Qubx 0.6.42__tar.gz → 0.6.43__tar.gz

{qubx-0.6.42 → qubx-0.6.43}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.42
+Version: 0.6.43
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.42 → qubx-0.6.43}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.6.42"
+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-0.6.42 → 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-0.6.42 → 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