PyAlgoEngine 0.5.4.post7__tar.gz → 0.5.4.post10__tar.gz

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post7
+Version: 0.5.4.post10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post7
+Version: 0.5.4.post10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.5.4.post7"
+__version__ = "0.5.4.post10"
 
 import logging
 import os

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/algo_engine/base/market_utils.py

@@ -11,6 +11,7 @@ from ctypes import c_ulong, c_double, c_wchar, c_int, c_longlong
 from multiprocessing import RawValue, RawArray
 from typing import overload, Literal
 
+import ciso8601
 import numpy as np
 
 from . import LOGGER, PROFILE
@@ -475,6 +476,22 @@ class OrderBook(MarketData):
             return [entry[1] for entry in self._book]
 
     def __init__(self, *, ticker: str, timestamp: float, bid: list[list[float | int]] = None, ask: list[list[float | int]] = None, **kwargs):
+        """
+            Initialize an OrderBook instance with market data.
+
+            Args:
+                ticker (str): The ticker symbol of the financial instrument.
+                timestamp (float): The timestamp of the market data.
+                bid (list[list[float | int]], optional): A list of bid data, where each sublist contains price, volume, and optionally, order details. Defaults to None.
+                ask (list[list[float | int]], optional): A list of ask data.
+                **kwargs: Additional key-value pairs for parsing extra data fields.
+
+            Attributes:
+                bid (OrderBook.Book): An instance of the Book class representing the bid side of the order book.
+                ask (OrderBook.Book): An instance of the Book class representing the ask side of the order book.
+
+            The `OrderBook` class extends `MarketData` and represents an order book with bids and asks. The `__init__` method initializes the order book with the provided bid and ask data and parses any additional keyword arguments to populate other attributes.
+        """
         super().__init__(ticker=ticker, timestamp=timestamp)
         self.update(
             bid=[] if bid is None else bid,
@@ -889,7 +906,7 @@ class DailyBar(BarData):
     def __init__(
             self, *,
             ticker: str,
-            market_date: datetime.date,  # The market date of the bar, if with 1D data, or the END date of the bar.
+            market_date: datetime.date | str,  # The market date of the bar, if with 1D data, or the END date of the bar.
             timestamp: float = None,
             start_date: datetime.date = None,
             bar_span: datetime.timedelta | int = None,  # expect to be a timedelta for several days, or the number of days
@@ -902,6 +919,9 @@ class DailyBar(BarData):
             trade_count: int = 0,
             **kwargs
     ):
+        if isinstance(market_date, str):
+            market_date = datetime.date.fromisoformat(market_date)
+
         if bar_span is None and start_date is None:
             raise ValueError('Must assign ether datetime.date or bar_span or both.')
         elif start_date is None:
@@ -941,6 +961,54 @@ class DailyBar(BarData):
     def __repr__(self):
         return f'<{self.__class__.__name__}>([{self.market_time:%Y-%m-%d}] {self.ticker}, open={self.open_price}, close={self.close_price}, high={self.high_price}, low={self.low_price})'
 
