Qubx 0.2.63__cp311-cp311-manylinux_2_35_x86_64.whl → 0.2.65__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/core/metrics.py

@@ -11,6 +11,8 @@ import re
 from scipy import stats
 from scipy.stats import norm
 from statsmodels.regression.linear_model import OLS
+from copy import copy
+from itertools import chain
 
 import plotly.graph_objects as go
 
@@ -892,6 +894,7 @@ def chart_signals(
     overlay=[],
     info=True,
     show_trades: bool = True,
+    show_signals: bool = False,
     show_quantity: bool = False,
     show_value: bool = False,
     show_leverage: bool = True,
@@ -917,10 +920,13 @@ def chart_signals(
         end = executions.index[-1]
 
     if portfolio is not None:
-        pnl = portfolio.filter(regex=f"{symbol}_PnL").loc[start:].cumsum()
+        symbol_count = len(portfolio.filter(like="_PnL").columns)
+        pnl = portfolio.filter(regex=f"{symbol}_PnL").cumsum() + result.capital / symbol_count
+        pnl = pnl.loc[start:]
         if apply_commissions:
             comm = portfolio.filter(regex=f"{symbol}_Commissions").loc[start:].cumsum()
             pnl -= comm.values
+        pnl = (pnl / pnl.iloc[0] - 1) * 100
         indicators["PnL"] = ["area", "green", pnl]
         if show_quantity:
             pos = portfolio.filter(regex=f"{symbol}_Pos").loc[start:]
@@ -965,6 +971,10 @@ def chart_signals(
         ]
         overlay = list(overlay) + [excs]
 
+    if show_signals:
+        sigs = result.signals_log[result.signals_log["instrument_id"] == symbol]
+        overlay = list(overlay) + [sigs]
+
     chart = LookingGlass([bars, *overlay], indicators).look(start, end, title=symbol).hover(show_info=info, h=height)
     if not show_table:
         return chart.show()
@@ -1010,3 +1020,24 @@ def get_symbol_pnls(
         pnls.append(s.portfolio_log.filter(like="_PnL").cumsum().iloc[-1])
 
     return pd.DataFrame(pnls, index=[s.name for s in session])
+
+
+def combine_sessions(sessions: list[TradingSessionResult], name: str = "Portfolio") -> TradingSessionResult:
+    session = copy(sessions[0])
+    session.name = name
+    session.instruments = list(set(chain.from_iterable([e.instruments for e in sessions])))
+    session.portfolio_log = pd.concat(
+        [e.portfolio_log.loc[:, (e.portfolio_log != 0).any(axis=0)] for e in sessions], axis=1
+    )
+    # remove duplicated columns, keep first
+    session.portfolio_log = session.portfolio_log.loc[:, ~session.portfolio_log.columns.duplicated()]
+    session.executions_log = pd.concat([s.executions_log for s in sessions], axis=0).sort_index()
+    session.signals_log = pd.concat([s.signals_log for s in sessions], axis=0).sort_index()
+    # remove duplicated rows
+    session.executions_log = (
+        session.executions_log.set_index("instrument_id", append=True).drop_duplicates().reset_index("instrument_id")
+    )
+    session.signals_log = (
+        session.signals_log.set_index("instrument_id", append=True).drop_duplicates().reset_index("instrument_id")
+    )
+    return session

qubx/core/series.pxd

@@ -36,11 +36,6 @@ cdef class Indicator(TimeSeries):
     cdef public TimeSeries series
     cdef public TimeSeries parent
 
-
-cdef class IndicatorOHLC(Indicator):
-    pass
-
-
 cdef class RollingSum:
     """
     Rolling fast summator
@@ -49,7 +44,7 @@ cdef class RollingSum:
     cdef np.ndarray __s
     cdef unsigned int __i
     cdef double rsum
-    cdef unsigned short is_init_stage 
+    cdef public unsigned short is_init_stage 
 
     cpdef double update(RollingSum self, double value, short new_item_started)
 
@@ -110,3 +105,8 @@ cdef class Quote:
     cdef public double ask_size
 
     cpdef double mid_price(Quote self)
+
+
+cdef class IndicatorOHLC(Indicator):
+    pass
+

qubx/core/series.pyi

@@ -83,6 +83,11 @@ class Indicator(TimeSeries):
 
     def update(self, time: int, value, new_item_started: bool) -> object: ...
 
