Qubx 0.1.83__tar.gz → 0.1.85__tar.gz

{qubx-0.1.83 → qubx-0.1.85}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.1.83
+Version: 0.1.85
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko
@@ -48,7 +48,11 @@ Description-Content-Type: text/markdown
 ⠀⠀⠱⣜⣀⣀⣈⣦⠃⠀⠀⠀
 
 ```                                          
-### How to run live trading (Only Binance spot tested)
+
+## Installation
+> pip install qubx
+
+## How to run live trading (Only Binance spot tested)
 1. cd experiments/
 2. Edit strategy config file (zero_test.yaml). Testing strategy is just doing flip / flop trading once per minute (trading_allowed should be set for trading)
 3. Modify accounts config file under ./configs/.env and provide your API binance credentials (see example in example-accounts.cfg):
@@ -61,6 +65,6 @@ base_currency = USDT
 4. Run in console (-j key if want to run under jupyter console)
 
 ```
-> python -P ..\src\qubx\utils\runner.py configs\zero_test.yaml -a configs\.env -j 
+> python ..\src\qubx\utils\runner.py configs\zero_test.yaml -a configs\.env -j 
 ```
 

{qubx-0.1.83 → qubx-0.1.85}/README.md

@@ -8,7 +8,11 @@
 ⠀⠀⠱⣜⣀⣀⣈⣦⠃⠀⠀⠀
 
 ```                                          
-### How to run live trading (Only Binance spot tested)
+
+## Installation
+> pip install qubx
+
+## How to run live trading (Only Binance spot tested)
 1. cd experiments/
 2. Edit strategy config file (zero_test.yaml). Testing strategy is just doing flip / flop trading once per minute (trading_allowed should be set for trading)
 3. Modify accounts config file under ./configs/.env and provide your API binance credentials (see example in example-accounts.cfg):
@@ -21,5 +25,5 @@ base_currency = USDT
 4. Run in console (-j key if want to run under jupyter console)
 
 ```
-> python -P ..\src\qubx\utils\runner.py configs\zero_test.yaml -a configs\.env -j 
+> python ..\src\qubx\utils\runner.py configs\zero_test.yaml -a configs\.env -j 
 ```

{qubx-0.1.83 → qubx-0.1.85}/build.py

@@ -103,12 +103,13 @@ def _build_extensions() -> list[Extension]:
         Extension(
             name=str(pyx.relative_to(".")).replace(os.path.sep, ".")[:-4],
             sources=[str(pyx)],
-            include_dirs=[np.get_include()], #, *RUST_INCLUDES],
+            include_dirs=[np.get_include()],  # , *RUST_INCLUDES],
             define_macros=define_macros,
             language="c",
             extra_link_args=extra_link_args,
             extra_compile_args=extra_compile_args,
-        ) for pyx in itertools.chain(Path("src/qubx").rglob("*.pyx"))
+        )
+        for pyx in itertools.chain(Path("src/qubx").rglob("*.pyx"))
     ]
 
 
@@ -159,7 +160,9 @@ def _strip_unneeded_symbols() -> None:
             elif platform.system() == "Darwin":
                 strip_cmd = ["strip", "-x", so]
             else:
-                raise RuntimeError(f"Cannot strip symbols for platform {platform.system()}")
+                raise RuntimeError(
+                    f"Cannot strip symbols for platform {platform.system()}"
+                )
             subprocess.run(
                 strip_cmd,  # type: ignore [arg-type] # noqa
                 check=True,
@@ -176,7 +179,7 @@ def build() -> None:
     # _build_rust_libs()
     # _copy_rust_dylibs_to_project()
 
-    if True: #not PYO3_ONLY:
+    if True:  # not PYO3_ONLY:
         # Create C Extensions to feed into cythonize()
         extensions = _build_extensions()
         distribution = _build_distribution(extensions)
@@ -185,7 +188,7 @@ def build() -> None:
         print("Compiling C extension modules...")
         cmd: build_ext = build_ext(distribution)
         # if PARALLEL_BUILD:
-            # cmd.parallel = os.cpu_count()
+        # cmd.parallel = os.cpu_count()
         cmd.ensure_finalized()
         cmd.run()
 
