Qubx 0.6.10__cp312-cp312-manylinux_2_39_x86_64.whl → 0.6.12__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/core/basics.py

@@ -475,6 +475,7 @@ class Position:
             self.quantity = quantity
             self.position_avg_price = pos_average_price
             self.r_pnl = r_pnl
+            self.__pos_incr_qty = abs(quantity)
 
     def reset(self) -> None:
         """
@@ -539,6 +540,7 @@ class Position:
         deal_pnl = 0
         quantity = self.quantity
         comms = 0
+        # logger.info(f"{self.instrument.symbol} exec_price={exec_price} fee_amount={fee_amount} position={position}")
 
         if quantity != position:
             pos_change = position - quantity
@@ -550,13 +552,17 @@ class Position:
             qty_opening = pos_change if prev_direction == direction else pos_change - qty_closing
 
             # - extract realized part of PnL
-            if qty_closing != 0:
+            if not np.isclose(qty_closing, 0.0):
                 _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
 
+                # logger.info(
+                #     f"{self.instrument.symbol} qty_closing={qty_closing} deal_pnl={deal_pnl} quantity={quantity} pos_incr_qty={self.__pos_incr_qty} position_avg_price={self.position_avg_price}"
+                # )
+
                 # - reset average price to 0 if smaller than minimal price change to avoid cumulative error
                 if abs(quantity) < self.instrument.lot_size:
                     quantity = 0.0
@@ -564,11 +570,17 @@ class Position:
                     self.__pos_incr_qty = 0
 
             # - if it has something to add to position let's update price and cost
-            if qty_opening != 0:
+            if not np.isclose(qty_opening, 0.0):
                 _abs_qty_open = abs(qty_opening)
+
+                # logger.info(
+                #     f"{self.instrument.symbol} qty_opening={qty_opening} exec_price={exec_price} pos_incr_qty={self.__pos_incr_qty} position_avg_price={self.position_avg_price}"
+                # )
+
                 pos_avg_price_raw = (_abs_qty_open * exec_price + self.__pos_incr_qty * self.position_avg_price) / (
                     self.__pos_incr_qty + _abs_qty_open
                 )
+
                 # - round position average price to be in line with how it's calculated by broker
                 self.position_avg_price = self.instrument.round_price_down(pos_avg_price_raw)
                 self.__pos_incr_qty += _abs_qty_open

qubx/core/loggers.py

@@ -216,8 +216,10 @@ class _BaseIntervalDumper:
     def store(self, timestamp: np.datetime64):
         _t_ns = time_as_nsec(timestamp)
         if self._freq:
-            _interval_start_time = int(_t_ns - _t_ns % self._freq)
-            if _t_ns - self._last_log_time_ns >= self._freq:
+            # Convert freq to nanoseconds for calculation
+            _freq_ns = self._freq.astype("int64")
+            _interval_start_time = int(_t_ns - (_t_ns % _freq_ns))
+            if _t_ns - self._last_log_time_ns >= _freq_ns:
                 self.dump(np.datetime64(_interval_start_time, "ns"), timestamp)
                 self._last_log_time_ns = _interval_start_time
         else:
@@ -412,22 +414,29 @@ class SignalsLogger(_BaseIntervalDumper):
 
 class BalanceLogger(_BaseIntervalDumper):
     """
-    Balance logger - send balance on strategy start
+    Balance logger - save balance information at regular intervals similar to positions
     """
 
     _writer: LogsWriter
+    _balance: dict[str, AssetBalance]
 
-    def __init__(self, writer: LogsWriter) -> None:
-        super().__init__(None)  # no intervals
+    def __init__(self, writer: LogsWriter, interval: str) -> None:
+        super().__init__(interval)
         self._writer = writer
+        self._balance = {}
 
