PyAlgoEngine 0.8.0a2__tar.gz → 0.8.0a4__tar.gz

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a2
+Version: 0.8.0a4
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a2
+Version: 0.8.0a4
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -28,9 +28,6 @@ algo_engine/backtest/sim_match.py
 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
 algo_engine/base/technical_analysis.py

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.8.0.alpha2"
+__version__ = "0.8.0.alpha4"
 
 import logging
 import os

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/backtest/sim_match.py

@@ -37,9 +37,9 @@ class SimMatch(object):
         market_data: MarketData | None = kwargs.pop('market_data', None)
 
         if order is not None:
-            if order.order_type == OrderType.LimitOrder:
+            if order.order_type == OrderType.ORDER_LIMIT:
                 self.launch_order(order=order)
-            elif order.order_type == OrderType.CancelOrder:
+            elif order.order_type == OrderType.ORDER_CANCEL:
                 self.cancel_order(order=order)
             else:
                 raise ValueError(f'Invalid order {order}')

pyalgoengine-0.8.0a4/algo_engine/base/__init__.py

@@ -0,0 +1,60 @@
+import logging
+import os
+import pathlib
+
+from .telemetrics import LOGGER
+from ..profile import PROFILE
+
+
+def set_logger(logger: logging.Logger):
+    global LOGGER
+    LOGGER = logger
+
+    if os.name == 'nt':
+        market_utils_nt.LOGGER = logger.getChild('MarketUtils')
+    else:
+        market_utils_posix.LOGGER = logger.getChild('MarketUtils')
+
+    trade_utils.LOGGER = logger.getChild('TradeUtils')
+    technical_analysis.LOGGER = logger.getChild('TA')
+    console_utils.LOGGER = logger.getChild('Console')
+
+
+def check_cython_module() -> bool:
+    for name in ['market_data', 'transaction', 'tick', 'candlestick']:
+        cython_ext = '.pyd' if os.name == 'nt' else '.so'
+        for file in pathlib.Path(__file__).parent.glob(f'*{cython_ext}'):
+            if file.name.startswith(name):
+                break
+        else:
+            LOGGER.warning(f'Cython module {name} not found!')
+            return False
+
+    return True
+
+
+from .finance_decimal import FinancialDecimal
+
+if check_cython_module():
+    from .market_data import MarketData
+    from .transaction import TransactionDirection, TransactionOffset, TransactionSide, OrderType, TransactionData, TradeData, OrderData
+    from .tick import TickDataLite, TickData
+    from .candlestick import BarData, DailyBar
+else:
+    import_cmd = f'from .market_utils_{os.name} import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer'
+    eval(import_cmd)
+
+from .technical_analysis import TechnicalAnalysis
+from .trade_utils import OrderState, TradeInstruction, TradeReport
+from .console_utils import Progress, GetInput, GetArgs, count_ordinal, TerminalStyle, InteractiveShell, ShellTransfer
+
+__all__ = [
+    'PROFILE',
+    'FinancialDecimal',
+    'TransactionDirection', 'TransactionOffset', 'TransactionSide', 'OrderType', 'MarketData', 'BarData', 'DailyBar', 'TickDataLite', 'TickData', 'TransactionData', 'TradeData', 'OrderData',
+    # 'MarketDataMemoryBuffer', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
+    # 'MarketDataPointer', 'OrderBookPointer', 'BarDataPointer', 'TickDataPointer', 'TransactionDataPointer',
+    'TechnicalAnalysis',
+    'OrderState', 'TradeInstruction', 'TradeReport',
+    'Progress', 'GetInput', 'GetArgs', 'count_ordinal', 'TerminalStyle', 'InteractiveShell', 'ShellTransfer'
+]

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/base/trade_utils.py

@@ -371,7 +371,7 @@ class TradeInstruction(TradeBaseClass):
             side: int | float | str | TransactionSide,
             volume: float,
             timestamp: float,
-            order_type: int | float | str | OrderType = OrderType.Generic,
+            order_type: int | float | str | OrderType = OrderType.ORDER_GENERIC,
             limit_price: float = None,
             order_id: str = None,
             multiplier: float = None,
@@ -413,7 +413,7 @@ class TradeInstruction(TradeBaseClass):
         return True
 
     def __str__(self):
-        if self.limit_price is None or self.order_type == OrderType.MarketOrder:
+        if self.limit_price is None or self.order_type == OrderType.ORDER_MARKET:
             return f'<TradeInstruction id={self.order_id}>({self.ticker} {self.order_type.name} {self.side.name} {self.volume}; filled {self.filled_volume:.2f} @ {self.average_price:.2f} now {self.order_state.name})'
         else:
             return f'<TradeInstruction id={self.order_id}>({self.ticker} {self.order_type.name} {self.side.name} {self.volume} limit {self.limit_price:.2f}; filled {self.filled_volume:.2f} @ {self.average_price:.2f} now {self.order_state.name})'

