Qubx 0.7.6__cp312-cp312-manylinux_2_39_x86_64.whl → 0.7.7__cp312-cp312-manylinux_2_39_x86_64.whl

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/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/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
 

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/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):

{qubx-0.7.6.dist-info → qubx-0.7.7.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: Qubx
-Version: 0.7.6
+Version: 0.7.7
 Summary: Qubx - Quantitative Trading Framework
 License-File: LICENSE
 Author: Dmitry Marienko

{qubx-0.7.6.dist-info → qubx-0.7.7.dist-info}/RECORD

@@ -103,11 +103,11 @@ qubx/core/mixins/subscription.py,sha256=2nUikNNPsMExS9yO38kNt7jk1vKE-RPm0b3h1bU6
 qubx/core/mixins/trading.py,sha256=jW4P6Gba0O1kaQIy5rl3UqwPwAmEJrMdGYoWj1AhleI,20422
 qubx/core/mixins/universe.py,sha256=aj1Ai_WUccotBt419SMPgAf2xPZL5n0U9CdTD4tQGGI,10845
 qubx/core/mixins/utils.py,sha256=P71cLuqKjId8989MwOL_BtvvCnnwOFMkZyB1SY-0Ork,147
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=raCBNQqOmDLbQriqLeYWGFFv1kf69c-VEgl9tJBxUcw,1175336
-qubx/core/series.pxd,sha256=YZ8WWQLjyn6fpIlyfnRlARoY3w0XzrvKZkCRlfkt-C0,4998
-qubx/core/series.pyi,sha256=axEc8DBfeCUYu4NZ2eRiL5oWaWhed-uYlR3U0d1QBos,8020
-qubx/core/series.pyx,sha256=FMUCWKFyNj08TKVhR7gOR4UHob5ZFvdahc4nipyVKe8,62339
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=BTSDP0ivS5vJeC88QBJ_LaQYk_L-LFqvSBIqe9DzbD4,86568
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=Q-6SCxJmZAkuWxWRFphargNO9HWdBJrWlf9Rk0OAXz4,1192328
+qubx/core/series.pxd,sha256=DebCNOl7e7_OIZLTG-vSqubcgYuE0EC2_0-dov7QoIM,5195
+qubx/core/series.pyi,sha256=5xJ0-_SOGhfGgbu1RGyjP4b0T6oRyckS9LoRePPAHqs,8050
+qubx/core/series.pyx,sha256=A-6BbaweFmeuwNvcg-yMrLPQodAFbjZeHqrVfvE2x-o,63520
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=XXCpcz4qQ4bz1E9zWRMjqAszANgkS0ybZhVAUCKgC4o,86568
 qubx/core/utils.pyi,sha256=a-wS13V2p_dM1CnGq40JVulmiAhixTwVwt0ah5By0Hc,348
 qubx/core/utils.pyx,sha256=UR9achMR-LARsztd2eelFsDsFH3n0gXACIKoGNPI9X4,1766
 qubx/data/__init__.py,sha256=cCUJjuq0LCBeeOKXIvBh_YQI00je_IQmr9OcHARJCPE,896
@@ -188,10 +188,10 @@ qubx/restorers/signal.py,sha256=5nK5ji8AucyWrFBK9uW619YCI_vPRGFnuDu8JnG3B_Y,1451
 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=Ez93JglVhpz7LIzVW6bHloihxmsMssY54hP-kzfyU5A,950440
-qubx/ta/indicators.pxd,sha256=khYJZY3nn33jeVaURpDwF-GCMtrNwzMkPv43aB6zOv0,6563
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=WD50vIgpRAN7bDUP3hgkfdkVWd23U5NJ4LBTaF-QOKM,946344
+qubx/ta/indicators.pxd,sha256=Tp8eBSdur-cAdChZjAow6sJi5URyVr8zkcPYZbu9vVU,6433
 qubx/ta/indicators.pyi,sha256=XNySCW8WE3j4lpCUU2BKRjnAQ7kjjGBXvdowhLBuEAM,3719
-qubx/ta/indicators.pyx,sha256=igtVvX81a3Fv5o_3n4dtCVaom7JN3RP25CT8cwJMz7Y,55757
+qubx/ta/indicators.pyx,sha256=qtI0UbI9C3iwhY4zU1uoNN0kiV-pd-1YU04T7_LObLI,54845
 qubx/templates/__init__.py,sha256=L2U6tX5DGhtIDRarIo3tHT7ZVQKNJMlpWn_sinJPevk,153
