PyAlgoEngine 0.7.6.post8__tar.gz → 0.7.7a2__tar.gz

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.7.6.post8
+Version: 0.7.7a2
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: PyAlgoEngine
-Version: 0.7.6.post8
+Version: 0.7.7a2
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.7.6.post8"
+__version__ = "0.7.7.alpha2"
 
 import logging
 import os

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/algo_engine/apps/sim_input/client.py

@@ -1,7 +1,7 @@
 __package__ = 'algo_engine.apps.sim_input'
 
 import abc
-import threading
+from threading import Thread
 import time
 import tkinter
 from collections.abc import Callable, Iterable
@@ -63,53 +63,143 @@ class Action(object):
 
 
 class AutoWorkClient(object, metaclass=abc.ABCMeta):
-    def __init__(self, root=None):
+    def __init__(self, root=None, **kwargs):
         self.root = root if root is not None else tkinter.Tk()
-        self.root.title("Structured GUI Client")
-        self.root.geometry("600x500")
+        self.root.title(kwargs.get('title', "Structured GUI Client"))
+
+        self.actions: dict[int, list[Action]] = {}
+        self.layout = {}
 
         # State variables
         self.worker_thread = None
         self.running = False
 
-        # Create button
-        self.button = ttk.Button(root, text="Takeover Input", command=self.toggle_auto_work)
-        self.button.pack(pady=10)
-
-        # Create table
-        self.table = ttk.Treeview(
-            root,
-            columns=("Action", "Status", "Comments"),
-            show="tree headings",
-            height=20
-        )
-        self.table.heading("Action", text="Action")
-        self.table.heading("Status", text="Status")
-        self.table.heading("Comments", text="Comments")
-        self.table.pack(padx=10, pady=10, fill="both", expand=True)
+        self.render_layout()
 
-        self.actions: dict[int, list[Action]] = {}
+    def render_layout(self):
+        # No fixed geometry, letting it resize
+        # self.root.geometry("600x500")
+
+        # Grid(0, 0): Create button
+        button_takeover = self.layout['button_takeover'] = ttk.Button(self.root, text="Takeover Input", command=self.toggle_auto_work)
+        button_takeover.grid(row=0, column=0, columnspan=2, pady=10, sticky="ew")
+
+        # Grid(1, 0): Mock button
+        button_mock = self.layout['button_mock'] = ttk.Button(self.root, text="Mock Action", command=self.toggle_mock)
+        button_mock.grid(row=1, column=0, padx=10, pady=10, sticky="ew")
+
+        # Grid(1, 1): Dropdown for action selection
+        action_selected = self.layout['action_selected'] = tkinter.StringVar()
+        action_dropdown = self.layout['action_dropdown'] = ttk.Combobox(self.root, textvariable=action_selected, state="readonly")
+        action_dropdown.grid(row=1, column=1, padx=10, pady=10, sticky="ew")
+
+        # Grid(2, 0): Create table
+        action_table = self.layout['action_table'] = ttk.Treeview(self.root, columns=("Action", "Status", "Comments"), show="tree headings")
+        action_table.heading("Action", text="Action")
+        action_table.heading("Status", text="Status")
+        action_table.heading("Comments", text="Comments")
+        action_table.grid(row=2, column=0, columnspan=2, padx=10, pady=10, sticky="nsew")
+
+        # Make the window resize properly by configuring grid weights
+        self.root.grid_columnconfigure(0, weight=1, minsize=200)  # Adjust minsize for column 0
+        self.root.grid_columnconfigure(1, weight=1, minsize=200)  # Adjust minsize for column 1
+        self.root.grid_rowconfigure(2, weight=1)  # Make row 2 expand with the window
 
     @abc.abstractmethod
     def listen_signal(self) -> int:
         ...
 
