friction-engine 0.1.0__tar.gz

friction_engine-0.1.0/LICENSE

@@ -0,0 +1,189 @@
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friction_engine-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: friction-engine
+Version: 0.1.0
+Summary: Realistic backtest friction modeling: volume-aware slippage, multi-market fees & taxes (US/TW/JP), liquidity constraints, and MAE/MFE trade analytics.
+Author: friction-engine contributors
+License: Apache-2.0
+Project-URL: Homepage, https://github.com/jalano0i9u8y7-lab/friction-engine
+Keywords: backtest,slippage,transaction-costs,MAE,MFE,trading
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Developers
+Classifier: License :: OSI Approved :: Apache Software License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Provides-Extra: dev
+Requires-Dist: pytest>=7; extra == "dev"
+Dynamic: license-file
+
+# friction-engine
+
+**Your backtest is lying to you — this library measures how much.**
+
+`friction-engine` models the four costs naive backtests ignore, as small,
+composable, fully-auditable pieces:
+
+| Module | What it fixes | The naive-backtest lie |
+|---|---|---|
+| `slippage` | Volume-aware slippage (half-spread + square-root impact) | "I filled 200k shares at the close price" |
+| `fees` | Multi-market fees & taxes (US / TW / JP presets, all configurable) | "Commissions are round-off error" |
+| `liquidity` | Participation-rate caps on executable quantity | "The market absorbed my 10× ADV order instantly" |
+| `mae_mfe` | MAE/MFE excursion analytics | "The trade returned +5%" — but it dipped -8% first; would your stop have survived? |
+
+Pure Python standard library. **Zero third-party dependencies.** Every model
+is one short file you can read end-to-end before trusting it.
+
+## Install
+
+```bash
+pip install friction-engine
+```
+
+Or from source:
+
+```bash
+pip install .
+pip install ".[dev]"   # with pytest for running the test suite
+```
+
+## Quick start
+
+```python
+from friction_engine import (
+    Market, Order, ParticipationCap, Side, TradePath,
+    VolumeShareSlippage, excursion, fee_for,
+)
+
+order = Order(symbol="2330.TW", side=Side.BUY, quantity=20_000)
+
+# 1. Liquidity: can the market absorb this?
+allowed = ParticipationCap(0.10).cap(order, bar_volume=150_000)
+
+# 2. Slippage: volume-aware fill price (not the close you assumed)
+slip = VolumeShareSlippage(spread_bps=5, eta=0.5)
+fill_price = slip.fill_price(order, 100.0, bar_volume=150_000, volatility=0.02)
+
+# 3. Fees & taxes: TW stocks = 14.25 bps commission + 30 bps sell tax
+fee, tax = fee_for(order, fill_price * order.quantity, market=Market.TW)
+
+# 4. MAE/MFE: what happened inside the trade, not just entry→exit
+path = TradePath(
+    entry_price=fill_price, side=Side.BUY,
+    highs=[101, 103, 106], lows=[97.5, 99, 102], exit_price=105.0,
+)
+rec = excursion(path)
+print(rec.mae, rec.mfe, rec.giveback)   # -0.025 … +0.06 … how much you gave back
+```
+
+Run the full worked example:
+
+```bash
+python examples/basic_usage.py
+```
+
+## The models, honestly
+
+**Volume-aware slippage** — `fill = ref × (1 + dir × (spread/2 + η·σ·√(q/V)))`.
+The square-root temporary-impact shape is the most widely published
+empirical form in the market-microstructure literature. `η` (eta) is a
+calibration knob: 0.1 gentle, 0.5 typical, 1.0 harsh. If you don't know your
+`η`, run all three and treat the spread of outcomes as your uncertainty.
+
+**Fee presets** — US (zero commission + ~0.3 bps sell-side regulatory fees),
+TW stocks (14.25 bps commission both sides + 30 bps sell tax), TW ETF
+(10 bps sell tax), JP (10 bps commission + 10% consumption tax *on the
+commission*, no share transaction tax). These are publicly documented
+typical values as of mid-2026 and **will go stale** — brokers discount,
+regulators re-price. Treat presets as starting points:
+
+```python
+from friction_engine import FEE_SCHEDULES, Market
+my_tw = FEE_SCHEDULES[Market.TW].with_overrides(commission_bps=6.0, min_commission=20.0)
+```
+
+**Liquidity cap** — `min(quantity, max_participation × bar_volume)`. Simple,
+brutal, and the single most common way backtests overstate capacity.
+
+**MAE/MFE** — descriptive statistics over a trade's post-entry high/low
+path (Sweeney-style excursion analysis). Aggregates (`excursion_stats`)
+answer: *is my stop inside the noise band of my winners?* (`mae_of_winners_mean`)
+and *how much do my losers climb before failing?* (`mfe_of_losers_mean`).
+
+## What this library is NOT
+
+- Not a backtester. It computes friction; you bring the loop, the data, and
+  the point-in-time discipline. (Pair it with `quant-lint` to audit the
+  strategy code feeding it.)
+- Not a broker simulator. Fill *decisions* (partial fills, limit queues,
+  halts) are out of scope; it prices the fills you assume.
+- Not financial advice, and presets are not a fee-quote service. Verify
+  current rates with your broker/exchange before trading real money.
+
+## Development
+
+```bash
+python -m pytest            # run the test suite
+```
+
+Layout:
+
+```
+src/friction_engine/
+  models.py      # Order / Fill / Side value types
+  slippage.py    # Zero / Fixed / VolumeShare slippage models
+  fees.py        # FeeSchedule + US/TW/JP presets
+  liquidity.py   # ParticipationCap
+  mae_mfe.py     # TradePath, mae/mfe, excursion, excursion_stats
+tests/           # pytest suite, no network, no data files
+examples/        # runnable worked example
+```
+
+## License
+
+Apache-2.0 — see [LICENSE](LICENSE). Clean-room provenance: see
+[CLEANROOM.md](CLEANROOM.md).

