Qubx 0.6.60__cp312-cp312-manylinux_2_39_x86_64.whl → 0.6.61__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/core/helpers.py

@@ -276,6 +276,10 @@ def _parse_schedule_spec(schedule: str) -> dict[str, str]:
     return {k: v for k, v in m.groupdict().items() if v} if m else {}
 
 
+def _to_dt_64(time: float) -> np.datetime64:
+    return np.datetime64(int(time * 1000000000), "ns")
+
+
 def process_schedule_spec(spec_str: str | None) -> dict[str, Any]:
     AS_INT = lambda d, k: int(d.get(k, 0))  # noqa: E731
     S = lambda s: [x for x in re.split(r"[, ]", s) if x]  # noqa: E731
@@ -409,11 +413,11 @@ class BasicScheduler:
         prev_time = iter.get_prev()
         next_time = iter.get_next(start_time=start_time)
         if next_time:
-            self._scdlr.enterabs(next_time, 1, self._trigger, (event, prev_time, next_time))
+            self._scdlr.enterabs(next_time, 1, self._trigger, (event, _to_dt_64(prev_time), _to_dt_64(next_time)))
 
             # - update next nearest time
             self._next_times[event] = next_time
-            self._next_nearest_time = np.datetime64(int(min(self._next_times.values()) * 1000000000), "ns")
+            self._next_nearest_time = _to_dt_64(min(self._next_times.values()))
             # logger.debug(f" >>> ({event}) task is scheduled at {self._next_nearest_time}")
 
             return True

qubx/core/interfaces.py

@@ -1148,6 +1148,11 @@ class IStrategyContext(
         """Check if the strategy context is running in simulation mode."""
         return False
 
+    @property
+    def is_live_or_warmup(self) -> bool:
+        """Check if the strategy context is running in live or warmup mode."""
+        return not self.is_simulation or self.is_warmup_in_progress
+
     @property
     def is_paper_trading(self) -> bool:
         """Check if the strategy context is running in simulated trading mode."""

qubx/core/mixins/processing.py

@@ -231,18 +231,17 @@ class ProcessingManager(IProcessingManager):
 
                 # FIXME: (2025-06-17) we need to refactor this to avoid doing it here !!!
                 # - on trigger event we need to be sure that all instruments have finalized OHLC data
-                if not self._is_simulation:
-                    # - - - - - - IMPORTANT NOTES - - - - - -
-                    # This is a temporary fix to ensure that all instruments have finalized OHLC data.
-                    # In live mode with multiple instruments, we can have a situation where one instrument
-                    # is updated with new bar data while other instruments are not updated yet.
-                    # This leads to a situation where indicators are not calculated correctly for all instruments in the universe.
-                    # A simple dirty solution is to update OHLC data for all instruments in the universe with the last update value but with the actual time.
-                    # This leads to finalization of OHLC data, but the open price may differ slightly from the real one.
-                    # - - - - - - - - - - - - - - - - - - - -
-
-                    # - finalize OHLC data for all instruments
-                    self._cache.finalize_ohlc_for_instruments(event.time, self._context.instruments)
+                # - - - - - - IMPORTANT NOTES - - - - - -
+                # This is a temporary fix to ensure that all instruments have finalized OHLC data.
+                # In live mode with multiple instruments, we can have a situation where one instrument
+                # is updated with new bar data while other instruments are not updated yet.
+                # This leads to a situation where indicators are not calculated correctly for all instruments in the universe.
+                # A simple dirty solution is to update OHLC data for all instruments in the universe with the last update value but with the actual time.
+                # This leads to finalization of OHLC data, but the open price may differ slightly from the real one.
+                # - - - - - - - - - - - - - - - - - - - -
+
+                # - finalize OHLC data for all instruments
+                self._cache.finalize_ohlc_for_instruments(event.time, self._context.instruments)
 
