Qubx 0.2.71__cp311-cp311-manylinux_2_35_x86_64.whl → 0.2.73__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/backtester/ome.py

@@ -43,9 +43,15 @@ class OrdersManagementEngine:
     bbo: Quote | None  # current best bid/ask order book (simplest impl)
     __order_id: int
     __trade_id: int
+    _fill_stops_at_price: bool
 
     def __init__(
-        self, instrument: Instrument, time_provider: ITimeProvider, tcc: TransactionCostsCalculator, debug: bool = True
+        self,
+        instrument: Instrument,
+        time_provider: ITimeProvider,
+        tcc: TransactionCostsCalculator,
+        fill_stop_order_at_price: bool = False,  # emulate stop orders execution at order's exact limit price
+        debug: bool = True,
     ) -> None:
         self.instrument = instrument
         self.time_service = time_provider
@@ -57,6 +63,7 @@ class OrdersManagementEngine:
         self.bbo = None
         self.__order_id = 100000
         self.__trade_id = 100000
+        self._fill_stops_at_price = fill_stop_order_at_price
         if not debug:
             self._dbg = lambda message, **kwargs: None
 
@@ -96,12 +103,14 @@ class OrdersManagementEngine:
             # - processing stop orders
             for soid in list(self.stop_orders.keys()):
                 so = self.stop_orders[soid]
+                _emulate_price_exec = self._fill_stops_at_price or so.options.get(OPTION_FILL_AT_SIGNAL_PRICE, False)
+
                 if so.side == "BUY" and quote.ask >= so.price:
-                    _exec_price = quote.ask if not so.options.get(OPTION_FILL_AT_SIGNAL_PRICE, False) else so.price
+                    _exec_price = quote.ask if not _emulate_price_exec else so.price
                     self.stop_orders.pop(soid)
                     rep.append(self._execute_order(timestamp, _exec_price, so, True))
                 elif so.side == "SELL" and quote.bid <= so.price:
-                    _exec_price = quote.bid if not so.options.get(OPTION_FILL_AT_SIGNAL_PRICE, False) else so.price
+                    _exec_price = quote.bid if not _emulate_price_exec else so.price
                     self.stop_orders.pop(soid)
                     rep.append(self._execute_order(timestamp, _exec_price, so, True))
 

qubx/backtester/simulator.py

@@ -142,8 +142,8 @@ class SimulatedTrading(ITradingServiceProvider):
     First implementation of a simulated broker.
     TODO:
         1. Add margin control
-        2. Need to solve problem with _get_ohlcv_data_sync (actually this method must be removed from here)
-        3. Add support for stop orders (not urgent)
+        2. Need to solve problem with _get_ohlcv_data_sync (actually this method must be removed from here) [DONE]
+        3. Add support for stop orders (not urgent) [DONE]
     """
 
     _current_time: dt_64
@@ -152,13 +152,40 @@ class SimulatedTrading(ITradingServiceProvider):
     _fees_calculator: TransactionCostsCalculator | None
     _order_to_symbol: Dict[str, str]
     _half_tick_size: Dict[str, float]
+    _fill_stop_order_at_price: bool
 
     def __init__(
         self,
         name: str,
         commissions: str | None = None,
         simulation_initial_time: dt_64 | str = np.datetime64(0, "ns"),
+        accurate_stop_orders_execution: bool = False,
     ) -> None:
+        """
+        This function sets up a simulated trading environment with following parameters.
+
+        Parameters:
+        -----------
+        name : str
+            The name of the simulated trading environment.
+        commissions : str | None, optional
+            The commission structure to be used. If None, no commissions will be applied.
+            Default is None.
+        simulation_initial_time : dt_64 | str, optional
+            The initial time for the simulation. Can be a dt_64 object or a string.
+            Default is np.datetime64(0, "ns").
+        accurate_stop_orders_execution : bool, optional
+            If True, stop orders will be executed at the exact stop order's price.
+            If False, they may be executed at the next quote that could lead to
+            significant slippage especially if simuation run on OHLC data.
+            Default is False.
+
+        Raises:
+        -------
+        ValueError
+            If the fees configuration is not found for the given name.
+
+        """
         self._current_time = (
             np.datetime64(simulation_initial_time, "ns")
             if isinstance(simulation_initial_time, str)
@@ -168,6 +195,7 @@ class SimulatedTrading(ITradingServiceProvider):
         self._ome = {}
         self._fees_calculator = lookup.fees.find(name.lower(), commissions)
         self._half_tick_size = {}
+        self._fill_stop_order_at_price = accurate_stop_orders_execution
 
         self._order_to_symbol = {}
         if self._fees_calculator is None:
@@ -177,6 +205,8 @@ class SimulatedTrading(ITradingServiceProvider):
 
