Qubx 0.7.5__tar.gz → 0.7.7__tar.gz

{qubx-0.7.5 → qubx-0.7.7}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: Qubx
-Version: 0.7.5
+Version: 0.7.7
 Summary: Qubx - Quantitative Trading Framework
 License-File: LICENSE
 Author: Dmitry Marienko

{qubx-0.7.5 → qubx-0.7.7}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.7.5"
+version = "0.7.7"
 description = "Qubx - Quantitative Trading Framework"
 authors = [ "Dmitry Marienko <dmitry.marienko@xlydian.com>", "Yuriy Arabskyy <yuriy.arabskyy@xlydian.com>",]
 readme = "README.md"

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/connectors/xlighter/account.py

@@ -415,9 +415,8 @@ class LighterAccountProcessor(BasicAccountProcessor):
         try:
             orders = parse_account_all_orders_message(message, self.instrument_loader)
 
-            logger.debug(
-                f"Received {len(orders)} orders: \n\t{'\n\t'.join([f'{order.id} ({order.instrument.symbol})' for order in orders])}"
-            )
+            _d_msg = "\n\t".join([f"{order.id} ({order.instrument.symbol})" for order in orders])
+            logger.debug(f"Received {len(orders)} orders: \n\t{_d_msg}")
 
             for order in orders:
                 self.channel.send((order.instrument, "order", order, False))

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/connectors/xlighter/broker.py

@@ -401,7 +401,9 @@ class LighterBroker(IBroker):
             base_amount_int = int(amount * (10**instrument.size_precision))
             price_int = int(price * (10**instrument.price_precision))
 
-            # logger.debug(f"Modify order {order.id}: amount={order.quantity} → {amount}, price={order.price} → {price}")
+            logger.debug(
+                f"[{order.instrument.symbol}] :: Modifying order {order.id}: amount={order.quantity} → {amount}, price={order.price} → {price}"
+            )
 
             # Step 1: Sign modification transaction locally
             signer = self.client.signer_client
@@ -435,7 +437,6 @@ class LighterBroker(IBroker):
                 options=order.options,
             )
 
-            logger.info(f"Order modification submitted via WebSocket: {order.id}")
             return updated_order
 
         except Exception as e:

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/core/interfaces.py

@@ -942,8 +942,7 @@ class ITradingManager:
 
         Args:
             instrument: The instrument to get the minimum size for
-            amount: The amount to get the minimum size for
-            price: The price to get the minimum size for
+            amount: The amount to be traded to determine if it's position reducing or not
         """
         ...
 

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/core/series.pxd

@@ -172,4 +172,13 @@ cdef class GenericSeries(TimeSeries):
 
 
 cdef class IndicatorGeneric(Indicator):
-    pass
+    pass
+
+
+cdef class SeriesCachedValue:
+    cdef double cached_ser_value
+    cdef long long cached_ser_time
+    cdef int cached_ser_idx
+    cdef TimeSeries ser
+
+    cdef double value(self, long long time)

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/core/series.pyi

@@ -244,3 +244,5 @@ def lag(series: TimeSeries, period: int) -> "Indicator":
     Only positive shift (from past) period is allowed.
     """
     ...
+
+class SeriesCachedValue: ...

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/core/series.pyx

@@ -554,6 +554,41 @@ cdef class Resampler(TimeSeries):
         super().update(time, value)
 
 
+cdef class SeriesCachedValue:
+    def __init__(self, TimeSeries ser):
+        # - initialize series cache
+        self.cached_ser_value = np.nan
+        self.cached_ser_time = -1
+        self.cached_ser_idx = -1
+        self.ser = ser
+
+    cdef double value(self, long long time):
+        cdef double ser_value
+        cdef long long ser_period_start
+        cdef int idx
+
+        if len(self.ser) > 0:
+            # - calculate period start for volatility timeframe
+            ser_period_start = floor_t64(time, self.ser.series.timeframe)
+
+            # - only do lookup when period changes (cache within same period)
+            if ser_period_start != self.cached_ser_time:
+                idx = self.ser.times.lookup_idx(time, 'ffill')
+                if idx >= 0:
+                    self.cached_ser_value = self.ser.values.values[idx]
+                    self.cached_ser_idx = idx
+                else:
+                    self.cached_ser_value = np.nan
+                    self.cached_ser_idx = -1
+                self.cached_ser_time = ser_period_start
+
+            ser_value = self.cached_ser_value
+        else:
+            ser_value = np.nan
+
+        return ser_value
+
+
 cdef class Lag(Indicator):
     cdef int period
 
@@ -1236,7 +1271,10 @@ cdef class OHLCV(TimeSeries):
 
         return self._is_new_item
 
-    cpdef short update_by_bar(self, long long time, double open, double high, double low, double close, double vol_incr=0.0, double b_vol_incr=0.0, double volume_quote=0.0, double bought_volume_quote=0.0, int trade_count=0, short is_incremental=1):
+    cpdef short update_by_bar(
+        self, long long time, double open, double high, double low, double close, 
+        double vol_incr=0.0, double b_vol_incr=0.0, double volume_quote=0.0, double bought_volume_quote=0.0, int trade_count=0, short is_incremental=1
+    ):
         cdef Bar b
         cdef Bar l_bar
         bar_start_time = floor_t64(time, self.timeframe)
@@ -1468,14 +1506,15 @@ cdef class OHLCV(TimeSeries):
             ValueError(f"Input must be a pandas DataFrame, got {type(df_p).__name__}")
 
