PyAlgoEngine 0.8.0a17__tar.gz → 0.8.0.post3__tar.gz

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a17
+Version: 0.8.0.post3
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a17
+Version: 0.8.0.post3
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -37,6 +37,7 @@ algo_engine/base/technical_analysis.py
 algo_engine/base/telemetrics.py
 algo_engine/base/tick.pyi
 algo_engine/base/trade_utils.pyi
+algo_engine/base/trade_utils_native.py
 algo_engine/base/transaction.pyi
 algo_engine/engine/__init__.py
 algo_engine/engine/algo_engine.py

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.8.0.alpha17"
+__version__ = "0.8.0.post3"
 
 import logging
 import os

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/apps/backtest/tester.py

@@ -8,7 +8,7 @@ import numpy as np
 from algo_engine.backtest.metrics import TradeMetrics
 from . import LOGGER
 from .web_app import WebApp
-from ...backtest import SimMatch, ProgressiveReplay
+from ...backtest import SimMatch, ProgressReplay
 from ...base import MarketData, TradeReport, TradeInstruction
 from ...profile import Profile, PROFILE
 
@@ -109,17 +109,18 @@ class Tester(object, metaclass=abc.ABCMeta):
         pass
 
     def run(self, **kwargs):
-        replay = ProgressiveReplay(
+        replay = ProgressReplay(
             loader=self.load_data,
-            tickers=list(self.subscription),
-            dtype=['TickData', 'TradeData'],
             start_date=self.start_date,
             end_date=self.end_date,
             bod=self.bod,
             eod=self.eod,
-            tick_size=kwargs.get('progress_tick_size', 0.001),
         )
 
+        for ticker in self.subscription:
+            replay.add_subscription(ticker, dtype='TickData')
+            replay.add_subscription(ticker, dtype='TradeData')
+
         _start_ts = time.time()
 
         for market_data in replay:
@@ -222,17 +223,18 @@ class StrategyTester(Tester):
         if not self.event_engine.active:
             self.event_engine.start()
 
-        replay = ProgressiveReplay(
+        replay = ProgressReplay(
             loader=self.load_data,
-            tickers=list(self.subscription),
-            dtype=['TickData', 'TradeData'],
             start_date=self.start_date,
             end_date=self.end_date,
             bod=self.bod,
             eod=self.eod,
-            tick_size=kwargs.get('progress_tick_size', 0.001),
         )
 
+        for ticker in self.subscription:
+            replay.add_subscription(ticker, dtype='TickData')
+            replay.add_subscription(ticker, dtype='TradeData')
+
         _start_ts = time.time()
 
         for market_data in replay:

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/backtest/__init__.py

@@ -13,7 +13,7 @@ def set_logger(logger: logging.Logger):
     sim_match.LOGGER = LOGGER.getChild('SimMatch')
 
 
-from .replay import PyDataScope, MarketDateCallable, MarketDataLoader, MarketDataBulkLoader, Replay, SimpleReplay, ProgressReplay, ProgressiveReplay
+from .replay import PyDataScope, MarketDateCallable, MarketDataLoader, MarketDataBulkLoader, Replay, SimpleReplay, ProgressReplay
 from .sim_match import SimMatch
 
-__all__ = ['PyDataScope', 'MarketDateCallable', 'MarketDataLoader', 'MarketDataBulkLoader', 'Replay', 'SimpleReplay', 'ProgressReplay', 'ProgressiveReplay', 'SimMatch']
+__all__ = ['PyDataScope', 'MarketDateCallable', 'MarketDataLoader', 'MarketDataBulkLoader', 'Replay', 'SimpleReplay', 'ProgressReplay', 'SimMatch']

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/backtest/replay.py

@@ -2,6 +2,7 @@ import abc
 import datetime
 import enum
 import inspect
+import logging
 import operator
 import warnings
 from collections.abc import Sequence, Mapping, Iterable, Callable
@@ -244,7 +245,7 @@ class SimpleReplay(Replay):
 
     def __iter__(self):
         self._calendar = self.calendar or [self.start_date + datetime.timedelta(days=i) for i in range((self.end_date - self.start_date).days + 1)]
-        self._market_date = self.market_date or sorted(_ for _ in self._calendar if _ >= self.market_date)[0]
+        self._market_date = sorted(_ for _ in self._calendar if _ >= self.market_date)[0]
         self._status = {market_date: 'skipped' if market_date < self.market_date else 'idle' for market_date in self._calendar}
         self._idx_buffer = 0
         self._idx_date = sum([1 for _ in self._calendar if _ < self.market_date])
@@ -353,7 +354,7 @@ class SimpleReplay(Replay):
         if not hasattr(self, '_buffer'):
             raise RuntimeError(f'{self.__class__.__name__} not started yet.')
 
