Qubx 0.6.41__tar.gz → 0.6.43__tar.gz

{qubx-0.6.41 → qubx-0.6.43}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.41
+Version: 0.6.43
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.41 → qubx-0.6.43}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.6.41"
+version = "0.6.43"
 description = "Qubx - Quantitative Trading Framework"
 authors = [ "Dmitry Marienko <dmitry.marienko@xlydian.com>", "Yuriy Arabskyy <yuriy.arabskyy@xlydian.com>",]
 readme = "README.md"

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/core/mixins/universe.py

@@ -109,6 +109,8 @@ class UniverseManager(IUniverseManager):
                 if self._has_position(instr):
                     self._removal_queue[instr] = (if_has_position_then, skip_callback)
                     to_keep.append(instr)
+                else: 
+                    to_remove.append(instr)
         return to_remove, to_keep
 
     def __cleanup_removal_queue(self, instruments: list[Instrument]):

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/exporters/formatters/incremental.py

@@ -13,7 +13,12 @@ class IncrementalFormatter(DefaultFormatter):
     based on leverage changes.
     """
 
-    def __init__(self, alert_name: str, exchange_mapping: Optional[Dict[str, str]] = None):
+    def __init__(
+            self, 
+            alert_name: str, 
+            exchange_mapping: Optional[Dict[str, str]] = None,
+            account: Optional[IAccountViewer] = None
+    ):
         """
         Initialize the IncrementalFormatter.
 
@@ -21,12 +26,16 @@ class IncrementalFormatter(DefaultFormatter):
             alert_name: The name of the alert to include in the messages
             exchange_mapping: Optional mapping of exchange names to use in messages.
                              If an exchange is not in the mapping, the instrument's exchange is used.
+            account: The account viewer to get account information like total capital, leverage, etc.
         """
         super().__init__()
         self.alert_name = alert_name
         self.exchange_mapping = exchange_mapping or {}
         self.instrument_leverages: Dict[Instrument, float] = {}
 
+        if account:
+            self.instrument_leverages = dict(account.get_leverages())
+
     def format_position_change(
         self, time: dt_64, instrument: Instrument, price: float, account: IAccountViewer
     ) -> dict[str, Any]:

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/exporters/redis_streams.py

@@ -36,6 +36,7 @@ class RedisStreamsExporter(ITradeDataExport):
         max_stream_length: int = 1000,
         formatter: Optional[IExportFormatter] = None,
         max_workers: int = 2,
+        account: Optional[IAccountViewer] = None,
     ):
         """
         Initialize the Redis Streams Exporter.
@@ -52,6 +53,7 @@ class RedisStreamsExporter(ITradeDataExport):
             max_stream_length: Maximum length of each stream
             formatter: Formatter to use for formatting data (default: DefaultFormatter)
             max_workers: Maximum number of worker threads for Redis operations
+            account: Optional account viewer to get account information like total capital, leverage, etc.
         """
         self._redis = redis.from_url(redis_url)
         self._strategy_name = strategy_name
@@ -71,6 +73,9 @@ class RedisStreamsExporter(ITradeDataExport):
 
         self._executor = ThreadPoolExecutor(max_workers=max_workers, thread_name_prefix="redis_exporter")
 
+        if account:
+            self._instrument_to_previous_leverage = dict(account.get_leverages())
+
         logger.info(
             f"[RedisStreamsExporter] Initialized for strategy '{strategy_name}' with "
             f"signals: {export_signals}, targets: {export_targets}, position_changes: {export_position_changes}"
@@ -201,6 +206,7 @@ class RedisStreamsExporter(ITradeDataExport):
 
         previous_leverage = self._instrument_to_previous_leverage.get(instrument, 0.0)
         new_leverage = account.get_leverage(instrument)
+        self._instrument_to_previous_leverage[instrument] = new_leverage
 
         try:
             # Format the leverage change using the formatter

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/pandaz/ta.py

@@ -633,6 +633,17 @@ def rolling_std_with_mean(x: pd.Series, mean: float | pd.Series, window: int):
     return np.sqrt((((x - mean) ** 2).rolling(window=window).sum() / (window - 1)))
 