                 with self._health_monitor("stg.trigger_event"):
                     signals.extend(self._as_list(self._strategy.on_event(self._context, _trigger_event)))
@@ -666,6 +665,8 @@ class ProcessingManager(IProcessingManager):
         if not self._is_data_ready():
             return
         self._fit_is_running = True
+        current_time = data[1]
+        self._cache.finalize_ohlc_for_instruments(current_time, self._context.instruments)
         self._run_in_thread_pool(self.__invoke_on_fit)
 
     def _handle_ohlc(self, instrument: Instrument, event_type: str, bar: Bar) -> MarketEvent:

qubx/core/series.pxd

@@ -35,6 +35,7 @@ cdef class TimeSeries:
 cdef class Indicator(TimeSeries):
     cdef public TimeSeries series
     cdef public TimeSeries parent
+    cdef unsigned short _is_initial_recalculate
 
 
 cdef class RollingSum:

qubx/core/series.pyi

@@ -125,6 +125,8 @@ class Indicator(TimeSeries):
     def update(self, time: int, value, new_item_started: bool) -> object: ...
     @classmethod
     def wrap(cls, series: TimeSeries, *args, **kwargs) -> "Indicator": ...
+    @property
+    def is_initial_recalculate(self) -> bool: ...
 
 class IndicatorOHLC(Indicator):
     series: OHLCV

qubx/core/series.pyx

@@ -399,6 +399,9 @@ cdef class Indicator(TimeSeries):
         series.indicators[name] = self
         self.name = name
 
+        # - initialize the initial recalculation flag
+        self._is_initial_recalculate = 0
+
         # - we need to make a empty copy and fill it 
         self.series = self._clone_empty(series.name, series.timeframe, series.max_series_length)
         self.parent = series 
@@ -407,7 +410,9 @@ cdef class Indicator(TimeSeries):
         self._on_attach_indicator(self, series)
 
         # - recalculate indicator on data as if it would being streamed
+        self._is_initial_recalculate = 1
         self._initial_data_recalculate(series)
+        self._is_initial_recalculate = 0
 
     def _on_attach_indicator(self, indicator: Indicator, indicator_input: TimeSeries):
         self.parent._on_attach_indicator(indicator, indicator_input)
@@ -435,6 +440,14 @@ cdef class Indicator(TimeSeries):
     def wrap(clz, series:TimeSeries, *args, **kwargs):
         return _wrap_indicator(series, clz, *args, **kwargs)
 
+    @property
+    def is_initial_recalculate(self) -> bool:
+        """
+        Returns True if the indicator is currently in the initial data recalculation phase,
+        False otherwise.
+        """
+        return self._is_initial_recalculate == 1
+
 
 cdef class IndicatorOHLC(Indicator):
     """

qubx/emitters/indicator.py

@@ -104,7 +104,7 @@ class IndicatorEmitter(Indicator):
             if new_item_started and len(self._wrapped_indicator) >= 2:
                 should_emit = True
                 # Use the previous (completed) value, not the current one
-                current_value = self._wrapped_indicator[1]
+                current_value = self._wrapped_indicator[1] if not self.is_initial_recalculate else value
 
         # Emit if we should and the value is valid
         if should_emit and not np.isnan(current_value):

qubx/trackers/riskctrl.py

@@ -588,6 +588,7 @@ class AtrRiskTracker(GenericRiskControllerDecorator):
         self.atr_period = atr_period
         self.atr_smoother = atr_smoother
         self._full_name = f"{self.__class__.__name__}{purpose}"
+        self._instrument_initialized: dict[Instrument, bool] = {}
 
         super().__init__(
             sizer,
@@ -596,33 +597,37 @@ class AtrRiskTracker(GenericRiskControllerDecorator):
             ),
         )
 
