Qubx 0.6.56__cp312-cp312-manylinux_2_39_x86_64.whl → 0.6.58__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/core/context.py

@@ -2,6 +2,8 @@ import traceback
 from threading import Thread
 from typing import Any, Callable
 
+import pandas as pd
+
 from qubx import logger
 from qubx.core.basics import (
     AssetBalance,
@@ -396,6 +398,11 @@ class StrategyContext(IStrategyContext):
     def ohlc(self, instrument: Instrument, timeframe: str | None = None, length: int | None = None):
         return self._market_data_provider.ohlc(instrument, timeframe, length)
 
+    def ohlc_pd(
+        self, instrument: Instrument, timeframe: str | None = None, length: int | None = None, consolidated: bool = True
+    ) -> pd.DataFrame:
+        return self._market_data_provider.ohlc_pd(instrument, timeframe, length, consolidated)
+
     def quote(self, instrument: Instrument):
         return self._market_data_provider.quote(instrument)
 

qubx/core/helpers.py

@@ -156,7 +156,7 @@ class CachedMarketDataHolder:
 
         # Update the last update for this instrument
         if bars:
-            self._updates[instrument] = bars[0]  # Use the first bar as the update
+            self._updates[instrument] = bars[-1]  # Use the last bar as the last update
 
         return ohlc
 
@@ -179,7 +179,10 @@ class CachedMarketDataHolder:
         if instrument in self._ohlcvs:
             self._last_bar[instrument] = bar
             for ser in self._ohlcvs[instrument].values():
-                ser.update_by_bar(bar.time, bar.open, bar.high, bar.low, bar.close, v_tot_inc, v_buy_inc)
+                try:
+                    ser.update_by_bar(bar.time, bar.open, bar.high, bar.low, bar.close, v_tot_inc, v_buy_inc)
+                except ValueError as e:
+                    logger.warning(f"Can't update ohlc series for [{instrument.symbol}] ::: {str(e)}")
 
     @SW.watch("CachedMarketDataHolder")
     def update_by_quote(self, instrument: Instrument, quote: Quote):
@@ -203,12 +206,12 @@ class CachedMarketDataHolder:
                     continue
                 ser.update(trade.time, trade.price, total_vol, bought_vol)
 
-    def finalize_all_ohlc(self, time: dt_64):
+    def finalize_ohlc_for_instruments(self, time: dt_64, instruments: list[Instrument]):
         """
-        Finalize all OHLCV series at the given time.
+        Finalize all OHLCV series at the given time for the given instruments.
         FIXME: (2025-06-17) This is part of urgent live fix and must be removed in future !!!.
         """
-        for instrument in self._ohlcvs.keys():
+        for instrument in instruments:
             # - use most recent update
             if (_u := self._updates.get(instrument)) is not None:
                 _px = extract_price(_u)

qubx/core/interfaces.py

@@ -508,6 +508,20 @@ class IMarketManager(ITimeProvider):
         """
         ...
 
+    def ohlc_pd(self, instrument: Instrument, timeframe: str | None = None, length: int | None = None, consolidated: bool = True) -> pd.DataFrame:
+        """Get OHLCV data for an instrument as pandas DataFrame.
+
+        Args:
+            instrument: The instrument to get data for
+            timeframe (optional): The timeframe of the data. If None, the default timeframe is used.
+            length (optional): Number of bars to retrieve. If None, full cached data is returned.
+            consolidated (optional): If True, only finished bars are returned.
+
+        Returns:
+            pd.DataFrame: The OHLCV data as pandas DataFrame
+        """
+        ...
+
     def quote(self, instrument: Instrument) -> Quote | None:
         """Get latest quote for an instrument.
 

qubx/core/mixins/market.py

@@ -73,6 +73,27 @@ class MarketManager(IMarketManager):
             rc = self._cache.update_by_bars(instrument, timeframe, bars)
         return rc
 
+    def ohlc_pd(
+        self,
+        instrument: Instrument,
+        timeframe: str | None = None,
+        length: int | None = None,
+        consolidated: bool = True,
+    ) -> pd.DataFrame:
+        ohlc = self.ohlc(instrument, timeframe, length).pd()
+
+        if consolidated and timeframe:
+            _time = pd.Timestamp(self._time_provider.time())
+            _timedelta = pd.Timedelta(timeframe)
+            _last_bar_time = ohlc.index[-1]
+            if _last_bar_time + _timedelta > _time:
+                ohlc = ohlc.iloc[:-1]
+
+        if length:
+            ohlc = ohlc.tail(length)
+
+        return ohlc
+
     def quote(self, instrument: Instrument) -> Quote | None:
         _data_provider = self._exchange_to_data_provider[instrument.exchange]
         return _data_provider.get_quote(instrument)

qubx/core/mixins/processing.py

@@ -222,7 +222,7 @@ class ProcessingManager(IProcessingManager):
                     # - - - - - - - - - - - - - - - - - - - -
 
