Qubx 0.1.84__tar.gz → 0.1.86__tar.gz

{qubx-0.1.84 → qubx-0.1.86}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.1.84
+Version: 0.1.86
 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-0.1.84 → qubx-0.1.86}/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-0.1.84 → qubx-0.1.86}/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-0.1.84 → qubx-0.1.86}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.1.84"
+version = "0.1.86"
 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-0.1.84 → qubx-0.1.86}/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-0.1.84 → qubx-0.1.86}/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-0.1.84 → qubx-0.1.86}/src/qubx/core/series.pyx

@@ -142,6 +142,14 @@ cdef class TimeSeries:
     def __len__(self) -> int:
         return len(self.times)
 
+    def loc(self, str t):
+        _t = np.datetime64(t, 'ns').item()
+        ix = int(np.searchsorted(self.times.values, _t, side='right'))
+        ix = min(ix, len(self.values))
+        if ix == 0:
+            raise ValueError(f"Time {t} not found in {self.name} !")
+        return np.datetime64(self.times.values[ix - 1], 'ns'), self.values.values[ix - 1]
+
     def _on_attach_indicator(self, indicator: Indicator, indicator_input: TimeSeries):
         self.calculation_order.append((
             id(indicator_input), indicator, id(indicator)
@@ -169,7 +177,7 @@ cdef class TimeSeries:
             # - disable first notification because first item may be incomplete
             self._is_new_item = False
 
-        elif time - self.times[0] >= self.timeframe:
+        elif (_dt := time - self.times[0]) >= self.timeframe:
             # - add new item
             self._add_new_item(item_start_time, value)
 
@@ -186,6 +194,8 @@ cdef class TimeSeries:
 
             return self._is_new_item
         else:
+            if _dt < 0:
+                raise ValueError(f"Attempt to update past data at {time_to_str(time)} !")
             self._update_last_item(item_start_time, value)
 
         # - update indicators by new data
@@ -300,6 +310,9 @@ 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 +322,7 @@ 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 +331,9 @@ 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 +361,17 @@ 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
 
@@ -729,7 +756,7 @@ cdef class OHLCV(TimeSeries):
             # Here we disable first notification because first item may be incomplete
             self._is_new_item = False
 
-        elif time - self.times[0] >= self.timeframe:
+        elif (_dt := time - self.times[0]) >= self.timeframe:
             b = Bar(bar_start_time, price, price, price, price, volume, bvolume)
 
             # - add new item
@@ -740,6 +767,9 @@ cdef class OHLCV(TimeSeries):
 
             return self._is_new_item
         else:
+            if _dt < 0:
+                raise ValueError(f"Attempt to update past data at {time_to_str(time)} !")
+
             self._update_last_item(bar_start_time, self[0].update(price, volume, bvolume))
 
         # - update indicators by new data

{qubx-0.1.84 → qubx-0.1.86}/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

qubx-0.1.86/src/qubx/math/__init__.py

@@ -0,0 +1 @@
+from .stats import compare_to_norm, percentile_rank, kde

{qubx-0.1.84 → qubx-0.1.86}/src/qubx/math/stats.py

@@ -30,13 +30,30 @@ def compare_to_norm(xs, xranges=None):
     fit = stats.norm.pdf(sorted(xs), _m, _s)
 
     sbp(12, 1)
-    plt.plot(sorted(xs), fit, 'r--', lw=2, label='N(%.2f, %.2f)' % (_m, _s))
-    plt.legend(loc='upper right')
+    plt.plot(sorted(xs), fit, "r--", lw=2, label="N(%.2f, %.2f)" % (_m, _s))
+    plt.legend(loc="upper right")
 
-    sns.kdeplot(xs, color='g', label='Data', shade=True)
+    sns.kdeplot(xs, color="g", label="Data", fill=True)
     if xranges is not None and len(xranges) > 1:
         plt.xlim(xranges)
-    plt.legend(loc='upper right')
+    plt.legend(loc="upper right")
 
     sbp(12, 2)
     stats.probplot(xs, dist="norm", sparams=(_m, _s), plot=plt)
+
+
+def kde(array, cut_down=True, bw_method="scott"):
+    """
+    Kernel dense estimation
+    """
+    from scipy.stats import gaussian_kde
+
+    if cut_down:
+        bins, counts = np.unique(array, return_counts=True)
+        f_mean = counts.mean()
+        f_above_mean = bins[counts > f_mean]
+        if len(f_above_mean) > 0:
+            bounds = [f_above_mean.min(), f_above_mean.max()]
+            array = array[np.bitwise_and(bounds[0] < array, array < bounds[1])]
+
+    return gaussian_kde(array, bw_method=bw_method)