Qubx 0.1.5__tar.gz → 0.1.6__tar.gz

{qubx-0.1.5 → qubx-0.1.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.1.5
+Version: 0.1.6
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko
@@ -15,17 +15,25 @@ Requires-Dist: croniter (>=2.0.5,<3.0.0)
 Requires-Dist: cython (==3.0.8)
 Requires-Dist: importlib-metadata
 Requires-Dist: loguru (>=0.7.2,<0.8.0)
+Requires-Dist: matplotlib (>=3.8.4,<4.0.0)
 Requires-Dist: ntplib (>=0.4.0,<0.5.0)
+Requires-Dist: numba (>=0.59.1,<0.60.0)
 Requires-Dist: numpy (>=1.26.3,<2.0.0)
+Requires-Dist: pandas (>=2.2.2,<3.0.0)
+Requires-Dist: plotly (>=5.22.0,<6.0.0)
 Requires-Dist: psycopg (>=3.1.18,<4.0.0)
+Requires-Dist: psycopg-binary (>=3.1.19,<4.0.0)
+Requires-Dist: psycopg-pool (>=3.2.2,<4.0.0)
 Requires-Dist: pyarrow (>=15.0.0,<16.0.0)
 Requires-Dist: pydantic (>=1.10.2,<2.0.0)
 Requires-Dist: pymongo (>=4.6.1,<5.0.0)
 Requires-Dist: pytest[lazyfixture] (>=7.2.0,<8.0.0)
 Requires-Dist: python-binance (>=1.0.19,<2.0.0)
 Requires-Dist: python-dotenv (>=1.0.0,<2.0.0)
+Requires-Dist: scikit-learn (>=1.4.2,<2.0.0)
 Requires-Dist: scipy (>=1.12.0,<2.0.0)
 Requires-Dist: stackprinter (>=0.2.10,<0.3.0)
+Requires-Dist: statsmodels (>=0.14.2,<0.15.0)
 Requires-Dist: tqdm
 Project-URL: Repository, https://github.com/dmarienko/Qubx
 Description-Content-Type: text/markdown

{qubx-0.1.5 → qubx-0.1.6}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.1.5"
+version = "0.1.6"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>"]
 readme = "README.md"
@@ -33,6 +33,15 @@ cython = "3.0.8"
 ccxt = "^4.2.68"
 croniter = "^2.0.5"
 psycopg = "^3.1.18"
+pandas = "^2.2.2"
+statsmodels = "^0.14.2"
+matplotlib = "^3.8.4"
+numba = "^0.59.1"
+scikit-learn = "^1.4.2"
+plotly = "^5.22.0"
+psycopg-binary = "^3.1.19"
+psycopg-pool = "^3.2.2"
+
 
 [tool.poetry.group.dev.dependencies]
 pre-commit = "^2.20.0"

{qubx-0.1.5 → qubx-0.1.6}/src/qubx/data/readers.py

@@ -465,15 +465,26 @@ class QuestDBConnector(DataReader):
              chunksize=0,  # TODO: use self._cursor.fetchmany in this case !!!!
              timeframe: str='1m') -> Any:
         start, end = handle_start_stop(start, stop)
-        w0 = f"timestamp >= '{start}'" if start else ''
-        w1 = f"timestamp <= '{end}'" if end else ''
-        where = f'where {w0} and {w1}' if (w0 and w1) else f"where {(w0 or w1)}"
+        _req = self._prepare_data_sql(data_id, start, end, timeframe)
 
+        self._cursor.execute(_req) # type: ignore
+        records = self._cursor.fetchall() # TODO: for chunksize > 0 use fetchmany etc
+
+        names = [d.name for d in self._cursor.description] # type: ignore
+        transform.start_transform(data_id, names)
+
+        transform.process_data(records)
+        return transform.collect()
+
+    def _prepare_data_sql(self, data_id: str, start: str|None, end: str|None, resample: str) -> str:
         # just a temp hack - actually we need to discuss symbology etc
         symbol = data_id#.split('.')[-1]
 
-        self._cursor.execute(
-            f"""
+        w0 = f"timestamp >= '{start}'" if start else ''
+        w1 = f"timestamp <= '{end}'" if end else ''
+        where = f'where {w0} and {w1}' if (w0 and w1) else f"where {(w0 or w1)}"
+
+        return f"""
                 select timestamp, 
                 first(open) as open, 
                 max(high) as high,
@@ -485,21 +496,15 @@ class QuestDBConnector(DataReader):
                 sum(taker_buy_volume) as taker_buy_volume,
                 sum(taker_buy_quote_volume) as taker_buy_quote_volume
                 from "{symbol.upper()}" {where}
-                SAMPLE by {timeframe};
-            """ # type: ignore
-        )
-        records = self._cursor.fetchall() # TODO: for chunksize > 0 use fetchmany etc
-        names = [d.name for d in self._cursor.description]
+                SAMPLE by {resample};
+            """ 
 
