chronosx-quant 0.2.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- chronosx/__init__.py +1 -0
- chronosx/cli.py +32 -0
- chronosx/mock.py +15 -0
- chronosx/performance.py +76 -0
- chronosx/scheduler.py +233 -0
- chronosx/time.py +80 -0
- chronosx_quant-0.2.0.dist-info/METADATA +73 -0
- chronosx_quant-0.2.0.dist-info/RECORD +11 -0
- chronosx_quant-0.2.0.dist-info/WHEEL +4 -0
- chronosx_quant-0.2.0.dist-info/entry_points.txt +2 -0
- chronosx_quant-0.2.0.dist-info/licenses/LICENSE +201 -0
chronosx/__init__.py
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__version__ = "0.2.0"
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chronosx/cli.py
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import pandas as pd
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import pandas_market_calendars as mcal
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from chronosx.scheduler import SchedulerManager, StaticMinuteScheduler
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def calendar_preview(calendar_name):
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with SchedulerManager.use_scheduler(StaticMinuteScheduler(calendar_name)):
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cal = SchedulerManager.get_scheduler().calendar
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print(f"---{cal.full_name}---")
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holidays = cal.holidays()
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print(f"latest holidays {holidays.kwds['holidays'][-5:]}")
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today = pd.Timestamp.now().date()
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next_month = today + pd.Timedelta(days=32)
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holidays_in_range = [
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h for h in holidays.kwds["holidays"] if h >= today and h < next_month
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]
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print(
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f"next 32 days [{today}, {next_month}) have holidays: {holidays_in_range}"
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)
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def main():
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print(
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f"dependency: pandas={pd.__version__}, pandas_market_calendars={mcal.__version__}"
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)
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calendar_preview("SSE")
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calendar_preview("CME Globex Crypto")
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if __name__ == "__main__":
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main()
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chronosx/mock.py
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from chronosx.time import ChronoTime
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class travel:
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def __init__(self, mock_time):
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self.mock_time = ChronoTime(mock_time)
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def __enter__(self):
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ChronoTime._get_stack().append(self.mock_time)
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return self
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def __exit__(self, exc_type, exc_val, exc_tb):
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stack = ChronoTime._get_stack()
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if stack:
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stack.pop()
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chronosx/performance.py
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from __future__ import annotations
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import inspect
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import io
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import time
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from fastdigest import TDigest
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from contextlib import ContextDecorator
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from typing import Dict
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class PerformanceRegistry:
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"""全局存储不同函数的统计数据"""
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_metrics: Dict[str, TDigest] = {}
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@classmethod
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def update(cls, name: str, value: float):
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if name not in cls._metrics:
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cls._metrics[name] = TDigest()
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cls._metrics[name].update(value)
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@classmethod
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def get_count(cls, name: str):
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if name in cls._metrics:
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return cls._metrics[name].n_values
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return 0
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@classmethod
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def get_percentile(cls, name: str, p: float):
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if name in cls._metrics:
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return cls._metrics[name].percentile(p * 100)
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return None
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@classmethod
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def get_report(cls, name: str):
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if name in cls._metrics:
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di = cls._metrics[name]
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return f"{name}: sum={di.sum()}, count={di.n_values}, mean={di.mean()}, p50={di.percentile(50)}, p90={di.percentile(90)}, p99={di.percentile(99)}, p999={di.percentile(99.9)}, p9999={di.percentile(99.99)}"
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return f"{name}: not found"
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@classmethod
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def full_report(cls):
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b = io.StringIO()
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for name in cls._metrics.keys():
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b.write(f"{cls.get_report(name)}\n")
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return b.getvalue()
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@classmethod
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def clear(cls):
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cls._metrics.clear()
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class performance(ContextDecorator):
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def __init__(self, name: str = None):
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self.name = name
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self.start_wall = 0.0
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def __call__(self, func):
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# 当作为装饰器使用时,如果没传 name,自动获取函数名
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if self.name is None:
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self.name = func.__qualname__
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return super().__call__(func)
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def __enter__(self):
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# 如果是 with 块且没传 name,尝试获取文件名和行号
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if self.name is None:
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caller_frame = inspect.currentframe().f_back
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file_name = caller_frame.f_code.co_filename.split("/")[-1]
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line_no = caller_frame.f_lineno
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self.name = f"{file_name}:{line_no}"
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self.start_wall = time.perf_counter()
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return self
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def __exit__(self, *args):
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elapsed_ms = (time.perf_counter() - self.start_wall) * 1000
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PerformanceRegistry.update(self.name, elapsed_ms)
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chronosx/scheduler.py
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from contextlib import contextmanager
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from datetime import tzinfo
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from functools import wraps
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import os
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import threading
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import pandas_market_calendars as mcal
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import pandas as pd
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"""Scheduler is a wrapper of Calendar and schedules, """
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def require_1min_step(func):
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@wraps(func)
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def wrapper(*args, **kwargs):
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step = kwargs.get("step")
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if step is not None and step != "1min":
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raise ValueError(
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f"Performance Lock: '{func.__name__}' only supports step='1min'."