friction_engine-0.1.0/README.md

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+# friction-engine
+
+**Your backtest is lying to you — this library measures how much.**
+
+`friction-engine` models the four costs naive backtests ignore, as small,
+composable, fully-auditable pieces:
+
+| Module | What it fixes | The naive-backtest lie |
+|---|---|---|
+| `slippage` | Volume-aware slippage (half-spread + square-root impact) | "I filled 200k shares at the close price" |
+| `fees` | Multi-market fees & taxes (US / TW / JP presets, all configurable) | "Commissions are round-off error" |
+| `liquidity` | Participation-rate caps on executable quantity | "The market absorbed my 10× ADV order instantly" |
+| `mae_mfe` | MAE/MFE excursion analytics | "The trade returned +5%" — but it dipped -8% first; would your stop have survived? |
+
+Pure Python standard library. **Zero third-party dependencies.** Every model
+is one short file you can read end-to-end before trusting it.
+
+## Install
+
+```bash
+pip install friction-engine
+```
+
+Or from source:
+
+```bash
+pip install .
+pip install ".[dev]"   # with pytest for running the test suite
+```
+
+## Quick start
+
+```python
+from friction_engine import (
+    Market, Order, ParticipationCap, Side, TradePath,
+    VolumeShareSlippage, excursion, fee_for,
+)
+
+order = Order(symbol="2330.TW", side=Side.BUY, quantity=20_000)
+
+# 1. Liquidity: can the market absorb this?
+allowed = ParticipationCap(0.10).cap(order, bar_volume=150_000)
+
+# 2. Slippage: volume-aware fill price (not the close you assumed)
+slip = VolumeShareSlippage(spread_bps=5, eta=0.5)
+fill_price = slip.fill_price(order, 100.0, bar_volume=150_000, volatility=0.02)
+
+# 3. Fees & taxes: TW stocks = 14.25 bps commission + 30 bps sell tax
+fee, tax = fee_for(order, fill_price * order.quantity, market=Market.TW)
+
+# 4. MAE/MFE: what happened inside the trade, not just entry→exit
+path = TradePath(
+    entry_price=fill_price, side=Side.BUY,
+    highs=[101, 103, 106], lows=[97.5, 99, 102], exit_price=105.0,
+)
+rec = excursion(path)
+print(rec.mae, rec.mfe, rec.giveback)   # -0.025 … +0.06 … how much you gave back
+```
+
+Run the full worked example:
+
+```bash
+python examples/basic_usage.py
+```
+
+## The models, honestly
+
+**Volume-aware slippage** — `fill = ref × (1 + dir × (spread/2 + η·σ·√(q/V)))`.
+The square-root temporary-impact shape is the most widely published
+empirical form in the market-microstructure literature. `η` (eta) is a
+calibration knob: 0.1 gentle, 0.5 typical, 1.0 harsh. If you don't know your
+`η`, run all three and treat the spread of outcomes as your uncertainty.
+
+**Fee presets** — US (zero commission + ~0.3 bps sell-side regulatory fees),
+TW stocks (14.25 bps commission both sides + 30 bps sell tax), TW ETF
+(10 bps sell tax), JP (10 bps commission + 10% consumption tax *on the
+commission*, no share transaction tax). These are publicly documented
+typical values as of mid-2026 and **will go stale** — brokers discount,
+regulators re-price. Treat presets as starting points:
+
+```python
+from friction_engine import FEE_SCHEDULES, Market
+my_tw = FEE_SCHEDULES[Market.TW].with_overrides(commission_bps=6.0, min_commission=20.0)
+```
+
+**Liquidity cap** — `min(quantity, max_participation × bar_volume)`. Simple,
+brutal, and the single most common way backtests overstate capacity.
+
+**MAE/MFE** — descriptive statistics over a trade's post-entry high/low
+path (Sweeney-style excursion analysis). Aggregates (`excursion_stats`)
+answer: *is my stop inside the noise band of my winners?* (`mae_of_winners_mean`)
+and *how much do my losers climb before failing?* (`mfe_of_losers_mean`).
+
+## What this library is NOT
+
+- Not a backtester. It computes friction; you bring the loop, the data, and
+  the point-in-time discipline. (Pair it with `quant-lint` to audit the
+  strategy code feeding it.)
+- Not a broker simulator. Fill *decisions* (partial fills, limit queues,
+  halts) are out of scope; it prices the fills you assume.
+- Not financial advice, and presets are not a fee-quote service. Verify
+  current rates with your broker/exchange before trading real money.
+
+## Development
+
+```bash
+python -m pytest            # run the test suite
+```
+
+Layout:
+
+```
+src/friction_engine/
+  models.py      # Order / Fill / Side value types
+  slippage.py    # Zero / Fixed / VolumeShare slippage models
+  fees.py        # FeeSchedule + US/TW/JP presets
+  liquidity.py   # ParticipationCap
+  mae_mfe.py     # TradePath, mae/mfe, excursion, excursion_stats
+tests/           # pytest suite, no network, no data files
+examples/        # runnable worked example
+```
+
+## License
+
+Apache-2.0 — see [LICENSE](LICENSE). Clean-room provenance: see
+[CLEANROOM.md](CLEANROOM.md).

