Qubx 0.2.4__tar.gz → 0.2.5__tar.gz

{qubx-0.2.4 → qubx-0.2.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.4
+Version: 0.2.5
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.4 → qubx-0.2.5}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "Qubx"
-version = "0.2.4"
+version = "0.2.5"
 description = "Qubx - quantitative trading framework"
 authors = ["Dmitry Marienko <dmitry@gmail.com>", "Yuriy Arabskyy <yuriy.arabskyy@gmail.com>"]
 readme = "README.md"

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/backtester/queue.py

@@ -137,7 +137,7 @@ class SimulatedDataQueue:
     def __iter__(self) -> Iterator:
         logger.debug("Initializing chunks for each loader")
         assert self._start is not None
-        self._current_time = int(pd.Timestamp(self._start).timestamp() * 1_000_000)
+        self._current_time = int(pd.Timestamp(self._start).timestamp() * 1e9)
         self._index_to_chunk_size = {}
         self._index_to_iterator = {}
         self._event_heap = []
@@ -185,7 +185,7 @@ class SimulatedDataQueue:
     @_SW.watch("DataQueue")
     def _next_chunk(self, index: int) -> list[Any]:
         if index not in self._index_to_iterator:
-            self._index_to_iterator[index] = self._index_to_loader[index].load(self._current_time, self._stop)  # type: ignore
+            self._index_to_iterator[index] = self._index_to_loader[index].load(pd.Timestamp(self._current_time, unit="ns"), self._stop)  # type: ignore
         iterator = self._index_to_iterator[index]
         try:
             return next(iterator)

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/core/helpers.py

@@ -353,7 +353,8 @@ def set_parameters_to_object(strategy: Any, **kwargs):
             raise ValueError("Internal variable can't be set from external parameter !")
         if hasattr(strategy, k):
             strategy.__dict__[k] = v
-            _log_info += f"\n\tset <green>{k}</green> <- <red>{v}</red>"
+            v_str = str(v).replace(">", "").replace("<", "")
+            _log_info += f"\n\tset <green>{k}</green> <- <red>{v_str}</red>"
 
     if _log_info:
         logger.info(f"<yellow>{strategy.__class__.__name__}</yellow> new parameters:" + _log_info)

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/core/metrics.py

@@ -661,19 +661,23 @@ def portfolio_metrics(
         returns_on_init_bp = returns_on_init_bp[:end]
 
     # aggregate them to daily (if we have intraday portfolio)
-    if infer_series_frequency(returns) < pd.Timedelta("1D").to_timedelta64():
-        returns_daily = aggregate_returns(returns, "daily")
-        returns_on_init_bp = aggregate_returns(returns_on_init_bp, "daily")
+    try:
+        if infer_series_frequency(returns) < pd.Timedelta("1D").to_timedelta64():
+            returns_daily = aggregate_returns(returns, "daily")
+            returns_on_init_bp = aggregate_returns(returns_on_init_bp, "daily")
+    except:
+        returns_daily = returns
 
     # todo: add transaction_cost calculations
     equity = init_cash + pft_total["Total_PnL"]
     mdd, ddstart, ddpeak, ddrecover, dd_data = absmaxdd(equity)
-    mdd_pct = 100 * dd_data / equity.cummax()
+    execs = len(executions_log)
+    mdd_pct = 100 * dd_data / equity.cummax() if execs > 0 else pd.Series(0, index=equity.index)
     sheet["equity"] = equity
     sheet["gain"] = sheet["equity"].iloc[-1] - sheet["equity"].iloc[0]
     sheet["cagr"] = cagr(returns_daily, performance_statistics_period)
     sheet["sharpe"] = sharpe_ratio(returns_daily, risk_free, performance_statistics_period)
-    sheet["qr"] = qr(equity)
+    sheet["qr"] = qr(equity) if execs > 0 else 0
     sheet["drawdown_usd"] = dd_data
     sheet["drawdown_pct"] = mdd_pct
     # 25-May-2019: MDE fixed Max DD pct calculations
@@ -709,7 +713,7 @@ def portfolio_metrics(
     sheet["fees"] = pft_total["Total_Commissions"].iloc[-1]
 
