PyAlgoEngine 0.8.0a7__tar.gz → 0.8.0a10__tar.gz

{pyalgoengine-0.8.0a7 → pyalgoengine-0.8.0a10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a7
+Version: 0.8.0a10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a7 → pyalgoengine-0.8.0a10}/PyAlgoEngine.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: PyAlgoEngine
-Version: 0.8.0a7
+Version: 0.8.0a10
 Summary: Basic algo engine
 Home-page: https://github.com/BolunHan/PyAlgoEngine
 Author: Bolun.Han

{pyalgoengine-0.8.0a7 → pyalgoengine-0.8.0a10}/PyAlgoEngine.egg-info/SOURCES.txt

@@ -26,13 +26,18 @@ algo_engine/backtest/metrics.py
 algo_engine/backtest/replay.py
 algo_engine/backtest/sim_match.py
 algo_engine/base/__init__.py
+algo_engine/base/candlestick.pyi
 algo_engine/base/console_utils.py
 algo_engine/base/finance_decimal.py
+algo_engine/base/market_data.pyi
+algo_engine/base/market_data_buffer.pyi
 algo_engine/base/market_utils_nt.py
 algo_engine/base/market_utils_posix.py
 algo_engine/base/technical_analysis.py
 algo_engine/base/telemetrics.py
-algo_engine/base/trade_utils.py
+algo_engine/base/tick.pyi
+algo_engine/base/trade_utils.pyi
+algo_engine/base/transaction.pyi
 algo_engine/engine/__init__.py
 algo_engine/engine/algo_engine.py
 algo_engine/engine/event_engine.py

{pyalgoengine-0.8.0a7 → pyalgoengine-0.8.0a10}/algo_engine/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.8.0.alpha7"
+__version__ = "0.8.0.alpha10"
 
 import logging
 import os

{pyalgoengine-0.8.0a7 → pyalgoengine-0.8.0a10}/algo_engine/base/__init__.py

@@ -9,19 +9,13 @@ 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', 'market_data_buffer']:
+def check_cython_module(cython_module) -> bool:
+    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}'):
             if file.name.startswith(name):
@@ -35,24 +29,29 @@ def check_cython_module() -> bool:
 
 from .finance_decimal import FinancialDecimal
 
-if check_cython_module():
+if check_cython_module(['market_data', 'transaction', 'tick', 'candlestick', 'market_data_buffer']):
     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
-    from .market_data_buffer import MarketDataBuffer
+    from .market_data_buffer import MarketDataBuffer, MarketDataRingBuffer, MarketDataConcurrentBuffer
 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)
 
+if check_cython_module(['trade_utils']):
+    from .trade_utils import OrderState, TradeInstruction, TradeReport
+else:
+    import_cmd = f'from .trade_utils_native import OrderState, TradeInstruction, TradeReport'
+    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', 'MarketDataBuffer',
+    'TransactionDirection', 'TransactionOffset', 'TransactionSide', 'OrderType', 'MarketData', 'BarData', 'DailyBar', 'TickDataLite', 'TickData', 'TransactionData', 'TradeData', 'OrderData', 'MarketDataBuffer', 'MarketDataRingBuffer', 'MarketDataConcurrentBuffer',
     # 'MarketDataMemoryBuffer', 'OrderBookBuffer', 'BarDataBuffer', 'TickDataBuffer', 'TransactionDataBuffer',
     # 'MarketDataPointer', 'OrderBookPointer', 'BarDataPointer', 'TickDataPointer', 'TransactionDataPointer',
     'TechnicalAnalysis',

