Qubx 0.1.86__tar.gz → 0.1.88__tar.gz

{qubx-0.1.86 → qubx-0.1.88}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.1.86
+Version: 0.1.88
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.1.86 → qubx-0.1.88}/build.py

@@ -17,6 +17,8 @@ from Cython.Compiler.Version import version as cython_compiler_version
 from setuptools import Distribution
 from setuptools import Extension
 
+RED, BLUE, GREEN, YLW, RES = "\033[31m", "\033[36m", "\033[32m", "\033[33m", "\033[0m"
+
 
 BUILD_MODE = os.getenv("BUILD_MODE", "release")
 PROFILE_MODE = bool(os.getenv("PROFILE_MODE", ""))
@@ -95,13 +97,13 @@ def _build_extensions() -> list[Extension]:
             "WS2_32.Lib",
         ]
 
-    print("Creating C extension modules...")
+    print(f">> {GREEN} Creating C extension modules...{RES}")
     print(f"define_macros={define_macros}")
     print(f"extra_compile_args={extra_compile_args}")
 
     return [
         Extension(
-            name=str(pyx.relative_to(".")).replace(os.path.sep, ".")[:-4],
+            name=str(pyx.relative_to("src")).replace(os.path.sep, ".")[:-4],
             sources=[str(pyx)],
             include_dirs=[np.get_include()],  # , *RUST_INCLUDES],
             define_macros=define_macros,
@@ -138,7 +140,7 @@ def _build_distribution(extensions: list[Extension]) -> Distribution:
 def _copy_build_dir_to_project(cmd: build_ext) -> None:
     # Copy built extensions back to the project tree
     for output in cmd.get_outputs():
-        relative_extension = Path(output).relative_to(cmd.build_lib)
+        relative_extension = Path("src") / Path(output).relative_to(cmd.build_lib)
         if not Path(output).exists():
             continue
 
@@ -148,21 +150,19 @@ def _copy_build_dir_to_project(cmd: build_ext) -> None:
         mode |= (mode & 0o444) >> 2
         relative_extension.chmod(mode)
 
-    print("Copied all compiled dynamic library files into source")
+    print(f" >> {GREEN}Copied all compiled dynamic library files into source{RES}")
 
 
 def _strip_unneeded_symbols() -> None:
     try:
-        print("Stripping unneeded symbols from binaries...")
+        print(f" >> {YLW}Stripping unneeded symbols from binaries...{RES}")
         for so in itertools.chain(Path("src/qubx").rglob("*.so")):
             if platform.system() == "Linux":
                 strip_cmd = ["strip", "--strip-unneeded", so]
             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,
@@ -185,7 +185,7 @@ def build() -> None:
         distribution = _build_distribution(extensions)
 
         # Build and run the command
-        print("Compiling C extension modules...")
+        print(f">> {GREEN} Compiling C extension modules...{RES}")
         cmd: build_ext = build_ext(distribution)
         # if PARALLEL_BUILD:
         # cmd.parallel = os.cpu_count()
@@ -201,15 +201,12 @@ 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(BLUE)
     print("=====================================================================")
     print(f"Qubx Builder {qubx_platform}")
-    print(
-        "=====================================================================\033[0m"
-    )
+    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}")
@@ -225,12 +222,10 @@ if __name__ == "__main__":
     print(f"COPY_TO_SOURCE={COPY_TO_SOURCE}")
     # print(f"PYO3_ONLY={PYO3_ONLY}\n")
 
-    print("Starting build...")
+    print(f">> {GREEN}Starting build...{RES}")
     ts_start = datetime.datetime.now(datetime.timezone.utc)
     build()
-    print(
-        f"Build time: {YLW}{datetime.datetime.now(datetime.timezone.utc) - ts_start}{RES}"
-    )
+    print(f"Build time: {YLW}{datetime.datetime.now(datetime.timezone.utc) - ts_start}{RES}")
     print(GREEN + "Build completed" + RES)
 
 # # See if Cython is installed

{qubx-0.1.86 → qubx-0.1.88}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.1.86"
+version = "0.1.88"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>"]
 readme = "README.md"
@@ -66,4 +66,4 @@ pytest-mock = "*"
 
 
 [tool.pytest.ini_options]
-pythonpath = ["src"]
+pythonpath = ["src"]