 
+def rolling_zscore(x: pd.Series, window: int):
+    """
+    Calculates rolling z-score for data from x
+    :param x: series data
+    :param window: window
+    :return: rolling z-score
+    """
+    r = x.rolling(window=window)
+    return (x - r.mean()) / r.std(ddof=0)
+
+
 def bollinger(x: pd.Series, window=14, nstd=2, mean="sma") -> pd.DataFrame:
     """
     Bollinger Bands indicator
@@ -1532,6 +1543,7 @@ def choppiness(
     volatility_estimator="t",
     volume_adjusting=False,
     identification="strong",
+    with_raw_indicator=False,
 ) -> pd.Series:
     """
     Calculate market choppiness index using volatility-based formula.
@@ -1566,7 +1578,8 @@ def choppiness(
                     0 when exiting trending regime (crossing above lower threshold)
         - 'weak': Binary classification focused on choppiness - returns 1 when entering choppy regime (crossing above upper threshold),
                  0 when entering trending regime (crossing below lower threshold)
-
+    with_raw_indicator : bool, default False
+        If True, returns the raw indicator value instead of the classification
     Returns
     -------
     pd.Series
@@ -1619,7 +1632,7 @@ def choppiness(
     # f0[(ci < lower) & (ci.shift(1) >= lower)] = 0
     # return f0.ffill().fillna(0)
 
-    return f0.ffill().fillna(0)
+    return f0.ffill().fillna(0) if not with_raw_indicator else ci
 
 
 @njit

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/utils/runner/factory.py

@@ -4,10 +4,10 @@ Factory functions for creating various components used in strategy running and s
 
 import inspect
 import os
-from typing import Any
+from typing import Any, Optional
 
 from qubx import logger
-from qubx.core.interfaces import IMetricEmitter, IStrategyLifecycleNotifier, ITradeDataExport
+from qubx.core.interfaces import IAccountViewer, IMetricEmitter, IStrategyLifecycleNotifier, ITradeDataExport
 from qubx.data.composite import CompositeReader
 from qubx.data.readers import DataReader
 from qubx.emitters.composite import CompositeMetricEmitter
@@ -180,7 +180,11 @@ def create_data_type_readers(readers_configs: list[TypedReaderConfig] | None) ->
     return data_type_to_reader
 
 
-def create_exporters(exporters: list[ExporterConfig] | None, strategy_name: str) -> ITradeDataExport | None:
+def create_exporters(
+        exporters: list[ExporterConfig] | None, 
+        strategy_name: str,
+        account: Optional[IAccountViewer] = None,
+) -> ITradeDataExport | None:
     """
     Create exporters from the configuration.
 
@@ -218,6 +222,9 @@ def create_exporters(exporters: list[ExporterConfig] | None, strategy_name: str)
                     for fmt_key, fmt_value in formatter_args.items():
                         formatter_args[fmt_key] = resolve_env_vars(fmt_value)
 
+                    if account and "account" not in formatter_args:
+                        formatter_args["account"] = account
+
                     if formatter_class_name:
                         if "." not in formatter_class_name:
                             formatter_class_name = f"qubx.exporters.formatters.{formatter_class_name}"
@@ -229,6 +236,8 @@ def create_exporters(exporters: list[ExporterConfig] | None, strategy_name: str)
             # Add strategy_name if the exporter requires it and it's not already provided
             if "strategy_name" in inspect.signature(exporter_class).parameters and "strategy_name" not in params:
                 params["strategy_name"] = strategy_name
+            if account and "account" not in params:
+                params["account"] = account
 
             # Create the exporter instance
             exporter = exporter_class(**params)

{qubx-0.6.41 → qubx-0.6.43}/src/qubx/utils/runner/runner.py

@@ -261,9 +261,6 @@ def create_strategy_context(
 
     _aux_reader = construct_reader(config.aux) if config.aux else None
 
-    # Create exporters if configured
-    _exporter = create_exporters(config.exporters, stg_name)
-
     # Create metric emitters
     _metric_emitter = create_metric_emitters(config.emission, stg_name) if config.emission else None
 
@@ -335,6 +332,9 @@ def create_strategy_context(
     )
     _initializer = BasicStrategyInitializer(simulation=_exchange_to_data_provider[exchanges[0]].is_simulation)
 
+    # Create exporters if configured
+    _exporter = create_exporters(config.exporters, stg_name, _account)
+
     logger.info(f"- Strategy: <blue>{stg_name}</blue>\n- Mode: {_run_mode}\n- Parameters: {config.parameters}")
     ctx = StrategyContext(
         strategy=_strategy_class,  # type: ignore