Qubx 0.7.6__tar.gz → 0.7.7__tar.gz

{qubx-0.7.6 → qubx-0.7.7}/PKG-INFO

@@ -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 → qubx-0.7.7}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.7.6"
+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-0.7.6 → 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-0.7.6 → 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-0.7.6 → 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
 

{qubx-0.7.6 → 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-0.7.6 → 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):