-    def calculate_risks(self, ctx: IStrategyContext, quote: Quote | None, signal: Signal) -> Signal | None:
-        volatility = atr(
-            ctx.ohlc(signal.instrument, self.atr_timeframe, 2 * self.atr_period),
+    def _get_volatility(self, ctx: IStrategyContext, instrument: Instrument) -> list[float]:
+        return atr(
+            ctx.ohlc(instrument, self.atr_timeframe, 2 * self.atr_period),
             self.atr_period,
             smoother=self.atr_smoother,
             percentage=False,
         )
 
+    def update(
+        self, ctx: IStrategyContext, instrument: Instrument, update: Quote | Trade | Bar | OrderBook
+    ) -> list[TargetPosition] | TargetPosition:
+        if ctx.is_live_or_warmup and not self._instrument_initialized.get(instrument, False):
+            # - emit volatility indicator in live mode
+            indicator_emitter(
+                wrapped_indicator=self._get_volatility(ctx, instrument),
+                metric_emitter=ctx.emitter,
+                instrument=instrument,
+            )
+            self._instrument_initialized[instrument] = True
+
+        return super().update(ctx, instrument, update)
+
+    def calculate_risks(self, ctx: IStrategyContext, quote: Quote | None, signal: Signal) -> Signal | None:
+        volatility = self._get_volatility(ctx, signal.instrument)
+
         if len(volatility) < 2 or ((last_volatility := volatility[1]) is None or not np.isfinite(last_volatility)):
             logger.debug(
                 f"[<y>{self._full_name}</y>(<g>{signal.instrument}</g>)] :: not enough ATR data, skipping risk calculation"
             )
             return None
 
-        if not ctx.is_simulation:
-            indicator_emitter(
-                wrapped_indicator=volatility,
-                metric_emitter=ctx.emitter,
-                instrument=signal.instrument,
-            )
-            if quote is not None:
-                mid_price = quote.mid_pice()
-                volatility_pct = last_volatility / mid_price
-                signal.comment += f", ATR: {volatility_pct:.2%} ({last_volatility:.4f})"
-                signal.comment += f", stop_risk: {self.stop_risk}"
-                signal.comment += f", take_target: {self.take_target}"
-
         if quote is None:
             logger.debug(
                 f"[<y>{self._full_name}</y>(<g>{signal.instrument}</g>)] :: there is no actual market data, skipping risk calculation"
@@ -643,6 +648,14 @@ class AtrRiskTracker(GenericRiskControllerDecorator):
             if self.take_target:
                 signal.take = entry - self.take_target * last_volatility
 
+        if ctx.is_live_or_warmup:
+            # - additional comments for live debugging
+            mid_price = quote.mid_price()
+            volatility_pct = last_volatility / mid_price
+            signal.comment += f", ATR: {volatility_pct:.2%} ({last_volatility:.4f})"
+            signal.comment += f", stop_risk: {self.stop_risk}"
+            signal.comment += f", take_target: {self.take_target}"
+
         return signal
 
 

{qubx-0.6.60.dist-info → qubx-0.6.61.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.60
+Version: 0.6.61
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.60.dist-info → qubx-0.6.61.dist-info}/RECORD