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/engine/algo_engine.py

@@ -511,7 +511,7 @@ class Passive(AlgoTemplate):
             limit_adjust_level=limit_adjust_level,
             mode=limit_mode
         )
-        order_type = OrderType.LimitOrder
+        order_type = OrderType.ORDER_LIMIT
         volume = self.target_volume - self.filled_volume - self.working_volume
 
         LOGGER.info(f'{self} launching {order_type} {self.ticker} {self.side.name} {volume}')

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/engine/trade_engine.py

@@ -18,7 +18,7 @@ import pandas as pd
 from . import LOGGER
 from .algo_engine import ALGO_ENGINE, AlgoTemplate
 from .market_engine import MarketDataService, Singleton
-from ..base import TransactionSide, TradeInstruction, MarketData, OrderState, TradeReport
+from ..base import TransactionSide, TransactionDirection as Direction, TransactionOffset as Offset, TradeInstruction, MarketData, OrderState, TradeReport
 
 LOGGER = LOGGER.getChild('TradeEngine')
 __all__ = ['DirectMarketAccess', 'PositionManagementService', 'Balance', 'Inventory', 'RiskProfile']
@@ -328,7 +328,7 @@ class PositionManagementService(object):
             return
 
         to_unwind = abs(exposure)
-        side = TransactionSide.Sell_to_Unwind if exposure > 0 else TransactionSide.Buy_to_Cover
+        side = (Direction.DIRECTION_SHORT if exposure > 0 else Direction.DIRECTION_LONG) | Offset.OFFSET_CLOSE
         self.open(ticker=ticker, target_volume=to_unwind, trade_side=side)
 
     def add_exposure(self, ticker: str, volume: float, notional: float, side: TransactionSide, timestamp: float):
@@ -1144,7 +1144,7 @@ class Inventory(object, metaclass=Singleton):
             self.multiplier = multiplier
 
     class Entry(object):
-        def __init__(self, ticker: str, volume: float, price: float, security_type: Inventory.SecurityType, direction: TransactionSide, **kwargs):
+        def __init__(self, ticker: str, volume: float, price: float, security_type: Inventory.SecurityType, direction: Direction, **kwargs):
             if volume < 0:
                 LOGGER.warning('volume of Inventory.Entry normally should be positive!')
 
@@ -1159,7 +1159,7 @@ class Inventory(object, metaclass=Singleton):
             self.recalled = kwargs.pop('recalled', 0.)
 
         def __repr__(self):
-            return f'<Inventory.Entry>(ticker={self.ticker}, side={self.direction.side_name}, volume={self.volume:,}, fee={self.fee:.2f})'
+            return f'<Inventory.Entry>(ticker={self.ticker}, side={self.direction.name}, volume={self.volume:,}, fee={self.fee:.2f})'
 
         def __add__(self, other):
             if isinstance(other, self.__class__):
@@ -1225,8 +1225,8 @@ class Inventory(object, metaclass=Singleton):
                 ticker=self.ticker,
                 volume=self.volume,
                 price=self.price,
-                security_type=self.security_type.name,
-                direction=self.direction.side_name,
+                security_type=self.security_type.value,
+                direction=self.direction.value,
                 notional=self.notional,
                 fee=self.fee,
                 recalled=self.recalled
@@ -1250,8 +1250,8 @@ class Inventory(object, metaclass=Singleton):
                 ticker=json_dict['ticker'],
                 volume=json_dict['volume'],
                 price=json_dict['price'],
-                security_type=Inventory.SecurityType[json_dict['security_type']],
-                direction=TransactionSide(json_dict['direction']),
+                security_type=Inventory.SecurityType(json_dict['security_type']),
+                direction=Direction(json_dict['direction']),
                 notional=json_dict['notional'],
                 fee=json_dict.get('fee', 0.),
                 recalled=json_dict.get('recalled', 0.),
@@ -1273,12 +1273,12 @@ class Inventory(object, metaclass=Singleton):
 
     def __call__(self, ticker: str):
         return dict(
-            Long=self.available_volume(ticker=ticker, direction=TransactionSide.LongOpen),
-            Short=self.available_volume(ticker=ticker, direction=TransactionSide.ShortOpen)
+            Long=self.available_volume(ticker=ticker, direction=Direction.DIRECTION_LONG),
+            Short=self.available_volume(ticker=ticker, direction=Direction.DIRECTION_SHORT)
         )
 
