Qubx 0.6.56__tar.gz → 0.6.57__tar.gz

{qubx-0.6.56 → qubx-0.6.57}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.56
+Version: 0.6.57
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.56 → qubx-0.6.57}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.6.56"
+version = "0.6.57"
 description = "Qubx - Quantitative Trading Framework"
 authors = [ "Dmitry Marienko <dmitry.marienko@xlydian.com>", "Yuriy Arabskyy <yuriy.arabskyy@xlydian.com>",]
 readme = "README.md"

{qubx-0.6.56 → qubx-0.6.57}/src/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-0.6.56 → qubx-0.6.57}/src/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-0.6.56 → qubx-0.6.57}/src/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-0.6.56 → qubx-0.6.57}/src/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-0.6.56 → qubx-0.6.57}/src/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-0.6.56 → qubx-0.6.57}/src/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