PyAlgoEngine 0.5.4.post8__tar.gz → 0.5.4.post10__tar.gz

{pyalgoengine-0.5.4.post8 → pyalgoengine-0.5.4.post10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post8
+Version: 0.5.4.post10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post8 → pyalgoengine-0.5.4.post10}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.5.4.post8
+Version: 0.5.4.post10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.5.4.post8 → pyalgoengine-0.5.4.post10}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.5.4.post8"
+__version__ = "0.5.4.post10"
 
 import logging
 import os

{pyalgoengine-0.5.4.post8 → pyalgoengine-0.5.4.post10}/algo_engine/base/market_utils.py

@@ -476,6 +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,
@@ -1034,6 +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,
@@ -1048,6 +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
 
@@ -1060,16 +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.post8 → 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.post8 → 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)