-        transform.start_transform(data_id, names)
-        
-        # d = np.array(records)
-        transform.process_data(records)
-        return transform.collect()
+    def _prepare_names_sql(self) -> str:
+        return "select table_name from tables()"
 
     @_retry
     def get_names(self) -> List[str] :
-        self._cursor.execute("select table_name from tables()")
+        self._cursor.execute(self._prepare_names_sql()) # type: ignore
         records = self._cursor.fetchall()
         return [r[0] for r in records]
 
@@ -511,3 +516,48 @@ class QuestDBConnector(DataReader):
             except:
                 pass
 
+
+class SnapshotsBuilder(DataTransformer):
+    """
+    Snapshots assembler from OB updates
+    """
+    def __init__(self, 
+                 levels: int=-1,     # how many levels restore, 1 - TOB, -1 - all
+                 as_frame=False      # result is dataframe
+    ):
+        self.buffer = []
+        self.levels = levels
+        self.as_frame = as_frame
+
+    def start_transform(self, name: str, column_names: List[str]):
+        # initialize buffer / series etc
+        # let's keep restored snapshots into some buffer etc
+        self.buffer = []
+
+        # do additional init stuff here
+
+    def process_data(self, rows_data:List[List]) -> Any:
+        for r in rows_data:
+            # restore snapshots and put into buffer or series
+            pass
+
+    def collect(self) -> Any:
+        # - may be convert it to pandas DataFrame ?
+        if self.as_frame:
+            return pd.DataFrame.from_records(self.buffer) # or custom transform
+
+        # - or just returns as plain list
+        return self.buffer
+
+
+class QuestDBOrderBookConnector(QuestDBConnector):
+    """
+    Example of custom OrderBook data connector 
+    """
+
+    def _prepare_data_sql(self, data_id: str, start: str|None, end: str|None, resample: str|None) -> str:
+        raise NotImplemented("TODO")
+
+    def _prepare_names_sql(self) -> str:
+        # return "select table_name from tables() where ..."
+        raise NotImplemented("TODO")

{qubx-0.1.5 → qubx-0.1.6}/src/qubx/utils/_pyxreloader.py

@@ -5,10 +5,6 @@ from importlib.util import spec_from_file_location
 from importlib.machinery import ExtensionFileLoader, SourceFileLoader
 from typing import List
 
-# - disable warn about deprecation of imp module: after dev stage _pyxreloader will be removed
-import warnings
-warnings.filterwarnings("ignore", category=DeprecationWarning)
-import imp
 
 PYX_EXT = ".pyx"
 PYXDEP_EXT = ".pyxdep"
@@ -49,6 +45,10 @@ def handle_dependencies(pyxfilename):
 
 
 def handle_special_build(modname, pyxfilename):
+    try:
+        import imp
+    except:
+        return None, None
     special_build = os.path.splitext(pyxfilename)[0] + PYXBLD_EXT
     ext = None
     setup_args={}
@@ -135,6 +135,10 @@ def build_module(name, pyxfilename, user_setup_args, pyxbuild_dir=None, inplace=
 
 
 def load_module(name, pyxfilename, pyxbuild_dir=None, is_package=False, build_inplace=False, language_level=None, so_path=None):
+    try:
+        import imp
+    except:
+        return None
     try:
         if so_path is None:
             if is_package:

{qubx-0.1.5 → qubx-0.1.6}/src/qubx/utils/time.py

@@ -1,5 +1,5 @@
 from datetime import datetime
-from typing import List, Optional, Union
+from typing import List, Optional, Tuple, Union
 import numpy as np
 import re
 
@@ -115,7 +115,7 @@ def infer_series_frequency(series: Union[List, pd.DataFrame, pd.Series, pd.Datet
     return np.timedelta64(max(freqs, key=freqs.get))
 
 
-def handle_start_stop(s: Optional[str], e: Optional[str], convert=str) -> tuple:
+def handle_start_stop(s: Optional[str], e: Optional[str], convert=str) -> Tuple[str|None, str|None]:
     """
     Process start/stop times