PyAlgoEngine 0.7.7a5__tar.gz → 0.8.0a1__tar.gz

{pyalgoengine-0.7.7a5 → pyalgoengine-0.8.0a1}/PKG-INFO

@@ -1,6 +1,6 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.7.7a5
+Version: 0.8.0a1
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han
@@ -22,6 +22,17 @@ Provides-Extra: webapps
 Requires-Dist: flask; extra == "webapps"
 Requires-Dist: waitress; extra == "webapps"
 Requires-Dist: bokeh; extra == "webapps"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: license-file
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
 
 # PyAlgoEngine
 python algo trading engine

{pyalgoengine-0.7.7a5 → pyalgoengine-0.8.0a1}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.7.7a5
+Version: 0.8.0a1
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han
@@ -22,6 +22,17 @@ Provides-Extra: webapps
 Requires-Dist: flask; extra == "webapps"
 Requires-Dist: waitress; extra == "webapps"
 Requires-Dist: bokeh; extra == "webapps"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: license-file
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
 
 # PyAlgoEngine
 python algo trading engine

{pyalgoengine-0.7.7a5 → pyalgoengine-0.8.0a1}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -29,6 +29,7 @@ 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_data_wrapper.py
 algo_engine/base/market_utils.py
 algo_engine/base/market_utils_nt.py
 algo_engine/base/market_utils_posix.py

{pyalgoengine-0.7.7a5 → pyalgoengine-0.8.0a1}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.7.7.alpha5"
+__version__ = "0.8.0.alpha1"
 