-    def record_balance(self, timestamp: np.datetime64, balance: Dict[str, AssetBalance]):
+    def record_balance(self, timestamp: np.datetime64, balance: dict[str, AssetBalance]):
         if balance:
+            self._balance = balance
+            self.dump(timestamp, timestamp)
+
+    def dump(self, interval_start_time: np.datetime64, actual_timestamp: np.datetime64):
+        if self._balance:
             data = []
-            for s, d in balance.items():
+            for s, d in self._balance.items():
                 data.append(
                     {
-                        "timestamp": timestamp,
+                        "timestamp": str(interval_start_time),
                         "currency": s,
                         "total": d.total,
                         "locked": d.locked,
@@ -435,9 +444,6 @@ class BalanceLogger(_BaseIntervalDumper):
                 )
             self._writer.write_data("balance", data)
 
-    def store(self, timestamp: np.datetime64):
-        pass
-
     def close(self):
         self._writer.flush_data()
 
@@ -484,7 +490,7 @@ class StrategyLogging:
                 self.signals_logger = SignalsLogger(logs_writer, num_signals_records_to_write)
 
             # - balance logger
-            self.balance_logger = BalanceLogger(logs_writer)
+            self.balance_logger = BalanceLogger(logs_writer, positions_log_freq)
         else:
             logger.warning("Log writer is not defined - strategy activity will not be saved !")
 
@@ -534,6 +540,10 @@ class StrategyLogging:
         if self.portfolio_logger:
             self.portfolio_logger.store(timestamp)
 
+        # - notify balance logger
+        if self.balance_logger:
+            self.balance_logger.store(timestamp)
+
         # - log heartbeat
         self._log_heartbeat(timestamp)
 

qubx/restarts/state_resolvers.py

@@ -43,7 +43,7 @@ class StateResolver:
                     ctx.trade(instrument, -live_qty)
 
                 # If live position is larger than sim position (same direction), reduce it
-                elif abs(live_qty) > abs(sim_qty) and abs(sim_qty) > instrument.lot_size:
+                elif abs(live_qty) > abs(sim_qty) and abs(live_qty) > instrument.lot_size:
                     qty_diff = sim_qty - live_qty
                     logger.info(
                         f"Reducing position for {instrument.symbol}: {live_qty} -> {sim_qty} (diff: {qty_diff})"

qubx/restorers/signal.py

@@ -78,7 +78,12 @@ class CsvSignalRestorer(ISignalRestorer):
 
         try:
             # Read the CSV file
-            df = pd.read_csv(file_path)
+            try:
+                df = pd.read_csv(file_path)
+            except Exception as e:
+                logger.info(f"Could not read signal file {file_path}: {e}")
+                return {}
+
             if df.empty:
                 logger.info(f"No signals found in {file_path}")
                 return {}

{qubx-0.6.10.dist-info → qubx-0.6.12.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.10
+Version: 0.6.12
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.10.dist-info → qubx-0.6.12.dist-info}/RECORD