@@ -198,18 +201,21 @@ def build() -> None:
         _strip_unneeded_symbols()
 
 
+RED, BLUE, GREEN, YLW, RES = "\033[31m", "\033[36m", "\033[32m", "\033[33m", "\033[0m"
 if __name__ == "__main__":
     qubx_platform = toml.load("pyproject.toml")["tool"]["poetry"]["version"]
-    print("\033[36m")
+    print(BLUE)
     print("=====================================================================")
     print(f"Qubx Builder {qubx_platform}")
-    print("=====================================================================\033[0m")
-    print(f"System: {platform.system()} {platform.machine()}")
-    # print(f"Clang:  {_get_clang_version()}")
-    # print(f"Rust:   {_get_rustc_version()}")
-    print(f"Python: {platform.python_version()}")
-    print(f"Cython: {cython_compiler_version}")
-    print(f"NumPy:  {np.__version__}\n")
+    print(
+        "=====================================================================\033[0m"
+    )
+    print(f"System: {GREEN}{platform.system()} {platform.machine()}{RES}")
+    # print(f"Clang:  {GREEN}{_get_clang_version()}{RES}")
+    # print(f"Rust:   {GREEN}{_get_rustc_version()}{RES}")
+    print(f"Python: {GREEN}{platform.python_version()}{RES}")
+    print(f"Cython: {GREEN}{cython_compiler_version}{RES}")
+    print(f"NumPy:  {GREEN}{np.__version__}{RES}\n")
 
     print(f"BUILD_MODE={BUILD_MODE}")
     print(f"BUILD_DIR={BUILD_DIR}")
@@ -222,8 +228,10 @@ if __name__ == "__main__":
     print("Starting build...")
     ts_start = datetime.datetime.now(datetime.timezone.utc)
     build()
-    print(f"Build time: {datetime.datetime.now(datetime.timezone.utc) - ts_start}")
-    print("\033[32m" + "Build completed" + "\033[0m")
+    print(
+        f"Build time: {YLW}{datetime.datetime.now(datetime.timezone.utc) - ts_start}{RES}"
+    )
+    print(GREEN + "Build completed" + RES)
 
 # # See if Cython is installed
 # try:
@@ -262,4 +270,4 @@ if __name__ == "__main__":
 #                 include_path=[np.get_include()]
 #             ),
 #             'cmdclass': {'build_ext': build_ext}
-#         })
+#         })

{qubx-0.1.83 → qubx-0.1.85}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.1.83"
+version = "0.1.85"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>"]
 readme = "README.md"
@@ -52,7 +52,7 @@ pytest = "^7.1.3"
 ipykernel = "^6.29.4"
 
 [build-system]
-requires = ["poetry-core", "setuptools", "numpy>=1.26.3", "cython==3.0.8", "toml>=0.10.2",]
+requires = ["poetry-core", "setuptools", "numpy>=1.26.3", "cython==3.0.8", "toml>=0.10.2"]
 build-backend = "poetry.core.masonry.api"
 
 [tool.poetry.build]

{qubx-0.1.83 → qubx-0.1.85}/src/qubx/__init__.py

@@ -10,13 +10,20 @@ def formatter(record):
     end = record["extra"].get("end", "\n")
     fmt = "<lvl>{message}</lvl>%s" % end
     if record["level"].name in {"WARNING", "SNAKY"}:
-        fmt = "<cyan>{name}</cyan>:<cyan>{function}</cyan>:<cyan>{line}</cyan> - %s" % fmt
+        fmt = (
+            "<cyan>{name}</cyan>:<cyan>{function}</cyan>:<cyan>{line}</cyan> - %s" % fmt
+        )
 