         # - we want to see simulate time in log messages
         QubxLogConfig.setup_logger(QubxLogConfig.get_log_level(), _SimulatedLogFormatter(self).formatter)
+        if self._fill_stop_order_at_price:
+            logger.info(f"SimulatedExchangeService emulates stop orders executions at exact price")
 
     def send_order(
         self,
@@ -195,8 +225,8 @@ class SimulatedTrading(ITradingServiceProvider):
 
         # - try to place order in OME
         report = ome.place_order(
-            order_side.upper(),
-            order_type.upper(),
+            order_side.upper(),  # type: ignore
+            order_type.upper(),  # type: ignore
             amount,
             price,
             client_id,
@@ -254,7 +284,12 @@ class SimulatedTrading(ITradingServiceProvider):
 
         if symbol not in self.acc._positions:
             # - initiolize OME for this instrument
-            self._ome[instrument.symbol] = OrdersManagementEngine(instrument=instrument, time_provider=self, tcc=self._fees_calculator)  # type: ignore
+            self._ome[instrument.symbol] = OrdersManagementEngine(
+                instrument=instrument,
+                time_provider=self,
+                tcc=self._fees_calculator,  # type: ignore
+                fill_stop_order_at_price=self._fill_stop_order_at_price,
+            )
 
             # - initiolize empty position
             position = Position(instrument)  # type: ignore
@@ -693,8 +728,57 @@ def simulate(
     n_jobs: int = 1,
     silent: bool = False,
     enable_event_batching: bool = True,
+    accurate_stop_orders_execution: bool = False,
     debug: Literal["DEBUG", "INFO", "WARNING", "ERROR", "CRITICAL"] | None = "WARNING",
 ) -> list[TradingSessionResult]:
+    """
+    Backtest utility for trading strategies or signals using historical data.
+
+    Parameters:
+    ----------
+
+    config (StrategyOrSignals | Dict | List[StrategyOrSignals | PositionsTracker]):
+        Trading strategy or signals configuration.
+    data (Dict[str, pd.DataFrame] | DataReader):
+        Historical data for simulation, either as a dictionary of DataFrames or a DataReader object.
+    capital (float):
+        Initial capital for the simulation.
+    instruments (List[str] | Dict[str, List[str]] | None):
+        List of trading instruments or a dictionary mapping exchanges to instrument lists.
+    subscription (Dict[str, Any]):
+        Subscription details for market data.
+    trigger (str | list[str]):
+        Trigger specification for strategy execution.
+    commissions (str):
+        Commission structure for trades.
+    start (str | pd.Timestamp):
+        Start time of the simulation.
+    stop (str | pd.Timestamp | None):
+        End time of the simulation. If None, simulates until the last accessible data.
+    fit (str | None):
+        Specification for strategy fitting, if applicable.
+    exchange (str | None):
+        Exchange name if not specified in the instruments list.
+    base_currency (str):
+        Base currency for the simulation, default is "USDT".
+    leverage (float):
+        Leverage factor for trading, default is 1.0.
+    n_jobs (int):
+        Number of parallel jobs for simulation, default is 1.
+    silent (bool):
+        If True, suppresses output during simulation.
+    enable_event_batching (bool):
+        If True, enables event batching for optimization.
+    accurate_stop_orders_execution (bool):
+        If True, enables more accurate stop order execution simulation.
+    debug (Literal["DEBUG", "INFO", "WARNING", "ERROR", "CRITICAL"] | None):
+        Logging level for debugging.
+
+    Returns:
+    --------
+    list[TradingSessionResult]:
+        A list of TradingSessionResult objects containing the results of each simulation setup.
+    """
 