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)
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return func(*args, **kwargs)
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return wrapper
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class SchedulerManager:
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_storage = threading.local()
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@staticmethod
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def get_scheduler():
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if not hasattr(SchedulerManager._storage, "schedule"):
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# SSE: China Exchange (Shanghai, Shenzhen, CFE) are all in the same timezone, so we can use the same calendar for them.
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# CME Globex Crypto
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# other calendars haven't been checked
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SchedulerManager._storage.schedule = StaticMinuteScheduler(
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os.getenv("CALENDAR_NAME", "SSE")
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)
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return SchedulerManager._storage.schedule
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@staticmethod
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def set_scheduler(schedule):
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SchedulerManager._storage.schedule = schedule
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@staticmethod
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@contextmanager
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def use_scheduler(temp_schedule):
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"""
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临时切换 Schedule,退出 with 块后自动恢复。
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用法:
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with SchedulerManager.use_schedule(MockSchedule()):
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# 执行测试逻辑
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"""
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# 1. 记录旧状态
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has_old = hasattr(SchedulerManager._storage, "schedule")
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old_schedule = getattr(SchedulerManager._storage, "schedule", None)
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# 2. 设置新状态
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SchedulerManager.set_scheduler(temp_schedule)
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try:
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yield
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finally:
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# 3. 恢复旧状态
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if has_old:
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SchedulerManager.set_scheduler(old_schedule)
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else:
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# 如果原本没有 schedule,则清理掉,保持 threading.local 干净
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if hasattr(SchedulerManager._storage, "schedule"):
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del SchedulerManager._storage.schedule
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class SchedulerTemplate:
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def shift(self, time: pd.Timestamp, delta: int, step: str) -> pd.Timestamp: ...
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def trading_times(
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self, start: pd.Timestamp, end: pd.Timestamp, step: str
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) -> pd.Series: ...
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def previous_trading_time(
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self, time: pd.Timestamp, step: str, inclusive=True
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) -> pd.Timestamp: ...
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def next_trading_time(
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self, time: pd.Timestamp, step: str, inclusive=True
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) -> pd.Timestamp: ...
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def is_trading(self, time: pd.Timestamp) -> bool: ...
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def is_trading_day(self, time: pd.Timestamp) -> bool:
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"""Check if the time is a trading day, no matter if it's a trading time."""
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...
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def to_session_start(self, time: pd.Timestamp) -> pd.Timestamp: ...
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def to_session_end(self, time: pd.Timestamp) -> pd.Timestamp: ...
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@property
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def tz(self) -> tzinfo: ...
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class StaticMinuteScheduler(SchedulerTemplate):
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"""
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Load last 3 years and next 3 year schedule, let it crash if time is not in the schedule
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For performance, only support 1 minute step, prepare all timeline when init, no more updates
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"""
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def __init__(self, calendar_name: str):
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self.calendar = mcal.get_calendar(calendar_name)
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self.schedule = self.calendar.schedule(
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pd.Timestamp.now() - pd.Timedelta(days=365 * 3),
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pd.Timestamp.now() + pd.Timedelta(days=365 * 3),
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tz=self.calendar.tz,
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)
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self.session_intervals = pd.IntervalIndex.from_arrays(
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self.schedule["market_open"],
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self.schedule["market_close"],
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closed="left",
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)
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if "break_start" not in self.schedule.columns:
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self.intervals = self.session_intervals
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else:
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# SSE 1 break per trading day, haven't consider about multi breaks
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starts_1 = self.schedule["market_open"]
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ends_1 = self.schedule["break_start"]
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starts_2 = self.schedule["break_end"]
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ends_2 = self.schedule["market_close"]
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# 纵向拼接 (Flatten)
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all_starts = pd.concat([starts_1, starts_2]).dropna().sort_values()
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all_ends = pd.concat([ends_1, ends_2]).dropna().sort_values()
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# 一次性构造,确保顺序严格递增且无重复
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self.intervals = pd.IntervalIndex.from_arrays(
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all_starts, all_ends, closed="left"
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)
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# date_range time is the end time, but we want the start time, so we need to shift back by one step
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self.trading_minutes = mcal.date_range(
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self.schedule, frequency="1min"
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) - pd.Timedelta("1min")
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@property
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def tz(self):
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return self.calendar.tz
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143
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def __repr__(self):
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return f"StaticMinuteScheduler({self.calendar.name}, end={self.schedule.index[-1]})"
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146
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147
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@require_1min_step
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def shift(self, time: pd.Timestamp, delta: int, *, step: str) -> pd.Timestamp:
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"""
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150
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Shift the time by delta in trading time, i.e. jump to the next trading time if the result is not a trading time.
