Qubx 0.2.73__cp311-cp311-manylinux_2_35_x86_64.whl → 0.2.75__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/backtester/optimization.py

@@ -90,7 +90,41 @@ def permutate_params(
     return _wrap_single_list(result) if wrap_as_list else result
 
 
-def variate(clz: Type[Any] | List[Type[Any]], *args, conditions=None, **kwargs) -> Dict[str, Any]:
+def dicts_product(d1: dict, d2: dict) -> dict:
+    """
+    Product of two dictionaries.
+
+    Example:
+    -------
+
+    dicts_product({
+        'A': 1,
+        'B': 2,
+    }, {
+        'C': 3,
+        'D': 4,
+    })
+
+    Output:
+    ------
+    {
+        'A + C': [1, 3],
+        'A + D': [1, 4],
+        'B + C': [2, 3],
+        'B + D': [2, 4]
+    }
+
+    """
+    flatten = lambda l: [item for sublist in l for item in (sublist if isinstance(sublist, list) else [sublist])]
+    return {(a + " + " + b): flatten([d1[a], d2[b]]) for a, b in product(d1.keys(), d2.keys())}
+
+
+class _dict(dict):
+    def __add__(self, other: dict) -> dict:
+        return _dict(dicts_product(self, other))
+
+
+def variate(clz: Type[Any] | List[Type[Any]], *args, conditions=None, **kwargs) -> _dict:
     """
     Make variations of parameters for simulations (micro optimizer)
 
@@ -149,7 +183,9 @@ def variate(clz: Type[Any] | List[Type[Any]], *args, conditions=None, **kwargs)
     to_excl = [s for s, v in kwargs.items() if not isinstance(v, (list, set, tuple, range))]
     dic2str = lambda ds: [_cmprss(k) + "=" + str(v) for k, v in ds.items() if k not in to_excl]
 
-    return {
-        f"{sfx}_({ ','.join(dic2str(z)) })": _mk(clz, *args, **z)
-        for z in permutate_params(kwargs, conditions=conditions)
-    }
+    return _dict(
+        {
+            f"{sfx}_({ ','.join(dic2str(z)) })": _mk(clz, *args, **z)
+            for z in permutate_params(kwargs, conditions=conditions)
+        }
+    )

qubx/backtester/simulator.py

@@ -556,7 +556,7 @@ class SimulatedExchange(IBrokerServiceProvider):
             # we have to schedule possible crons before sending the data event itself
             if self._scheduler.check_and_run_tasks():
                 # - push nothing - it will force to process last event
-                cc.send((None, "time", None))
+                cc.send((None, "service_time", None))
 
         cc.send((symbol, data_type, data))
 

qubx/core/helpers.py

@@ -300,9 +300,9 @@ class BasicScheduler:
         next_time = iter.get_next(start_time=start_time)
         if next_time:
             self._scdlr.enterabs(next_time, 1, self._trigger, (event, prev_time, next_time))
-            logger.debug(
-                f"Now is <red>{_SEC2TS(self.time_sec())}</red> next ({event}) at <cyan>{_SEC2TS(next_time)}</cyan>"
-            )
+            # logger.debug(
+            #     f"Now is <red>{_SEC2TS(self.time_sec())}</red> next ({event}) at <cyan>{_SEC2TS(next_time)}</cyan>"
+            # )
             return True
         logger.debug(f"({event}) task is not scheduled")
         return False

qubx/data/readers.py

@@ -945,6 +945,23 @@ class QuestDBConnector(DataReader):
             return pd.Series()
         return vol_stats.set_index("symbol")["quote_volume"]
 
+    def get_fundamental_data(
+        self, exchange: str, start: str | pd.Timestamp | None = None, stop: str | pd.Timestamp | None = None
+    ) -> pd.DataFrame:
+        table_name = {"BINANCE.UM": "binance.umfutures.fundamental"}[exchange]
+        query = f"select * from {table_name}"
+        if start or stop:
+            conditions = []
+            if start:
+                conditions.append(f"timestamp >= '{start}'")
+            if stop:
+                conditions.append(f"timestamp < '{stop}'")
+            query += " where " + " and ".join(conditions)
+        df = self.execute(query)
+        if df.empty:
+            return pd.DataFrame()
+        return df.set_index(["timestamp", "symbol", "metric"]).value.unstack("metric")
+
     def get_names(self) -> List[str]:
         return self._get_names(self._builder)
 
@@ -1027,7 +1044,6 @@ class QuestDBSqlOrderBookBuilder(QuestDBSqlCandlesBuilder):
     Sql builder for snapshot data
     """
 
-    MAX_TIME_DELTA = pd.Timedelta("5h")
     SNAPSHOT_DELTA = pd.Timedelta("1h")
     MIN_DELTA = pd.Timedelta("1s")
 
@@ -1043,8 +1059,6 @@ class QuestDBSqlOrderBookBuilder(QuestDBSqlCandlesBuilder):
             raise ValueError("Start and end dates must be provided for orderbook data!")
         start_dt, end_dt = pd.Timestamp(start), pd.Timestamp(end)
         delta = end_dt - start_dt
-        if delta > self.MAX_TIME_DELTA:
-            raise ValueError(f"Time range is too big for orderbook data: {delta}, max allowed: {self.MAX_TIME_DELTA}")
 