-    prefix = "<green>{time:YYYY-MM-DD HH:mm:ss.SSS}</green> [ <level>%s</level> ] " % record["level"].icon
+    prefix = (
+        "<green>{time:YYYY-MM-DD HH:mm:ss.SSS}</green> [ <level>%s</level> ] "
+        % record["level"].icon
+    )
 
     if record["exception"] is not None:
         # stackprinter.set_excepthook(style='darkbg2')
-        record["extra"]["stack"] = stackprinter.format(record["exception"], style="darkbg")
+        record["extra"]["stack"] = stackprinter.format(
+            record["exception"], style="darkbg"
+        )
         fmt += "\n{extra[stack]}\n"
 
     if record["level"].name in {"TEXT"}:
@@ -25,24 +32,43 @@ def formatter(record):
     return prefix + fmt
 
 
-config = {
-    "handlers": [ {"sink": sys.stdout, "format": "{time} - {message}"}, ],
-    "extra": {"user": "someone"},
-}
+class QubxLogConfig:
 
+    @staticmethod
+    def get_log_level():
+        return os.getenv("QUBX_LOG_LEVEL", "DEBUG")
+
+    @staticmethod
+    def set_log_level(level: str):
+        os.environ["QUBX_LOG_LEVEL"] = level
+        QubxLogConfig.setup_logger(level)
+
+    @staticmethod
+    def setup_logger(level: str | None = None):
+        global logger
+        config = {
+            "handlers": [
+                {"sink": sys.stdout, "format": "{time} - {message}"},
+            ],
+            "extra": {"user": "someone"},
+        }
+        logger.configure(**config)
+        logger.remove(None)
+        level = level or QubxLogConfig.get_log_level()
+        logger.add(sys.stdout, format=formatter, colorize=True, level=level)
+        logger = logger.opt(colors=True)
+
+
+QubxLogConfig.setup_logger()
 
-logger.configure(**config)
-logger.remove(None)
-logger.add(sys.stdout, format=formatter, colorize=True)
-logger = logger.opt(colors=True)
 
 # - global lookup helper
 lookup = GlobalLookup(InstrumentsLookup(), FeesLookup())
 
 
 # registering magic for jupyter notebook
-if runtime_env() in ['notebook', 'shell']:
-    from IPython.core.magic import (Magics, magics_class, line_magic, line_cell_magic)
+if runtime_env() in ["notebook", "shell"]:
+    from IPython.core.magic import Magics, magics_class, line_magic, line_cell_magic
     from IPython import get_ipython
 
     @magics_class
@@ -52,11 +78,11 @@ if runtime_env() in ['notebook', 'shell']:
 
         @line_magic
         def qubxd(self, line: str):
-            self.qubx_setup('dark' + ' ' + line)
+            self.qubx_setup("dark" + " " + line)
 
         @line_magic
         def qubxl(self, line: str):
-            self.qubx_setup('light' + ' ' + line)
+            self.qubx_setup("light" + " " + line)
 
         @line_magic
         def qubx_setup(self, line: str):
@@ -64,25 +90,26 @@ if runtime_env() in ['notebook', 'shell']:
             QUBX framework initialization
             """
             import os
-            args = [x.strip() for x in line.split(' ')]
-            
+
+            args = [x.strip() for x in line.split(" ")]
+
             # setup cython dev hooks - only if 'dev' is passed as argument
-            if line and 'dev' in args: 
+            if line and "dev" in args:
                 install_pyx_recompiler_for_dev()
 
             tpl_path = os.path.join(os.path.dirname(__file__), "_nb_magic.py")
-            with open(tpl_path, 'r', encoding="utf8") as myfile:
+            with open(tpl_path, "r", encoding="utf8") as myfile:
                 s = myfile.read()
 
             exec(s, self.shell.user_ns)
 
             # setup more funcy mpl theme instead of ugly default
             if line:
-                if 'dark' in line.lower():
-                    set_mpl_theme('dark')
+                if "dark" in line.lower():
+                    set_mpl_theme("dark")
 
-                elif 'light' in line.lower():
-                    set_mpl_theme('light')
+                elif "light" in line.lower():
+                    set_mpl_theme("light")
 
