Qubx 0.0.1__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/ta/indicators.pyx

@@ -0,0 +1,258 @@
+import numpy as np
+cimport numpy as np
+from collections import deque
+
+from qubx.core.series cimport TimeSeries, Indicator, RollingSum, nans
+
+
+cdef extern from "math.h":
+    float INFINITY
+
+
+cdef class Sma(Indicator):
+    """
+    Simple Moving Average indicator
+    """
+    cdef unsigned int period
+    cdef RollingSum summator
+
+    """
+    Simple moving average
+    """
+    def __init__(self, str name, TimeSeries series, int period):
+        self.period = period
+        self.summator = RollingSum(period)
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        cdef double r = self.summator.update(value, new_item_started)
+        return np.nan if self.summator.is_init_stage else r / self.period
+
+
+def sma(series:TimeSeries, period: int): 
+    return Sma.wrap(series, period)
+
+
+cdef class Ema(Indicator):
+    """
+    Exponential moving average
+    """
+    cdef int period
+    cdef np.ndarray __s
+    cdef int __i
+    cdef double alpha
+    cdef double alpha_1
+    cdef unsigned short init_mean 
+    cdef unsigned short _init_stage
+
+    def __init__(self, str name, TimeSeries series, int period, init_mean=True):
+        self.period = period
+
+        # when it's required to initialize this ema by mean on first period
+        self.init_mean = init_mean
+        if init_mean:
+            self.__s = nans(period)
+            self.__i = 0
+
+        self._init_stage = 1
+        self.alpha = 2.0 / (1.0 + period)
+        self.alpha_1 = (1 - self.alpha)
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        cdef int prev_bar_idx = 0 if new_item_started else 1 
+
+        if self._init_stage:
+            if np.isnan(value): return np.nan
+
+            if new_item_started:
+                self.__i += 1
+                if self.__i > self.period - 1:
+                    self._init_stage = False
+                    return self.alpha * value + self.alpha_1 * self[prev_bar_idx]
+
+            if self.__i == self.period - 1:
+                self.__s[self.__i] = value 
+                return np.nansum(self.__s) / self.period
+
+            self.__s[self.__i] = value 
+            return np.nan
+
+        if len(self) == 0:
+            return value
+
+        return self.alpha * value + self.alpha_1 * self[prev_bar_idx]
+
+
+def ema(series:TimeSeries, period: int, init_mean: bool = True):
+    return Ema.wrap(series, period, init_mean=init_mean)
+
+
+cdef class Tema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+    cdef Ema ema3
+
+    def __init__(self, str name, TimeSeries series, int period, init_mean=True):
+        self.period = period
+        self.init_mean = init_mean
+        self.ser0 = TimeSeries('ser0', series.timeframe, series.max_series_length)
+        self.ema1 = ema(self.ser0, period, init_mean)
+        self.ema2 = ema(self.ema1, period, init_mean)
+        self.ema3 = ema(self.ema2, period, init_mean)
+        super().__init__(name, series)
+        
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        self.ser0.update(time, value)
+        return 3 * self.ema1[0] - 3 * self.ema2[0] + self.ema3[0]
+
+
+def tema(series:TimeSeries, period: int, init_mean: bool = True):
+    return Tema.wrap(series, period, init_mean=init_mean)
+
+
+cdef class Dema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+
+    def __init__(self, str name, TimeSeries series, int period, init_mean=True):
+        self.period = period
+        self.init_mean = init_mean
+        self.ser0 = TimeSeries('ser0', series.timeframe, series.max_series_length)
+        self.ema1 = ema(self.ser0, period, init_mean)