-class IndicatorOHLC(Indicator): ...
+class IndicatorOHLC(Indicator):
+    series: OHLCV
 
 def time_as_nsec(time: Any) -> np.datetime64: ...
+
+class RollingSum:
+    def __init__(self, period: int) -> None: ...
+    def update(self, value: float, new_item_started: bool) -> float: ...

qubx/ta/indicators.pxd

@@ -134,5 +134,6 @@ cdef class Swings(IndicatorOHLC):
     # 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
+    cdef public TimeSeries middles, deltas
 
     cpdef double calculate(self, long long time, Bar bar, short new_item_started)

qubx/ta/indicators.pyi

@@ -15,8 +15,20 @@ 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 Sma(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int): ...
+
+class Ema(Indicator):
+    def __init__(self, name: str, series: TimeSeries, period: int, init_mean: bool = True): ...
+
 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): ...
+
+class Swings(IndicatorOHLC):
+    tops: TimeSeries
+    bottoms: TimeSeries
+    middles: TimeSeries
+    deltas: TimeSeries

qubx/ta/indicators.pyx

@@ -612,6 +612,9 @@ cdef class Swings(IndicatorOHLC):
         self.bottoms = TimeSeries("bottoms", series.timeframe, series.max_series_length)
         self.bottoms_detection_lag = TimeSeries("bottoms_lag", series.timeframe, series.max_series_length)
 
+        self.middles = TimeSeries("middles", series.timeframe, series.max_series_length)
+        self.deltas = TimeSeries("deltas", series.timeframe, series.max_series_length)
+
         self._min_l = +np.inf
         self._max_h = -np.inf
         self._max_t = 0
@@ -630,6 +633,9 @@ cdef class Swings(IndicatorOHLC):
                 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 len(self.bottoms) > 0:
+                        self.middles.update(time, (self.tops[0] + self.bottoms[0]) / 2)
+                        self.deltas.update(time, self.tops[0] - self.bottoms[0])
 
                 if bar.low <= self._min_l:
                     self._min_l = bar.low
@@ -642,6 +648,9 @@ cdef class Swings(IndicatorOHLC):
                 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 len(self.tops) > 0:
+                        self.middles.update(time, (self.tops[0] + self.bottoms[0]) / 2)
+                        self.deltas.update(time, self.tops[0] - self.bottoms[0])
 
                 if bar.high >= self._max_h:
                     self._max_h = bar.high

qubx/utils/charting/lookinglass.py

@@ -4,6 +4,7 @@ import plotly.graph_objects as go
 from plotly.graph_objs.graph_objs import FigureWidget
 from plotly.subplots import make_subplots
 
+from qubx.core.series import OHLCV, TimeSeries
 from qubx.utils.charting.mpl_helpers import ohlc_plot
 from qubx.utils.charting.mpl_helpers import plot_trends
 from qubx.utils.charting.mpl_helpers import subplot
@@ -110,7 +111,7 @@ def install_plotly_helpers():
                 arrowcolor=c,
             )
 
-        def custom_hover(v, h=600, n=2, legend=False, show_info=True):
+        def hover(v, h=600, n=2, legend=False, show_info=True):
             return (
                 v.update_traces(xaxis="x1")
                 .update_layout(
@@ -140,7 +141,7 @@ def install_plotly_helpers():
                 )
             )
 
-        FigureWidget.hover = custom_hover  # type: ignore
+        FigureWidget.hover = hover  # type: ignore
         FigureWidget.rline = rline  # type: ignore
         FigureWidget.rlinex = rlinex  # type: ignore
         FigureWidget.rline_ = rline_  # type: ignore
@@ -287,7 +288,8 @@ class LookingGlassMatplotLib(AbstractLookingGlass):
         else:
             _lbl = y.name if hasattr(y, "name") and y.name else ("%s_%d" % (study_name, k))
 
-            if isinstance(y, pd.DataFrame):
+            if isinstance(y, (pd.DataFrame, OHLCV)):
+                y = y.pd() if isinstance(y, OHLCV) else y
 
                 yy = y[zoom] if zoom else y
 
@@ -429,6 +431,7 @@ class LookingGlassMatplotLib(AbstractLookingGlass):
                     for _col in yy.columns:
                         self.__plot_as_type(yy[_col], plot_style, self._n_style, _col)
             else:
+                y = y.pd() if isinstance(y, TimeSeries) else y
                 yy = y[zoom] if zoom else y
                 self.__plot_as_type(yy, plot_style, self._n_style, _lbl)
 