         raw_start_dt = start_dt.floor(self.SNAPSHOT_DELTA) - self.MIN_DELTA
 

qubx/trackers/riskctrl.py

@@ -5,7 +5,7 @@ from typing import Dict, List, Literal
 import numpy as np
 
 from qubx import logger
-from qubx.core.basics import Deal, Instrument, Signal, TargetPosition
+from qubx.core.basics import Deal, Instrument, OrderStatus, Signal, TargetPosition
 from qubx.core.series import Bar, Quote, Trade
 from qubx.core.strategy import IPositionSizer, PositionsTracker, StrategyContext
 from qubx.trackers.sizers import FixedRiskSizer, FixedSizer
@@ -270,6 +270,15 @@ class BrokerSideRiskController(RiskController):
                         )
                         order = ctx.trade(instrument, -pos, c_w.target.take)
                         c_w.take_order_id = order.id
+
+                        # - if order was executed immediately we don't need to send stop order
+                        if order.status == "CLOSED":
+                            c_w.status = State.RISK_TRIGGERED
+                            logger.debug(
+                                f"<yellow>{self.__class__.__name__}</yellow> <g>TAKE PROFIT</g> was exected immediately for <green>{instrument.symbol}</green> at {c_w.target.take}"
+                            )
+                            return
+
                     except Exception as e:
                         logger.error(
                             f"<yellow>{self.__class__.__name__}</yellow> couldn't send take limit order for <green>{instrument.symbol}</green>: {str(e)}"

qubx/utils/time.py

@@ -113,7 +113,7 @@ def infer_series_frequency(series: Union[List, pd.DataFrame, pd.Series, pd.Datet
             [
                 (
                     x
-                    if isinstance(x, (np.timedelta64, int))
+                    if isinstance(x, (np.timedelta64, int, np.int64))
                     else int(x) if isinstance(x, float) else int(1e9 * x.total_seconds())
                 )
                 for x in np.abs(np.diff(times_index))

{qubx-0.2.73.dist-info → qubx-0.2.75.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.73
+Version: 0.2.75
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.73.dist-info → qubx-0.2.75.dist-info}/RECORD

@@ -2,28 +2,28 @@ 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=FmtRMDCeEo8ZZP-yLswLilX6zx6SjJeieMiaLS7zrn0,11145
-qubx/backtester/optimization.py,sha256=wn48ppzziiNTG37tipY4HfRpqLKl2Y5iVCVO6NsCKRM,6588
+qubx/backtester/optimization.py,sha256=ATHoiEGwbDIk0-lbFIxvVDmH_f-vtS10YV41pfOTCBA,7297
 qubx/backtester/queue.py,sha256=ys9tHyrqx3NKbcoTAoOn0m0caIk5F0GpS2x7_sCikro,14997
-qubx/backtester/simulator.py,sha256=EIcJ1J5ZuQdlUndtHrjurgh2yJb13b7_GCXEvB-mbYw,38180
+qubx/backtester/simulator.py,sha256=t4VBrE4lSqn2LfZddtZ6X5CZ9FfJe3xuZpF34R9bkF0,38188
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=uIU-EUMuH5owWhHTmU1pZ0WrkQkiv9YiFqSZW9dFDK8,9066
 qubx/core/basics.py,sha256=WA6LrmCG1si6pfyvezLRkfts575912AhGJMVbwBWSa0,21802
 qubx/core/context.py,sha256=WnHsItJ1OQ2jD0cHbYOMQ9ck4txLTwtf8Dp-zCLsUww,37759
 qubx/core/exceptions.py,sha256=W1gG_0fE3o2EMGUfOeOl3vVJDp8Z1iHLv4iZ0ThNkTs,306
-qubx/core/helpers.py,sha256=JAB1kcKO8l--gxg9_W2BzWW1N4x72sicw1oBszKYcbo,12657
+qubx/core/helpers.py,sha256=R-xi4lgmYvWpUARIYcbcrNrRlEap5wc-GQ5sE4riUxQ,12663
 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=jm55CYg3uP6-aMJq9mmSxKasX2pVh2xn8s_ldj_Zxqg,779016
+qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=HwGNM0szT5qwZX6C2RS5W4kRqMtJhVpckokYeHnWMmM,779016
 qubx/core/series.pxd,sha256=kF7QeLFgCM-C2hDxVvJM97ZOmyw1v7JEI9WfPKtQ6xs,3002
 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=fygnriORpmolJOVVtOMiYFmhEinJVRy5xvzwtlcoCJo,82504
+qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=BKuT2LUOVCVEen9gT8XNhwKxmFjr1SEJXZyDqb16nZg,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/data/readers.py,sha256=2VgaHKpHg67qej0Ty6D9q-zLRKEMamQY5pEIIJJcAZw,40062
 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
@@ -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=dmNDjvU0iziEYwvNhie4NnPHPiQjVllrsSgy3l8DuPg,576168
+qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=GNi4LN7GZgIfQOSKMEW19CmctnUW84lulZkdLbwq7TM,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=N0CQeCHnL8OI1LST9CAVmyirKRfBbfXQcCjHt8DGSfI,22978
+qubx/trackers/riskctrl.py,sha256=URRZmYgb1-jcW4RTb2QXUozTnBiGhFEWHtTEjaqow5Q,23491
 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
@@ -52,7 +52,7 @@ qubx/utils/marketdata/binance.py,sha256=36dl4rxOAGTeY3uoONmiPanj8BkP0oBdDiH-URJJ
 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-0.2.73.dist-info/METADATA,sha256=BlQcsbjTxWaDsNFuQjg5cTRBC0xujx9TYobz8EfeXWQ,2573
-qubx-0.2.73.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
-qubx-0.2.73.dist-info/RECORD,,
+qubx/utils/time.py,sha256=fIVWYRmqRT1zkLIWy9jo_Fpfpc03S0sYyOcrHZcfF74,5198
+qubx-0.2.75.dist-info/METADATA,sha256=yq_PoJL-wZQFfQ_Ccmci1z7MNvatP0NL79SIomC421U,2573
+qubx-0.2.75.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
+qubx-0.2.75.dist-info/RECORD,,