-        return (self._idx_date + (self._idx_buffer / self._buffer_size - 1)) / len(self._calendar)
+        return (self._idx_date + self._idx_buffer / self._buffer_size) / len(self._calendar)
 
     @property
     def tickers(self) -> list[str]:
@@ -387,7 +388,7 @@ class ProgressReplay(SimpleReplay):
             calendar: Sequence[datetime.date] = None,
             bod: MarketDateCallable = None,
             eod: MarketDateCallable = None,
-            **tqdm_kwargs
+            **pbar_config
     ):
         super().__init__(
             loader=loader,
@@ -399,40 +400,148 @@ class ProgressReplay(SimpleReplay):
             eod=eod
         )
 
-        self._tqdm_kwargs = {
+        self.pbar_config = {
+            'backend': pbar_config.pop('backend', 'tqdm'),  # tqdm or native
+            'config': pbar_config,
+        }
+        self._pbar = None
+
+    def _init_pbar_tqdm(self):
+        from tqdm.auto import tqdm
+        from tqdm.std import tqdm as tqdm_std
+        from tqdm.contrib.logging import _TqdmLoggingHandler, _get_first_found_console_logging_handler, _is_console_logging_handler
+
+        tqdm_config = {
             'total': 1,
             'unit_scale': True,
             'unit': 'percent',
             'mininterval': 0.1,
             'miniters': 0.001,
-            **tqdm_kwargs
+            **self.pbar_config['config'],
         }
+        self._pbar = tqdm(**tqdm_config)
+
+        self.pbar_config['loggers'] = loggers = [LOGGER.root] + [_ for _ in LOGGER.root.manager.loggerDict.values() if isinstance(_, logging.Logger) and _.handlers]
+        self.pbar_config['original_handlers_list'] = [logger.handlers for logger in loggers]
+        for logger in loggers:
+            tqdm_handler = _TqdmLoggingHandler(tqdm_std)
+            orig_handler = _get_first_found_console_logging_handler(logger.handlers)
+            if orig_handler is not None:
+                tqdm_handler.setFormatter(orig_handler.formatter)
+                tqdm_handler.stream = orig_handler.stream
+            logger.handlers = [handler for handler in logger.handlers if not _is_console_logging_handler(handler)] + [tqdm_handler]
+
+        self.add_bod(self._init_pbar_tqdm_secondary, priority=0)
+        self.add_eod(self._close_pbar_tqdm_secondary, priority=0)
+        self.add_bod(self._update_tqdm_prefix, priority=0)
+        self._update_pbar_progress = self._update_tqdm_progress
+
+    def _init_pbar_tqdm_secondary(self, market_date):
+        from tqdm.auto import tqdm
+
+        tqdm_secondary_config = {
+            'total': 1,
+            'unit_scale': True,
+            'unit': 'percent',
+            'mininterval': 0.1,
+            'miniters': 0.001,
+            **self.pbar_config['config'],
+        }
+        self._pbar_secondary = tqdm(**tqdm_secondary_config)
+        prompt = f'Progress Total ({self._idx_date + 1} / {len(self._calendar)})'
+        prompt_secondary = f'Progress [{market_date:%Y-%m-%d}]'
+        prompt_length = max(len(prompt), len(prompt_secondary))
+        self._pbar_secondary.n = 0
+        self._pbar_secondary.set_description(prompt_secondary.ljust(prompt_length))
+        self._pbar_secondary.refresh()
+
+    def _close_pbar_tqdm_secondary(self, market_date: datetime.date):
+        self._pbar_secondary.n = 1
+        # self._pbar_secondary.refresh()
+        self._pbar_secondary.close()
+        self._pbar_secondary = None
+
+    def _init_pbar_native(self):
+        from ..base import Progress
+
+        progress_config = dict(
+            tasks=1,
+            tick_size=0.001,
+            **self.pbar_config['config'],
+        )
+
+        self.add_bod(self._update_native_prefix, priority=0)
+        self._pbar = Progress(**progress_config)
+        self._update_pbar_progress = self._update_native_progress
+
+    def _update_tqdm_prefix(self, market_date: datetime.date):
+        prompt = f'Progress Total ({self._idx_date + 1} / {len(self._calendar)})'
+        self._pbar.set_description(prompt)
+        self._pbar.refresh()
+
+    def _update_native_prefix(self, market_date: datetime.date):
+        self._pbar.prompt = f'Replay {market_date:%Y-%m-%d} ({self._idx_date + 1} / {len(self._calendar)}):'
+        self._pbar.output()
+
+    def _close_pbar_tqdm(self):
+        for logger, original_handlers in zip(self.pbar_config['loggers'], self.pbar_config['original_handlers_list']):
+            logger.handlers = original_handlers
+
+        self._pbar.n = 1
+        # self._pbar.refresh()
+        self._pbar.close()
         self._pbar = None
-        self.add_bod(self._update_progress_bar, priority=0)
+
+    def _close_pbar_native(self):
+        self._pbar.done_tasks = 1
+        self._pbar.output()
+
+    def _update_tqdm_progress(self):
+        self._pbar.n = self.progress
+        self._pbar.update(0)
+
+        self._pbar_secondary.n = self._idx_buffer / self._buffer_size
+        self._pbar_secondary.update(0)
+
+    def _update_native_progress(self):
+        self._pbar.done_tasks = self.progress
+
+        if (not self._pbar.tick_size) \
+                or self._pbar.progress >= self._pbar.tick_size + self._pbar.last_output \
+                or self._pbar.is_done:
+            self._pbar.output()
 