pyalgoengine-0.8.0a10/algo_engine/base/candlestick.pyi

@@ -0,0 +1,111 @@
+from __future__ import annotations
+
+from datetime import date, datetime, timedelta
+from typing import Any, Dict, Literal
+
+from .market_data import MarketData
+
+
+class BarData(MarketData):
+    _additional: Dict[str, Any]
+
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            high_price: float,
+            low_price: float,
+            open_price: float,
+            close_price: float,
+            volume: float = ...,
+            notional: float = ...,
+            trade_count: int = ...,
+            start_timestamp: float = ...,
+            bar_span: timedelta | float | None = ...,
+            **kwargs: Any
+    ) -> None: ...
+
+    @classmethod
+    def from_buffer(cls, buffer: bytes | memoryview) -> BarData: ...
+
+    @classmethod
+    def from_bytes(cls, data: bytes) -> BarData: ...
+
+    def __copy__(self) -> BarData: ...
+
+    @property
+    def high_price(self) -> float: ...
+
+    @property
+    def low_price(self) -> float: ...
+
+    @property
+    def open_price(self) -> float: ...
+
+    @property
+    def close_price(self) -> float: ...
+
+    @property
+    def volume(self) -> float: ...
+
+    @property
+    def notional(self) -> float: ...
+
+    @property
+    def trade_count(self) -> int: ...
+
+    @property
+    def start_timestamp(self) -> float: ...
+
+    @property
+    def bar_span_seconds(self) -> float: ...
+
+    @property
+    def bar_span(self) -> timedelta: ...
+
+    @property
+    def vwap(self) -> float: ...
+
+    @property
+    def bar_type(self) -> Literal['Hourly-Plus', 'Hourly', 'Minute-Plus', 'Minute', 'Sub-Minute']: ...
+
+    @property
+    def bar_end_time(self) -> datetime: ...
+
+    @property
+    def bar_start_time(self) -> datetime: ...
+
+
+class DailyBar(BarData):
+    def __init__(
+            self,
+            ticker: str,
+            market_date: date,
+            high_price: float,
+            low_price: float,
+            open_price: float,
+            close_price: float,
+            volume: float = ...,
+            notional: float = ...,
+            trade_count: int = ...,
+            bar_span: int = ...,
+            **kwargs: Any
+    ) -> None: ...
+
+    @property
+    def market_date(self) -> date: ...
+
+    @property
+    def market_time(self) -> date: ...
+
+    @property
+    def bar_start_time(self) -> date: ...
+
+    @property
+    def bar_end_time(self) -> date: ...
+
+    @property
+    def bar_span(self) -> timedelta: ...
+
+    @property
+    def bar_type(self) -> Literal['Daily', 'Daily-Plus']: ...

pyalgoengine-0.8.0a10/algo_engine/base/market_data.pyi

@@ -0,0 +1,47 @@
+import enum
+from datetime import datetime
+from typing import Any
+
+
+class PyDataType(enum.IntEnum):
+    DTYPE_UNKNOWN: int
+    DTYPE_MARKET_DATA: int
+    DTYPE_TRANSACTION: int
+    DTYPE_ORDER: int
+    DTYPE_TICK_LITE: int
+    DTYPE_TICK: int
+    DTYPE_BAR: int
+
+
+class MarketData:
+    _additional: dict[str, Any]
+
+    def __init__(self, ticker: str, timestamp: float, **kwargs: Any) -> None: ...
+
+    @classmethod
+    def from_buffer(cls, buffer: bytes) -> 'MarketData': ...
+
+    @classmethod
+    def from_bytes(cls, data: bytes) -> 'MarketData': ...
+
+    def __copy__(self) -> 'MarketData': ...
+
+    def to_bytes(self) -> bytes: ...
+
+    @property
+    def ticker(self) -> str: ...
+
+    @property
+    def timestamp(self) -> float: ...
+
+    @property
+    def dtype(self) -> int: ...
+
+    @property
+    def topic(self) -> str: ...
+
+    @property
+    def market_time(self) -> datetime: ...
+
+    @property
+    def market_price(self) -> float: ...

pyalgoengine-0.8.0a10/algo_engine/base/market_data_buffer.pyi

@@ -0,0 +1,87 @@
+from __future__ import annotations
+
+from typing import Any
+
+from .candlestick import BarData
+from .market_data import MarketData
+from .tick import TickData, TickDataLite
+from .transaction import TransactionData, OrderData
+
+
+class MarketDataBuffer:
+    def __init__(
+            self,
+            buffer: Any,
+            dtype: int = ...,
+            capacity: int = ...
+    ) -> None: ...
+
+    @classmethod
+    def from_buffer(cls, buffer: Any) -> MarketDataBuffer: ...
+
+    @classmethod
+    def from_bytes(cls, data: bytes, buffer: Any) -> MarketDataBuffer: ...
+
+    def push(self, market_data: MarketData) -> None: ...
+
+    def sort(self, inplace: bool = ...) -> None: ...
+
+    def to_bytes(self) -> bytes: ...
+
+    def update(self, dtype: int, **kwargs: dict[str, Any]) -> None: ...
+
+    def __iter__(self) -> MarketDataBuffer: ...
+
+    def __next__(self) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
+
+    def __len__(self) -> int: ...
+
+
+class MarketDataRingBuffer(MarketDataBuffer):
+    def __init__(
+            self,
+            buffer: Any,
+            dtype: int = ...,
+            capacity: int = ...
+    ) -> None: ...
+
+    def is_empty(self) -> bool: ...
+
+    def is_full(self) -> bool: ...
+
+    def put(self, market_data: MarketData) -> None: ...
+
+    def get(self, idx: int) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
+
+    def listen(self) -> MarketData | TransactionData | OrderData | TickDataLite | TickData | BarData: ...
+
+    @property
+    def head(self) -> int: ...
+
+    @property
+    def tail(self) -> int: ...
+
+    @property
+    def count(self) -> int: ...
+
+
+class MarketDataConcurrentBuffer(MarketDataBuffer):
+    def __init__(
+            self,
+            buffer: Any,
+            n_workers: int,
+            dtype: int = ...,
+            capacity: int = ...
+    ) -> None: ...
+
+    def is_empty(self, worker_id: int) -> bool: ...
+
+    def is_empty_all(self) -> bool: ...
+
+    def is_full(self) -> bool: ...
+
+    def put(self, market_data: MarketData) -> None: ...
+
+    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: ...