 import logging
 import os

pyalgoengine-0.8.0a1/algo_engine/base/market_data_wrapper.py

@@ -0,0 +1,547 @@
+import abc
+import datetime
+import enum
+import inspect
+from typing import TypeVar, Any, Self, Literal
+import logging
+import market_data as market_data_cython
+
+LOGGER = logging.getLogger(__name__)
+from algo_engine.profile import PROFILE
+
+
+class TransactionSide(enum.IntEnum):
+    ShortOrder = AskOrder = Offer_to_Short = -3
+    ShortOpen = Sell_to_Short = -2
+    ShortFilled = LongClose = Sell_to_Unwind = ask = -1
+    UNKNOWN = CANCEL = 0
+    LongFilled = LongOpen = Buy_to_Long = bid = 1
+    ShortClose = Buy_to_Cover = 2
+    LongOrder = BidOrder = Bid_to_Long = 3
+
+    def __neg__(self) -> Self:
+        """
+        Get the opposite transaction side.
+
+        Returns:
+            TransactionSide: The opposite transaction side.
+        """
+        if self is self.LongOpen:
+            return self.LongClose
+        elif self is self.LongClose:
+            return self.LongOpen
+        elif self is self.ShortOpen:
+            return self.ShortClose
+        elif self is self.ShortClose:
+            return self.ShortOpen
+        elif self is self.BidOrder:
+            return self.AskOrder
+        elif self is self.AskOrder:
+            return self.BidOrder
+        else:
+            LOGGER.warning('No valid registered opposite trade side for {}'.format(self))
+            return self.UNKNOWN
+
+    @classmethod
+    def from_offset(cls, direction: str, offset: str) -> Self:
+        """
+        Determine the transaction side from direction and offset.
+
+        Args:
+            direction (str): The trade direction (e.g., 'buy', 'sell').
+            offset (str): The trade offset (e.g., 'open', 'close').
+
+        Returns:
+            TransactionSide: The corresponding transaction side.
+
+        Raises:
+            ValueError: If the direction or offset is not recognized.
+        """
+        direction = direction.lower()
+        offset = offset.lower()
+
+        if direction in ['buy', 'long', 'b']:
+            if offset in ['open', 'wind']:
+                return cls.LongOpen
+            elif offset in ['close', 'cover', 'unwind']:
+                return cls.ShortOpen
+            else:
+                raise ValueError(f'Not recognized {direction} {offset}')
+        elif direction in ['sell', 'short', 's']:
+            if offset in ['open', 'wind']:
+                return cls.ShortOpen
+            elif offset in ['close', 'cover', 'unwind']:
+                return cls.LongClose
+            else:
+                raise ValueError(f'Not recognized {direction} {offset}')
+        else:
+            raise ValueError(f'Not recognized {direction} {offset}')
+
+    @classmethod
+    def _missing_(cls, value: str | int):
+        """
+        Handle missing values in the enumeration.
+
+        Args:
+            value (str | int): The value to resolve.
+
+        Returns:
+            TransactionSide: The resolved transaction side, or UNKNOWN if not recognized.
+        """
+        side_str = str(value).lower()
+
+        match side_str:
+            case 'long' | 'buy' | 'b':
+                trade_side = cls.LongOpen
+            case 'short' | 'sell' | 's':
+                trade_side = cls.LongClose
+            case 'short' | 'ss':
+                trade_side = cls.ShortOpen
+            case 'cover' | 'bc':
+                trade_side = cls.ShortClose
+            case 'ask':
+                trade_side = cls.AskOrder
+            case 'bid':
+                trade_side = cls.BidOrder
+            case _:
+                try:
+                    trade_side = cls.__getitem__(value)
+                except Exception as _:
+                    trade_side = cls.UNKNOWN
+                    LOGGER.warning('{} is not recognized, return TransactionSide.UNKNOWN'.format(value))
+
+        return trade_side
+
+    @property
+    def sign(self) -> int:
+        """
+        Get the sign of the transaction side.
+
+        Returns:
+            int: 1 for buy/long, -1 for sell/short, 0 for unknown.
+        """
+        if self.value == self.Buy_to_Long.value or self.value == self.Buy_to_Cover.value:
+            return 1
+        elif self.value == self.Sell_to_Unwind.value or self.value == self.Sell_to_Short.value:
+            return -1
+        elif self.value == 0:
+            return 0
+        else:
+            frame = inspect.currentframe()
+            caller = inspect.getframeinfo(frame.f_back)
+            LOGGER.warning(f"Requesting .sign of {self.name} is not recommended, use .order_sign instead.\nCalled from {caller.filename}, line {caller.lineno}.")
+            return self.order_sign
+
+    @property
+    def order_sign(self) -> int:
+        """
+        Get the order sign of the transaction side.
+
+        Returns:
+            int: 1 for long orders, -1 for short orders, 0 for unknown.