     # - setup logging
     QubxLogConfig.set_log_level(debug.upper() if debug else "WARNING")
@@ -755,6 +839,7 @@ def simulate(
         n_jobs=n_jobs,
         silent=silent,
         enable_event_batching=enable_event_batching,
+        accurate_stop_orders_execution=accurate_stop_orders_execution,
     )
 
 
@@ -818,6 +903,7 @@ def _run_setups(
     n_jobs: int = -1,
     silent: bool = False,
     enable_event_batching: bool = True,
+    accurate_stop_orders_execution: bool = False,
 ) -> List[TradingSessionResult]:
     # loggers don't work well with joblib and multiprocessing in general because they contain
     # open file handlers that cannot be pickled. I found a solution which requires the usage of enqueue=True
@@ -839,6 +925,7 @@ def _run_setups(
             fit=fit,
             silent=silent,
             enable_event_batching=enable_event_batching,
+            accurate_stop_orders_execution=accurate_stop_orders_execution,
         )
         for id, s in enumerate(setups)
     )
@@ -856,13 +943,19 @@ def _run_setup(
     fit: str | None,
     silent: bool = False,
     enable_event_batching: bool = True,
+    accurate_stop_orders_execution: bool = False,
 ) -> TradingSessionResult:
     _trigger = trigger
     _stop = stop
     logger.debug(
         f"<red>{pd.Timestamp(start)}</red> Initiating simulated trading for {setup.exchange} for {setup.capital} x {setup.leverage} in {setup.base_currency}..."
     )
-    broker = SimulatedTrading(setup.exchange, setup.commissions, np.datetime64(start, "ns"))
+    broker = SimulatedTrading(
+        setup.exchange,
+        setup.commissions,
+        np.datetime64(start, "ns"),
+        accurate_stop_orders_execution=accurate_stop_orders_execution,
+    )
     exchange = SimulatedExchange(setup.exchange, broker, data_reader)
 
     # - it will store simulation results into memory

qubx/core/series.pyi

@@ -4,12 +4,16 @@ from typing import Any, Tuple
 import pandas as pd
 
 class Bar:
+    time: int
     open: float
     high: float
     low: float
     close: float
     volume: float
+    bought_volume: float
     def __init__(self, time, open, high, low, close, volume, bought_volume=0): ...
+    def update(self, price: float, volume: float, bought_volume: float = 0) -> Bar: ...
+    def to_dict(self, skip_time: bool = False) -> dict: ...
 
 class Quote:
     time: int
@@ -44,8 +48,9 @@ class TimeSeries:
     max_series_length: int
     times: Indexed
     values: Indexed
-    def __init__(self, name, timeframe, max_series_length, process_every_update=True) -> None: ...
+    def __init__(self, name, timeframe, max_series_length=np.inf, process_every_update=True) -> None: ...
     def __getitem__(self, idx): ...
+    def __len__(self) -> int: ...
     def update(self, time: int, value: float) -> bool: ...
     def copy(self, start: int, stop: int) -> "TimeSeries": ...
     def shift(self, period: int) -> TimeSeries: ...

qubx/gathering/simplest.py

@@ -34,7 +34,7 @@ class SimplePositionGatherer(IPositionGathering):
 
         if abs(to_trade) < instrument.min_size:
             if current_position != 0:
-                logger.warning(
+                logger.debug(
                     f"{instrument.exchange}:{instrument.symbol}: Unable change position from {current_position} to {new_size} : too small difference"
                 )
         else:
@@ -45,7 +45,7 @@ class SimplePositionGatherer(IPositionGathering):
             if at_price:
                 # - we already havbe position but it's requested to change at a specific price
                 if abs(current_position) > instrument.min_size:
-                    logger.warning(
+                    logger.debug(
                         f"<green>{instrument.symbol}</green>: Attempt to change current position {current_position} to {new_size} at {at_price} !"
                     )
 

qubx/trackers/riskctrl.py

@@ -201,6 +201,13 @@ class BrokerSideRiskController(RiskController):
 
             case State.RISK_TRIGGERED:
                 c.status = State.DONE
+
+                # - remove from the tracking list
+                logger.debug(
+                    f"<yellow>{self.__class__.__name__}</yellow> -- stops tracking -- <green>{instrument.symbol}</green>"
+                )
+                self._trackings.pop(instrument)
+
                 # - send service signal that risk triggeres (it won't be processed by StrategyContext)
                 if c.stop_executed_price: 
                     return [
@@ -215,9 +222,6 @@ class BrokerSideRiskController(RiskController):
                             )
                     ]
 