@@ -41,23 +41,23 @@ qubx/core/context.py,sha256=h2KeQnVe514VDSehjEIdl2Pv8FKjYaCOhpvJZPFFON8,24107
 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=O6d813A5sdJfH-gfvWTpXuV-iQ4xkxxLu8iPMwAbMbw,19926
+qubx/core/helpers.py,sha256=nZMe3HVheSkqczZq7-foPHfJ-49HJL69mBirBxynOBQ,20022
 qubx/core/initializer.py,sha256=YgTBs5LpIk6ZFdmMD8zCnJnVNcMh1oeYvt157jhwyMg,4242
-qubx/core/interfaces.py,sha256=OsPHqcjft8w6WM0zLPCicek1RA44xnqtjjtp6v6NQm8,61177
+qubx/core/interfaces.py,sha256=OUv56aUNpaBn6zUgHr1k642ZwGgr_o0xb0_Uu3qmrxk,61380
 qubx/core/loggers.py,sha256=wO6UdFasWu5bNeDkN7eRVDhHUQ2Rj3Apkzk9h2q71Rk,14128
 qubx/core/lookups.py,sha256=2UmODxDeDQqi-xHOvjm2_GckC4piKI3x4ZEf5vny8YI,18275
 qubx/core/metrics.py,sha256=SLbuG66Y3sH86tDHcdoIHovkhM-oSF5o840BRChrvCE,60849
 qubx/core/mixins/__init__.py,sha256=AMCLvfNuIb1kkQl3bhCj9jIOEl2eKcVPJeyLgrkB-rk,329
 qubx/core/mixins/market.py,sha256=f0PJTK5Y9nQkV2XWxytixFG1Oc6ihYVwlxIMraTnmms,4566
-qubx/core/mixins/processing.py,sha256=ZOfqFymyMw1FygE9GOZSG61sZcElZwiNZ1Tu7w46VZw,35214
+qubx/core/mixins/processing.py,sha256=xFM6HkcucbtwQWKTmTVhxjdwVgKYcInI6fr3hnoDSRo,35252
 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=mzZJA7Me6HNFbAMGg1XOpnYCMtcFKHESTiozjaXyKXY,10100
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=0qyuWzu4CSErr_ztC2d24JWT-XxkeL-cmJROwzkYZmo,978280
-qubx/core/series.pxd,sha256=jBdMwgO8J4Zrue0e_xQ5RlqTXqihpzQNu6V3ckZvvpY,3978
-qubx/core/series.pyi,sha256=RaHm_oHHiWiNUMJqVfx5FXAXniGLsHxUFOUpacn7GC0,4604
-qubx/core/series.pyx,sha256=ZQPp1-Kp2lX22n04gaBWak9mW139e-uc8bhsbZMohgs,46507
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=XheYraWWQ_7WRGxT91BngIRlnkis8fqmxx98aJ1wiUI,86568
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=HlWfzVKW-JNVO-O38ZnAJGKIYOKOGi-8Dy2Mcxy7r1g,982408
+qubx/core/series.pxd,sha256=aI5PG1hbr827xwcnSYgGMF2IBD4GvCRby_i9lrGrJdQ,4026
+qubx/core/series.pyi,sha256=wRb1_HpZC7KSTyWMi7K0BisaKSEro3LVebr8z5XzoDs,4668
+qubx/core/series.pyx,sha256=TpKMCqRrzrT0cj1pASlB7mLLgMLQZwDNC5o-QOxqhRQ,46936
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=eIHeTmdWn8PUU7xSlZHscKyL-c0s91ep46xv1aZdeyQ,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
@@ -71,7 +71,7 @@ qubx/emitters/__init__.py,sha256=11sYi8CHdPlQ5NLR84C2vUnMDkAqNIAmKo_SfqCMj2c,705
 qubx/emitters/base.py,sha256=os69vCs00eRELZn-1TYR7MZXJbnrFOfeW4UEtMLCphw,7976
 qubx/emitters/composite.py,sha256=8DsPIUtaJ95Oww9QTVVB6LR7Wcb6TJ-c1jIHMGuttz4,2784
 qubx/emitters/csv.py,sha256=lWl6sP0ke0j6kVlEbQsy11vSOHFudYHjWS9iPbq6kmo,3067
-qubx/emitters/indicator.py,sha256=pVZJe9DvPj3bPyVXdsj3IlQa4qt3xqiNFlAdDjsFVNY,7937