+        self.ema2 = ema(self.ema1, period, init_mean)
+        super().__init__(name, series)
+        
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        self.ser0.update(time, value)
+        return 2 * self.ema1[0] - self.ema2[0]
+
+
+def dema(series:TimeSeries, period: int, init_mean: bool = True):
+    return Dema.wrap(series, period, init_mean=init_mean)
+
+
+cdef class Kama(Indicator):
+    cdef int period
+    cdef int fast_span
+    cdef int slow_span
+    cdef double _S1 
+    cdef double _K1 
+    cdef _x_past
+    cdef RollingSum summator
+
+    def __init__(self, str name, TimeSeries series, int period, int fast_span=2, int slow_span=30):
+        self.period = period
+        self.fast_span = fast_span
+        self.slow_span = slow_span
+        self._S1 = 2.0 / (slow_span + 1)
+        self._K1 = 2.0 / (fast_span + 1) - self._S1
+        self._x_past = deque(nans(period+1), period+1)
+        self.summator = RollingSum(period)
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        if new_item_started:
+            self._x_past.append(value)
+        else:
+            self._x_past[-1] = value
+
+        cdef double rs = self.summator.update(abs(value - self._x_past[-2]), new_item_started)
+        cdef double er = abs(value - self._x_past[0]) / rs
+        cdef double sc = (er * self._K1 + self._S1) ** 2
+
+        if self.summator.is_init_stage:
+            if not np.isnan(self._x_past[1]):
+                return value
+            return np.nan
+
+        return sc * value + (1 - sc) * self[0 if new_item_started else 1]
+
+
+def kama(series:TimeSeries, period: int, fast_span:int=2, slow_span:int=30):
+    return Kama.wrap(series, period, fast_span, slow_span)
+
+
+cdef class Highest(Indicator):
+    cdef int period
+    cdef queue
+
+    def __init__(self, str name, TimeSeries series, int period):
+        self.period = period
+        self.queue = deque([np.nan] * period, maxlen=period)
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        """
+        Not a most effictive algo but simplest and can handle updated last value
+        """
+        cdef float r = np.nan
+
+        if not np.isnan(value):
+            if new_item_started:
+                self.queue.append(value)
+            else:
+                self.queue[-1] = value
+
+        if not np.isnan(self.queue[0]):
+            r = max(self.queue) 
+
+        return r
+
+
+def highest(series:TimeSeries, period:int):
+    return Highest.wrap(series, period)
+
+
+cdef class Lowest(Indicator):
+    cdef int period
+    cdef queue
+
+    def __init__(self, str name, TimeSeries series, int period):
+        self.period = period
+        self.queue = deque([np.nan] * period, maxlen=period)
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        """
+        Not a most effictive algo but simplest and can handle updated last value
+        """
+        cdef float r = np.nan
+
+        if not np.isnan(value):
+            if new_item_started:
+                self.queue.append(value)
+            else:
+                self.queue[-1] = value
+
+        if not np.isnan(self.queue[0]):
+            r = min(self.queue) 
+
+        return r
+
+
+def lowest(series:TimeSeries, period:int):
+    return Lowest.wrap(series, period)
+
+
+# - - - - TODO !!!!!!!
+cdef class Std(Indicator):
+    cdef int period
+
+    def __init__(self, str name, TimeSeries series, int period):
+        self.period = period
+        super().__init__(name, series)
+
+    cpdef double calculate(self, long long time, double value, short new_item_started):
+        pass
+
+
+def std(series:TimeSeries, period:int, mean=0):
+    return Std.wrap(series, period)
+# - - - - TODO !!!!!!!