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151
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Time should be a valid trading time.
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"""
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# raise an error if time is not a trading time
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time_idx = self.trading_minutes.get_loc(time)
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# raise an error if out of range
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return self.trading_minutes[time_idx + delta]
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159
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@require_1min_step
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def trading_times(
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self, start: pd.Timestamp, end: pd.Timestamp, *, step: str
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162
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) -> pd.Series:
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# [start, end)
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164
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left_idx = self.trading_minutes.searchsorted(start, side="left")
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right_idx = self.trading_minutes.searchsorted(end, side="left")
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return self.trading_minutes[left_idx:right_idx].to_series()
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167
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168
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@require_1min_step
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169
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def previous_trading_time(
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170
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self, time: pd.Timestamp, *, step: str, inclusive: bool
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171
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) -> pd.Timestamp:
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172
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# inclusive, search right means > time, -1 must be <= time
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# exclusive, search left means >= time, -1 must be < time
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174
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# TODO: binary search is quick, but time may out of range
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175
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idx = (
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self.trading_minutes.searchsorted(
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177
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time, side="right" if inclusive else "left"
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)
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- 1
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)
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return self.trading_minutes[idx] if idx >= 0 else None
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182
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183
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@require_1min_step
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|
184
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def next_trading_time(
|
|
185
|
+
self, time: pd.Timestamp, *, step: str, inclusive: bool
|
|
186
|
+
) -> pd.Timestamp:
|
|
187
|
+
# inclusive, search left means >= time
|
|
188
|
+
# exclusive, search right means > time
|
|
189
|
+
idx = self.trading_minutes.searchsorted(
|
|
190
|
+
time, side="left" if inclusive else "right"
|
|
191
|
+
)
|
|
192
|
+
return self.trading_minutes[idx] if idx < len(self.trading_minutes) else None
|
|
193
|
+
|
|
194
|
+
def is_trading(self, time: pd.Timestamp) -> bool:
|
|
195
|
+
"""Check if the time is a trading time."""
|
|
196
|
+
# be careful to exclude break times
|
|
197
|
+
idx = self.intervals.get_indexer([time])
|
|
198
|
+
return idx[0] != -1
|
|
199
|
+
|
|
200
|
+
def is_trading_day(self, time: pd.Timestamp) -> bool:
|
|
201
|
+
"""Check if the date is in trading, no matter if it's a trading time."""
