Qubx 0.2.76__cp311-cp311-manylinux_2_35_x86_64.whl → 0.2.78__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/backtester/simulator.py

@@ -589,6 +589,8 @@ class SimulatedExchange(IBrokerServiceProvider):
         records = self._reader.read(
             data_id=_spec, start=start, stop=end, transform=AsTimestampedRecords()  # type: ignore
         )
+        if not records:
+            return []
         return [
             Bar(np.datetime64(r["timestamp_ns"], "ns").item(), r["open"], r["high"], r["low"], r["close"], r["volume"])
             for r in records

qubx/core/basics.py

@@ -417,8 +417,12 @@ class Position:
 
             # - extract realized part of PnL
             if qty_closing != 0:
+                _abs_qty_close = abs(qty_closing)
                 deal_pnl = qty_closing * (self.position_avg_price - exec_price)
+
                 quantity += qty_closing
+                self.__pos_incr_qty -= _abs_qty_close
+
                 # - reset average price to 0 if smaller than minimal price change to avoid cumulative error
                 if abs(quantity) < self.instrument.min_size_step:
                     quantity = 0.0
@@ -480,6 +484,7 @@ class Position:
         return self.pnl
 
     def total_pnl(self) -> float:
+        # TODO: account for commissions
         pnl = self.r_pnl
         if not np.isnan(self.last_update_price):  # type: ignore
             pnl += self.quantity * (self.last_update_price - self.position_avg_price) / self.last_update_conversion_rate  # type: ignore

qubx/core/lookups.py

@@ -410,7 +410,7 @@ class GlobalLookup:
     instruments: InstrumentsLookup
     fees: FeesLookup
 
-    def find_fees(self, exchange: str, spec: str) -> Optional[TransactionCostsCalculator]:
+    def find_fees(self, exchange: str, spec: str | None) -> Optional[TransactionCostsCalculator]:
         return self.fees.find(exchange, spec)
 
     def find_aux_instrument_for(self, instrument: Instrument, base_currency: str) -> Optional[Instrument]:

qubx/core/strategy.py

@@ -154,6 +154,7 @@ class StrategyContext(ITimeProvider):
     instruments: List[Instrument]  # list of instruments this strategy trades
     positions: Dict[str, Position]  # positions of the strategy (instrument -> position)
     acc: AccountProcessor
+    broker_provider: IBrokerServiceProvider  # market data provider
 
     def process_data(self, symbol: str, d_type: str, data: Any) -> bool: ...
 

qubx/data/readers.py

@@ -907,7 +907,7 @@ class QuestDBConnector(DataReader):
 
         query = f"""
         select timestamp, 
-        symbol,
+        upper(symbol) as symbol,
         first(open) as open, 
         max(high) as high,
         min(low) as low,
@@ -919,7 +919,10 @@ class QuestDBConnector(DataReader):
         sum(taker_buy_quote_volume) as taker_buy_quote_volume
         from "{table_name}" {where} {_rsmpl};
         """
-        return self.execute(query).set_index(["timestamp", "symbol"])
+        res = self.execute(query)
+        if res.empty:
+            return res
+        return res.set_index(["timestamp", "symbol"])
 
     def get_average_quote_volume(
         self,
@@ -936,7 +939,7 @@ class QuestDBConnector(DataReader):
             where timestamp >= '{start}' and timestamp < '{stop}'
             SAMPLE BY {QuestDBSqlCandlesBuilder._convert_time_delta_to_qdb_resample_format(timeframe)}
         )
-        select symbol, avg(qvolume) as quote_volume from sampled
+        select upper(symbol) as symbol, avg(qvolume) as quote_volume from sampled
         group by symbol
         order by quote_volume desc;
         """

{qubx-0.2.76.dist-info → qubx-0.2.78.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.76
+Version: 0.2.78
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko
@@ -25,7 +25,7 @@ Requires-Dist: psycopg (>=3.1.18,<4.0.0)
 Requires-Dist: psycopg-binary (>=3.1.19,<4.0.0)
 Requires-Dist: psycopg-pool (>=3.2.2,<4.0.0)
 Requires-Dist: pyarrow (>=15.0.0,<16.0.0)
-Requires-Dist: pydantic (>=1.10.2,<2.0.0)
+Requires-Dist: pydantic (>=2.9.2,<3.0.0)
 Requires-Dist: pymongo (>=4.6.1,<5.0.0)
 Requires-Dist: pytest[lazyfixture] (>=7.2.0,<8.0.0)
 Requires-Dist: python-binance (>=1.0.19,<2.0.0)