qubx/utils/__init__.py

@@ -0,0 +1,3 @@
+from .time import convert_seconds_to_str, convert_tf_str_td64, floor_t64, time_to_str, infer_series_frequency
+from .misc import install_pyx_recompiler_for_dev, runtime_env, version, Struct
+from .charting.mpl_helpers import set_mpl_theme, fig, sbp, vline, hline, ellips, set_mpl_theme

qubx/utils/_pyxreloader.py

@@ -0,0 +1,271 @@
+import importlib, glob, imp, os, sys
+from importlib.abc import MetaPathFinder
+from importlib.util import spec_from_file_location
+from importlib.machinery import ExtensionFileLoader, SourceFileLoader
+from typing import List
+
+PYX_EXT = ".pyx"
+PYXDEP_EXT = ".pyxdep"
+PYXBLD_EXT = ".pyxbld"
+
+
+def handle_dependencies(pyxfilename):
+    testing = '_test_files' in globals()
+    dependfile = os.path.splitext(pyxfilename)[0] + PYXDEP_EXT
+
+    # by default let distutils decide whether to rebuild on its own
+    # (it has a better idea of what the output file will be)
+
+    # but we know more about dependencies so force a rebuild if
+    # some of the dependencies are newer than the pyxfile.
+    if os.path.exists(dependfile):
+        with open(dependfile) as fid:
+            depends = fid.readlines()
+        depends = [depend.strip() for depend in depends]
+
+        # gather dependencies in the "files" variable
+        # the dependency file is itself a dependency
+        files = [dependfile]
+        for depend in depends:
+            fullpath = os.path.join(os.path.dirname(dependfile),
+                                    depend)
+            files.extend(glob.glob(fullpath))
+
+        # if any file that the pyxfile depends upon is newer than
+        # the pyx file, 'touch' the pyx file so that distutils will
+        # be tricked into rebuilding it.
+        for file in files:
+            from distutils.dep_util import newer
+            if newer(file, pyxfilename):
+                print("Rebuilding %s because of %s", pyxfilename, file)
+                filetime = os.path.getmtime(file)
+                os.utime(pyxfilename, (filetime, filetime))
+
+
+def handle_special_build(modname, pyxfilename):
+    special_build = os.path.splitext(pyxfilename)[0] + PYXBLD_EXT
+    ext = None
+    setup_args={}
+    if os.path.exists(special_build):
+        # globls = {}
+        # locs = {}
+        # execfile(special_build, globls, locs)
+        # ext = locs["make_ext"](modname, pyxfilename)
+        with open(special_build) as fid:
+            mod = imp.load_source("XXXX", special_build, fid)
+        make_ext = getattr(mod,'make_ext',None)
+        if make_ext:
+            ext = make_ext(modname, pyxfilename)
+            assert ext and ext.sources, "make_ext in %s did not return Extension" % special_build
+        make_setup_args = getattr(mod, 'make_setup_args',None)
+        if make_setup_args:
+            setup_args = make_setup_args()
+            assert isinstance(setup_args,dict), ("make_setup_args in %s did not return a dict"
+                                         % special_build)
+        assert set or setup_args, ("neither make_ext nor make_setup_args %s" % special_build)
+        ext.sources = [os.path.join(os.path.dirname(special_build), source) for source in ext.sources]
+    return ext, setup_args
+
+
+def get_distutils_extension(modname, pyxfilename, language_level=None):
+    extension_mod, setup_args = handle_special_build(modname, pyxfilename)
+    if not extension_mod:
+        if not isinstance(pyxfilename, str):
+            # distutils is stupid in Py2 and requires exactly 'str'
+            # => encode accidentally coerced unicode strings back to str
+            pyxfilename = pyxfilename.encode(sys.getfilesystemencoding())
+        from distutils.extension import Extension
+        extension_mod = Extension(name = modname, sources=[pyxfilename])
+        if language_level is not None:
+            extension_mod.cython_directives = {'language_level': language_level}
+    return extension_mod, setup_args
+
+
+def build_module(name, pyxfilename, user_setup_args, pyxbuild_dir=None, inplace=False, language_level=None, 
+                 build_in_temp=False, reload_support=True):