|
|
202
|
+
# trading day may start from previous day, use interval to check
|
|
203
|
+
day_start = time.normalize()
|
|
204
|
+
day_end = day_start + pd.Timedelta(days=1) - pd.Timedelta(nanoseconds=1)
|
|
205
|
+
target_interval = pd.Interval(day_start, day_end, closed="left")
|
|
206
|
+
|
|
207
|
+
# 检查 IntervalIndex 中是否有任何区间与这一天重叠
|
|
208
|
+
# overlaps 返回一个布尔数组,.any() 判断是否存在至少一个 True
|
|
209
|
+
# use session intervals, cuz we don't care breaks
|
|
210
|
+
return self.session_intervals.overlaps(target_interval).any()
|
|
211
|
+
|
|
212
|
+
def _fetch_interval(self, time: pd.Timestamp):
|
|
213
|
+
# find time belongs to which trading day in schedule
|
|
214
|
+
# check target_time, contains will return a mask
|
|
215
|
+
is_inside = self.session_intervals.contains(time)
|
|
216
|
+
|
|
217
|
+
if not is_inside.any():
|
|
218
|
+
raise ValueError(f"Time {time} is not in trading interval")
|
|
219
|
+
if is_inside.sum() != 1:
|
|
220
|
+
raise ValueError(
|
|
221
|
+
f"Time {time} is in multiple trading days {self.intervals[is_inside]}"
|
|
222
|
+
)
|
|
223
|
+
|
|
224
|
+
return self.schedule.loc[is_inside].iloc[0]
|
|
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|
+
|
|
226
|
+
def to_session_end(self, time: pd.Timestamp) -> pd.Timestamp:
|
|
227
|
+
"""use calendar cuz we may meet early close time before holidays"""
|
|
228
|
+
trading_day = self._fetch_interval(time)
|
|
229
|
+
return trading_day["market_close"]
|
|
230
|
+
|
|
231
|
+
def to_session_start(self, time: pd.Timestamp) -> pd.Timestamp:
|
|
232
|
+
trading_day = self._fetch_interval(time)
|
|
233
|
+
return trading_day["market_open"]
|
chronosx/time.py
ADDED
|
@@ -0,0 +1,80 @@
|
|
|
1
|
+
from __future__ import annotations
|
|
2
|
+
from datetime import datetime
|
|
3
|
+
import threading
|
|
4
|
+
from typing import Union
|
|
5
|
+
import pandas as pd
|
|
6
|
+
|
|
7
|
+
from chronosx.scheduler import SchedulerManager
|
|
8
|
+
|
|
9
|
+
|
|
10
|
+
class ChronoTime(pd.Timestamp):
|
|
11
|
+
# mock now() thread-safely
|
|
12
|
+
_local = threading.local()
|
|
13
|
+
|
|
14
|
+
@staticmethod
|
|
15
|
+
def _get_stack():
|
|
16
|
+
if not hasattr(ChronoTime._local, "stack"):
|
|
17
|
+
ChronoTime._local.stack = []
|
|
18
|
+
return ChronoTime._local.stack
|
|
19
|
+
|
|
20
|
+
@staticmethod
|
|
21
|
+
def now():
|
|
22
|
+
stack = ChronoTime._get_stack()
|
|
23
|
+
if stack:
|
|
24
|
+
# if in mock, return mock time
|
|
25
|
+
return stack[-1]
|
|
26
|
+
tz = SchedulerManager.get_scheduler().tz
|
|
27
|
+
return ChronoTime(pd.Timestamp.now(tz))
|
|
28
|
+
|
|
29
|
+
def __new__(cls, ts: Union[datetime, str, "ChronoTime", int, float]):
|
|
30
|
+
temp_ts = pd.Timestamp(ts)
|
|
31
|
+
default_tz = SchedulerManager.get_scheduler().tz
|
|
32
|
+
if temp_ts.tz is None:
|
|
33
|
+
temp_ts = temp_ts.tz_localize(default_tz)
|
|
34
|
+
elif temp_ts.tz != default_tz:
|
|
35
|
+
# convert to named tz, to avoid compare static tz time with named tz time of scheduler
|
|
36
|
+
temp_ts = temp_ts.tz_convert(default_tz)
|
|
37
|
+
instance = super().__new__(cls, temp_ts)
|
|
38
|
+
instance.__class__ = cls
|
|
39
|
+
return instance
|
|
40
|
+
|
|
41
|
+
def shift(self, delta: int, step: str = "1min") -> ChronoTime:
|
|
42
|
+
return ChronoTime(
|
|
43
|
+
SchedulerManager.get_scheduler().shift(time=self, delta=delta, step=step)
|
|
44
|
+
)
|
|
45
|
+
|
|
46
|
+
def trading_times(
|
|
47
|
+
self, end: Union[datetime, "ChronoTime", pd.Timestamp], step: str = "1min"
|
|
48
|
+
) -> pd.Series:
