PyAlgoEngine 0.8.0a3__tar.gz → 0.8.0a5__tar.gz

{pyalgoengine-0.8.0a3 → pyalgoengine-0.8.0a5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a3
+Version: 0.8.0a5
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a3 → pyalgoengine-0.8.0a5}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a3
+Version: 0.8.0a5
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a3 → pyalgoengine-0.8.0a5}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.8.0.alpha3"
+__version__ = "0.8.0.alpha5"
 
 import logging
 import os

{pyalgoengine-0.8.0a3 → pyalgoengine-0.8.0a5}/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-0.8.0a3 → pyalgoengine-0.8.0a5}/algo_engine/base/__init__.py

@@ -40,10 +40,10 @@ if check_cython_module():
     from .transaction import TransactionDirection, TransactionOffset, TransactionSide, OrderType, TransactionData, TradeData, OrderData
     from .tick import TickDataLite, TickData
     from .candlestick import BarData, DailyBar
-elif os.name == 'nt':
-    from .market_utils_nt import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
+    from .market_data_buffer import MarketDataBuffer
 else:
-    from .market_utils_posix import TransactionSide, OrderType, MarketData, OrderBook, BarData, DailyBar, CandleStick, TickData, TransactionData, TradeData, OrderData, MarketDataBuffer, MarketDataRingBuffer
+    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
@@ -52,7 +52,7 @@ from .console_utils import Progress, GetInput, GetArgs, count_ordinal, TerminalS
 __all__ = [
     'PROFILE',
     'FinancialDecimal',
-    'TransactionSide', 'OrderType', 'MarketData', 'BarData', 'DailyBar', 'TickDataLite', 'TickData', 'TransactionData', 'TradeData', 'OrderData',
+    'TransactionDirection', 'TransactionOffset', 'TransactionSide', 'OrderType', 'MarketData', 'BarData', 'DailyBar', 'TickDataLite', 'TickData', 'TransactionData', 'TradeData', 'OrderData', 'MarketDataBuffer',
     # 'MarketDataMemoryBuffer', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
     # 'MarketDataPointer', 'OrderBookPointer', 'BarDataPointer', 'TickDataPointer', 'TransactionDataPointer',
     'TechnicalAnalysis',

{pyalgoengine-0.8.0a3 → pyalgoengine-0.8.0a5}/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-0.8.0a3 → pyalgoengine-0.8.0a5}/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-0.8.0a3 → pyalgoengine-0.8.0a5}/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-0.8.0a3 → pyalgoengine-0.8.0a5}/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,