Qubx 0.1.87__tar.gz → 0.1.89__tar.gz

{qubx-0.1.87 → qubx-0.1.89}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.1.87
+Version: 0.1.89
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.1.87 → qubx-0.1.89}/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-0.1.87 → qubx-0.1.89}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.1.87"
+version = "0.1.89"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>"]
 readme = "README.md"

{qubx-0.1.87 → qubx-0.1.89}/src/qubx/ta/indicators.pyx

@@ -627,14 +627,21 @@ cdef class Swings(IndicatorOHLC):
     cdef long long _max_t
     cdef OHLCV base
     cdef Indicator trend
-    cdef public TimeSeries tops
-    cdef public TimeSeries bottoms
+    # tops contain upper pivot point prices
+    # tops_detection_lag contain time lag when top was actually spotted
+    cdef public TimeSeries tops, tops_detection_lag
+    cdef public TimeSeries bottoms, bottoms_detection_lag
 
     def __init__(self, str name, OHLCV series, trend_indicator, **indicator_args):
         self.base = OHLCV("base", series.timeframe, series.max_series_length)
         self.trend = trend_indicator(self.base, **indicator_args)
+
         self.tops = TimeSeries("tops", series.timeframe, series.max_series_length)
+        self.tops_detection_lag = TimeSeries("tops_lag", series.timeframe, series.max_series_length)
+
         self.bottoms = TimeSeries("bottoms", series.timeframe, series.max_series_length)
+        self.bottoms_detection_lag = TimeSeries("bottoms_lag", series.timeframe, series.max_series_length)
+
         self._min_l = +np.inf
         self._max_h = -np.inf
         self._max_t = 0
@@ -652,6 +659,7 @@ cdef class Swings(IndicatorOHLC):
             if not np.isnan(_u):
                 if self._max_t > 0:
                     self.tops.update(self._max_t, self._max_h)
+                    self.tops_detection_lag.update(self._max_t, time - self._max_t)
 
                 if bar.low <= self._min_l:
                     self._min_l = bar.low
@@ -663,6 +671,7 @@ cdef class Swings(IndicatorOHLC):
             elif not np.isnan(_d):
                 if self._min_t > 0:
                     self.bottoms.update(self._min_t, self._min_l)
+                    self.bottoms_detection_lag.update(self._min_t, time - self._min_t)
 
                 if bar.high >= self._max_h:
                     self._max_h = bar.high
@@ -684,20 +693,34 @@ cdef class Swings(IndicatorOHLC):
     def pd(self) -> pd.DataFrame:
         _t, _d = self.get_current_trend_end()
         tps, bts = self.tops.pd(), self.bottoms.pd()
+        tpl, btl = self.tops_detection_lag.pd(), self.bottoms_detection_lag.pd()
         if _t is not None:
             if bts.index[-1] < tps.index[-1]:
                 bts = srows(bts, pd.Series({_t: _d}))
+                btl = srows(btl, pd.Series({_t: 0}))  # last lag is 0
             else:
                 tps = srows(tps, pd.Series({_t: _d}))
+                tpl = srows(tpl, pd.Series({_t: 0})) # last lag is 0
+
+        # - convert tpl / btl to timedeltas
+        tpl, btl = tpl.apply(lambda x: pd.Timedelta(x, unit='ns')), btl.apply(lambda x: pd.Timedelta(x, unit='ns'))
 
         eid = pd.Series(tps.index, tps.index)
         mx = scols(bts, tps, eid, names=["start_price", "end_price", "end"])
         dt = scols(mx["start_price"], mx["end_price"].shift(-1), mx["end"].shift(-1))  # .dropna()
-        dt = dt.assign(delta = dt["end_price"] - dt["start_price"])
+        dt = dt.assign(
+            delta = dt["end_price"] - dt["start_price"], 
+            spotted = pd.Series(bts.index + btl, bts.index)
+        )
 
         eid = pd.Series(bts.index, bts.index)
         mx = scols(tps, bts, eid, names=["start_price", "end_price", "end"])
         ut = scols(mx["start_price"], mx["end_price"].shift(-1), mx["end"].shift(-1))  # .dropna()
+        ut = ut.assign(
+            delta = ut["end_price"] - ut["start_price"], 
+            spotted = pd.Series(tps.index + tpl, tps.index)
+        )
+
         return scols(ut, dt, keys=["DownTrends", "UpTrends"])