+    assert os.path.exists(pyxfilename), "Path does not exist: %s" % pyxfilename
+    handle_dependencies(pyxfilename)
+
+    extension_mod, setup_args = get_distutils_extension(name, pyxfilename, language_level)
+    build_in_temp = True
+    sargs = user_setup_args.copy() if user_setup_args else dict()
+    sargs.update(setup_args)
+    build_in_temp = sargs.pop('build_in_temp',build_in_temp)
+
+    from pyximport import pyxbuild
+    olddir = os.getcwd()
+    common = ''
+    if pyxbuild_dir:
+        # Windows concatenates the pyxbuild_dir to the pyxfilename when
+        # compiling, and then complains that the filename is too long
+        common = os.path.commonprefix([pyxbuild_dir, pyxfilename])
+    if len(common) > 30:
+        pyxfilename = os.path.relpath(pyxfilename)
+        pyxbuild_dir = os.path.relpath(pyxbuild_dir)
+        os.chdir(common)
+    try:
+        so_path = pyxbuild.pyx_to_dll(pyxfilename, extension_mod,
+                                      force_rebuild=1,
+                                      build_in_temp=build_in_temp,
+                                      pyxbuild_dir=pyxbuild_dir,
+                                      setup_args=sargs,
+                                      inplace=inplace,
+                                      reload_support=reload_support)
+    finally:
+        os.chdir(olddir)
+    so_path = os.path.join(common, so_path)
+    assert os.path.exists(so_path), "Cannot find: %s" % so_path
+
+    junkpath = os.path.join(os.path.dirname(so_path), name+"_*")  #very dangerous with --inplace ? yes, indeed, trying to eat my files ;)
+    junkstuff = glob.glob(junkpath)
+    for path in junkstuff:
+        if path != so_path:
+            try:
+                os.remove(path)
+            except IOError:
+                print("Couldn't remove %s", path)
+
+    return so_path
+
+
+def load_module(name, pyxfilename, pyxbuild_dir=None, is_package=False, build_inplace=False, language_level=None, so_path=None):
+    try:
+        if so_path is None:
+            if is_package:
+                module_name = name + '.__init__'
+            else:
+                module_name = name
+            so_path = build_module(module_name, pyxfilename, pyxbuild_dir, inplace=build_inplace, language_level=language_level)
+        mod = imp.load_dynamic(name, so_path)
+        if is_package and not hasattr(mod, '__path__'):
+            mod.__path__ = [os.path.dirname(so_path)]
+        assert mod.__file__ == so_path, (mod.__file__, so_path)
+    except Exception as failure_exc:
+        print("Failed to load extension module: %r" % failure_exc)
+        # if pyxargs.load_py_module_on_import_failure and pyxfilename.endswith('.py'):
+        if False and pyxfilename.endswith('.py'):
+            # try to fall back to normal import
+            mod = imp.load_source(name, pyxfilename)
+            assert mod.__file__ in (pyxfilename, pyxfilename+'c', pyxfilename+'o'), (mod.__file__, pyxfilename)
+        else:
+            tb = sys.exc_info()[2]
+            import traceback
+            exc = ImportError("Building module %s failed: %s" % (name, traceback.format_exception_only(*sys.exc_info()[:2])))
+            if sys.version_info[0] >= 3:
+                raise exc.with_traceback(tb)
+            else:
+                exec("raise exc, None, tb", {'exc': exc, 'tb': tb})
+    return mod
+
+
+class PyxImportLoader(ExtensionFileLoader):
+
+    def __init__(self, filename, setup_args, pyxbuild_dir, inplace, language_level, reload_support):
+        module_name = os.path.splitext(os.path.basename(filename))[0]
+        super().__init__(module_name, filename)
+        self._pyxbuild_dir = pyxbuild_dir
+        self._inplace = inplace
+        self._language_level = language_level
+        self._setup_args = setup_args 
+        self._reload_support = reload_support
+
+    def create_module(self, spec):
+        try:
+            # print(f"CREATING MODULE: {spec.name} -> {spec.origin}")
+            so_path = build_module(spec.name, pyxfilename=spec.origin, user_setup_args=self._setup_args, pyxbuild_dir=self._pyxbuild_dir,
+                                   inplace=self._inplace, language_level=self._language_level, reload_support=self._reload_support)