     # executions metrics
-    sheet["execs"] = len(executions_log)
+    sheet["execs"] = execs
 
     return sheet
 
@@ -722,6 +726,7 @@ def tearsheet(
     timeframe: str | pd.Timedelta | None = None,
     sort_by: str | None = "Sharpe",
     sort_ascending: bool = False,
+    plot_equities: bool = True,
 ):
     if timeframe is None:
         timeframe = _estimate_timeframe(session)
@@ -739,19 +744,21 @@ def tearsheet(
             for s in session:
                 report, mtrx = _pfl_metrics_prepare(s, account_transactions, performance_statistics_period)
                 _rs.append(report)
-                if compound:
-                    # _eq.append(pd.Series(100 * mtrx["compound_returns"], name=s.trading_id))
-                    compound_returns = mtrx["compound_returns"].resample(timeframe).ffill()
-                    plt.plot(100 * compound_returns, label=s.name)
-                else:
-                    # _eq.append(pd.Series(mtrx["equity"], name=s.trading_id))
-                    equity = mtrx["equity"].resample(timeframe).ffill()
-                    plt.plot(equity, label=s.name)
-
-            if len(session) <= 15:
-                plt.legend(ncol=max(1, len(session) // 5))
-
-            plt.title("Comparison of Equity Curves")
+                if plot_equities:
+                    if compound:
+                        # _eq.append(pd.Series(100 * mtrx["compound_returns"], name=s.trading_id))
+                        compound_returns = mtrx["compound_returns"].resample(timeframe).ffill()
+                        plt.plot(100 * compound_returns, label=s.name)
+                    else:
+                        # _eq.append(pd.Series(mtrx["equity"], name=s.trading_id))
+                        equity = mtrx["equity"].resample(timeframe).ffill()
+                        plt.plot(equity, label=s.name)
+
+            if plot_equities:
+                if len(session) <= 15:
+                    plt.legend(ncol=max(1, len(session) // 5))
+                plt.title("Comparison of Equity Curves")
+
             report = pd.concat(_rs, axis=1).T
             report["id"] = [s.id for s in session]
             report = report.set_index("id", append=True).swaplevel()

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/core/series.pyi

@@ -4,6 +4,11 @@ from typing import Any, Tuple
 import pandas as pd
 
 class Bar:
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
     def __init__(self, time, open, high, low, close, volume, bought_volume=0): ...
 
 class Quote:
@@ -28,8 +33,15 @@ class Locator:
     def __getitem__(self, idx): ...
     def find(self, t: str) -> Tuple[np.datetime64, Any]: ...
 
+class Indexed:
+    def __getitem__(self, idx): ...
+
 class TimeSeries:
     loc: Locator
+    timeframe: str
+    max_series_length: int
+    times: Indexed
+    values: Indexed
     def __init__(self, name, timeframe, max_series_length, process_every_update=True) -> None: ...
     def __getitem__(self, idx): ...
     def update(self, time: int, value: float) -> bool: ...

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/data/readers.py

@@ -789,7 +789,7 @@ class QuestDBSqlCandlesBuilder(QuestDBSqlBuilder):
 
         where = f"where symbol = '{symb}'"
         w0 = f"timestamp >= '{start}'" if start else ""
-        w1 = f"timestamp <= '{end}'" if end else ""
+        w1 = f"timestamp < '{end}'" if end else ""
 
         # - fix: when no data ranges are provided we must skip empy where keyword
         if w0 or w1:

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/pandaz/ta.py

@@ -695,7 +695,7 @@ def macd(x: pd.Series, fast=12, slow=26, signal=9, method="ema", signal_method="
     return smooth(x_diff, signal_method, signal).rename("macd")
 
 
-def atr(x: pd.Series, window=14, smoother="sma", percentage=False) -> pd.Series:
+def atr(x: pd.DataFrame, window=14, smoother="sma", percentage=False) -> pd.Series:
     """
     Average True Range indicator
 