                     # - finalize OHLC data for all instruments
-                    self._cache.finalize_all_ohlc(event.time)
+                    self._cache.finalize_ohlc_for_instruments(event.time, self._context.instruments)
 
                 with self._health_monitor("stg.trigger_event"):
                     _signals = self._wrap_signal_list(self._strategy.on_event(self._context, _trigger_event))

qubx/core/series.pyx

@@ -273,7 +273,7 @@ cdef class TimeSeries:
             return self._is_new_item
         else:
             if _dt < 0:
-                raise ValueError(f"Attempt to update past data at {time_to_str(time)} !")
+                raise ValueError(f"{self.name}.{self.timeframe}: Attempt to update past data at {time_to_str(time)} !")
             self._update_last_item(item_start_time, value)
 
         # - update indicators by new data

{qubx-0.6.56.dist-info → qubx-0.6.58.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.56
+Version: 0.6.58
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.56.dist-info → qubx-0.6.58.dist-info}/RECORD

@@ -37,27 +37,27 @@ qubx/connectors/tardis/utils.py,sha256=epThu9DwqbDb7BgScH6fHa_FVpKUaItOqp3JwtKGc
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=4_XskMLR9Uh-rpJBDYMrceYiGMvAZw56k1ve-unIW8w,19417
 qubx/core/basics.py,sha256=0Kk0LwBU4FqxGhzw9Mb3kgf692xZHjRs5Ogy6JW6C94,32928
-qubx/core/context.py,sha256=zkDJIilM7Et-gWjtTtQTOZ5zIwwx-Ueqhsxdy5pQZnk,22950
+qubx/core/context.py,sha256=-1WnpHXmxclCuWvq4_d5bBg02r6dtbpPrn2tEmKIoP4,23228
 qubx/core/deque.py,sha256=3PsmJ5LF76JpsK4Wp5LLogyE15rKn6EDCkNOOWT6EOk,6203
 qubx/core/errors.py,sha256=LENtlgmVzxxUFNCsuy4PwyHYhkZkxuZQ2BPif8jaGmw,1411
 qubx/core/exceptions.py,sha256=11wQC3nnNLsl80zBqbE6xiKCqm31kctqo6W_gdnZkg8,581
-qubx/core/helpers.py,sha256=OBMwbzc7xK0-VCngtjuSZIiDkdZkNfmi6FJdXXQ-8ho,19692
+qubx/core/helpers.py,sha256=O6d813A5sdJfH-gfvWTpXuV-iQ4xkxxLu8iPMwAbMbw,19926
 qubx/core/initializer.py,sha256=YgTBs5LpIk6ZFdmMD8zCnJnVNcMh1oeYvt157jhwyMg,4242
-qubx/core/interfaces.py,sha256=gwitvNSni2zUWdpcRyqAdw9n3l1-Z6TBvl9D--hIqgM,59104
+qubx/core/interfaces.py,sha256=7mY-2obGPyoKHq4Kv5b7g_70-OP6o69VWyRg_2gIcfE,59768
 qubx/core/loggers.py,sha256=85Xgt1-Hh-2gAlJez3TxTHr32KSWYNqNhmbeWZwhw0o,13340
 qubx/core/lookups.py,sha256=2UmODxDeDQqi-xHOvjm2_GckC4piKI3x4ZEf5vny8YI,18275
 qubx/core/metrics.py,sha256=74xIecCvlxVXl0gy0JvgjJ2X5gg-RMmVZw9hQikkHE0,60269
 qubx/core/mixins/__init__.py,sha256=AMCLvfNuIb1kkQl3bhCj9jIOEl2eKcVPJeyLgrkB-rk,329
-qubx/core/mixins/market.py,sha256=lBappEimPhIuI0vmUvwVlIztkYjlEjJBpP-AdpfudII,3948
-qubx/core/mixins/processing.py,sha256=vHfDypUm18qqzwJxLEbR4VZT9QrPyam5tMbLp9Uv5lU,30616
+qubx/core/mixins/market.py,sha256=f0PJTK5Y9nQkV2XWxytixFG1Oc6ihYVwlxIMraTnmms,4566