|
|
49
|
+
"""
|
|
50
|
+
[self, end)
|
|
51
|
+
"""
|
|
52
|
+
return SchedulerManager.get_scheduler().trading_times(
|
|
53
|
+
start=self, end=ChronoTime(end), step=step
|
|
54
|
+
)
|
|
55
|
+
|
|
56
|
+
def previous_trading_time(self, step: str = "1min", inclusive=True) -> ChronoTime:
|
|
57
|
+
return ChronoTime(
|
|
58
|
+
SchedulerManager.get_scheduler().previous_trading_time(
|
|
59
|
+
time=self, step=step, inclusive=inclusive
|
|
60
|
+
)
|
|
61
|
+
)
|
|
62
|
+
|
|
63
|
+
def next_trading_time(self, step: str = "1min", inclusive=True) -> ChronoTime:
|
|
64
|
+
return ChronoTime(
|
|
65
|
+
SchedulerManager.get_scheduler().next_trading_time(
|
|
66
|
+
time=self, step=step, inclusive=inclusive
|
|
67
|
+
)
|
|
68
|
+
)
|
|
69
|
+
|
|
70
|
+
def is_trading(self) -> bool:
|
|
71
|
+
return SchedulerManager.get_scheduler().is_trading(self)
|
|
72
|
+
|
|
73
|
+
def is_trading_day(self) -> bool:
|
|
74
|
+
return SchedulerManager.get_scheduler().is_trading_day(self)
|
|
75
|
+
|
|
76
|
+
def to_session_start(self) -> ChronoTime:
|
|
77
|
+
return ChronoTime(SchedulerManager.get_scheduler().to_session_start(self))
|
|
78
|
+
|
|
79
|
+
def to_session_end(self) -> ChronoTime:
|
|
80
|
+
return ChronoTime(SchedulerManager.get_scheduler().to_session_end(self))
|
|
@@ -0,0 +1,73 @@
|
|
|
1
|
+
Metadata-Version: 2.4
|
|
2
|
+
Name: chronosx-quant
|
|
3
|
+
Version: 0.2.0
|
|
4
|
+
Summary: A Python library for trading calendar management, execution profiling, and temporal backtesting (Time Travel).
|
|
5
|
+
License-File: LICENSE
|
|
6
|
+
Requires-Python: >=3.10
|
|
7
|
+
Requires-Dist: fastdigest
|
|
8
|
+
Requires-Dist: pandas
|
|
9
|
+
Requires-Dist: pandas-market-calendars==5.3.1
|
|
10
|
+
Description-Content-Type: text/markdown
|
|
11
|
+
|
|
12
|
+
# Chronosx
|
|
13
|
+
|
|
14
|
+
A Python library for trading calendar management, execution profiling, and temporal backtesting (Time Travel).
|
|
15
|
+
|
|
16
|
+
## Installation
|
|
17
|
+
|
|
18
|
+
```bash
|
|
19
|
+
uv build
|
|
20
|
+
pip install dist/chronosx-0.2.0-py3-none-any.whl
|
|
21
|
+
# haven't upload to pypi
|
|
22
|
+
# pip install chronosx
|
|
23
|
+
```
|
|
24
|
+
|
|
25
|
+
## Usage
|
|
26
|
+
|
|
27
|
+
```python
|
|
28
|
+
from chronosx.time import ChronoTime
|
|
29
|
+
# use CALENDAR_NAME to select default calendar, e.g. SSE
|
|
30
|
+
time = ChronoTime.now()
|
|
31
|
+
time = ChronoTime("2026-03-08 11:29:00+08:00")
|
|
32
|
+
|
|
33
|
+
# time about trading, only support 1min step now
|
|
34
|
+
time.is_trading()
|
|
35
|
+
# move 2 steps forward(2min), auto skip breaks and weekends
|
|
36
|
+
# e.g. 2026-03-08 11:29:00+08:00" -> "2026-03-08 13:01:00+08:00"
|
|
37
|
+
time.shift(2)
|
|
38
|
+
# select valid trading times from self to end
|
|
39
|
+
# return series of 2 items, 11:29:00 and 13:00:00
|
|
40
|
+
time.trading_times(end=pd.Timestamp("2026-03-08 13:01:00+08:00"))
|
|
41
|
+
# move to the beginning of trading session which the time belongs to
|
|
42
|
+
# e.g. SSE "2026-03-08 11:29:00+08:00" belongs to session '2026-03-08', so the session start is '2026-03-08 09:30:00+08:00'
|
|
43
|
+
# e.g. CME session '2026-03-08' starts from '2026-03-07 17:00:00-06:00', so the session start is '2026-03-07 17:00:00-06:00', not '2026-03-08 00:00:00+00:00'
|
|
44
|
+
time.to_session_start()
|
|
45
|
+
|
|
46
|
+
# performance profiling
|
|
47
|
+
from chronosx.performance import performance, PerformanceRegistry
|
|
48
|
+
@performance("slug_name")
|
|
49
|
+
def f1():
|
|
50
|
+
...