@@ -544,7 +547,25 @@ class LookingGlassPlotly(AbstractLookingGlass):
     def __plt_series(self, y, zoom, study_name, k, row, col, plot_style="line"):
         _lbl = y.name if hasattr(y, "name") and y.name else ("%s_%d" % (study_name, k))
 
-        if isinstance(y, pd.DataFrame):
+        def _scatter(
+            xs: pd.Series, comments: pd.Series | None, name: str, marker: str, color: str, size: int = 11
+        ) -> None:
+            _args = dict(
+                x=xs.index,
+                y=xs,
+                mode="markers",
+                name=name,
+                text=comments,
+                marker={
+                    "symbol": marker,
+                    "size": size,
+                    "color": color,
+                },
+            )
+            self.fig.add_trace(go.Scatter(**_args), row=row, col=col)
+
+        if isinstance(y, (pd.DataFrame, OHLCV)):
+            y = y.pd() if isinstance(y, OHLCV) else y
             yy = y[zoom] if zoom else y
 
             # candlesticks
@@ -760,70 +781,42 @@ class LookingGlassPlotly(AbstractLookingGlass):
             elif self._frame_has_cols(y, ["Type", "Time", "Price", "PriceOccured"]):
                 _bot = yy[yy.Type == "-"]
                 _top = yy[yy.Type == "+"]
-                self.fig.add_trace(
-                    go.Scatter(
-                        x=_bot.index,
-                        y=_bot.PriceOccured,
-                        mode="markers",
-                        name="B",
-                        marker={"symbol": "triangle-right"},
-                    ),
-                    row=row,
-                    col=col,
-                )
 
-                self.fig.add_trace(
-                    go.Scatter(
-                        x=_top.index,
-                        y=_top.PriceOccured,
-                        mode="markers",
-                        name="T",
-                        marker={"symbol": "triangle-right"},
-                    ),
-                    row=row,
-                    col=col,
-                )
+                _scatter(_bot.PriceOccured, None, "B", "triangle-right", "#3cfa00", 12)
+                _scatter(_top.PriceOccured, None, "T", "triangle-right", "#3cfa00", 12)
 
-            # executed signals from signal tester
+            # executions from executor's log
             elif self._frame_has_cols(y, ["exec_price", "quantity"]):
                 _b_ords = yy[yy.quantity > 0]
                 _s_ords = yy[yy.quantity < 0]
-                self.fig.add_trace(
-                    go.Scatter(
-                        x=_b_ords.index,
-                        y=_b_ords.exec_price,
-                        mode="markers",
-                        name="BOT",
-                        marker={
-                            "symbol": "triangle-up",
-                            "size": 13,
-                            "color": "#3cfa00",
-                        },
-                    ),
-                    row=row,
-                    col=col,
-                )
 
-                self.fig.add_trace(
-                    go.Scatter(
-                        x=_s_ords.index,
-                        y=_s_ords.exec_price,
-                        mode="markers",
-                        name="SLD",
-                        marker={
-                            "symbol": "triangle-down",
-                            "size": 13,
-                            "color": "#20ffff",
-                        },
-                    ),
-                    row=row,
-                    col=col,
-                )
+                _scatter(_b_ords.exec_price, None, "BOT", "triangle-up", "#3cfa00", 12)
+                _scatter(_s_ords.exec_price, None, "SLD", "triangle-down", "#20ffff", 12)
+
+            # 27-aug-2024: show generated signals from Qubx backtester
+            elif self._frame_has_cols(y, ["signal", "reference_price", "price", "take", "stop", "group", "comment"]):
+                _sel_price = lambda x: x["reference_price"].where(x["price"].isna(), x["price"])
+                _b_sigs = yy[yy.signal > 0]
+                _z_sigs = yy[yy.signal == 0]
+                _s_sigs = yy[yy.signal < 0]
+                # - Longs
+                _scatter(_sel_price(_b_sigs), _b_sigs["comment"], "LONG", "triangle-up-open-dot", "#3cfa00")
+                _scatter(_b_sigs[~_b_sigs["take"].isna()]["take"], None, "Take", "line-ew-open", "#3cfa00")
+                _scatter(_b_sigs[~_b_sigs["stop"].isna()]["stop"], None, "Stop", "line-ew-open", "#fa3c00")
+
+                # - Shorts
+                _scatter(_sel_price(_s_sigs), _s_sigs["comment"], "SHORTS", "triangle-down-open-dot", "#20ffff")
+                _scatter(_s_sigs[~_s_sigs["take"].isna()]["take"], None, "Take", "line-ew-open", "#3cfa00")
+                _scatter(_s_sigs[~_s_sigs["stop"].isna()]["stop"], None, "Stop", "line-ew-open", "#fa3c00")
+
+                # - Exits
+                _scatter(_sel_price(_z_sigs), _z_sigs["comment"], "EXITS", "circle-open-dot", "#ffffff")
 