     def register_action(self, action: Action, signal: int):
-        if signal in self.actions:
-            self.actions[signal].append(action)
-        else:
-            self.actions[signal] = [action]
+        self.actions.setdefault(signal, []).append(action)
+
+        # Update the dropdown with all registered actions.
+        all_actions = [f"Signal {signal} - {action.name}" for signal, actions in self.actions.items() for action in actions]
+        action_dropdown = self.layout['action_dropdown']
+        action_dropdown["values"] = all_actions
+
+    def mock_action(self, action: Action, timeout: float = 3.):
+        """Mock the execution of an action on a transparent test ground."""
+        self.root.iconify()
+
+        # Create a borderless, transparent test ground window
+        testground = tkinter.Toplevel(self.root)
+        # testground.overrideredirect(True)  # Remove all window borders and decorations
+
+        # Get screen dimensions and set the testground window to cover the entire screen
+        # screen_width = self.root.winfo_screenwidth()
+        # screen_height = self.root.winfo_screenheight()
+        # testground.geometry(f"{screen_width}x{screen_height}+0+0")
+
+        # Make the window semi-transparent and ensure it stays on top
+        testground.attributes("-alpha", 0.5)  # Set transparency to 50%
+        testground.attributes("-fullscreen", True)
+        testground.attributes("-topmost", True)  # Ensure it stays above other windows
+
+        # Force the window manager to render the window completely
+        testground.lift()  # Bring it to the front
+        testground.focus_force()  # Force focus to this window
+
+        # Add a label to display input history
+        input_history = tkinter.Listbox(testground, font=("Courier", 14))
+        input_history.pack(fill="both", expand=True, padx=20, pady=20)
+        input_history.insert("active", f"Mocking {action.name}")
+        testground.update_idletasks()
+
+        # Simulate action execution
+        for step in action.steps:
+            # Display the step name in the input history
+            input_history.insert("end", f"Executing Step: {step['name']}")
+            input_history.insert("end", f"Comments: {step.get('comments', 'No comments')}")
+            input_history.insert("end", "-" * 50)
+            input_history.see("end")
+            testground.update_idletasks()
+
+            # Simulate mouse and keyboard inputs
+            procedure = step['procedure']
+            args = step.get('args', [])
+            kwargs = step.get('kwargs', {})
+            try:
+                procedure(*args, **kwargs)
+            except Exception as e:
+                input_history.insert("end", f"Error: {str(e)}")
+                input_history.see("end")
+
+            # Simulate delay between steps
+
+        # Wait 3 seconds, then close the test ground and restore the client window
+        time.sleep(timeout)
+        testground.destroy()
 
     def toggle_auto_work(self):
         """Toggle the daemon thread to start or stop auto work."""
         if not self.running:
             self.running = True
-            self.button.config(text="Release Control")
-            self.worker_thread = threading.Thread(target=self.auto_work, daemon=True)
+            self.layout['button_takeover'].config(text="Release Control")
+            self.worker_thread = Thread(target=self.auto_work, daemon=True)
             self.worker_thread.start()
         else:
             self.running = False
-            self.button.config(text="Takeover Input")
+            self.layout['button_takeover'].config(text="Takeover Input")
+
+    def toggle_mock(self):
+        """Mock the action selected in the dropdown."""
+        selected_name = self.layout['action_selected'].get()
+        if not selected_name:
+            LOGGER.warning("No action selected to mock!")
+            return
+
+        selected_action = None
+        for signal, actions in self.actions.items():
+            for action in actions:
+                if f"Signal {signal} - {action.name}" == selected_name:
+                    selected_action = action
+                    break
+
+        if selected_action is None:
+            LOGGER.warning(f"Action '{selected_name}' not found!")
+            return
+
+        self.mock_action(action=selected_action)
 
     def auto_work(self):
         """Generate data for the table in a loop."""
@@ -150,19 +240,20 @@ class AutoWorkClient(object, metaclass=abc.ABCMeta):
 
     def update_table(self, actions: list[Action]):
         """Render the table based on the provided actions."""
-        self.table.delete(*self.table.get_children())  # Clear existing rows
+        action_table = self.layout['action_table']
+        action_table.delete(*action_table.get_children())  # Clear existing rows
 
         for action_idx, action in enumerate(actions):
             prefix = chr(0x250C)
             # Insert the parent row
-            parent_id = self.table.insert(
+            parent_id = action_table.insert(
                 "", "end", iid=action_idx, values=(f"{prefix} {action.name}", "Pending", "")
             )
 
             # Insert child rows for steps
             for step_idx, step in enumerate(action.steps):
                 prefix = f'{chr(0x251C) if step_idx < len(action.steps) - 1 else chr(0x2514)}{chr(0x2500)}'
-                self.table.insert(
+                action_table.insert(
                     parent_id,
                     "end",
                     iid=f"{action_idx}-{step_idx}",
@@ -171,7 +262,7 @@ class AutoWorkClient(object, metaclass=abc.ABCMeta):
                 )
 
             # Expand parent row by default
-            self.table.item(parent_id, open=True)
+            action_table.item(parent_id, open=True)
 