qubx-0.2.5/src/qubx/ta/indicators.pxd

@@ -0,0 +1,138 @@
+cimport numpy as np
+from qubx.core.series cimport Indicator, IndicatorOHLC, RollingSum, TimeSeries, OHLCV, Bar
+
+cdef class Sma(Indicator):
+    cdef unsigned int period
+    cdef RollingSum summator
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Ema(Indicator):
+    cdef int period
+    cdef np.ndarray __s
+    cdef int __i
+    cdef double alpha
+    cdef double alpha_1
+    cdef unsigned short init_mean 
+    cdef unsigned short _init_stage
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Tema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+    cdef Ema ema3
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Dema(Indicator):
+    cdef int period
+    cdef unsigned short init_mean 
+    cdef TimeSeries ser0
+    cdef Ema ema1
+    cdef Ema ema2
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Kama(Indicator):
+    cdef int period
+    cdef int fast_span
+    cdef int slow_span
+    cdef double _S1 
+    cdef double _K1 
+    cdef _x_past
+    cdef RollingSum summator
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Highest(Indicator):
+    cdef int period
+    cdef object queue
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Lowest(Indicator):
+    cdef int period
+    cdef object queue
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Std(Indicator):
+    cdef int period
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class Pewma(Indicator):
+    cdef public TimeSeries std
+    cdef double alpha, beta
+    cdef int T
+
+    cdef double _mean, _vstd, _var
+    cdef double mean, vstd, var
+    cdef long _i
+
+    cpdef double calculate(self, long long time, double value, short new_item_started)
+
+cdef class PewmaOutliersDetector(Indicator):
+    cdef public TimeSeries upper, lower, outliers, std
+    cdef double alpha, beta, threshold
+    cdef int T
+    cdef str dist
+
+    cdef double student_t_df
+    cdef long _i
+    cdef double mean, vstd, variance
+    cdef double _mean, _vstd, _variance, _z_thr
+
+    cpdef double calculate(self, long long time, double x, short new_item_started)
+
+    cdef double _get_z_thr(self)
+    cdef double _get_alpha(self, double p_t)
+    cdef double _get_mean(self, double x, double alpha_t)
+    cdef double _get_variance(self, double x, double alpha_t)
+    cdef double _get_std(self, double variance, double mean)
+    cdef double _get_p(self, double x)
+
+cdef class Psar(IndicatorOHLC):
+    cdef int _bull
+    cdef double _af
+    cdef double _psar
+    cdef double _lp
+    cdef double _hp
+
+    cdef int bull
+    cdef double af
+    cdef double psar
+    cdef double lp
+    cdef double hp
+
+    cdef public TimeSeries upper
+    cdef public TimeSeries lower
+
+    cdef double iaf
+    cdef double maxaf
+
+    cdef _store(self)
+    cdef _restore(self)
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)
+
+cdef class Atr(IndicatorOHLC):
+    cdef short percentage
+    cdef TimeSeries tr
+    cdef Indicator ma
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)
+
+cdef class Swings(IndicatorOHLC):
+    cdef double _min_l
+    cdef long long _min_t
+    cdef double _max_h
+    cdef long long _max_t
+    cdef OHLCV base
+    cdef Indicator trend
+    # 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
+
+    cpdef double calculate(self, long long time, Bar bar, short new_item_started)

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/ta/indicators.pyi

@@ -1,4 +1,4 @@
-from qubx.core.series import OHLCV, Indicator, TimeSeries
+from qubx.core.series import OHLCV, Indicator, TimeSeries, IndicatorOHLC
 
 def sma(series: TimeSeries, period: int): ...
 def ema(series: TimeSeries, period: int, init_mean: bool = True): ...
@@ -14,3 +14,9 @@ def psar(series: OHLCV, iaf: float = 0.02, maxaf: float = 0.2): ...
 def smooth(series: TimeSeries, smoother: str, *args, **kwargs) -> Indicator: ...
 def atr(series: OHLCV, period: int = 14, smoother="sma", percentage: bool = False): ...
 def swings(series: OHLCV, trend_indicator, **indicator_args): ...
+
+class Kama(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, fast_span: int = 2, slow_span: int = 30): ...
+
+class Atr(IndicatorOHLC):
+    def __init__(self, name: str, series: OHLCV, period: int, smoother: str, percentage: bool): ...

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/ta/indicators.pyx

@@ -16,12 +16,7 @@ cdef class Sma(Indicator):
     """
     Simple Moving Average indicator
     """
-    cdef unsigned int period
-    cdef RollingSum summator
 
-    """
-    Simple moving average
-    """
     def __init__(self, str name, TimeSeries series, int period):
         self.period = period
         self.summator = RollingSum(period)
@@ -40,13 +35,6 @@ cdef class Ema(Indicator):
     """
     Exponential moving average
     """
-    cdef int period
-    cdef np.ndarray __s
-    cdef int __i
-    cdef double alpha
-    cdef double alpha_1
-    cdef unsigned short init_mean 
-    cdef unsigned short _init_stage
 
     def __init__(self, str name, TimeSeries series, int period, init_mean=True):
         self.period = period
@@ -92,12 +80,6 @@ def ema(series:TimeSeries, period: int, init_mean: bool = True):
 
 
 cdef class Tema(Indicator):
-    cdef int period
-    cdef unsigned short init_mean 
-    cdef TimeSeries ser0
-    cdef Ema ema1
-    cdef Ema ema2
-    cdef Ema ema3
 
     def __init__(self, str name, TimeSeries series, int period, init_mean=True):
         self.period = period
@@ -118,11 +100,6 @@ def tema(series:TimeSeries, period: int, init_mean: bool = True):
 
 
 cdef class Dema(Indicator):
-    cdef int period
-    cdef unsigned short init_mean 
-    cdef TimeSeries ser0
-    cdef Ema ema1
-    cdef Ema ema2
 
     def __init__(self, str name, TimeSeries series, int period, init_mean=True):
         self.period = period
@@ -142,13 +119,13 @@ def dema(series:TimeSeries, period: int, init_mean: bool = True):
 
 
 cdef class Kama(Indicator):
-    cdef int period
-    cdef int fast_span
-    cdef int slow_span
-    cdef double _S1 
-    cdef double _K1 
-    cdef _x_past
-    cdef RollingSum summator
+    # cdef int period
+    # cdef int fast_span
+    # cdef int slow_span
+    # cdef double _S1 
+    # cdef double _K1 
+    # cdef _x_past
+    # cdef RollingSum summator
 