-    def recall(self, ticker: str, volume: float, direction: TransactionSide = TransactionSide.LongOpen):
-        key = f'{ticker}.{direction.side_name}'
+    def recall(self, ticker: str, volume: float, direction: Direction = Direction.DIRECTION_LONG):
+        key = f'{ticker}.{direction.name}'
         _ = self._inv.get(key, [])
         to_recall = volume
 
@@ -1300,15 +1300,15 @@ class Inventory(object, metaclass=Singleton):
 
     def add_inv(self, entry: Entry):
         self._tickers.add(entry.ticker)
-        key = f'{entry.ticker}.{entry.direction.side_name}'
+        key = f'{entry.ticker}.{entry.direction.name}'
         _ = self._inv.get(key, [])
 
         _.append(entry)
 
         self._inv[key] = _
 
-    def get_inv(self, ticker: str, direction: TransactionSide = TransactionSide.LongOpen) -> Entry | None:
-        key = f'{ticker}.{direction.side_name}'
+    def get_inv(self, ticker: str, direction: Direction = Direction.DIRECTION_LONG) -> Entry | None:
+        key = f'{ticker}.{direction.name}'
         _ = self._inv.get(key, [])
 
         merged_entry = None
@@ -1320,12 +1320,12 @@ class Inventory(object, metaclass=Singleton):
 
         return merged_entry
 
-    def use_inv(self, ticker: str, volume: float, direction: TransactionSide = TransactionSide.LongOpen):
-        key = f'{ticker}.{direction.side_name}'
+    def use_inv(self, ticker: str, volume: float, direction: Direction = Direction.DIRECTION_LONG):
+        key = f'{ticker}.{direction.name}'
 
         self._traded[key] = self._traded.get(key, 0.) + volume
 
-    def available_volume(self, ticker: str, direction: TransactionSide = TransactionSide.LongOpen) -> float:
+    def available_volume(self, ticker: str, direction: Direction = Direction.DIRECTION_LONG) -> float:
         inv = self.get_inv(ticker=ticker, direction=direction)
 
         if inv is None:
@@ -1393,10 +1393,10 @@ class Inventory(object, metaclass=Singleton):
         inv_dict = {'inv_l': {}, 'inv_s': {}}
 
         for ticker in self._inv:
-            if (long_inv := self.get_inv(ticker=ticker, direction=TransactionSide.LongOpen)) is not None:
+            if (long_inv := self.get_inv(ticker=ticker, direction=Direction.DIRECTION_LONG)) is not None:
                 inv_dict['inv_l'][ticker] = long_inv.volume
 
-            if (short_inv := self.get_inv(ticker=ticker, direction=TransactionSide.ShortOpen)) is not None:
+            if (short_inv := self.get_inv(ticker=ticker, direction=Direction.DIRECTION_SHORT)) is not None:
                 inv_dict['inv_s'][ticker] = short_inv.volume
 
         inv_df = pd.DataFrame(inv_dict)
@@ -1422,8 +1422,8 @@ class Inventory(object, metaclass=Singleton):
         info_dict = {'inv_l': {}, 'inv_s': {}}
 
         for ticker in self.tickers:
-            inv_l = self.get_inv(ticker, TransactionSide.LongOpen)
-            inv_s = self.get_inv(ticker, TransactionSide.ShortOpen)
+            inv_l = self.get_inv(ticker=ticker, direction=Direction.DIRECTION_LONG)
+            inv_s = self.get_inv(ticker=ticker, direction=Direction.DIRECTION_SHORT)
 
             if inv_l is not None:
                 info_dict['inv_l'][ticker] = inv_l.volume

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/algo_engine/strategy/strategy_engine.py

@@ -6,7 +6,7 @@ from functools import cached_property
 
 from . import LOGGER
 from ..backtest import SimMatch, ProgressiveReplay
-from ..base import MarketData, TradeReport, TradeInstruction, TransactionSide
+from ..base import MarketData, TradeReport, TradeInstruction, TransactionSide, TransactionDirection as Direction, TransactionOffset as Offset
 from ..engine import PositionManagementService, TOPIC, EVENT_ENGINE
 
 LOGGER = LOGGER.getChild('Strategy')
@@ -306,7 +306,7 @@ class StrategyEngine(StrategyEngineTemplate):
             return executed, remains
 