         # Auto-adjust column widths
         self.adjust_column_widths()
@@ -179,26 +270,27 @@ class AutoWorkClient(object, metaclass=abc.ABCMeta):
     def update_status(self, parent_id: int, child_id: int = None, status: str = "Pending"):
         """Update the status of the specified row."""
         row_id = f"{parent_id}" if child_id is None else f"{parent_id}-{child_id}"
-        values = self.table.item(row_id, "values")
+        action_table = self.layout['action_table']
+        values = action_table.item(row_id, "values")
 
         # Select the row if the status is "Executing"
         match status:
             case "Executing":
-                self.table.selection_set(row_id)
-                self.table.see(row_id)  # Ensure the row is visible
+                action_table.selection_set(row_id)
+                action_table.see(row_id)  # Ensure the row is visible
 
-        self.table.item(row_id, values=(values[0], status, values[2]))
+        action_table.item(row_id, values=(values[0], status, values[2]))
 
     def adjust_column_widths(self):
         """Automatically adjust column widths based on content."""
+        action_table = self.layout['action_table']
+        action_table.column("#0", width=30, minwidth=30, stretch=False)
 
-        self.table.column("#0", width=30, minwidth=30, stretch=False)
-
-        for col in self.table["columns"]:
+        for col in action_table["columns"]:
             max_width = max(
-                [len(str(self.table.set(item, col))) for item in self.table.get_children()] + [len(col)]
+                [len(str(action_table.set(item, col))) for item in action_table.get_children()] + [len(col)]
             )
-            self.table.column(col, width=max_width * 10, minwidth=30, stretch=True)  # Scale width for readability
+            action_table.column(col, width=max_width * 10, minwidth=30, stretch=True)  # Scale width for readability
 
 
 class ExampleClient(AutoWorkClient):
@@ -249,5 +341,5 @@ def main():
 
 
 if __name__ == "__main__":
-    t = threading.Thread(target=main, daemon=False)
+    t = Thread(target=main, daemon=False)
     t.start()

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/algo_engine/backtest/sim_match.py

@@ -1,7 +1,9 @@
 import datetime
 
+import numpy as np
+
 from . import LOGGER
-from ..base import OrderType, MarketData, BarData, TradeData, TickData, OrderState, OrderBook, TradeReport, TradeInstruction
+from ..base import OrderType, MarketData, BarData, TradeData, TickData, OrderState, OrderBook, TradeReport, TradeInstruction, TransactionSide
 from ..engine.event_engine import TOPIC, EVENT_ENGINE
 from ..profile import PROFILE
 
@@ -9,17 +11,26 @@ LOGGER = LOGGER.getChild('SimMatch')
 
 
 class SimMatch(object):
-    def __init__(self, ticker, instant_fill: bool = False, event_engine=None, topic_set=None, fee_rate: float = 0.):
+    def __init__(self, ticker, event_engine=None, topic_set=None, **kwargs):
         self.ticker = ticker
-        self.instant_fill = instant_fill
         self.event_engine = event_engine if event_engine is not None else EVENT_ENGINE
         self.topic_set = topic_set if topic_set is not None else TOPIC
-        self.fee_rate = fee_rate
+        self.fee_rate = kwargs.get('fee_rate', 0.)
 
         self.working: dict[str, TradeInstruction] = {}
         self.history: dict[str, TradeInstruction] = {}
 
         self.timestamp = 0.
+        self.last_price = None
+        self.matching_config = {
+            'instant_fill': kwargs.get('instant_fill', False),
+            'lag': {
+                'ts': kwargs.get('lag_ts', 0.),
+                'n_transaction': kwargs.get('lag_n_transaction', 0)
+            },
+            'hit_prob': kwargs.get('hit_prob', 1.),  # affecting FoK
+            'slippery_rate': kwargs.get('slippery_rate', 0.0001)
+        }
 
     def __call__(self, **kwargs):
         order: TradeInstruction | None = kwargs.pop('order', None)
@@ -35,6 +46,7 @@ class SimMatch(object):
 
         if market_data is not None:
             self.timestamp = market_data.timestamp
+            self.last_price = market_data.market_price
 
             if isinstance(market_data, BarData):
                 self._check_bar_data(market_data=market_data)
@@ -69,17 +81,33 @@ class SimMatch(object):
             # raise ValueError(f'Invalid instruction {order}, instruction must have a LimitPrice')
 
         order.set_order_state(order_state=OrderState.Placed, timestamp=self.timestamp)
+        short_circuit = self._check_short_circuit(order=order)
 