{qubx-0.1.86 → qubx-0.1.88}/src/qubx/ta/indicators.pyx

@@ -274,7 +274,8 @@ cdef class Pewma(Indicator):
     cdef double alpha, beta
     cdef int T
 
-    cdef double _mean, _std, _var
+    cdef double _mean, _vstd, _var
+    cdef double mean, vstd, var
     cdef long _i
 
     def __init__(self, str name, TimeSeries series, double alpha, double beta, int T):
@@ -287,34 +288,51 @@ cdef class Pewma(Indicator):
         self.std = TimeSeries('std', series.timeframe, series.max_series_length)
         super().__init__(name, series)
 
+    def _store(self):
+        self.mean = self._mean
+        self.vstd = self._vstd
+        self.var = self._var
+
+    def _restore(self):
+        self._mean = self.mean
+        self._vstd = self.vstd
+        self._var = self.var
+
+    def _get_alpha(self, p_t):
+        if self._i - 1 > self.T:
+            return self.alpha * (1.0 - self.beta * p_t)
+        return 1.0 - 1.0 / self._i
+
     cpdef double calculate(self, long long time, double x, short new_item_started):
-        cdef double diff, p, a_t, incr, v
+        cdef double diff, p_t, a_t, incr
 
-        if self._i < 1:
+        if len(self.series) <= 1:
             self._mean = x
-            self._std = 0.0
+            self._vstd = 0.0
             self._var = 0.0
-            incr = 0.0
-            v = 0.0
-        else:
-            diff = x - self._mean
-            # prob of observing diff
-            p = norm_pdf(diff / self._std) if self._std != 0.0 else 0.0  
-
-            # weight to give to this point
-            a_t = self.alpha * (1 - self.beta * p) if self._i > self.T else (1.0 - 1.0 / self._i)  
-            incr = (1.0 - a_t) * diff
-            v = a_t * (self._var + diff * incr)
-            self.std.update(time, np.sqrt(v))
+            self._store()
+            self.std.update(time, self.vstd)
+            return self.mean
 
         if new_item_started:
-            self._mean += incr
             self._i += 1
-            self._var = v
-            self._std = np.sqrt(v)
-            self.std.update(time, self._std)
+            self._restore()
+        else:
+            self._store()
+
+        diff = x - self.mean
+        # prob of observing diff
+        p_t = norm_pdf(diff / self.vstd) if self.vstd != 0.0 else 0.0  
+
+        # weight to give to this point
+        a_t = self._get_alpha(p_t)  
+        incr = (1.0 - a_t) * diff
+        self.mean += incr
+        self.var = a_t * (self.var + diff * incr)
+        self.vstd = np.sqrt(self.var)
+        self.std.update(time, self.vstd)
 
-        return self._mean
+        return self.mean
 
 
 def pewma(series:TimeSeries, alpha: float, beta: float, T:int=30):
@@ -326,14 +344,13 @@ def pewma(series:TimeSeries, alpha: float, beta: float, T:int=30):
 
 
 cdef class PewmaOutliersDetector(Indicator):
-    cdef public TimeSeries upper
-    cdef public TimeSeries lower
-    cdef public TimeSeries outliers
+    cdef public TimeSeries upper, lower, outliers, std
     cdef double alpha, beta, threshold
     cdef int T
 
     cdef long _i
-    cdef double _z_thr, _mean, _variance,_std
+    cdef double mean, vstd, variance
+    cdef double _mean, _vstd, _variance, _z_thr
 
     def __init__(self, str name, TimeSeries series, double alpha, double beta, int T, double threshold):
         self.alpha = alpha 
@@ -344,44 +361,43 @@ cdef class PewmaOutliersDetector(Indicator):
         # - series
         self.upper = TimeSeries('uba', series.timeframe, series.max_series_length)
         self.lower = TimeSeries('lba', series.timeframe, series.max_series_length)
+        self.std = TimeSeries('std', series.timeframe, series.max_series_length)
         self.outliers = TimeSeries('outliers', series.timeframe, series.max_series_length)
 
         # - local variables
         self._i = 0
         self._z_thr = ndtri(1 - threshold / 2)
 
-        self._mean = 0.0
-        self._variance = 0.0
-        self._std = 0.0
         super().__init__(name, series)
 