@@ -27,13 +27,13 @@ qubx/connectors/ccxt/reader.py,sha256=qaZIaOZkRf3Rz31ZrEqqAv4kATk5zDlSq-LK1jziBs
 qubx/connectors/ccxt/utils.py,sha256=kWeYQ1Z9TxFTbgJgBh5o77mGB1g09l2AkiFdR6guDQY,11141
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=Ewzmr1jxyLROnWshtx_ngi7fna1cH42NJ5wVRyP4dmQ,10411
-qubx/core/basics.py,sha256=3Q5E9yQ_bnOIeMsL98kdb9idzDnqwi13SlmO2LMns_4,28683
+qubx/core/basics.py,sha256=sPB3dL0FYF_bYALySnUrOwGLQfKb7B9dkK3PIV1MCFM,29364
 qubx/core/context.py,sha256=t4A1sWM6dn4t-LSKOC-66x4Y-_5aGduEedO_Gmd3Yrg,20593
 qubx/core/exceptions.py,sha256=ONFzWISjWfb2S0kEIorq-3L4MdhNR-xkHftHQALOZ0U,533
 qubx/core/helpers.py,sha256=9nl9L_ZzT1HsMC9VthMqXfmuRS_37crB-9bVfIRHeOs,19631
 qubx/core/initializer.py,sha256=PUiD_cIjvGpuPjYyRpUjpwm3xNQ2Kipa8bAhbtxCQRo,3935
 qubx/core/interfaces.py,sha256=5ldBmncZHonf5ymSUbcIDjZx68127v9wEnppMSjhWow,49122
-qubx/core/loggers.py,sha256=q3obb5NC_9rdm3bDvZRtE3GEdiEo6vKwWlmu5O8kwCg,19065
+qubx/core/loggers.py,sha256=eYhJANHYwz1heeFMa5V7jYCL196wkTSvj6c-8lkPj1Y,19567
 qubx/core/lookups.py,sha256=KBE0ab4eheA6C5C-RIND_svYhE7Glb4CSlLRjMhPNRc,15906
 qubx/core/metrics.py,sha256=2AocZUYwoZE8OvScN3ULa-wyVregzlCn722QIZUe7Q8,57784
 qubx/core/mixins/__init__.py,sha256=AMCLvfNuIb1kkQl3bhCj9jIOEl2eKcVPJeyLgrkB-rk,329
@@ -42,11 +42,11 @@ qubx/core/mixins/processing.py,sha256=Ny9EyrTuF_YBmPsAebykV54OfGMBGE1gSam9VFJJKa
 qubx/core/mixins/subscription.py,sha256=J_SX0CNw2bPy4bhxe0vswvDXY4LCkwXSaj_1PepKRLY,8540
 qubx/core/mixins/trading.py,sha256=KApWQE0zIh1jg_9HezLdR-mp3UEYIdylSyX9MajHmCc,3618
 qubx/core/mixins/universe.py,sha256=1ya2P3QZrsAVXmMXqq0t6CHGAC5iMGVD2ARUAtSfv04,10062
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=23fTZIr_aK_IaTkwhaSWHbMMq1jBgZCMLJvhuCm6UDk,970056
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=oGjkxetdjaacB1CRU3AZ09xbh8T8AsNhl5DswDeWs9Q,970056
 qubx/core/series.pxd,sha256=ZA9mBrZ-ha112ZMZnBIun1kNrKjxzlaOoq4D_cDZYJw,3923
 qubx/core/series.pyi,sha256=r6o2SnYIBujmJuuoM8oEc3tbVg2Blz2CfSIdRKn9VMo,4547
 qubx/core/series.pyx,sha256=Y6GbCihO3zgUWOF9UvmyXisWLnGcVOcFl2u1ZtvM1zI,44909
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=cOfj8bdUMj8VYurQajzxqhiPIdXlxo2rthWEnn5FPFM,86568
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=WIcuOQ9itXm60-ItviKaUZHRSlARcCz0e-925ZpzSio,86568
 qubx/core/utils.pyi,sha256=a-wS13V2p_dM1CnGq40JVulmiAhixTwVwt0ah5By0Hc,348
 qubx/core/utils.pyx,sha256=k5QHfEFvqhqWfCob89ANiJDKNG8gGbOh-O4CVoneZ8M,1696
 qubx/data/__init__.py,sha256=ELZykvpPGWc5rX7QoNyNQwMLgdKMG8MACOByA4pM5hA,549
@@ -93,18 +93,18 @@ qubx/resources/instruments/symbols-bitfinex.json,sha256=CpzoVgWzGZRN6RpUNhtJVxa3
