flowbars 0.1.0__py3-none-any.whl

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Files changed (46) hide show
  1. flowbars/__init__.py +163 -0
  2. flowbars/_version.py +8 -0
  3. flowbars/adapters/__init__.py +29 -0
  4. flowbars/adapters/polars.py +1115 -0
  5. flowbars/bars/__init__.py +3 -0
  6. flowbars/bars/accumulators.py +731 -0
  7. flowbars/bars/constructor.py +1254 -0
  8. flowbars/bars/information/__init__.py +41 -0
  9. flowbars/bars/information/imbalance_dollar_bars.py +200 -0
  10. flowbars/bars/information/imbalance_tick_bars.py +206 -0
  11. flowbars/bars/information/imbalance_volume_bars.py +200 -0
  12. flowbars/bars/information/run_dollar_bars.py +225 -0
  13. flowbars/bars/information/run_tick_bars.py +231 -0
  14. flowbars/bars/information/run_volume_bars.py +225 -0
  15. flowbars/bars/minute/__init__.py +99 -0
  16. flowbars/bars/minute/accumulators.py +303 -0
  17. flowbars/bars/minute/engine.py +244 -0
  18. flowbars/bars/minute/information.py +622 -0
  19. flowbars/bars/minute/numba.py +1043 -0
  20. flowbars/bars/minute/registry.py +22 -0
  21. flowbars/bars/minute/standard.py +261 -0
  22. flowbars/bars/minute/structural.py +474 -0
  23. flowbars/bars/numba_backend.py +1227 -0
  24. flowbars/bars/output.py +106 -0
  25. flowbars/bars/registry.py +47 -0
  26. flowbars/bars/spec.py +367 -0
  27. flowbars/bars/standard/__init__.py +17 -0
  28. flowbars/bars/standard/dollar_bars.py +168 -0
  29. flowbars/bars/standard/tick_bars.py +166 -0
  30. flowbars/bars/standard/time_bars.py +192 -0
  31. flowbars/bars/standard/volume_bars.py +168 -0
  32. flowbars/benchmarks.py +420 -0
  33. flowbars/calendars.py +368 -0
  34. flowbars/core.py +109 -0
  35. flowbars/py.typed +0 -0
  36. flowbars/quality.py +393 -0
  37. flowbars/sample_data/__init__.py +28 -0
  38. flowbars/sample_data/tick_data.csv +501 -0
  39. flowbars/schema.py +476 -0
  40. flowbars/thresholds.py +1167 -0
  41. flowbars/tick_rule.py +89 -0
  42. flowbars-0.1.0.dist-info/METADATA +650 -0
  43. flowbars-0.1.0.dist-info/RECORD +46 -0
  44. flowbars-0.1.0.dist-info/WHEEL +5 -0
  45. flowbars-0.1.0.dist-info/licenses/LICENSE +21 -0
  46. flowbars-0.1.0.dist-info/top_level.txt +1 -0
flowbars/__init__.py ADDED
@@ -0,0 +1,163 @@
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+ """flowbars — production-grade bar construction for financial ML.
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+
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+ Standard bars: time, tick, volume, dollar.
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+ Information-driven bars: imbalance, run (tick, volume, dollar variants).
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+ """
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+
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+ # Public API — batch convenience functions (populated as bar types are registered)
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+ from flowbars._version import __version__ # noqa: F401
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+ from flowbars.bars.constructor import BaseBarConstructor, params_hash
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+ from flowbars.bars.information import ( # noqa: F401 — triggers @register_bar side-effects
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+ ImbalanceDollarBarConstructor,
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+ ImbalanceTickBarConstructor,
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+ ImbalanceVolumeBarConstructor,
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+ RunDollarBarConstructor,
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+ RunTickBarConstructor,
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+ RunVolumeBarConstructor,
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+ compute_imbalance_dollar_bars,
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+ compute_imbalance_tick_bars,
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+ compute_imbalance_volume_bars,
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+ compute_run_dollar_bars,
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+ compute_run_tick_bars,
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+ compute_run_volume_bars,
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+ )
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+ from flowbars.bars.minute import ( # noqa: F401 — triggers minute registration
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+ BaseMinuteBarConstructor,
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+ MinuteBarRegistry,
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+ MinuteDollarAccumulator,
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+ MinuteDollarBarConstructor,
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+ MinuteHybridAccumulator,
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+ MinuteHybridBarConstructor,
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+ MinuteImbalanceAccumulator,
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+ MinuteImbalanceDollarBarConstructor,
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+ MinuteImbalanceVolumeBarConstructor,
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+ MinuteRangeAccumulator,
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+ MinuteRangeBarConstructor,
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+ MinuteRenkoAccumulator,
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+ MinuteRenkoBarConstructor,
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+ MinuteRunAccumulator,
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+ MinuteRunDollarBarConstructor,
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+ MinuteRunVolumeBarConstructor,
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+ MinuteVolatilityAccumulator,
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+ MinuteVolatilityBarConstructor,
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+ MinuteVolumeAccumulator,
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+ MinuteVolumeBarConstructor,
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+ compute_dollar_bars_from_minutes,
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+ compute_hybrid_bars_from_minutes,
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+ compute_imbalance_dollar_bars_from_minutes,
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+ compute_imbalance_volume_bars_from_minutes,
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+ compute_range_bars_from_minutes,
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+ compute_renko_bars_from_minutes,
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+ compute_run_dollar_bars_from_minutes,
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+ compute_run_volume_bars_from_minutes,
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+ compute_volatility_bars_from_minutes,
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+ compute_volume_bars_from_minutes,
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+ )
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+ from flowbars.bars.output import validate_bar_frame
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+ from flowbars.bars.registry import BarRegistry
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+ from flowbars.bars.spec import BarTypeSpec
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+ from flowbars.bars.standard import ( # noqa: F401 — triggers @register_bar side-effects
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+ DollarBarConstructor,
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+ TickBarConstructor,
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+ TimeBarConstructor,
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+ VolumeBarConstructor,
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+ compute_dollar_bars,
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+ compute_tick_bars,
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+ compute_time_bars,
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+ compute_volume_bars,
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+ )
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+ from flowbars.calendars import (
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+ ContinuousCalendar,
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+ ExchangeCalendar,
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+ SessionCalendar,
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+ TradingCalendar,
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+ WeekdayCalendar,
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+ )
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+ from flowbars.core import BarContractError
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+
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+ # Re-export the bar quality report
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+ from flowbars.quality import bar_quality_report
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+
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+ # Sample data loader
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+ from flowbars.sample_data import load_sample_data
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+ from flowbars.schema import MinuteSchemaMapping, SchemaMapping
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+ from flowbars.thresholds import (