|
|
51
|
+
f1()
|
|
52
|
+
# get report of this function
|
|
53
|
+
print(PerformanceRegistry.get_report("slug_name"))
|
|
54
|
+
# get report of all functions
|
|
55
|
+
print(PerformanceRegistry.get_report())
|
|
56
|
+
# if you want to reset
|
|
57
|
+
PerformanceRegistry.clear()
|
|
58
|
+
|
|
59
|
+
# time travel
|
|
60
|
+
from chronosx.mock import travel
|
|
61
|
+
with travel("2026-03-08 11:29:00+08:00"):
|
|
62
|
+
# only effect ChronoTime, datetime or pd.Timestamp still work
|
|
63
|
+
# thread-local mock, thread-safe
|
|
64
|
+
ChronoTime.now()
|
|
65
|
+
```
|
|
66
|
+
|
|
67
|
+
### Add calendar
|
|
68
|
+
|
|
69
|
+
Chronosx based on pandas_market_calendars, so it can use all calendars in the project, and support to add custom calendars.
|
|
70
|
+
|
|
71
|
+
### Add scheduler
|
|
72
|
+
|
|
73
|
+
I use static minute scheduler for speed, don't support multi step in the same time, and don't support extend schedule time range. It's ok to add new scheduler to support multi step or dynamic time range.
|
|
@@ -0,0 +1,11 @@
|
|
|
1
|
+
chronosx/__init__.py,sha256=Zn1KFblwuFHiDRdRAiRnDBRkbPttWh44jKa5zG2ov0E,22
|
|
2
|
+
chronosx/cli.py,sha256=F0l3-eTgMy5JZIviHCXZEdVbDjK7bCxOaD8vEDKrYc4,1005
|
|
3
|
+
chronosx/mock.py,sha256=5YlLX0IXUDJew41__MKK4rz314cKBQC26jH_e4F6kaU,370
|
|
4
|
+
chronosx/performance.py,sha256=ZRD2TkDBP8-3v4XElFYwrDKZ3iniQ6_XChoIZFMjn5E,2367
|
|
5
|
+
chronosx/scheduler.py,sha256=pxRfQi6-FlSLr-KvDVSH1hWUgTDcjHP_nv0qL04YeHc,8755
|
|
6
|
+
chronosx/time.py,sha256=gxYDn08OcX3BfuapK5G87GUin4AdlQ7iPaXHtkmQryU,2731
|
|
7
|
+
chronosx_quant-0.2.0.dist-info/METADATA,sha256=-VnptvYuI3xf_5kIi9Mc8MGakh5zGG1877CYZPdWhMU,2475
|
|
8
|
+
chronosx_quant-0.2.0.dist-info/WHEEL,sha256=QccIxa26bgl1E6uMy58deGWi-0aeIkkangHcxk2kWfw,87
|
|
9
|
+
chronosx_quant-0.2.0.dist-info/entry_points.txt,sha256=q6-qMD1n05ico3m0OHZllrazyYCBe1-yUu3MjcU9Nvo,42
|
|
10
|
+
chronosx_quant-0.2.0.dist-info/licenses/LICENSE,sha256=xx0jnfkXJvxRnG63LTGOxlggYnIysveWIZ6H3PNdCrQ,11357
|
|
11
|
+
chronosx_quant-0.2.0.dist-info/RECORD,,
|
|
@@ -0,0 +1,201 @@
|
|
|
1
|
+
Apache License
|
|
2
|
+
Version 2.0, January 2004
|
|
3
|
+
http://www.apache.org/licenses/
|
|
4
|
+
|
|
5
|
+
TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
|
|
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|
+
|
|
7
|
+
1. Definitions.
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|
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|
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|
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|
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"License" shall mean the terms and conditions for use, reproduction,
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|
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and distribution as defined by Sections 1 through 9 of this document.
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|
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"Licensor" shall mean the copyright owner or entity authorized by
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"Legal Entity" shall mean the union of the acting entity and all
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"control" means (i) the power, direct or indirect, to cause the
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"You" (or "Your") shall mean an individual or Legal Entity
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