+        """
+        if self.value == self.LongOrder.value:
+            return 1
+        elif self.value == self.ShortOrder.value:
+            return -1
+        elif self.value == 0:
+            return 0
+        else:
+            LOGGER.warning(f'Requesting .order_sign of {self.name} is not recommended, use .sign instead')
+            return self.sign
+
+    @property
+    def offset(self) -> int:
+        """
+        Get the offset of the transaction side.
+
+        Returns:
+            int: The offset value, equivalent to the sign.
+        """
+        return self.sign
+
+    @property
+    def side_name(self) -> str:
+        """
+        Get the name of the transaction side.
+
+        Returns:
+            str: 'Long', 'Short', 'ask', 'bid', or 'Unknown'.
+        """
+        if self.value == self.Buy_to_Long.value or self.value == self.Buy_to_Cover.value:
+            return 'Long'
+        elif self.value == self.Sell_to_Unwind.value or self.value == self.Sell_to_Short.value:
+            return 'Short'
+        elif self.value == self.Offer_to_Short.value:
+            return 'ask'
+        elif self.value == self.Bid_to_Long.value:
+            return 'bid'
+        else:
+            return 'Unknown'
+
+    @property
+    def offset_name(self) -> str:
+        """
+        Get the offset name of the transaction side.
+
+        Returns:
+            str: 'Open', 'Close', 'ask', 'bid', or 'Unknown'.
+        """
+        if self.value == self.Buy_to_Long.value or self.value == self.Sell_to_Short.value:
+            return 'Open'
+        elif self.value == self.Buy_to_Cover.value or self.value == self.Sell_to_Unwind.value:
+            return 'Close'
+        elif self.value == self.Offer_to_Short.value or self.value == self.Bid_to_Long.value:
+            LOGGER.warning(f'Requesting offset of {self.name} is not supported, returns {self.side_name}')
+            return self.side_name
+        else:
+            return 'Unknown'
+
+
+class OrderType(enum.IntEnum):
+    UNKNOWN = -20
+    CancelOrder = -10
+    Generic = 0
+    LimitOrder = 10
+    LimitMarketMaking = 11
+    MarketOrder = 2
+    FOK = 21
+    FAK = 22
+    IOC = 23
+
+
+class MarketData(market_data_cython.MarketData, metaclass=abc.ABCMeta):
+    """
+    Python wrapper for MarketData Cython class.
+    Provides pickle serialization support.
+    """
+
+    @classmethod
+    def from_buffer(cls, buffer, **kwargs):
+        self = super().from_buffer(buffer)
+        self.__dict__.update(kwargs)
+        return self
+
+    @abc.abstractmethod
+    def __reduce__(self):
+        ...
+
+    def __copy__(self):
+        return self.__class__.from_buffer(memoryview(self), **self.__dict__)
+
+    @property
+    def topic(self) -> str:
+        return f'{self.ticker}.{self.__class__.__name__}'
+
+    @property
+    def market_time(self) -> datetime.datetime | datetime.date:
+        return datetime.datetime.fromtimestamp(self.timestamp, tz=PROFILE.time_zone)
+
+
+class TransactionData(market_data_cython.TransactionData, MarketData):
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            price: float,
+            volume: float,
+            side: int | TransactionSide,
+            multiplier: float = 1.0,
+            notional: float = 0.0,
+            transaction_id: int | str | bytes = None,
+            buy_id: int | str | bytes = None,
+            sell_id: int | str | bytes = None,
+            **kwargs
+    ):
+        super().__init__(ticker=ticker, timestamp=timestamp, price=price, volume=volume, side=side, multiplier=multiplier, notional=notional, transaction_id=transaction_id, buy_id=buy_id, sell_id=sell_id)
+        self.__dict__.update(kwargs)
+
+    def __reduce__(self):
+        """Support for pickle serialization"""
+        return self.__class__.from_bytes, (self.to_bytes(),), self.__dict__
+
+    def __setstate__(self, state):
+        """Restore state from pickle"""
+        self.__dict__.update(state)
+
+    @property
+    def side_int(self) -> int:
+        return super().side
+
+    @property
+    def side(self) -> TransactionSide:
+        return TransactionSide(super().side)
+
+
+class BarData(market_data_cython.BarData, MarketData):
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            high_price: float,
+            low_price: float,
+            open_price: float,
+            close_price: float,
+            volume: float = 0.0,
+            notional: float = 0.0,
+            trade_count: int = 0,
+            start_timestamp: float = None,
+            bar_span: float = None,
+            **kwargs: object
+    ) -> None:
+        if bar_span is None:
+            if start_timestamp is None:
+                raise ValueError('Must assign either start_timestamp or bar_span or both.')
+            else:
+                bar_span = timestamp - start_timestamp
+        else:
+            if isinstance(bar_span, datetime.timedelta):