+            self.path = so_path
+            spec.origin = so_path
+            return super().create_module(spec)
+        except Exception as failure_exc:
+            # print("LOADING on FAILURE MODULE")
+            # if pyxargs.load_py_module_on_import_failure and spec.origin.endswith('.pyx'):
+            if False and spec.origin.endswith(PYX_EXT):
+                spec = importlib.util.spec_from_file_location(spec.name, spec.origin,
+                                                              loader=SourceFileLoader(spec.name, spec.origin))
+                mod = importlib.util.module_from_spec(spec)
+                assert mod.__file__ in (spec.origin, spec.origin + 'c', spec.origin + 'o'), (mod.__file__, spec.origin)
+                return mod
+            else:
+                tb = sys.exc_info()[2]
+                import traceback
+                exc = ImportError("Building module %s failed: %s" % (
+                    spec.name, traceback.format_exception_only(*sys.exc_info()[:2])))
+                raise exc.with_traceback(tb)
+
+    def exec_module(self, module):
+        try:
+            # print(f"EXEC MODULE: {module}")
+            return super().exec_module(module)
+        except Exception as failure_exc:
+            import traceback
+            print("Failed to load extension module: %r" % failure_exc)
+            raise ImportError("Executing module %s failed %s" % (
+                    module.__file__, traceback.format_exception_only(*sys.exc_info()[:2])))
+
+
+class CustomPyxImportMetaFinder(MetaPathFinder):
+
+    def __init__(self, modules_to_check: List[str], extension=PYX_EXT, setup_args=None, pyxbuild_dir=None, inplace=False, language_level=None, reload_support=True):
+        self.valid_modules = modules_to_check
+        self.pyxbuild_dir = pyxbuild_dir
+        self.inplace = inplace
+        self.language_level = language_level
+        self.extension = extension
+        self.setup_args = setup_args if setup_args else dict()
+        self.reload_support = reload_support
+
+    def find_spec(self, fullname, path, target=None):
+        def _is_valid(module):
+            if not self.valid_modules:
+                return True
+            for m in self.valid_modules:
+                if module.startswith(m):
+                    return True
+            return False
+
+        if not path:
+            path = [os.getcwd()]  # top level import --
+        if "." in fullname:
+            *parents, name = fullname.split(".")
+        else:
+            name = fullname
+        for entry in path:
+            if os.path.isdir(os.path.join(entry, name)):
+                # this module has child modules
+                filename = os.path.join(entry, name, "__init__" + self.extension)
+                submodule_locations = [os.path.join(entry, name)]
+            else:
+                filename = os.path.join(entry, name + self.extension)
+                submodule_locations = None
+            if not os.path.exists(filename):
+                continue
+
+            if not _is_valid(fullname):
+                continue
+
+            return spec_from_file_location(
+                fullname, filename,
+                loader=PyxImportLoader(filename, self.setup_args, self.pyxbuild_dir, self.inplace, self.language_level, self.reload_support),
+                submodule_search_locations=submodule_locations)
+
+        return None  # we don't know how to import this
+
+
+__pyx_finder_installed = False
+
+def pyx_install_loader(modules_to_check: List[str]):
+    import numpy as np
+    import pyximport
+    global __pyx_finder_installed
+
+    if not __pyx_finder_installed:
+        build_dir = os.path.expanduser("~/.pyxbld")
+        setup_args = {'include_dirs': np.get_include()}
+        sys.meta_path.insert(0, CustomPyxImportMetaFinder(
+            modules_to_check,
+            PYX_EXT, setup_args=setup_args, pyxbuild_dir=build_dir, 
+            language_level=3, reload_support=True
+        ))
+        pyximport.install(setup_args=setup_args, build_dir=build_dir, reload_support=True, language_level=3)
+