuid.uuid4().int
 
+        data = deepcopy(self.data)
         self.bokeh_documents[doc_id] = doc
-        self.bokeh_data_queue[doc_id] = {key: [] for key in self.data}
-        self.bokeh_source[doc_id] = ColumnDataSource(data=deepcopy(self.data))
+        self.bokeh_data_pipe[doc_id] = {key: [] for key in data}
+        self.bokeh_data_patch[doc_id] = {key: [] for key in data}
+        self.bokeh_data_source[doc_id] = ColumnDataSource(data=data)
 
         self.layout(doc_id=doc_id)
 
         if self.update_interval:
             doc.add_periodic_callback(callback=partial(self.stream, doc_id=doc_id), period_milliseconds=int(self.update_interval * 1000))
+            doc.add_periodic_callback(callback=partial(self.patch, doc_id=doc_id), period_milliseconds=int(self.update_interval * 1000))
 
         doc.on_session_destroyed(partial(self._unregister_document, doc_id=doc_id))
 
@@ -99,10 +119,19 @@ class DocServer(object, metaclass=abc.ABCMeta):
         LOGGER.info(f'Session {doc_id} disconnected!')
 
         self.bokeh_documents.pop(doc_id)
-        self.bokeh_source.pop(doc_id)
-        self.bokeh_data_queue.pop(doc_id)
+        self.bokeh_data_pipe.pop(doc_id)
+        self.bokeh_data_patch.pop(doc_id)
+        self.bokeh_data_source.pop(doc_id)
         self.lock.release()
 
+    @property
+    @abc.abstractmethod
+    def data(self) -> dict[str, list]:
+        """
+        the data used to provide initial values for new bokeh.ColumnDataSource.
+        """
+        ...
+
 
 class DocManager(object):
     def __init__(self, host: str = 'localhost', port: int = 21543, **kwargs):
@@ -136,13 +165,27 @@ class DocManager(object):
 
     def serve_bokeh(self):
         from bokeh.server.server import Server
+        import psutil
+        import socket
+
+        # Get all network interfaces and their IP addresses
+        addrs = psutil.net_if_addrs()
+        websocket_origin = [
+            f"{self.host}:{self.port}"
+        ]
+
+        for interface, addr_info in addrs.items():
+            for addr in addr_info:
+                if addr.family == socket.AF_INET:  # Filter only IPv4 addresses
+                    LOGGER.info(f"Binding network interface: {interface}, IP Address: {addr.address}")
+                    websocket_origin.append(f"{addr.address}:{self.port}")
 
         server = Server(
             applications=self.doc_server,
             address=self.bokeh_host,
             port=self.bokeh_port,
             check_unused_sessions_milliseconds=(self.bokeh_check_unused_sessions * 1000),
-            allow_websocket_origin=[f"{self.bokeh_host}:{self.bokeh_port}", f"{self.host}:{self.port}"],
+            allow_websocket_origin=[f"{self.bokeh_host}:{self.bokeh_port}"] + websocket_origin,
             # num_procs=1
         )
 

{pyalgoengine-0.5.4.post10 → pyalgoengine-0.7.4}/algo_engine/backtest/replay.py

@@ -1,6 +1,7 @@
 import abc
 import datetime
 import inspect
+import operator
 from typing import Iterable
 
 from . import LOGGER
@@ -196,17 +197,17 @@ class ProgressiveReplay(Replay):
                 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)
 
+            LOGGER.info(f'{market_date} data loaded! {len(self.replay_task):,} entries.')
             self.date_progress += 1
         else:
             raise StopIteration()
 
-        self.replay_task.sort(key=lambda x: x.market_time)
+        self.replay_task.sort(key=operator.attrgetter('timestamp', 'ticker', '__class__.__name__'))
 
     def next_task(self):
         if self.task_progress < len(self.replay_task):
@@ -224,6 +225,8 @@ class ProgressiveReplay(Replay):
 
             self.next_trade_day()
 
+            #  the bod process should be moved here!
+
             data = self.next_task()
 
         if self.replay_task and self.replay_calendar:

pyalgoengine-0.7.4/algo_engine/base/__init__.py

@@ -0,0 +1,40 @@
+import logging
+import os
+
+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
+
+if os.name == 'nt':
+    from .market_utils_nt import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
+else:
+    from .market_utils_posix import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
+
+    # from .market_utils_posix import OrderType
+    # from .market_utils import TransactionSide, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData
+    # from .market_buffer import MarketDataPointer, MarketDataMemoryBuffer, OrderBookPointer, OrderBookBuffer, BarDataPointer, BarDataBuffer, TickDataPointer, TickDataBuffer, TransactionDataPointer, TransactionDataBuffer
+
+from .technical_analysis import TechnicalAnalysis
+from .trade_utils import OrderState, TradeInstruction, TradeReport
+from .console_utils import Progress, GetInput, GetArgs, count_ordinal, TerminalStyle, InteractiveShell, ShellTransfer
+
+__all__ = ['PROFILE',
+           'FinancialDecimal',
+           'TransactionSide', 'OrderType', 'MarketData', 'OrderBook', 'BarData', 'DailyBar', 'CandleStick', 'TickData', 'TransactionData', 'TradeData', 'OrderData', 'MarketDataBuffer', 'MarketDataRingBuffer',
+           # 'MarketDataMemoryBuffer', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
+           # 'MarketDataPointer', 'OrderBookPointer', 'BarDataPointer', 'TickDataPointer', 'TransactionDataPointer',
+           'TechnicalAnalysis',
+           'OrderState', 'TradeInstruction', 'TradeReport',
+           'Progress', 'GetInput', 'GetArgs', 'count_ordinal', 'TerminalStyle', 'InteractiveShell', 'ShellTransfer']