+qubx/emitters/indicator.py,sha256=8opNUrkoLLcoTLISCMb7e5mlVZgdH5HduyrBxkA6sg4,7983
 qubx/emitters/prometheus.py,sha256=g2hgcV_G77fWVEXtoGJTUs4JLkB2FQXFzVY_x_sEBfc,8100
 qubx/emitters/questdb.py,sha256=vGi5r6JbKwwi8SpdXj_oG1FYrI-aEYLHYb633UAwNBk,5962
 qubx/exporters/__init__.py,sha256=7HeYHCZfKAaBVAByx9wE8DyGv6C55oeED9uUphcyjuc,360
@@ -130,7 +130,7 @@ qubx/restorers/signal.py,sha256=7n7eeRhWGUBPbg179GxFH_ifywcl3pQJbwrcDklw0N0,1460
 qubx/restorers/state.py,sha256=I1VIN0ZcOjigc3WMHIYTNJeAAbN9YB21MDcMl04ZWmY,8018
 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=OGzTQQ0p38xqBguP3FZIQJ8Yaae55HbGFMUlMTTTgzo,654440
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=QdFLRXm20CACYt2TmKIsxx7XWns2_5Op1i4Exw-h0AE,662632
 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
@@ -138,7 +138,7 @@ qubx/trackers/__init__.py,sha256=ThIP1jXaACse5hG3lZqQSlWSKYl6APxFmBHaRcVpPdU,100
 qubx/trackers/advanced.py,sha256=CONogr5hHHEwfolkegjpEz7NNk4Ruf9pOq5nKifNXVM,12761
 qubx/trackers/composite.py,sha256=Tjupx78SraXmRKkWhu8n81RkPjOgsDbXLd8yz6PhbaA,6318
 qubx/trackers/rebalancers.py,sha256=KFY7xuD4fGALiSLMas8MZ3ueRzlWt5wDT9329dlmNng,5150
-qubx/trackers/riskctrl.py,sha256=LaScGtZDn4hSEHx3lYQEpCT4GC7G91lgNedRvmAzLMk,34428
+qubx/trackers/riskctrl.py,sha256=IuxccTgdEnN9lLMoYU8HURqPBqA3Wrk6NiOgL_O6rTM,35094
 qubx/trackers/sizers.py,sha256=OEK-IOuXiXXx8MkZiEsni5zPWFc3kun9AqApY0mIPTY,9527
 qubx/utils/__init__.py,sha256=FEPBtU3dhfLawBkAfm9FEUW4RuOY7pGCBfzDCtKjn9A,481
 qubx/utils/_pyxreloader.py,sha256=34kNd8kQi2ey_ZrGdVVUHbPrO1PEiHZDLEDBscIkT_s,12292
@@ -167,8 +167,8 @@ qubx/utils/runner/factory.py,sha256=eM4-Etcq-FewD2AjH_srFGzP413pm8er95KIZixXRpM,
 qubx/utils/runner/runner.py,sha256=m58a3kEwSs1xfgg_s9FwrQJ3AZV4Lf_VOmKDPQdaWH8,31518
 qubx/utils/time.py,sha256=J0ZFGjzFL5T6GA8RPAel8hKG0sg2LZXeQ5YfDCfcMHA,10055
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
-qubx-0.6.60.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
-qubx-0.6.60.dist-info/METADATA,sha256=L4IeWneQm6vFdNN7sBGVRwsfKZhF1eLmSvqxyPW5Q5E,4612
-qubx-0.6.60.dist-info/WHEEL,sha256=UckHTmFUCaLKpi4yFY8Dewu0c6XkY-KvEAGzGOnaWo8,110
-qubx-0.6.60.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.6.60.dist-info/RECORD,,
+qubx-0.6.61.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
+qubx-0.6.61.dist-info/METADATA,sha256=HiAGYDLHoEaw1Sb5SCtJxOH_rx9EpmAjV18myTkoNZQ,4612
+qubx-0.6.61.dist-info/WHEEL,sha256=UckHTmFUCaLKpi4yFY8Dewu0c6XkY-KvEAGzGOnaWo8,110
+qubx-0.6.61.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.6.61.dist-info/RECORD,,