+qubx/core/mixins/processing.py,sha256=pgzDCrB9A6SvsWaZ1Op-M22yvcWy6Y8L1IIef6rwpGM,30655
 qubx/core/mixins/subscription.py,sha256=V_g9wCPQ8S5SHkU-qOZ84cV5nReAUrV7DoSNAGG0LPY,10372
 qubx/core/mixins/trading.py,sha256=idfRPaqrvkfMxzu9mXr9i_xfqLee-ZAOrERxkxv6Ruo,7256
 qubx/core/mixins/universe.py,sha256=tsMpBriLHwK9lAVYvIrO94EIx8_ETSXUlzxN_sDOsL8,9838
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=5F0rpgIiKkZ4NVLqqbZpRK4gX0rWroyxTOs-Jd6AQtE,978280
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=2Rl4BZuMQsCEGBBIAPdMjY4zP1QOCPgSOhiB-kmBOrU,978280
 qubx/core/series.pxd,sha256=jBdMwgO8J4Zrue0e_xQ5RlqTXqihpzQNu6V3ckZvvpY,3978
 qubx/core/series.pyi,sha256=RaHm_oHHiWiNUMJqVfx5FXAXniGLsHxUFOUpacn7GC0,4604
-qubx/core/series.pyx,sha256=7cM3zZThW59waHiYcZmMxvYj-HYD7Ej_l7nKA4emPjE,46477
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=QYYvbMCEouG15Nw_IgAOXIPZOnEsm81-f0ptBgWQBLs,86568
+qubx/core/series.pyx,sha256=ZQPp1-Kp2lX22n04gaBWak9mW139e-uc8bhsbZMohgs,46507
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=wZg_Vn3YxLQ-_kZjAOMBPwpd3Dv1GWPC9yXlB1xwMmE,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
@@ -129,7 +129,7 @@ qubx/restorers/signal.py,sha256=0QFoy7OzDkK6AAmJEbbmSsHwmAhjMJYYggVFuLraKjk,1089
 qubx/restorers/state.py,sha256=dLaVnUwRCNRkUqbYyi0RfZs3Q3AdglkI_qTtQ8GDD5Y,7289
 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=JJIxv2LGZfU648vqau41V6ThdHQmawTvbJTmQ14V55k,654440
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=it8ZhCVBqU71Y7tLJp0Bri2j8-3hN6CV-2A8OkjgZZ4,654440
 qubx/ta/indicators.pxd,sha256=Goo0_N0Xnju8XGo3Xs-3pyg2qr_0Nh5C-_26DK8U_IE,4224
 qubx/ta/indicators.pyi,sha256=19W0uERft49In5bf9jkJHkzJYEyE9gzudN7_DJ5Vdv8,1963
 qubx/ta/indicators.pyx,sha256=Xgpew46ZxSXsdfSEWYn3A0Q35MLsopB9n7iyCsXTufs,25969
@@ -166,8 +166,8 @@ qubx/utils/runner/factory.py,sha256=eM4-Etcq-FewD2AjH_srFGzP413pm8er95KIZixXRpM,
 qubx/utils/runner/runner.py,sha256=PnSQ_soWXzjcIYxG5HHUtbZnWSaoeSXr7VxbQWtOsII,31444
 qubx/utils/time.py,sha256=J0ZFGjzFL5T6GA8RPAel8hKG0sg2LZXeQ5YfDCfcMHA,10055
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
-qubx-0.6.56.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
-qubx-0.6.56.dist-info/METADATA,sha256=BHx0-WPlkdj6KA4s5Idw8MFDBJGQ7GcziG204AeJxY0,4612
-qubx-0.6.56.dist-info/WHEEL,sha256=UckHTmFUCaLKpi4yFY8Dewu0c6XkY-KvEAGzGOnaWo8,110
-qubx-0.6.56.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.6.56.dist-info/RECORD,,
+qubx-0.6.58.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
+qubx-0.6.58.dist-info/METADATA,sha256=uy15BxC8rfdCC6fxoJoMwWtGgpa8Z3LfnuZzJXoRZDE,4612
+qubx-0.6.58.dist-info/WHEEL,sha256=UckHTmFUCaLKpi4yFY8Dewu0c6XkY-KvEAGzGOnaWo8,110
+qubx-0.6.58.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.6.58.dist-info/RECORD,,