 qubx/resources/instruments/symbols-kraken.f.json,sha256=lwNqml3H7lNUl1h3siySSyE1MRcGfqfhb6BcxLsiKr0,212258
 qubx/resources/instruments/symbols-kraken.json,sha256=RjUTvkQuuu7V1HfSQREvnA4qqkdkB3-rzykDaQds2rQ,456544
 qubx/restarts/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/restarts/state_resolvers.py,sha256=IGcYn_r5lt5U871-V5LxP67PL8yD7bencjGtjTSLH4U,5131
+qubx/restarts/state_resolvers.py,sha256=nWdGgMXNIZbnadmAh1-cTvT5KXRKbQxXv-2Kgvp67qY,5132
 qubx/restarts/time_finders.py,sha256=r7yyRhJByV2uqdgamDRX2XClwpWWI9BNpc80t9nk6c0,2448
 qubx/restorers/__init__.py,sha256=vrnZBPJHR0-6knAccj4bK0tkjUPNRl32qiLr5Mv4aR0,911
 qubx/restorers/balance.py,sha256=ipkrRSVAscC_if6jaFtNMexHK6Z2teds2IzWdcS9yAI,3964
 qubx/restorers/factory.py,sha256=vq78vvf_ASKa-rGsV9UZlob7HCHMkiKIlLYUeCfB16g,6431
 qubx/restorers/interfaces.py,sha256=CcjBWavKq8_GIMKTSPodMa-n3wJQwcQTwyvYyNo_J3c,1776
 qubx/restorers/position.py,sha256=_I_LNPXXTshxlI9hQS2ANO54JwDwseXU_PJgMmZmFCY,4764
-qubx/restorers/signal.py,sha256=iruHe4ieTSV73zeJbFPubsmAEf4TzVXnkM4zjupCAJQ,6462
+qubx/restorers/signal.py,sha256=DBLqA7vDhoMTAzUC4N9UerrO0GbjeHdTeMoCz7U7iI8,6621
 qubx/restorers/state.py,sha256=ePmh604fp2kRYzMNXL-TWvZOxmtTGAaKYfHJcnKResY,4042
 qubx/restorers/utils.py,sha256=We2gfqwQKWziUYhuUnjb-xo-5tSlbuHWpPQn0CEMTn0,1155
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=WWckO4c42inIW-CCEmcW-xCNY7dpmujiJ55TvCqQuwc,654440
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=JfqqbFytabhLARoUwoDKuGXw3uPrl6Tf0eg8L944pB4,654440
 qubx/ta/indicators.pxd,sha256=eCJ9paOxtxbDFx4U5CUhcgB1jjCQAfVqMF2FnbJ03Lo,4222
 qubx/ta/indicators.pyi,sha256=19W0uERft49In5bf9jkJHkzJYEyE9gzudN7_DJ5Vdv8,1963
 qubx/ta/indicators.pyx,sha256=FVkv5ld04TpZMT3a_kR1MU3IUuWfijzjJnh_lG78JxM,26029
@@ -138,7 +138,7 @@ qubx/utils/runner/configs.py,sha256=vtl04A42kT21hD68zpoZZw96rEC8HnFFX9en0Y85GLA,
 qubx/utils/runner/runner.py,sha256=kwigJ9MgBcOkDpYAHj2TuwQzNerwyUWaE4UmyNYxD34,37910
 qubx/utils/time.py,sha256=J0ZFGjzFL5T6GA8RPAel8hKG0sg2LZXeQ5YfDCfcMHA,10055
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
-qubx-0.6.10.dist-info/METADATA,sha256=LPSsRviGdvTomS-OolxJMEr5I61F9tLUTPegAsDSQAM,4142
-qubx-0.6.10.dist-info/WHEEL,sha256=h1DdjcD2ZFnKGsDLjEycQhNNPJ5l-R8qdFdDSXHrAGY,110
-qubx-0.6.10.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.6.10.dist-info/RECORD,,
+qubx-0.6.12.dist-info/METADATA,sha256=wrLTsq0yccxDnyeB2sHqCU6p6jiS8A5DjHZtivEVoWI,4142
+qubx-0.6.12.dist-info/WHEEL,sha256=h1DdjcD2ZFnKGsDLjEycQhNNPJ5l-R8qdFdDSXHrAGY,110
+qubx-0.6.12.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.6.12.dist-info/RECORD,,