-        if not self.instant_fill:
-            self.working[order.order_id] = order
+        if short_circuit:
+            self.on_order(order=order, **kwargs)
+            # in short circuit mode, the worst price will be applied.
+            self._match(order=order, match_price=self.worst_price(order.limit_price, self.last_price, side=order.side))
 
+        self.working[order.order_id] = order
         self.on_order(order=order, **kwargs)
 
-        if self.instant_fill:
-            if limit := order.limit_price:
-                self._match(order=order, match_price=limit)
-            else:
-                LOGGER.warning(f'No limit price provided for {order}, instant_fill mode not available.')
+    @classmethod
+    def best_price(cls, *price, side: TransactionSide | int):
+        if side > 0:
+            return min(_ for _ in price if _ is not None and np.isfinite(_))
+        elif side < 0:
+            return max(_ for _ in price if _ is not None and np.isfinite(_))
+
+        raise ValueError(f'Invalid side {side}!')
+
+    @classmethod
+    def worst_price(cls, *price, side: TransactionSide | int):
+        if side > 0:
+            return max(_ for _ in price if _ is not None and np.isfinite(_))
+        elif side < 0:
+            return min(_ for _ in price if _ is not None and np.isfinite(_))
+
+        raise ValueError(f'Invalid side {side}!')
 
     def cancel_order(self, order: TradeInstruction = None, order_id: str = None, **kwargs):
         if order is None and order_id is None:
@@ -104,6 +132,15 @@ class SimMatch(object):
         self.history[order_id] = order
         self.on_order(order=order, **kwargs)
 
+    def _check_short_circuit(self, order: TradeInstruction, **kwargs):
+        if order.limit_price is None and self.last_price is None:
+            return False
+
+        if self.matching_config['instant_fill'] and all(not _ for _ in self.matching_config['lag'].values()):
+            return True
+
+        return False
+
     def _check_bar_data(self, market_data: BarData):
         for order_id in list(self.working):
             order = self.working.get(order_id)
@@ -285,10 +322,11 @@ class SimMatch(object):
             self.cancel_order(order_id=order_id)
 
     def clear(self):
-        # self.fee_rate = 0.
         self.working.clear()
         self.history.clear()
+
         self.timestamp = 0.
+        self.last_price = None
 
     @property
     def market_time(self) -> datetime.datetime:

{pyalgoengine-0.7.6.post8 → pyalgoengine-0.7.7a2}/setup.py

@@ -2,6 +2,8 @@ import codecs
 import os
 
 import setuptools
+from setuptools import Extension
+from setuptools.command.build_ext import build_ext
 
 
 def read(rel_path):
@@ -21,6 +23,32 @@ def get_version(rel_path):
     raise RuntimeError("Unable to find version string.")
 
 
+class BuildExtWithFallback(build_ext):
+    """Custom build_ext to handle Cython compilation with fallback."""
+
+    def run(self):
+        try:
+            print("Attempting to compile Cython modules...")
+            super().run()
+        except Exception as e:
+            print("Cython compilation failed:", e)
+            print("Falling back to pure Python implementation.")
+
+
+# Skip building ext_modules in CI
+if os.getenv('GITHUB_ACTIONS') == 'true':
+    print("Skipping ext_modules as we're in a CI environment.")
+    ext_modules = []
+else:
+    # Define Cython extension (use the .pyx file)
+    ext_modules = [
+        Extension(
+            "algo_engine.base.market_utils_posix",
+            ["algo_engine/base/market_utils_posix.pyx"],
+        )
+    ]
+
+
 long_description = read("README.md")
 
 setuptools.setup(
@@ -58,6 +86,8 @@ setuptools.setup(
             "bokeh"
         ],
     },
+    ext_modules=ext_modules,
+    cmdclass={"build_ext": BuildExtWithFallback},
     command_options={
         'nuitka': {
             # boolean option, e.g. if you cared for C compilation commands
@@ -68,6 +98,11 @@ setuptools.setup(
             # '--enable-plugin': ("setup.py", "pyside2"),
             # options with several values, e.g. avoiding including modules
             # '--nofollow-import-to': ("setup.py", ["*.tests", "*.distutils"]),
+            # disable LTO
+            '--lto': ("setup.py", 'yes'),
+            # include some common 3rd party packages
+            '--include-package': ("setup.py", ['ctypes', 'datetime', 'typing', 'multiprocessing']),
+            # '--mode': ("setup.py", 'standalone')
         }
     }
 )