-    cdef double _get_alpha(self, double p_t):
-        if self._i == 0:
-            return 0.0
+    def _store(self):
+        self.mean = self._mean
+        self.vstd = self._vstd
+        self.variance = self._variance
 
-        if self._i < self.T:
-            return 1.0 - 1.0 / self._i
+    def _restore(self):
+        self._mean = self.mean
+        self._vstd = self.vstd
+        self._variance = self.variance
 
-        return self.alpha * (1.0 - self.beta * p_t)
+    cdef double _get_alpha(self, double p_t):
+        if self._i + 1 >= self.T:
+            return self.alpha * (1.0 - self.beta * p_t)
+        return 1.0 - 1.0 / (self._i + 1.0)
 
     cdef double _get_mean(self, double x, double alpha_t):
-        return alpha_t * self._mean + (1.0 - alpha_t) * x
+        return alpha_t * self.mean + (1.0 - alpha_t) * x
 
     cdef double _get_variance(self, double x, double alpha_t):
-        return alpha_t * self._variance + (1.0 - alpha_t) * np.square(x)
+        return alpha_t * self.variance + (1.0 - alpha_t) * np.square(x)
 
     cdef double _get_std(self, double variance, double mean):
         return np.sqrt(max(variance - np.square(mean), 0.0))
 
     cdef double _get_p(self, double x):
-        cdef double z_t = 0.0
-        cdef double p_t
-
-        if self._i != 1:
-            z_t = ((x - self._mean) / self._std) if (self._std != 0 and not np.isnan(x)) else 0.0
-
+        cdef double z_t = ((x - self.mean) / self.vstd) if (self.vstd != 0 and not np.isnan(x)) else 0.0
         # if self.dist == 'normal':
-        p_t = norm_pdf(z_t)
+        # p_t = norm_pdf(z_t)
         # elif self.dist == 'cauchy':
         #     p_t = (1 / (np.pi * (1 + np.square(z_t))))
         # elif self.dist == 'student_t':
@@ -389,31 +405,45 @@ cdef class PewmaOutliersDetector(Indicator):
         #           (np.sqrt(self.count - 1) * np.sqrt(np.pi) * np.exp(np.math.lgamma(0.5 * (self.count - 1))))
         # else:
         #     raise ValueError('Invalid distribution type')
-        return p_t
+        return norm_pdf(z_t)
 
     cpdef double calculate(self, long long time, double x, short new_item_started):
+        # - first bar - just use it as initial value
+        if len(self.series) <= 1:
+            self._mean = x
+            self._variance = x ** 2
+            self._vstd = 0.0
+            self._store()
+            self.std.update(time, self.vstd)
+            self.upper.update(time, x)
+            self.lower.update(time, x)
+            return self._mean
+
+        # - new bar is started use n-1 values for calculate innovations
+        if new_item_started:
+            self._i += 1
+            self._restore()
+        else:
+            self._store()
+
         cdef double p_t = self._get_p(x)
         cdef double alpha_t = self._get_alpha(p_t)
-        cdef double mean = self._get_mean(x, alpha_t)
-        cdef double variance = self._get_variance(x, alpha_t)
-        cdef double std = self._get_std(variance, mean)
-        cdef double ub = mean + self._z_thr * std
-        cdef double lb = mean - self._z_thr * std
+        self.mean = self._get_mean(x, alpha_t)
+        self.variance = self._get_variance(x, alpha_t)
+        self.vstd = self._get_std(self.variance, self.mean)
+        cdef double ub = self.mean + self._z_thr * self.vstd
+        cdef double lb = self.mean - self._z_thr * self.vstd
 
         self.upper.update(time, ub)
         self.lower.update(time, lb)
-        if new_item_started:
-            self._mean = mean
-            self._i += 1
-            self._variance = variance
-            self._std = std
+        self.std.update(time, self.vstd)
 
         # - check if it's outlier
         if p_t < self.threshold:
             self.outliers.update(time, x)
         else:
             self.outliers.update(time, np.nan)
-        return mean
+        return self.mean
 
 
 def pewma_outliers_detector(series:TimeSeries, alpha: float, beta: float, T:int=30, threshold=0.05):