Qubx 1.0.6.dev3__tar.gz → 1.0.6.dev5__tar.gz

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: Qubx
-Version: 1.0.6.dev3
+Version: 1.0.6.dev5
 Summary: Qubx - Quantitative Trading Framework
 Project-URL: homepage, https://xlydian.com
 Project-URL: repository, https://github.com/xLydianSoftware/Qubx

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/src/qubx/_version.py

@@ -28,7 +28,7 @@ version_tuple: VERSION_TUPLE
 commit_id: COMMIT_ID
 __commit_id__: COMMIT_ID
 
-__version__ = version = '1.0.6.dev3'
-__version_tuple__ = version_tuple = (1, 0, 6, 'dev3')
+__version__ = version = '1.0.6.dev5'
+__version_tuple__ = version_tuple = (1, 0, 6, 'dev5')
 
 __commit_id__ = commit_id = None

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/src/qubx/connectors/ccxt/handlers/ohlc.py

@@ -91,14 +91,29 @@ class OhlcDataHandler(BaseDataTypeHandler):
         """
         nbarsback = pd.Timedelta(warmup_period) // pd.Timedelta(timeframe)
         exch_timeframe = self._data_provider._get_exch_timeframe(timeframe)
+        _tf_msec = pd.to_timedelta(timeframe).value // 1_000_000
 
         for instrument in instruments:
-            start = self._data_provider._time_msec_nbars_back(timeframe, nbarsback)
+            start_since = self._data_provider._time_msec_nbars_back(timeframe, nbarsback)
             ccxt_symbol = instrument_to_ccxt_symbol(instrument)
-            ohlcv = await self._exchange_manager.exchange.fetch_ohlcv(
-                ccxt_symbol, exch_timeframe, since=start, limit=nbarsback + 1
-            )
 
+            # Paginate: exchanges may return fewer bars than requested per call
+            ohlcv_map: dict[int, list] = {}
+            while len(ohlcv_map) < nbarsback:
+                batch = await self._exchange_manager.exchange.fetch_ohlcv(
+                    ccxt_symbol, exch_timeframe, since=start_since,
+                    limit=min(nbarsback - len(ohlcv_map), self.MAX_BARS_PER_REQUEST_FOR_PROVIDER) + 1,
+                )
+                if not batch:
+                    break
+                prev_count = len(ohlcv_map)
+                for bar in batch:
+                    ohlcv_map[bar[0]] = bar
+                if len(ohlcv_map) == prev_count:
+                    break
+                start_since = batch[-1][0] + _tf_msec
+
+            ohlcv = list(ohlcv_map.values())
             logger.debug(f"<yellow>{self._exchange_id}</yellow> {instrument}: loaded {len(ohlcv)} {timeframe} bars")
 
             channel.send(
@@ -134,11 +149,13 @@ class OhlcDataHandler(BaseDataTypeHandler):
         exch_timeframe = self._data_provider._get_exch_timeframe(timeframe)
 
         loaded_bars = {}
-        n_tries = nbarsback // self.MAX_BARS_PER_REQUEST_FOR_PROVIDER + 1
         _tf_msec = pd.to_timedelta(timeframe).value // 1_000_000  # convert to msec
 
         # - retrieve OHLC data from exchange by chunks as some providers limit number of bars per request
-        for _ in range(n_tries):
+        # Loop until we have enough bars or exchange stops returning data.
+        # n_tries is not pre-calculated because exchanges return varying page sizes
+        # (e.g., OKX returns ~100 bars vs Binance's ~1000).
+        while len(loaded_bars) < nbarsback:
             bars_to_request = min((nbarsback - len(loaded_bars)), self.MAX_BARS_PER_REQUEST_FOR_PROVIDER)
             if not (
                 ohlcv_data := await self._exchange_manager.exchange.fetch_ohlcv(
@@ -147,9 +164,14 @@ class OhlcDataHandler(BaseDataTypeHandler):
             ):
                 break
 
+            prev_count = len(loaded_bars)
             for oh in ohlcv_data:
                 loaded_bars[oh[0]] = self._convert_ohlcv_to_bar(oh)  # use timestamp as key to avoid duplicates
 
+            # Stop if no new bars were added (exchange has no more data)
+            if len(loaded_bars) == prev_count:
+                break
+
             start_since = ohlcv_data[-1][0] + _tf_msec
 
         return list(loaded_bars.values())

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/src/qubx/core/account.py

@@ -515,7 +515,7 @@ class BasicAccountProcessor(IAccountProcessor):
             # how many shares are closed/open
             qty_closing = min(abs(pos.quantity), abs(pos_change)) * direction if prev_direction != direction else 0
             qty_opening = pos_change if prev_direction == direction else pos_change - qty_closing
-            excess = abs(qty_opening) * order.price
+            excess = abs(qty_opening) * order.instrument.quantity_multiplier * order.price
 
             # TODO: locking likely doesn't work correctly for spot accounts (Account)
             # Example: if we have 1 BTC at price 100k and set a limit order for 0.1 BTC at 110k

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/src/qubx/core/basics.py

@@ -579,10 +579,11 @@ class TransactionCostsCalculator:
     def get_execution_fees(
         self, instrument: Instrument, exec_price: float, amount: float, crossed_market=False, conversion_rate=1.0
     ):
+        notional = abs(amount * instrument.quantity_multiplier * exec_price)
         if crossed_market:
-            return abs(amount * exec_price) * self.taker / conversion_rate
+            return notional * self.taker / conversion_rate
         else:
-            return abs(amount * exec_price) * self.maker / conversion_rate
+            return notional * self.maker / conversion_rate
 
     def get_overnight_fees(self, instrument: Instrument, amount: float):
         return 0.0

{qubx-1.0.6.dev3 → qubx-1.0.6.dev5}/src/qubx/data/cache.py

@@ -372,6 +372,10 @@ class CachedReader(IReader):
         chunksize: int = 0,
         **kwargs,
     ) -> Iterator[Transformable] | Transformable:
+        # Normalize start/stop so that start <= stop regardless of caller ordering
+        if start is not None and stop is not None and pd.Timestamp(start) > pd.Timestamp(stop):
+            start, stop = stop, start
+
         cache_key = _make_cache_key(dtype, **kwargs)
 
         # - detect "all symbols" request (empty collection)