             else:
                 for _col in yy.columns:
                     self.__plot_as_type(yy[_col], row, col, plot_style, _col)
         else:
+            y = y.pd() if isinstance(y, TimeSeries) else y
             yy = y[zoom] if zoom else y
             self.__plot_as_type(yy, row, col, plot_style, _lbl)
 

{qubx-0.2.63.dist-info → qubx-0.2.65.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.63
+Version: 0.2.65
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.63.dist-info → qubx-0.2.65.dist-info}/RECORD

@@ -13,13 +13,13 @@ qubx/core/exceptions.py,sha256=W1gG_0fE3o2EMGUfOeOl3vVJDp8Z1iHLv4iZ0ThNkTs,306
 qubx/core/helpers.py,sha256=JAB1kcKO8l--gxg9_W2BzWW1N4x72sicw1oBszKYcbo,12657
 qubx/core/loggers.py,sha256=6P3NwoyHe_pTW8Kdvmi8eHoCxHAWm7LEvwgmX-vZKR4,16530
 qubx/core/lookups.py,sha256=qGOSb2SIxmgVPGJFLJnPDI1P9hCzFMVipRDcVLUm8qk,14599
-qubx/core/metrics.py,sha256=lPxq3k1XFcSjlLafhDEluiqkA0ISoJlckxeJnrCm2mM,36537
-qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=KYJVea1J8YYbA07IeXntcC8yY3uTPYfK8iEeVJpIpt0,762408
-qubx/core/series.pxd,sha256=1KJGzun_R5GDDOynPbZER7Xg45a0JUM_S_lZ-9FFFJg,2994
-qubx/core/series.pyi,sha256=ipca4P8LJGDvkhAAczLoZbgLvcJSm-5SFKlaQI9cn9E,2254
+qubx/core/metrics.py,sha256=ekralqco-lEW1wryUChQJXck4NXeBS_6o4raC9HIi-c,38010
+qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=cDOxqeo2LYUOJO0zdJstmVcwmtBEvtxdOaBl2HfiG5w,762504
+qubx/core/series.pxd,sha256=34g0Q3VCGfqgseCIwOXj4QdIhwT1PO_Nt0nJjNCHBd8,3001
+qubx/core/series.pyi,sha256=CHPQYl96qzfJkZwh1ZIUpLlnUxxfPsxCV54h_Bkwrok,2409
 qubx/core/series.pyx,sha256=7R0SQ3OKfxqdxlbBXAG1ld3WS-vrMT9us1Tvq21GLFY,31116
 qubx/core/strategy.py,sha256=RY2fdg7lvLquTxfUamewO51yaRVTElJLmariTB4e3CQ,10901
-qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=o47KfP46x-E4qxiKuMqVoIjwLTzt4r8kQQ41S5CWndY,82504
+qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=a4hfxig8tIu_qYfNl3GaQYOZHyYNq69Qkm-UuhpZYr0,82504
 qubx/core/utils.pyi,sha256=DAjyRVPJSxK4Em-9wui2F0yYHfP5tI5DjKavXNOnHa8,276
 qubx/core/utils.pyx,sha256=gWLTJzFvvqYlVjSbGccAizdkLinAUEVUcfF-eKWpCHo,1660
 qubx/data/helpers.py,sha256=A0NGzhpXYWD92-GeB8TghwMnR0NW8bjcNJOCXybQw3g,782
@@ -35,10 +35,10 @@ qubx/pandaz/__init__.py,sha256=Iw5uzicYGSC3FEKZ-W1O5-7cXq_P0kH11-EcXV0zZhs,175
 qubx/pandaz/ta.py,sha256=NthiiueUoqWGRcjovcKKThcCcdImZn3JRdWDA2vL28k,85075
 qubx/pandaz/utils.py,sha256=XB28Zwv3cXWbKFXbcV5QGj_d6w-i8Yo4LYkX8aPuCHo,19613