pyalgoengine-0.8.0a10/algo_engine/base/tick.pyi

@@ -0,0 +1,110 @@
+from collections.abc import Sequence
+from typing import Any
+
+from .market_data import MarketData
+
+
+class TickDataLite(MarketData):
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            last_price: float,
+            bid_price: float,
+            bid_volume: float,
+            ask_price: float,
+            ask_volume: float,
+            total_traded_volume: float = ...,
+            total_traded_notional: float = ...,
+            total_trade_count: int = ...,
+            **kwargs: Any
+    ) -> None: ...
+
+    @property
+    def last_price(self) -> float: ...
+
+    @property
+    def bid_price(self) -> float: ...
+
+    @property
+    def bid_volume(self) -> float: ...
+
+    @property
+    def ask_price(self) -> float: ...
+
+    @property
+    def ask_volume(self) -> float: ...
+
+    @property
+    def total_traded_volume(self) -> float: ...
+
+    @property
+    def total_traded_notional(self) -> float: ...
+
+    @property
+    def total_trade_count(self) -> int: ...
+
+    @property
+    def mid_price(self) -> float: ...
+
+    @property
+    def spread(self) -> float: ...
+
+    @property
+    def market_price(self) -> float: ...
+
+
+class OrderBook:
+    side: int
+    sorted: bool
+
+    def __init__(
+            self,
+            side: int | None = ...,
+            price: Sequence[float] | None = ...,
+            volume: Sequence[float] | None = ...,
+            n_orders: Sequence[int] | None = ...,
+            is_sorted: bool = ...
+    ) -> None: ...
+
+    def __iter__(self) -> OrderBook: ...
+
+    def __next__(self) -> tuple[float, float, int]: ...
+
+    def at_price(self, price: float) -> tuple[float, float, float]: ...
+
+    def at_level(self, index: int) -> tuple[float, float, float]: ...
+
+    def sort(self) -> None: ...
+
+    def to_bytes(self) -> bytes: ...
+
+    @property
+    def price(self) -> list[float]: ...
+
+    @property
+    def volume(self) -> list[float]: ...
+
+    @property
+    def n_orders(self) -> list[int]: ...
+
+
+class TickData(TickDataLite):
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            last_price: float,
+            total_traded_volume: float = ...,
+            total_traded_notional: float = ...,
+            total_trade_count: int = ...,
+            **kwargs: Any
+    ) -> None: ...
+
+    def parse(self, kwargs: dict[str, Any]) -> None: ...
+
+    @property
+    def bid(self) -> OrderBook: ...
+
+    @property
+    def ask(self) -> OrderBook: ...