         # then it must be
-        side = TransactionSide.Sell_to_Unwind if exposure > 0 else TransactionSide.Buy_to_Cover
+        side = (Direction.DIRECTION_SHORT if exposure > 0 else Direction.DIRECTION_LONG) | Offset.OFFSET_CLOSE
 
         if side.sign > 0:  # short position, buy action
             working_open = working_short
@@ -359,8 +359,8 @@ class StrategyEngine(StrategyEngineTemplate):
             return
 
         if side is None:
-            trade_side = TransactionSide.Buy_to_Long if volume > 0 else TransactionSide.Sell_to_Short
-            LOGGER.warning(f'Trade side of open instruction not specified! Presumed to be {trade_side} by the sign of volume!')
+            side = (Direction.DIRECTION_SHORT if volume > 0 else Direction.DIRECTION_LONG) | Offset.OFFSET_OPEN
+            LOGGER.warning(f'Trade side of open instruction not specified! Presumed to be {side} by the sign of volume!')
 
         algo = self.position_tracker.open(
             ticker=ticker,

{pyalgoengine-0.8.0a2 → pyalgoengine-0.8.0a4}/setup.py

@@ -41,13 +41,45 @@ if os.getenv('GITHUB_ACTIONS') == 'true':
     ext_modules = []
 else:
     # Define Cython extension (use the .pyx file)
-    ext_modules = [
+    from Cython.Build import cythonize
+
+    cython_ext = [
+        Extension(
+            name="algo_engine.base.market_data",
+            sources=["algo_engine/base/market_data.pyx"],
+            extra_compile_args=['-O3', '-flto'],
+            extra_link_args=['-flto', '-s']
+        ),
+        Extension(
+            name="algo_engine.base.transaction",
+            sources=["algo_engine/base/transaction.pyx"],
+            extra_compile_args=['-O3', '-flto'],
+            extra_link_args=['-flto', '-s']
+        ),
+        Extension(
+            name="algo_engine.base.candlestick",
+            sources=["algo_engine/base/candlestick.pyx"],
+            extra_compile_args=['-O3', '-flto'],
+            extra_link_args=['-flto', '-s']
+        ),
         Extension(
-            "algo_engine.base.market_utils_posix",
-            ["algo_engine/base/market_utils_posix.pyx"],
+            name="algo_engine.base.tick",
+            sources=["algo_engine/base/tick.pyx"],
+            extra_compile_args=['-O3', '-flto'],
+            extra_link_args=['-flto', '-s']
         )
     ]
 
+    ext_modules = cythonize(
+        cython_ext,
+        compiler_directives={
+            'language_level': "3",
+            'optimize.use_switch': True,
+            'optimize.unpack_method_calls': True,
+            'binding': False
+        },
+        annotate=False
+    )
 
 long_description = read("README.md")
 

pyalgoengine-0.8.0a2/algo_engine/base/__init__.py

@@ -1,44 +0,0 @@
-import logging
-import os
-
-from .telemetrics import LOGGER
-from ..profile import PROFILE
-
-
-def set_logger(logger: logging.Logger):
-    global LOGGER
-    LOGGER = logger
-
-    if os.name == 'nt':
-        market_utils_nt.LOGGER = logger.getChild('MarketUtils')
-    else:
-        market_utils_posix.LOGGER = logger.getChild('MarketUtils')
-
-    trade_utils.LOGGER = logger.getChild('TradeUtils')
-    technical_analysis.LOGGER = logger.getChild('TA')
-    console_utils.LOGGER = logger.getChild('Console')
-
-
-from .finance_decimal import FinancialDecimal
-
-if os.name == 'nt':
-    from .market_utils_nt import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
-else:
-    from .market_utils_posix import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
-
-    # from .market_utils_posix import OrderType
-    # from .market_utils import TransactionSide, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData
-    # from .market_buffer import MarketDataPointer, MarketDataMemoryBuffer, OrderBookPointer, OrderBookBuffer, BarDataPointer, BarDataBuffer, TickDataPointer, TickDataBuffer, TransactionDataPointer, TransactionDataBuffer
-
-from .technical_analysis import TechnicalAnalysis
-from .trade_utils import OrderState, TradeInstruction, TradeReport
-from .console_utils import Progress, GetInput, GetArgs, count_ordinal, TerminalStyle, InteractiveShell, ShellTransfer
-
-__all__ = ['PROFILE',
-           'FinancialDecimal',
-           'TransactionSide', 'OrderType', 'MarketData', 'OrderBook', 'BarData', 'DailyBar', 'CandleStick', 'TickData', 'TransactionData', 'TradeData', 'OrderData', 'MarketDataBuffer', 'MarketDataRingBuffer',
-           # 'MarketDataMemoryBuffer', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
-           # 'MarketDataPointer', 'OrderBookPointer', 'BarDataPointer', 'TickDataPointer', 'TransactionDataPointer',
-           'TechnicalAnalysis',
-           'OrderState', 'TradeInstruction', 'TradeReport',
-           'Progress', 'GetInput', 'GetArgs', 'count_ordinal', 'TerminalStyle', 'InteractiveShell', 'ShellTransfer']