+    def to_json(self, fmt='str', **kwargs) -> str | dict:
+        data_dict = super().to_json(fmt='dict', **kwargs)
+
+        data_dict['market_date'] = self.market_date.isoformat()
+
+        if fmt == 'dict':
+            return data_dict
+        elif fmt == 'str':
+            return json.dumps(data_dict, **kwargs)
+        else:
+            raise ValueError(f'Invalid format {fmt}, except "dict" or "str".')
+
+    def to_list(self) -> list[float | int | str | bool]:
+        return [self.__class__.__name__,
+                self.ticker,
+                self.market_date.isoformat(),
+                self.timestamp,
+                self.high_price,
+                self.low_price,
+                self.open_price,
+                self.close_price,
+                self['bar_span'],
+                self.volume,
+                self.notional,
+                self.trade_count]
+
+    @classmethod
+    def from_list(cls, data_list: list[float | int | str | bool]) -> BarData:
+        (dtype, ticker, market_date, timestamp, high_price, low_price, open_price, close_price,
+         bar_span, volume, notional, trade_count) = data_list
+
+        if dtype != cls.__name__:
+            raise TypeError(f'dtype mismatch, expect {cls.__name__}, got {dtype}.')
+
+        return cls(
+            ticker=ticker,
+            market_date=market_date,
+            timestamp=timestamp,
+            high_price=high_price,
+            low_price=low_price,
+            open_price=open_price,
+            close_price=close_price,
+            bar_span=datetime.timedelta(bar_span) if bar_span else None,
+            volume=volume,
+            notional=notional,
+            trade_count=trade_count
+        )
+
     @property
     def bar_span(self) -> datetime.timedelta:
         return datetime.timedelta(days=self['bar_span'])
@@ -982,6 +1050,8 @@ class TickData(MarketData):
             ask_price: float = None,
             ask_volume: float = None,
             order_book: OrderBook = None,
+            bid: list[list[float | int]] = None,
+            ask: list[list[float | int]] = None,
             total_traded_volume: float = 0.,
             total_traded_notional: float = 0.,
             total_trade_count: int = 0,
@@ -996,6 +1066,23 @@ class TickData(MarketData):
             total_trade_count=total_trade_count,
         )
 
+        if order_book is not None:
+            self['order_book'] = {'bid': order_book['bid'], 'ask': order_book['ask']}
+        elif bid and ask:
+            self['order_book'] = {
+                'bid': sorted(bid, key=lambda _: _[0], reverse=True),
+                'ask': sorted(ask, key=lambda _: _[0], reverse=False)
+            }
+
+            if bid_price is None:
+                bid_price, _, *_ = bid[0]
+            if bid_volume is None:
+                _, bid_volume, *_ = bid[0]
+            if ask_price is None:
+                ask_price, _, *_ = ask[0]
+            if ask_volume is None:
+                _, ask_volume, *_ = ask[0]
+
         if bid_price is not None and math.isfinite(bid_price):
             self['bid_price'] = bid_price
 
@@ -1008,16 +1095,10 @@ class TickData(MarketData):
         if ask_volume is not None and math.isfinite(ask_volume):
             self['ask_volume'] = ask_volume
 
-        if order_book is not None:
-            self['order_book'] = order_book
-
-        if kwargs:
-            self['additional'] = dict(kwargs)
-
     @property
     def level_2(self) -> OrderBook | None:
         if 'order_book' in self:
-            return OrderBook(**self['order_book'])
+            return OrderBook(ticker=self.ticker, timestamp=self.timestamp, **self['order_book'])
         else:
             return None
 

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/algo_engine/profile/__init__.py

@@ -18,6 +18,9 @@ class Profile(object, metaclass=abc.ABCMeta):
 
         self.time_zone = None
 
+    def __repr__(self):
+        return f'<Profile {self.profile_id}>({id(self)})'
+
     def override_profile(self, profile: Self = None) -> Self:
         if profile is None:
             profile = PROFILE

{pyalgoengine-0.5.4.post7 → pyalgoengine-0.5.4.post10}/algo_engine/utils/data_utils.py

@@ -11,12 +11,12 @@ from ..profile import Profile, PROFILE
 
 
 @overload
-def ts_indices(market_date, interval, session_start, session_end, session_break, time_zone, ts_mode, ts_format='timestamp') -> list[float]:
+def ts_indices(market_date, interval, session_start, session_end, session_break, time_zone, ts_mode: Literal['start', 'end', 'both'], ts_format='timestamp') -> list[float]:
     ...
 
 
 @overload
-def ts_indices(market_date, interval, session_start, session_end, session_break, time_zone, ts_mode, ts_format='datetime') -> list[datetime.datetime]:
+def ts_indices(market_date, interval, session_start, session_end, session_break, time_zone, ts_mode: Literal['start', 'end', 'both'], ts_format='datetime') -> list[datetime.datetime]:
     ...
 
 
@@ -158,7 +158,8 @@ def fake_data(
         session_start=session_start,
         session_end=session_end,
         session_break=session_break,
-        time_zone=time_zone
+        time_zone=time_zone,
+        ts_mode='end',
     )
 
     ttl_days = kwargs.get('ttl_days', 252)