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=dCM6qvFXDyxUbVZNJSk8dw5FqbEAhVrnF0mNMKpFAaA,555560
-qubx/ta/indicators.pxd,sha256=N1XyVos-5IsMF4A0_nmaSRlocHnui5bFJGwJCSTkwd4,3898
-qubx/ta/indicators.pyi,sha256=2OL0BIKNCPQfe61TEI_nu4qgFYSjGc9ERGDoQlojWo8,1334
-qubx/ta/indicators.pyx,sha256=HW0NZb7DTY6_6eSrkvOOp7hg2ZATM0L_GZwm4VnKRJo,22647
+qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=JIJfyHATfo-Cu82ly-AypZhP7UIbewsGbWFEj7MxZqM,563816
+qubx/ta/indicators.pxd,sha256=N_p3HNlBDq5S7fRNgN4ZmmdslMBTS_nvn-vNn7T0vHQ,3941
+qubx/ta/indicators.pyi,sha256=l63i_sk3wpy7HHAjgspOPjuIi6QLVPMfgpAHGHSKOcs,1670
+qubx/ta/indicators.pyx,sha256=Cf2_38EnxqqwRXoGqfEoE3th9b4G0VllZ5jtnNYr2_E,23251
 qubx/trackers/__init__.py,sha256=-Hmlc8Mpdi_t6kyeW4ZtmYkHzrULaIb6gUsAkhUxA-4,169
 qubx/trackers/composite.py,sha256=rYQCaxu4IKLf5sS3DCyUUJaSUQwbCy6UMoVjsS-481A,6222
 qubx/trackers/rebalancers.py,sha256=dp-jemxczT8ndkjjzljsIgGnnA6lZQhsf5c4YdmHKCw,6048
@@ -46,13 +46,13 @@ qubx/trackers/riskctrl.py,sha256=8P5iyaJ-PKhIX8GkGBpncQdxnefL1QWRWG-Jx1PFTuk,125
 qubx/trackers/sizers.py,sha256=Wkpclaw7mfR_eMc9xMjN2AFgvOpY1jzaz3wDQvs9H0U,5988
 qubx/utils/__init__.py,sha256=AL2YibJ3tqBKsZZLUjM9N2J5yy-Kq__k_44oTODQ5sM,321
 qubx/utils/_pyxreloader.py,sha256=FyqGzfSpZGYziB8JYS5AP3cLRAvJSIPAKgwQn0E4YQ0,12017
-qubx/utils/charting/lookinglass.py,sha256=1RxWf6c3rx0RxxeNPcFVtCtlwvh-Fxicc5fpF4aIIzo,38501
+qubx/utils/charting/lookinglass.py,sha256=cyNGy-df5f9tg-gskb1IFUv7Nh8etn5a3BubdeQh7Ew,39111
 qubx/utils/charting/mpl_helpers.py,sha256=z6vL0IllTZeD-Oe-alVW-kYOP_deHyyoFcukvOVwSz8,35354
 qubx/utils/marketdata/binance.py,sha256=36dl4rxOAGTeY3uoONmiPanj8BkP0oBdDiH-URJJo9A,10993
 qubx/utils/misc.py,sha256=Av0mhrPCy5NZRrRmjOAhTKusa8wVdL7vCQtEy9bVnz4,10450
 qubx/utils/ntp.py,sha256=LZo4FPVY3rqLUV9VWkLcZaPOpUDFC8Qleynmfggg9No,1758
 qubx/utils/runner.py,sha256=Czo01KUCc9Oj9TIcs03d6Qh7fOpQV5w8oH6UDZ6Yqn0,9539
 qubx/utils/time.py,sha256=ioIos3VLA-iYI8LiQIn2m-t0Y37CEQAHFw_-C9Uwo0o,5188
-qubx-0.2.63.dist-info/METADATA,sha256=aNxXi5JYc-b7nCmVNWjV0z3agb0-JM7OZcexEYRFf6g,2573
-qubx-0.2.63.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
-qubx-0.2.63.dist-info/RECORD,,
+qubx-0.2.65.dist-info/METADATA,sha256=Ej6wJoKYygR3GPWrkKuLjgIORFZF2JRphvXyNN_Iyvo,2573
+qubx-0.2.65.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
+qubx-0.2.65.dist-info/RECORD,,