         _ohlc = OHLCV(name, infer_series_frequency(df_p).item())
+        _has_count = "count" in df_p.columns
         for t in df_p.itertuples():
             _ohlc.update_by_bar(
-                t.Index.asm8, t.open, t.high, t.low, t.close, 
-                getattr(t, "volume", 0.0), 
-                getattr(t, "taker_buy_volume", 0.0), 
-                getattr(t, "quote_volume", 0.0), 
-                getattr(t, "taker_buy_quote_volume", 0.0), 
-                getattr(t, "count", 0.0)
+                time=t.Index.asm8, open=t.open, high=t.high, low=t.low, close=t.close, 
+                vol_incr=getattr(t, "volume", 0.0), 
+                b_vol_incr=getattr(t, "taker_buy_volume", 0.0), 
+                volume_quote=getattr(t, "quote_volume", 0.0), 
+                bought_volume_quote=getattr(t, "taker_buy_quote_volume", 0.0), 
+                trade_count=t.count if _has_count else 0,
             )
         return _ohlc
 

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/restarts/state_resolvers.py

@@ -149,6 +149,7 @@ class StateResolver:
 
         # - now check which positions are open in live and we didn't update them by InitializingSignal
         for instrument, live_pos in live_positions.items():
+            ctx.cancel_orders(live_pos.instrument)
             if live_pos.is_open() and instrument not in sim_active_targets:
                 # - just close the position
                 ctx.emit_signal(InitializingSignal(time=ctx.time(), instrument=instrument, signal=0.0))

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/ta/indicators.pxd

@@ -1,5 +1,5 @@
 cimport numpy as np
-from qubx.core.series cimport Indicator, IndicatorOHLC, RollingSum, TimeSeries, OHLCV, Bar
+from qubx.core.series cimport Indicator, IndicatorOHLC, RollingSum, TimeSeries, OHLCV, Bar, SeriesCachedValue
 
 cdef class Sma(Indicator):
     cdef unsigned int period
@@ -200,14 +200,10 @@ cdef class StdEma(Indicator):
     cpdef double calculate(self, long long time, double value, short new_item_started)
 
 cdef class CusumFilter(Indicator):
-    cdef TimeSeries target
     cdef double s_pos, s_neg
     cdef double prev_value
     cdef double saved_s_pos, saved_s_neg, saved_prev_value
-    # - cache for target value to avoid repeated lookups
-    cdef double cached_target_value
-    cdef long long cached_target_time
-    cdef int cached_target_idx
+    cdef SeriesCachedValue target_cache
 
     cdef void _store(self)
 

{qubx-0.7.5 → qubx-0.7.7}/src/qubx/ta/indicators.pyx

@@ -4,7 +4,7 @@ cimport numpy as np
 from scipy.special.cython_special import ndtri, stdtrit, gamma
 from collections import deque
 
-from qubx.core.series cimport TimeSeries, Indicator, IndicatorOHLC, RollingSum, nans, OHLCV, Bar
+from qubx.core.series cimport TimeSeries, Indicator, IndicatorOHLC, RollingSum, nans, OHLCV, Bar, SeriesCachedValue
 from qubx.core.utils import time_to_str
 from qubx.pandaz.utils import scols, srows
 
@@ -1385,13 +1385,10 @@ cdef class CusumFilter(Indicator):
     """
 
     def __init__(self, str name, TimeSeries series, TimeSeries target):
-        self.target = target
+        self.target_cache = SeriesCachedValue(target)
         self.s_pos = 0.0
         self.s_neg = 0.0
         self.prev_value = np.nan
-        self.cached_target_value = np.nan
-        self.cached_target_time = -1
-        self.cached_target_idx = -1
         super().__init__(name, series)
 
     cdef void _store(self):
@@ -1432,28 +1429,8 @@ cdef class CusumFilter(Indicator):
         self.s_neg = min(0.0, self.s_neg + diff)
 
         # - get threshold from target series (it can be from higher timeframe)
-        # - use caching to avoid repeated lookups for the same target period
-        cdef int idx
-        cdef long long target_period_start
-
-        if len(self.target) > 0:
-            # - calculate the period start time for the target timeframe
-            target_period_start = floor_t64(time, self.target.timeframe)
-
-            # - check if we need to update the cached value
-            if target_period_start != self.cached_target_time:
-                idx = self.target.times.lookup_idx(time, 'ffill')
-                if idx >= 0:
-                    self.cached_target_value = self.target.values.values[idx]
-                    self.cached_target_idx = idx
-                else:
-                    self.cached_target_value = np.nan
-                    self.cached_target_idx = -1
-                self.cached_target_time = target_period_start
-
-            target_value = self.cached_target_value
-        else:
-            target_value = np.nan
+        # - SeriesCachedValue handles caching automatically
+        target_value = self.target_cache.value(time)
 
         # - only check for events if threshold is available
         if not np.isnan(target_value):