pyalgoengine-0.8.0a10/algo_engine/base/trade_utils.pyi

@@ -0,0 +1,221 @@
+from __future__ import annotations
+
+import enum
+import uuid
+from datetime import datetime
+
+from .market_data import MarketData
+from .transaction import OrderType, TransactionSide, TransactionData
+
+
+class OrderState(enum.IntEnum):
+    STATE_UNKNOWN: int
+    STATE_REJECTED: int
+    STATE_INVALID: int
+    STATE_PENDING: int
+    STATE_SENT: int
+    STATE_PLACED: int
+    STATE_PARTFILLED: int
+    STATE_FILLED: int
+    STATE_CANCELING: int
+    STATE_CANCELED: int
+
+    UNKNOWN: int
+    Rejected: int
+    Invalid: int
+    Pending: int
+    Sent: int
+    Placed: int
+    PartFilled: int
+    Filled: int
+    Canceling: int
+    Canceled: int
+
+    def __hash__(self) -> int: ...
+
+    @property
+    def is_working(self) -> bool: ...
+
+    @property
+    def is_done(self) -> bool: ...
+
+
+class TradeReport(MarketData):
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            price: float,
+            volume: float,
+            side: int,
+            notional: float = ...,
+            multiplier: float = ...,
+            fee: float = ...,
+            order_id: str | int | bytes | uuid.UUID | None = ...,
+            trade_id: str | int | bytes | uuid.UUID | None = ...,
+            **kwargs
+    ) -> None: ...
+
+    def __eq__(self, other: TradeReport) -> bool: ...
+
+    def __repr__(self) -> str: ...
+
+    def reset_order_id(self, order_id: str | int | bytes | uuid.UUID | None = ...) -> TradeReport: ...
+
+    def reset_trade_id(self, trade_id: str | int | bytes | uuid.UUID | None = ...) -> TradeReport: ...
+
+    @classmethod
+    def from_buffer(cls, buffer: bytes) -> TradeReport: ...
+
+    @classmethod
+    def from_bytes(cls, data: bytes) -> TradeReport: ...
+
+    def copy(self) -> TradeReport: ...
+
+    def to_trade(self) -> TransactionData: ...
+
+    @property
+    def price(self) -> float: ...
+
+    @property
+    def volume(self) -> float: ...
+
+    @property
+    def side_int(self) -> int: ...
+
+    @property
+    def side(self) -> TransactionSide: ...
+
+    @property
+    def multiplier(self) -> float: ...
+
+    @property
+    def notional(self) -> float: ...
+
+    @property
+    def fee(self) -> float: ...
+
+    @property
+    def trade_id(self) -> str | int | bytes | uuid.UUID | None: ...
+
+    @property
+    def order_id(self) -> str | int | bytes | uuid.UUID | None: ...
+
+    @property
+    def market_price(self) -> float: ...
+
+    @property
+    def volume_flow(self) -> float: ...
+
+    @property
+    def notional_flow(self) -> float: ...
+
+    @property
+    def trade_time(self) -> datetime: ...
+
+
+class TradeInstruction(MarketData):
+    _dtype: int
+    trades: dict[str | int | bytes | uuid.UUID, TradeReport]
+
+    def __init__(
+            self,
+            ticker: str,
+            timestamp: float,
+            side: int,
+            volume: float,
+            order_type: int = ...,
+            limit_price: float = ...,
+            multiplier: float = ...,
+            order_id: str | int | bytes | uuid.UUID | None = ...,
+            **kwargs
+    ) -> None: ...
+
+    def __eq__(self, other: TradeInstruction) -> bool: ...
+
+    def __repr__(self) -> str: ...
+
+    @classmethod
+    def from_buffer(cls, buffer: bytes) -> TradeInstruction: ...
+
+    @classmethod
+    def from_bytes(cls, data: bytes) -> TradeInstruction: ...
+
+    def __copy__(self) -> TradeInstruction: ...
+
+    def reset(self) -> TradeInstruction: ...
+
+    def reset_order_id(self, order_id: str | int | bytes | uuid.UUID | None = ...) -> TradeInstruction: ...
+
+    def set_order_state(self, order_state: int, timestamp: float = ...) -> TradeInstruction: ...
+
+    def fill(self, trade_report: TradeReport) -> TradeInstruction: ...
+
+    def add_trade(self, trade_report: TradeReport) -> TradeInstruction: ...
+
+    def cancel_order(self, timestamp: float = ...) -> TradeInstruction: ...
+
+    def canceled(self, timestamp: float = ...) -> TradeInstruction: ...
+
+    @property
+    def is_working(self) -> bool: ...
+
+    @property
+    def is_done(self) -> bool: ...
+
+    @property
+    def limit_price(self) -> float: ...
+
+    @property
+    def volume(self) -> float: ...
+
+    @property
+    def side_int(self) -> int: ...
+
+    @property
+    def side(self) -> TransactionSide: ...
+
+    @property
+    def order_type_int(self) -> int: ...
+
+    @property
+    def order_type(self) -> OrderType: ...
+
+    @property
+    def order_state_int(self) -> int: ...
+
+    @property
+    def order_state(self) -> OrderState: ...
+
+    @property
+    def multiplier(self) -> float: ...
+
+    @property
+    def filled_volume(self) -> float: ...
+
+    @property
+    def working_volume(self) -> float: ...
+
+    @property
+    def filled_notional(self) -> float: ...
+
+    @property
+    def fee(self) -> float: ...
+
+    @property
+    def order_id(self) -> str | int | bytes | uuid.UUID | None: ...
+
+    @property
+    def average_price(self) -> float: ...
+
+    @property
+    def start_time(self) -> datetime: ...
+
+    @property
+    def placed_time(self) -> datetime | None: ...
+
+    @property
+    def canceled_time(self) -> datetime | None: ...
+
+    @property
+    def finished_time(self) -> datetime | None: ...