             # install additional plotly helpers
             # from qube.charting.plot_helpers import install_plotly_helpers
@@ -91,6 +118,7 @@ if runtime_env() in ['notebook', 'shell']:
         def _get_manager(self):
             if self.__manager is None:
                 import multiprocessing as m
+
                 self.__manager = m.Manager()
             return self.__manager
 
@@ -102,7 +130,7 @@ if runtime_env() in ['notebook', 'shell']:
             >>> %%proc x, y as MyProc1
             >>> x.set('Hello')
             >>> y.set([1,2,3,4])
-            
+
             """
             import multiprocessing as m
             import time, re
@@ -111,8 +139,8 @@ if runtime_env() in ['notebook', 'shell']:
             name = None
             if line:
                 # check if custom process name was provided
-                if ' as ' in line:
-                    line, name = line.split('as')
+                if " as " in line:
+                    line, name = line.split("as")
                     if not name.isspace():
                         name = name.strip()
                     else:
@@ -120,11 +148,11 @@ if runtime_env() in ['notebook', 'shell']:
                         return
 
                 ipy = get_ipython()
-                for a in [x for x in re.split('[\ ,;]', line.strip()) if x]:
+                for a in [x for x in re.split("[\ ,;]", line.strip()) if x]:
                     ipy.push({a: self._get_manager().Value(None, None)})
 
             # code to run
-            lines = '\n'.join(['    %s' % x for x in cell.split('\n')])
+            lines = "\n".join(["    %s" % x for x in cell.split("\n")])
 
             def fn():
                 result = get_ipython().run_cell(lines)
@@ -136,17 +164,18 @@ if runtime_env() in ['notebook', 'shell']:
                 if result.error_in_exec:
                     raise result.error_in_exec
 
-            t_start = str(time.time()).replace('.', '_')
-            f_id = f'proc_{t_start}' if name is None else name
+            t_start = str(time.time()).replace(".", "_")
+            f_id = f"proc_{t_start}" if name is None else name
             if self._is_task_name_already_used(f_id):
                 f_id = f"{f_id}_{t_start}"
 
             task = m.Process(target=fn, name=f_id)
             task.start()
-            print(' -> Task %s is started' % f_id)
+            print(" -> Task %s is started" % f_id)
 
         def _is_task_name_already_used(self, name):
             import multiprocessing as m
+
             for p in m.active_children():
                 if p.name == name:
                     return True
@@ -155,16 +184,17 @@ if runtime_env() in ['notebook', 'shell']:
         @line_magic
         def list_proc(self, line):
             import multiprocessing as m
+
             for p in m.active_children():
                 print(p.name)
 
         @line_magic
         def kill_proc(self, line):
             import multiprocessing as m
+
             for p in m.active_children():
                 if line and p.name.startswith(line):
                     p.terminate()
 
-
     # - registering magic here
     get_ipython().register_magics(QubxMagics)

{qubx-0.1.83 → qubx-0.1.85}/src/qubx/_nb_magic.py

@@ -1,7 +1,6 @@
 """"
 Here stuff we want to have in every Jupyter notebook after calling %qube magic
 """
-import importlib_metadata
 
 import qubx
 from qubx.utils import runtime_env
@@ -15,11 +14,19 @@ def np_fmt_short():
 
 def np_fmt_reset():
     # reset default np printing options
-    np.set_printoptions(edgeitems=3, infstr='inf', linewidth=75, nanstr='nan', precision=8,
-                        suppress=False, threshold=1000, formatter=None)
+    np.set_printoptions(
+        edgeitems=3,
+        infstr="inf",
+        linewidth=75,
+        nanstr="nan",
+        precision=8,
+        suppress=False,
+        threshold=1000,
+        formatter=None,
+    )
 
 
-if runtime_env() in ['notebook', 'shell']:
+if runtime_env() in ["notebook", "shell"]:
 
     # - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
     # -- all imports below will appear in notebook after calling %%alphalab magic ---
@@ -39,19 +46,18 @@ if runtime_env() in ['notebook', 'shell']:
     # - - - - Learn stuff - - - -
     # - - - - Charting stuff - - - -
     from matplotlib import pyplot as plt
-    from qubx.utils.charting.mpl_helpers import fig, subplot, sbp
+    from qubx.utils.charting.mpl_helpers import fig, subplot, sbp, plot_trends, ohlc_plot
 
     # - - - - Utils - - - -
     from qubx.pandaz.utils import scols, srows, ohlc_resample, continuous_periods, generate_equal_date_ranges
 
     # - setup short numpy output format
     np_fmt_short()
-    
+
     # - add project home to system path
     add_project_to_system_path()
 
     # show logo first time
-    if not hasattr(qubx.QubxMagics, '__already_initialized__'):
+    if not hasattr(qubx.QubxMagics, "__already_initialized__"):
         setattr(qubx.QubxMagics, "__already_initialized__", True)
         logo()
-

{qubx-0.1.83 → qubx-0.1.85}/src/qubx/core/series.pxd

@@ -15,7 +15,7 @@ cdef class TimeSeries:
     cdef public long long timeframe
     cdef public Indexed times
     cdef public Indexed values
-    cdef float max_series_length
+    cdef public float max_series_length
     cdef unsigned short _is_new_item
     cdef public str name
     cdef dict indicators        # it's used for indicators caching
@@ -28,8 +28,12 @@ cdef class TimeSeries:
 
 
 cdef class Indicator(TimeSeries):
-    cdef TimeSeries series
-    cdef TimeSeries parent
+    cdef public TimeSeries series
+    cdef public TimeSeries parent
+
+
+cdef class IndicatorOHLC(Indicator):
+    pass
 
 
 cdef class RollingSum:

{qubx-0.1.83 → qubx-0.1.85}/src/qubx/core/series.pyx

@@ -300,6 +300,9 @@ def _wrap_indicator(series: TimeSeries, clz, *args, **kwargs):
 
 
 cdef class Indicator(TimeSeries):
+    """
+    Basic class for indicator that can be attached to TimeSeries
+    """
 
     def __init__(self, str name, TimeSeries series):
         if not name:
@@ -309,7 +312,7 @@ cdef class Indicator(TimeSeries):
         self.name = name
 
         # - we need to make a empty copy and fill it 
-        self.series = TimeSeries(series.name, series.timeframe, series.max_series_length)
+        self.series = self._instantiate_base_series(series.name, series.timeframe, series.max_series_length)
         self.parent = series 
         
         # - notify the parent series that indicator has been attached
@@ -318,6 +321,9 @@ cdef class Indicator(TimeSeries):
         # - recalculate indicator on data as if it would being streamed
         self._initial_data_recalculate(series)
 
+    def _instantiate_base_series(self, str name, long long timeframe, float max_series_length):
+        return TimeSeries(name, timeframe, max_series_length)
+
     def _on_attach_indicator(self, indicator: Indicator, indicator_input: TimeSeries):
         self.parent._on_attach_indicator(indicator, indicator_input)
 
@@ -345,6 +351,17 @@ cdef class Indicator(TimeSeries):
         return _wrap_indicator(series, clz, *args, **kwargs)
 
 
+cdef class IndicatorOHLC(Indicator):
+    """
+    Extension of indicator class to be used for OHLCV series
+    """
+    def _instantiate_base_series(self, str name, long long timeframe, float max_series_length):
+        return OHLCV(name, timeframe, max_series_length)
+
+    def calculate(self, long long time, Bar value, short new_item_started) -> object:
+        raise ValueError("Indicator must implement calculate() method")
+
+
 cdef class Lag(Indicator):
     cdef int period
 

{qubx-0.1.83 → qubx-0.1.85}/src/qubx/core/utils.pyx

@@ -50,5 +50,5 @@ cpdef recognize_timeframe(timeframe):
         tf = np.int64(timeframe.item().total_seconds() * NS) 
 
     else:
-        raise ValueError('Unknown timeframe type !')
+        raise ValueError(f'Unknown timeframe type: {timeframe} !')
     return tf