 qubx/templates/base.py,sha256=cY9Lnvs8hvuqyyBwMN-p7rXWGETrbAx0zmE6Px19Ym4,6844
 qubx/templates/project/accounts.toml.j2,sha256=LlaYWqOalMimGf7n_4sIzJk9p28tNbhZFogg3SHplSQ,637
@@ -223,7 +223,7 @@ qubx/utils/charting/orderbook.py,sha256=NmeXxru3CUiKLtl1DzCBbQgSdL4qmTDIxV0u81p2
 qubx/utils/collections.py,sha256=go2sH_q2TlXqI3Vxq8GHLfNGlYL4JwS3X1lwJWbpFLE,7425
 qubx/utils/hft/__init__.py,sha256=rZjNmRtD1TWAEe7JPgiak9qJftf8yQavLviWReKQJ5w,101
 qubx/utils/hft/numba_utils.py,sha256=C_C3MwEW5ZbLhOMSH6SSYbQ7BfnvuKhgOtY_N-U-ULM,146
-qubx/utils/hft/orderbook.cpython-312-x86_64-linux-gnu.so,sha256=GI8EGU_TOBReSf1uWE07bJXsvWaTTiwdKvAT1me8Y1U,316592
+qubx/utils/hft/orderbook.cpython-312-x86_64-linux-gnu.so,sha256=FTJyDKFdjoB3oQo8j3ArMFxegBxORWwmz2uG-f-2b5c,316592
 qubx/utils/hft/orderbook.pyi,sha256=F2P9kbh314wjCwfn6BivFWQMEDMLnZDQ2rmWbGoM7-o,5076
 qubx/utils/hft/orderbook.pyx,sha256=gbNrtpNRZjZ8DjXjrIXsw20UixErDrLzN-8Qep8sSJg,15217
 qubx/utils/marketdata/binance.py,sha256=hWX3noZj704JIMBqlwsXA5IzUP7EgiLiC2r12dJAKQA,11565
@@ -242,7 +242,7 @@ qubx/utils/plotting/renderers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5N
 qubx/utils/plotting/renderers/plotly.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/utils/questdb.py,sha256=fIOMImSa3N3eZKMakHqs5q5ld4m5jkG6IkrTGfuvXFg,5191
 qubx/utils/rate_limiter.py,sha256=nI4yJ2VjTGoHYPQvURyd7rtpfn37ms6xd0hLt6RJeDc,7008
-qubx/utils/ringbuffer.cpython-312-x86_64-linux-gnu.so,sha256=k4G3Gh4RrAxol5ki1Y_EhErw-Iv6P0MknZmbKFJaMR8,108328
+qubx/utils/ringbuffer.cpython-312-x86_64-linux-gnu.so,sha256=DlC_U9OtXmDfVtY-i9W_6lMKNZ24XeIcjm1JAiJ4rjg,108328
 qubx/utils/ringbuffer.pxd,sha256=NiLNnVwSJuDZj6M99DnHt07OEhKVBlEEf80rNukJJeQ,374
 qubx/utils/ringbuffer.pyi,sha256=H0MD68jctVlko09KfxI9-1MloapO5Ba6smaqx1_X5Zo,4580
 qubx/utils/ringbuffer.pyx,sha256=3S8MQreAKMfhaMm3RwztfEQ2AJYDyfPQpfMAsb-JCWA,7069
@@ -270,8 +270,8 @@ qubx/utils/slack.py,sha256=jhos-5pNGomg3TvFZRVvF0b_FrzxfvnTqAEMlDIrgn8,12234
 qubx/utils/time.py,sha256=SYOiz2UqX7dCUhO_vBeWcm42_LmDl-59wp7INu0R8is,15355
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
 qubx/utils/websocket_manager.py,sha256=ld4jvwnWyIkdKpgpUzyfnXGT3Ul4bGemXjy4HX9XTKs,17182
-qubx-0.7.6.dist-info/METADATA,sha256=NoXwGPDHHrP7vctkmbL_pHxpeYA3hiieAUzfF3M1DRM,6062
-qubx-0.7.6.dist-info/WHEEL,sha256=RA6gLSyyVpI0R7d3ofBrM1iY5kDUsPwh15AF0XpvgQo,110
-qubx-0.7.6.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.7.6.dist-info/licenses/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
-qubx-0.7.6.dist-info/RECORD,,
+qubx-0.7.7.dist-info/METADATA,sha256=3NMSoJmXAObmWDGUY7XyyVoTfWd8WL_i779zELosbsk,6062
+qubx-0.7.7.dist-info/WHEEL,sha256=RA6gLSyyVpI0R7d3ofBrM1iY5kDUsPwh15AF0XpvgQo,110
+qubx-0.7.7.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.7.7.dist-info/licenses/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
+qubx-0.7.7.dist-info/RECORD,,