{qubx-0.2.76.dist-info → qubx-0.2.78.dist-info}/RECORD

@@ -4,27 +4,27 @@ qubx/backtester/__init__.py,sha256=g9K4pp4ieY4rRKE0eA_02LMo-c4vnk-QqtVn_ff9F5U,6
 qubx/backtester/ome.py,sha256=FmtRMDCeEo8ZZP-yLswLilX6zx6SjJeieMiaLS7zrn0,11145
 qubx/backtester/optimization.py,sha256=ATHoiEGwbDIk0-lbFIxvVDmH_f-vtS10YV41pfOTCBA,7297
 qubx/backtester/queue.py,sha256=ys9tHyrqx3NKbcoTAoOn0m0caIk5F0GpS2x7_sCikro,14997
-qubx/backtester/simulator.py,sha256=t4VBrE4lSqn2LfZddtZ6X5CZ9FfJe3xuZpF34R9bkF0,38188
+qubx/backtester/simulator.py,sha256=v7IkqoB6vJJr_o6DjRAjsU6Byo5y2FfAhIdHd_Mi0fM,38234
 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/basics.py,sha256=K6Q20SaeqQvx7f9BZl2Y5FqG3EDpcNMq_I4hNeW8XIU,21948
 qubx/core/context.py,sha256=WnHsItJ1OQ2jD0cHbYOMQ9ck4txLTwtf8Dp-zCLsUww,37759
 qubx/core/exceptions.py,sha256=W1gG_0fE3o2EMGUfOeOl3vVJDp8Z1iHLv4iZ0ThNkTs,306
 qubx/core/helpers.py,sha256=V_3505UiQhQcNwKVFN3S7hQAgmfU0Lly3JX1kk3GW8E,12664
 qubx/core/loggers.py,sha256=zpehm2-RdKG1ISe6t3DiM3RrL_zzGni3YFcxfgDkV24,16575
-qubx/core/lookups.py,sha256=2TH9kySRnUMTm_1uMVqk-FisyofWT22u7KGLicWzlhU,14607
+qubx/core/lookups.py,sha256=GzGmw8sEtS1ly2YSQMwrBVywFtWaAcXSd6mPCA1HIvQ,14614
 qubx/core/metrics.py,sha256=Y33YgwyGbbZ7KGAcmcQ1mNi8Rg_D76b3704Q8TrQL5s,39521
-qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=Bion-CubUyl6u0Cbq28o2weEYilyB4PIUDIh8LguiAQ,779016
+qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=4i0wI8A8mttLXfXYLFy7TWg_7X7fwp4LmU1B8Dxzdgg,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=zbA9MBzGwbiGVsyI1WMk68YBIg_JviygAt6s6NGeH1E,82504
+qubx/core/strategy.py,sha256=kFO7OU1lGV6o9Ih59bPnmTphrQT4tkLV8ADvoYeuZrk,11059
+qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=d2N0ewDrqe0gu8CP31VVKlYTN_BiXn3cDvPfFf7KXq0,82504
 qubx/core/utils.pyi,sha256=DAjyRVPJSxK4Em-9wui2F0yYHfP5tI5DjKavXNOnHa8,276
 qubx/core/utils.pyx,sha256=-8ek58CrbqWZq0-OY7WSREsCXBoBeWrD_wEYbIBS9rI,1696
 qubx/data/__init__.py,sha256=Ln1GB07OWaD5BcwlapaoHBxUvw2kUGXXS24vgfeRdhk,216
 qubx/data/helpers.py,sha256=A0NGzhpXYWD92-GeB8TghwMnR0NW8bjcNJOCXybQw3g,782
-qubx/data/readers.py,sha256=t6bG1NSzYZzJc8IYIGnrP-W3RS1ioWkeEX1byaQSQsc,40200
+qubx/data/readers.py,sha256=e1LFkQtMcYnTnYyitTa4reitdWwgSir76hGV5Dsg_EU,40297
 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
@@ -36,7 +36,7 @@ qubx/pandaz/__init__.py,sha256=xlZvm48eBur0U7N4F4xTKqh7-n5fN0wghj1Tb8lCCNk,332
 qubx/pandaz/ta.py,sha256=NthiiueUoqWGRcjovcKKThcCcdImZn3JRdWDA2vL28k,85075
 qubx/pandaz/utils.py,sha256=O5wXkYKiTCdGR7hZR4tQtFTbTF-q_kEk-n1DyR-P3X0,19519
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=My1BpH0ZeZqsobY-j2HT6sWxVsFyvIHIfv5QVrXyahc,576168
+qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=trA-DfJUE2Vd6uVFmI8KsVekGNKoaWO-sRdMED1JYjs,576168
 qubx/ta/indicators.pxd,sha256=YzPDhbbNPmy3m4NafwIRF5sNFsmkq-MM1gbeAygtBwM,4007
 qubx/ta/indicators.pyi,sha256=mM_7ISmGQDgjhwxCoZXDw7Rm9fynQSYjevV7fRoLdNc,1683
 qubx/ta/indicators.pyx,sha256=GuxB63YApFnA9IWNJDbBt90J1sOoxTf3jDWYQ3uD9So,24306
@@ -54,6 +54,6 @@ 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=fIVWYRmqRT1zkLIWy9jo_Fpfpc03S0sYyOcrHZcfF74,5198
-qubx-0.2.76.dist-info/METADATA,sha256=1cu9k670WYRhCYjWj7EOfdyI_kAe6PYmufXJJ7TOa0A,2573
-qubx-0.2.76.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
-qubx-0.2.76.dist-info/RECORD,,
+qubx-0.2.78.dist-info/METADATA,sha256=UiI1e3xQ7PwBBGMGp9iLPhTdmGOuz8NmjJFFuqZtN40,2572
+qubx-0.2.78.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
+qubx-0.2.78.dist-info/RECORD,,