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+ EWMAThresholdEstimator,
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+ MinuteCalibrationHelper,
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+ StaticCalibrationHelper,
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+ StaticThresholdEstimator,
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+ ThresholdEstimator,
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+ )
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+
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+ __all__ = [
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+ "BarContractError",
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+ "BarRegistry",
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+ "BarTypeSpec",
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+ "BaseBarConstructor",
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+ "BaseMinuteBarConstructor",
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+ "ContinuousCalendar",
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+ "DollarBarConstructor",
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+ "ExchangeCalendar",
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+ "EWMAThresholdEstimator",
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+ "ImbalanceDollarBarConstructor",
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+ "ImbalanceTickBarConstructor",
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+ "ImbalanceVolumeBarConstructor",
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+ "MinuteBarRegistry",
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+ "MinuteCalibrationHelper",
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+ "MinuteDollarAccumulator",
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+ "MinuteDollarBarConstructor",
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+ "MinuteHybridAccumulator",
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+ "MinuteHybridBarConstructor",
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+ "MinuteImbalanceAccumulator",
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+ "MinuteImbalanceDollarBarConstructor",
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+ "MinuteImbalanceVolumeBarConstructor",
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+ "MinuteRangeAccumulator",
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+ "MinuteRangeBarConstructor",
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+ "MinuteRenkoAccumulator",
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+ "MinuteRenkoBarConstructor",
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+ "MinuteRunAccumulator",
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+ "MinuteRunDollarBarConstructor",
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+ "MinuteRunVolumeBarConstructor",
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+ "MinuteSchemaMapping",
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+ "MinuteVolatilityAccumulator",
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+ "MinuteVolatilityBarConstructor",
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+ "MinuteVolumeAccumulator",
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+ "MinuteVolumeBarConstructor",
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+ "RunDollarBarConstructor",
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+ "RunTickBarConstructor",
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+ "RunVolumeBarConstructor",
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+ "SchemaMapping",
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+ "SessionCalendar",
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+ "StaticCalibrationHelper",
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+ "StaticThresholdEstimator",
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+ "ThresholdEstimator",
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+ "TickBarConstructor",
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+ "TimeBarConstructor",
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+ "TradingCalendar",
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+ "VolumeBarConstructor",
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+ "WeekdayCalendar",
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+ "bar_quality_report",
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+ "load_sample_data",
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+ "params_hash",
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+ "validate_bar_frame",
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+ "compute_dollar_bars",
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+ "compute_dollar_bars_from_minutes",
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+ "compute_hybrid_bars_from_minutes",
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+ "compute_imbalance_dollar_bars",
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+ "compute_imbalance_dollar_bars_from_minutes",
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+ "compute_imbalance_tick_bars",
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+ "compute_imbalance_volume_bars",
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+ "compute_imbalance_volume_bars_from_minutes",
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+ "compute_range_bars_from_minutes",
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+ "compute_renko_bars_from_minutes",
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+ "compute_run_dollar_bars",
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+ "compute_run_dollar_bars_from_minutes",
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+ "compute_run_tick_bars",
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+ "compute_run_volume_bars",
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+ "compute_run_volume_bars_from_minutes",
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+ "compute_tick_bars",
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+ "compute_time_bars",
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+ "compute_volatility_bars_from_minutes",
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+ "compute_volume_bars",
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+ "compute_volume_bars_from_minutes",
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+ ]
flowbars/_version.py ADDED
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+ """Single source of truth for the flowbars package version.
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+
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+ Kept in its own module so that internal code (state serialization, registry
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+ metadata) can import it without triggering the package ``__init__`` and its
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+ circular imports.
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+ """
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+
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+ __version__ = "0.1.0"
flowbars/adapters/__init__.py ADDED
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+ """I/O adapters. Currently: polars.
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+ Adapters are batch-only — no streaming equivalent.
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+ """
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+
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+ from flowbars.adapters.polars import (
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+ compute_dollar_bars,
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+ compute_imbalance_dollar_bars,
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+ compute_imbalance_tick_bars,
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+ compute_imbalance_volume_bars,
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+ compute_run_dollar_bars,
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+ compute_run_tick_bars,
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+ compute_run_volume_bars,
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+ compute_tick_bars,
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+ compute_time_bars,
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+ compute_volume_bars,
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+ )
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+
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+ __all__ = [
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+ "compute_dollar_bars",
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+ "compute_imbalance_dollar_bars",
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+ "compute_imbalance_tick_bars",
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+ "compute_imbalance_volume_bars",
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+ "compute_run_dollar_bars",
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+ "compute_run_tick_bars",
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+ "compute_run_volume_bars",
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+ "compute_tick_bars",
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+ "compute_time_bars",
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+ "compute_volume_bars",
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+ ]