+                bar_span = bar_span.total_seconds()
+            else:
+                bar_span = float(bar_span)
+
+        super().__init__(ticker=ticker, timestamp=timestamp, high_price=high_price, low_price=low_price, open_price=open_price, close_price=close_price, volume=volume, notional=notional, trade_count=trade_count, bar_span=bar_span)
+        self.__dict__.update(kwargs)
+
+    def __reduce__(self):
+        """Support for pickle serialization"""
+        return self.__class__.from_bytes, (self.to_bytes(),), self.__dict__
+
+    def __setstate__(self, state):
+        """Restore state from pickle"""
+        self.__dict__.update(state)
+
+    @property
+    def bar_type(self) -> Literal['Hourly-Plus', 'Hourly', 'Minute-Plus', 'Minute', 'Sub-Minute']:
+        """
+        Determines the type of the bar based on its span.
+
+        Returns:
+            Literal['Hourly-Plus', 'Hourly', 'Minute-Plus', 'Minute', 'Sub-Minute']: The type of the bar.
+        """
+        bar_span = super().bar_span
+
+        if bar_span > 3600:
+            return 'Hourly-Plus'
+        elif bar_span == 3600:
+            return 'Hourly'
+        elif bar_span > 60:
+            return 'Minute-Plus'
+        elif bar_span == 60:
+            return 'Minute'
+        else:
+            return 'Sub-Minute'
+
+    @property
+    def bar_end_time(self) -> datetime.datetime | datetime.date:
+        """
+        The end time of the bar.
+
+        Returns:
+            datetime.datetime | datetime.date: The end time of the bar.
+        """
+        return self.market_time
+
+    @property
+    def bar_start_time(self) -> datetime.datetime:
+        """
+        The start time of the bar.
+
+        Returns:
+            datetime.datetime: The start time of the bar.
+        """
+        return datetime.datetime.fromtimestamp(super().start_timestamp, tz=PROFILE.time_zone)
+
+    @property
+    def bar_span(self) -> datetime.timedelta:
+        return datetime.timedelta(seconds=super().bar_span)
+
+
+class DailyBar(market_data_cython.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.
+            high_price: float,
+            low_price: float,
+            open_price: float,
+            close_price: float,
+            volume: float = 0.0,
+            notional: float = 0.0,
+            trade_count: int = 0,
+            bar_span: datetime.timedelta | int = None,  # Expect to be a timedelta for several days, or the number of days
+            start_date: datetime.date = None,
+            **kwargs
+    ):
+        if bar_span is None:
+            if start_date is None:
+                bar_span = 1
+            else:
+                bar_span = (market_date - start_date).days
+        else:
+            if isinstance(bar_span, datetime.timedelta):
+                bar_span = bar_span.days()
+            else:
+                bar_span = float(bar_span)
+
+        timestamp = 10000 * market_date.year + 100 * market_date.month + market_date.day
+
+        super().__init__(ticker=ticker, timestamp=timestamp, high_price=high_price, low_price=low_price, open_price=open_price, close_price=close_price, volume=volume, notional=notional, trade_count=trade_count, bar_span=bar_span)
+        self.__dict__.update(kwargs)
+
+    def __repr__(self) -> str:
+        if (bar_span := super().bar_span) == 1:
+            return f"DailyBar(ticker='{self.ticker}', date={self.market_date}, open={self.open_price}, high={self.high_price}, low={self.low_price}, close={self.close_price}, volume={self.volume})"
+        else:
+            return f"DailyBar(ticker='{self.ticker}', date={self.market_date}, span={bar_span}d, open={self.open_price}, high={self.high_price}, low={self.low_price}, close={self.close_price}, volume={self.volume})"
+
+    def __reduce__(self):
+        """Support for pickle serialization"""
+        return self.__class__.from_bytes, (self.to_bytes(),), self.__dict__
+
+    def __setstate__(self, state):
+        """Restore state from pickle"""
+        self.__dict__.update(state)
+
+    @property
+    def market_date(self) -> datetime.date:
+        """
+        The market date of the bar.
+
+        Returns:
+            datetime.date: The market date of the bar.
+        """
+
+        int_date = int(self.timestamp)
+        y, _m = divmod(int_date, 10000)
+        m, d = divmod(_m, 100)
+
+        return datetime.date(year=y, month=m, day=d)
+
+    @property
+    def market_time(self) -> datetime.date:
+        """
+        The market date of the bar (same as `market_date`).
+
+        Returns:
+            datetime.date: The market date of the bar.
+        """
+        return self.market_date
+
+    @property
+    def bar_start_time(self) -> datetime.date:
+        """
+        The start date of the bar period.
+
+        Returns:
+            datetime.date: The start date of the bar.
+        """
+        return self.market_date - self.bar_span
+
+    @property