     def __init__(self, str name, TimeSeries series, int period, int fast_span=2, int slow_span=30):
         self.period = period
@@ -183,8 +160,6 @@ def kama(series:TimeSeries, period: int, fast_span:int=2, slow_span:int=30):
 
 
 cdef class Highest(Indicator):
-    cdef int period
-    cdef queue
 
     def __init__(self, str name, TimeSeries series, int period):
         self.period = period
@@ -214,8 +189,6 @@ def highest(series:TimeSeries, period:int):
 
 
 cdef class Lowest(Indicator):
-    cdef int period
-    cdef queue
 
     def __init__(self, str name, TimeSeries series, int period):
         self.period = period
@@ -246,7 +219,6 @@ def lowest(series:TimeSeries, period:int):
 
 # - - - - TODO !!!!!!!
 cdef class Std(Indicator):
-    cdef int period
 
     def __init__(self, str name, TimeSeries series, int period):
         self.period = period
@@ -285,13 +257,6 @@ cdef double student_t_pdf(double x, double df):
 
 
 cdef class Pewma(Indicator):
-    cdef public TimeSeries std
-    cdef double alpha, beta
-    cdef int T
-
-    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):
         self.alpha = alpha 
@@ -359,15 +324,6 @@ def pewma(series:TimeSeries, alpha: float, beta: float, T:int=30):
 
 
 cdef class PewmaOutliersDetector(Indicator):
-    cdef public TimeSeries upper, lower, outliers, std
-    cdef double alpha, beta, threshold
-    cdef int T
-    cdef str dist
-
-    cdef double student_t_df
-    cdef long _i
-    cdef double mean, vstd, variance
-    cdef double _mean, _vstd, _variance, _z_thr
 
     def __init__(
         self,
@@ -498,23 +454,6 @@ def pewma_outliers_detector(
 
 
 cdef class Psar(IndicatorOHLC):
-    cdef int _bull
-    cdef double _af
-    cdef double _psar
-    cdef double _lp
-    cdef double _hp
-
-    cdef int bull
-    cdef double af
-    cdef double psar
-    cdef double lp
-    cdef double hp
-
-    cdef public TimeSeries upper
-    cdef public TimeSeries lower
-
-    cdef double iaf
-    cdef double maxaf
 
     def __init__(self, name, series, iaf, maxaf):
         self.iaf = iaf
@@ -636,9 +575,6 @@ def smooth(TimeSeries series, str smoother, *args, **kwargs) -> Indicator:
 
 
 cdef class Atr(IndicatorOHLC):
-    cdef short percentage
-    cdef TimeSeries tr
-    cdef Indicator ma
 
     def __init__(self, str name, OHLCV series, int period, str smoother, short percentage):
         self.percentage = percentage
@@ -665,16 +601,6 @@ def atr(series: OHLCV, period: int = 14, smoother="sma", percentage: bool = Fals
 
 
 cdef class Swings(IndicatorOHLC):
-    cdef double _min_l
-    cdef long long _min_t
-    cdef double _max_h
-    cdef long long _max_t
-    cdef OHLCV base
-    cdef Indicator trend
-    # 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)

{qubx-0.2.4 → qubx-0.2.5}/src/qubx/trackers/sizers.py

@@ -63,7 +63,13 @@ class FixedLeverageSizer(IPositionSizer):
 
 
 class FixedRiskSizer(IPositionSizer):
-    def __init__(self, max_cap_in_risk: float, max_allowed_position=np.inf, reinvest_profit=True):
+    def __init__(
+        self,
+        max_cap_in_risk: float,
+        max_allowed_position=np.inf,
+        reinvest_profit: bool = True,
+        divide_by_symbols: bool = True,
+    ):
         """
         Create fixed risk sizer calculator instance.
         :param max_cap_in_risk: maximal risked capital (in percentage)
@@ -73,6 +79,7 @@ class FixedRiskSizer(IPositionSizer):
         self.max_cap_in_risk = max_cap_in_risk / 100
         self.max_allowed_position_quoted = max_allowed_position
         self.reinvest_profit = reinvest_profit
+        self.divide_by_symbols = divide_by_symbols
 
     def calculate_target_positions(self, ctx: StrategyContext, signals: List[Signal]) -> List[TargetPosition]:
         t_pos = []
@@ -91,6 +98,7 @@ class FixedRiskSizer(IPositionSizer):
                     target_position_size = (  
                         _direction
                         *min((_cap * self.max_cap_in_risk) / abs(signal.stop / _entry - 1), self.max_allowed_position_quoted) / _entry
+                        / len(ctx.instruments) if self.divide_by_symbols else 1
                     )  
                     # fmt: on