-            case State.OPEN:
-                pass
-
             case State.DONE:
                 logger.debug(
                     f"<yellow>{self.__class__.__name__}</yellow> -- stops tracking -- <green>{instrument.symbol}</green>"

{qubx-0.2.71.dist-info → qubx-0.2.73.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.71
+Version: 0.2.73
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.71.dist-info → qubx-0.2.73.dist-info}/RECORD

@@ -1,10 +1,10 @@
 qubx/__init__.py,sha256=dIHcfXv3uDX-kJ6qRGrH5OUW7evnGFf6A2VsLQlr2jc,6047
 qubx/_nb_magic.py,sha256=vfV892I5rkA_Zbno5Dsl9osPTGiXTCV3afZRDrTlcOQ,1915
 qubx/backtester/__init__.py,sha256=g9K4pp4ieY4rRKE0eA_02LMo-c4vnk-QqtVn_ff9F5U,66
-qubx/backtester/ome.py,sha256=i6J4B4K_LS-3-HhbmtwNJu-NyORZLA7NGlUqdb_EiYQ,10853
+qubx/backtester/ome.py,sha256=FmtRMDCeEo8ZZP-yLswLilX6zx6SjJeieMiaLS7zrn0,11145
 qubx/backtester/optimization.py,sha256=wn48ppzziiNTG37tipY4HfRpqLKl2Y5iVCVO6NsCKRM,6588
 qubx/backtester/queue.py,sha256=ys9tHyrqx3NKbcoTAoOn0m0caIk5F0GpS2x7_sCikro,14997
-qubx/backtester/simulator.py,sha256=6sftpEmA9mwIOVvvMKAO7wid84LpRTagkSH8Z69qE2I,34252
+qubx/backtester/simulator.py,sha256=EIcJ1J5ZuQdlUndtHrjurgh2yJb13b7_GCXEvB-mbYw,38180
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=uIU-EUMuH5owWhHTmU1pZ0WrkQkiv9YiFqSZW9dFDK8,9066
 qubx/core/basics.py,sha256=WA6LrmCG1si6pfyvezLRkfts575912AhGJMVbwBWSa0,21802
@@ -14,17 +14,17 @@ qubx/core/helpers.py,sha256=JAB1kcKO8l--gxg9_W2BzWW1N4x72sicw1oBszKYcbo,12657
 qubx/core/loggers.py,sha256=zpehm2-RdKG1ISe6t3DiM3RrL_zzGni3YFcxfgDkV24,16575
 qubx/core/lookups.py,sha256=qGOSb2SIxmgVPGJFLJnPDI1P9hCzFMVipRDcVLUm8qk,14599
 qubx/core/metrics.py,sha256=pL1obxnk8I7bDF41bQcOZ7MDsq4Wmj6g5cRiV7cFZKQ,38657
-qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=LxclD5HJ7eN6N1zVTPjj-GWEqwzPZGBwtHjEBm9lLsE,779016
+qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=jm55CYg3uP6-aMJq9mmSxKasX2pVh2xn8s_ldj_Zxqg,779016
 qubx/core/series.pxd,sha256=kF7QeLFgCM-C2hDxVvJM97ZOmyw1v7JEI9WfPKtQ6xs,3002
-qubx/core/series.pyi,sha256=QeOSi57-NxHEfiP-i7IImf-06KrqSHob5dr6kp45mM4,2603
+qubx/core/series.pyi,sha256=bRBWOaDUBe4Hm2SvraoVeT-n5NFLA92fi8ezrArx9nY,2831
 qubx/core/series.pyx,sha256=UhZsnT7R3-UED05Fnp3mGxr4RSdMpWAHB4lkcz46MFo,32598
 qubx/core/strategy.py,sha256=tTXhDbFTH63yj53mLgVEDBZxYOxC51prcsyXWkdTgLs,10991
-qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=75YzBcsX3kau9_GAflGai2X6Xc-sedZpFaKGk1jUcmw,82504
+qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=fygnriORpmolJOVVtOMiYFmhEinJVRy5xvzwtlcoCJo,82504
 qubx/core/utils.pyi,sha256=DAjyRVPJSxK4Em-9wui2F0yYHfP5tI5DjKavXNOnHa8,276
 qubx/core/utils.pyx,sha256=-8ek58CrbqWZq0-OY7WSREsCXBoBeWrD_wEYbIBS9rI,1696
 qubx/data/helpers.py,sha256=A0NGzhpXYWD92-GeB8TghwMnR0NW8bjcNJOCXybQw3g,782
 qubx/data/readers.py,sha256=HzNkFI2W4Rkh2AZWsOnnsi9VlHmlBCKaigyMd0T0Jiw,39523
-qubx/gathering/simplest.py,sha256=MTulwYqR5tLP6CP_jFPELUl0wQKG_RcRNMZBB2aajVI,3818
+qubx/gathering/simplest.py,sha256=Ez3YFZMKH3o0jV0Qbg1SuZiuFNs_5No_C7wZ6vOeqfo,3814
 qubx/impl/ccxt_connector.py,sha256=ja_0WJDyZfkzqhNvoV-c5CCg15YnbRIThxw0TTNdwcc,13066
 qubx/impl/ccxt_customizations.py,sha256=WUhDT9x2SYuFrOyBIbk2D9Q_U_5QZhtLomLq88Egf_c,6230
 qubx/impl/ccxt_trading.py,sha256=OW0s_kW7GZlbDz_pGBlzLCUT2iDK4dhaBtmIAvj7QDw,9889
@@ -35,14 +35,14 @@ 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=0bwm5XuLdNT-oT7rDRKwkRpMzxMAAUv_lOwCcisRpQU,576168
+qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=dmNDjvU0iziEYwvNhie4NnPHPiQjVllrsSgy3l8DuPg,576168
 qubx/ta/indicators.pxd,sha256=YzPDhbbNPmy3m4NafwIRF5sNFsmkq-MM1gbeAygtBwM,4007
 qubx/ta/indicators.pyi,sha256=mM_7ISmGQDgjhwxCoZXDw7Rm9fynQSYjevV7fRoLdNc,1683
 qubx/ta/indicators.pyx,sha256=GuxB63YApFnA9IWNJDbBt90J1sOoxTf3jDWYQ3uD9So,24306
 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
-qubx/trackers/riskctrl.py,sha256=UjkVCNvcAgVjwTCJ7XbNAZFKVnRjwtgOfSr4eKCGmOg,22759
+qubx/trackers/riskctrl.py,sha256=N0CQeCHnL8OI1LST9CAVmyirKRfBbfXQcCjHt8DGSfI,22978
 qubx/trackers/sizers.py,sha256=vh49p2I_5LxYfznOQxlM6f0K1wadgtz7y9NSxg3WdNQ,5953
 qubx/utils/__init__.py,sha256=AL2YibJ3tqBKsZZLUjM9N2J5yy-Kq__k_44oTODQ5sM,321
 qubx/utils/_pyxreloader.py,sha256=FyqGzfSpZGYziB8JYS5AP3cLRAvJSIPAKgwQn0E4YQ0,12017
@@ -53,6 +53,6 @@ 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-0.2.71.dist-info/METADATA,sha256=IY-PJnZMdx6sQ9lbdc2tQUTllelser8FFl3f16jx6Nc,2573
-qubx-0.2.71.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
-qubx-0.2.71.dist-info/RECORD,,
+qubx-0.2.73.dist-info/METADATA,sha256=BlQcsbjTxWaDsNFuQjg5cTRBC0xujx9TYobz8EfeXWQ,2573
+qubx-0.2.73.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
+qubx-0.2.73.dist-info/RECORD,,