     def __iter__(self):
-        from tqdm.auto import tqdm
-        self._pbar = tqdm(**self._tqdm_kwargs)
+        pbar_backend = self.pbar_config['backend']
+
+        match pbar_backend:
+            case 'tqdm':
+                self._init_pbar_tqdm()
+            case 'native':
+                self._init_pbar_native()
+            case _:
+                raise NotImplementedError(f'Invalid pbar backend {pbar_backend}')
+
         return super().__iter__()
 
     def __next__(self) -> MarketData:
         try:
             result = super().__next__()
-            if self._pbar:
-                self._pbar.update(self.progress)
-                self._pbar.refresh()
+            if self._pbar is not None:
+                self._update_pbar_progress()
             return result
         except StopIteration:
             if self._pbar is not None:
-                self._pbar.close()
-                self._pbar = None
+                pbar_backend = self.pbar_config['backend']
+                match pbar_backend:
+                    case 'tqdm':
+                        self._close_pbar_tqdm()
+                    case 'native':
+                        self._close_pbar_native()
+                    case _:
+                        raise NotImplementedError(f'Invalid pbar backend {pbar_backend}')
             raise
 
-    def _update_progress_bar(self, market_date: datetime.date):
-        if self._pbar:
-            self._pbar.set_description(f'Replay {market_date:%Y-%m-%d} ({self._idx_date + 1} / {len(self._calendar)})')
-            self._pbar.refresh()
-
 
 class ProgressiveReplay(SimpleReplay):
     """

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/base/__init__.py

@@ -5,6 +5,8 @@ import pathlib
 from .telemetrics import LOGGER
 from ..profile import PROFILE
 
+USE_CYTHON = True
+
 
 def set_logger(logger: logging.Logger):
     global LOGGER
@@ -15,6 +17,9 @@ def set_logger(logger: logging.Logger):
 
 
 def check_cython_module(cython_module) -> bool:
+    if not USE_CYTHON:
+        return False
+
     for name in cython_module:
         cython_ext = '.pyd' if os.name == 'nt' else '.so'
         for file in pathlib.Path(__file__).parent.glob(f'*{cython_ext}'):

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/base/market_data.pyi

@@ -19,6 +19,9 @@ class MarketData:
 
     def __init__(self, ticker: str, timestamp: float, **kwargs: Any) -> None: ...
 
+    def update(self, name: str, value: Any) -> None:
+        ...
+
     @classmethod
     def buffer_size(cls) -> int: ...
 

{pyalgoengine-0.8.0a17 → pyalgoengine-0.8.0.post3}/algo_engine/base/market_data_buffer.pyi

@@ -31,7 +31,7 @@ class MarketDataBuffer:
 
     def to_bytes(self) -> bytes: ...
 
-    def update(self, dtype: int, **kwargs: dict[str, Any]) -> None: ...
+    def update(self, dtype: int, **kwargs: Any) -> None: ...
 
     def __getitem__(self, idx: int) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
 
@@ -79,6 +79,10 @@ class MarketDataConcurrentBuffer:
             capacity: int = ...
     ) -> None: ...
 
+    def get_head(self, worker_id: int) -> int: ...
+
+    def min_head(self) -> int: ...
+
     def is_empty(self, worker_id: int) -> bool: ...
 
     def is_empty_all(self) -> bool: ...
@@ -89,4 +93,10 @@ class MarketDataConcurrentBuffer:
 
     def get(self, idx: int) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
 
-    def listen(self, worker_id: int, timeout: float = ...) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
+    def listen(self, worker_id: int, block: bool = True, timeout: float = ...) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
+
+    @property
+    def head(self) -> list[int]: ...
+
+    @property
+    def tail(self) -> int: ...