+    def bar_end_time(self) -> datetime.date:
+        """
+        The end date of the bar period.
+
+        Returns:
+            datetime.date: The end date of the bar.
+        """
+        return self.market_date
+
+    @property
+    def bar_span(self) -> datetime.timedelta:
+        return datetime.timedelta(days=super().bar_span)
+
+    @property
+    def bar_type(self) -> Literal['Daily', 'Daily-Plus']:
+        """
+        Determines the type of the bar based on its span.
+
+        Returns:
+            Literal['Daily', 'Daily-Plus']: The type of the bar.
+
+        Raises:
+            ValueError: If `bar_span` is not valid for a daily bar.
+        """
+        if super().bar_span == 1:
+            return 'Daily'
+        elif super().bar_span > 1:
+            return 'Daily-Plus'
+        else:
+            raise ValueError(f'Invalid bar_span for {self.__class__.__name__}! Expect an int greater or equal to 1, got {super().bar_span}.')
+
+
+
+class TickDataLite(market_data_cython.TickDataLite, MarketData):
+    """
+    Python wrapper for TickDataLite Cython class.
+    Represents tick data for a specific ticker without the order_book field.
+    """
+
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            last_price: float,
+            bid_price: float = float('nan'),
+            bid_volume: float = float('nan'),
+            ask_price: float = float('nan'),
+            ask_volume: float = float('nan'),
+            total_traded_volume: float = 0.0,
+            total_traded_notional: float = 0.0,
+            total_trade_count: int = 0,
+            **kwargs
+    ):
+        """
+        Initialize a new instance of TickDataLite.
+
+        Args:
+            ticker (str): The ticker symbol for the market data.
+            timestamp (float): The timestamp of the tick data.
+            last_price (float): The last traded price.
+            bid_price (float, optional): The bid price. Defaults to None.
+            bid_volume (float, optional): The bid volume. Defaults to None.
+            ask_price (float, optional): The ask price. Defaults to None.
+            ask_volume (float, optional): The ask volume. Defaults to None.
+            total_traded_volume (float, optional): The total traded volume. Defaults to 0.0.
+            total_traded_notional (float, optional): The total traded notional value. Defaults to 0.0.
+            total_trade_count (int, optional): The total number of trades. Defaults to 0.
+            **kwargs: Additional keyword arguments.
+        """
+        # Create the Cython object
+        super().__init__(
+            ticker=ticker,
+            timestamp=timestamp,
+            last_price=last_price,
+            bid_price=bid_price,
+            bid_volume=bid_volume,
+            ask_price=ask_price,
+            ask_volume=ask_volume,
+            total_traded_volume=total_traded_volume,
+            total_traded_notional=total_traded_notional,
+            total_trade_count=total_trade_count
+        )
+        self.__dict__.update(kwargs)
+
+    def __reduce__(self):
+        """Support for pickle serialization"""
+        return self.__class__.from_bytes, (self.to_bytes(),), self.__dict__
+
+    def __setstate__(self, state):
+        """Restore state from pickle"""
+        self.__dict__.update(state)
+
+    def __repr__(self) -> str:
+        """
+        Returns a string representation of the TickDataLite instance.
+
+        Returns:
+            str: A string representation of the TickDataLite instance.
+        """
+        return f'<TickDataLite>([{self.market_time:%Y-%m-%d %H:%M:%S}] {self.ticker}, bid={self.bid_price}, ask={self.ask_price})'
+
+    @classmethod
+    def from_buffer(cls, buffer, **kwargs):
+        self = super().from_buffer(buffer)
+        self.__dict__.update(kwargs)
+        return self

{pyalgoengine-0.7.7a5 → pyalgoengine-0.8.0a1}/algo_engine/base/market_utils_posix.py

@@ -2,6 +2,7 @@ import abc
 import ctypes
 import datetime
 import enum
+import inspect
 import json
 import math
 import re
@@ -159,7 +160,12 @@ class TransactionSide(enum.IntEnum):
         elif self.value == 0:
             return 0
         else:
-            LOGGER.warning(f'Requesting .sign of {self.name} is not recommended, use .order_sign instead')
+            frame = inspect.currentframe()
+            caller = inspect.getframeinfo(frame.f_back)
+            LOGGER.warning(
+                f"Requesting .sign of {self.name} is not recommended, use .order_sign instead. "
+                f"Called from {caller.filename}, line {caller.lineno}."
+            )
             return self.order_sign
 
     @property
@@ -1949,7 +1955,7 @@ class DailyBar(BarData):
             datetime.date: The market date of the bar.
         """
 
-        int_date = self._buffer.timestamp
+        int_date = int(self._buffer.timestamp)
         y, _m = divmod(int_date, 10000)
         m, d = divmod(_m, 100)