friction_engine-0.1.0/pyproject.toml

@@ -0,0 +1,39 @@
+[build-system]
+requires = ["setuptools>=68"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "friction-engine"
+version = "0.1.0"
+description = "Realistic backtest friction modeling: volume-aware slippage, multi-market fees & taxes (US/TW/JP), liquidity constraints, and MAE/MFE trade analytics."
+readme = "README.md"
+requires-python = ">=3.10"
+license = { text = "Apache-2.0" }
+authors = [{ name = "friction-engine contributors" }]
+keywords = ["backtest", "slippage", "transaction-costs", "MAE", "MFE", "trading"]
+classifiers = [
+    "Development Status :: 3 - Alpha",
+    "Intended Audience :: Financial and Insurance Industry",
+    "Intended Audience :: Developers",
+    "License :: OSI Approved :: Apache Software License",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3.10",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "Topic :: Office/Business :: Financial :: Investment",
+]
+# Zero runtime dependencies by design: pure standard library so the whole
+# package can be audited line-by-line.
+dependencies = []
+
+[project.optional-dependencies]
+dev = ["pytest>=7"]
+
+[project.urls]
+Homepage = "https://github.com/jalano0i9u8y7-lab/friction-engine"
+
+[tool.setuptools.packages.find]
+where = ["src"]
+
+[tool.pytest.ini_options]
+testpaths = ["tests"]

friction_engine-0.1.0/setup.cfg

@@ -0,0 +1,4 @@
+[egg_info]
+tag_build = 
+tag_date = 0
+

friction_engine-0.1.0/src/friction_engine/__init__.py

@@ -0,0 +1,48 @@
+"""friction-engine: realistic backtest friction modeling.
+
+Four orthogonal pieces, composable:
+
+- :mod:`friction_engine.slippage`  -- volume-aware slippage models
+- :mod:`friction_engine.fees`      -- multi-market fee & tax schedules (US/TW/JP)
+- :mod:`friction_engine.liquidity` -- participation-rate liquidity constraints
+- :mod:`friction_engine.mae_mfe`   -- MAE/MFE excursion analytics
+
+Pure standard library, no third-party dependencies.
+"""
+
+from .fees import FeeSchedule, Market, fee_for, FEE_SCHEDULES
+from .liquidity import LiquidityConstraint, ParticipationCap
+from .mae_mfe import Excursion, ExcursionStats, TradePath, excursion, excursion_stats, mae, mfe
+from .models import Fill, Order, Side
+from .slippage import (
+    FixedSlippage,
+    SlippageModel,
+    VolumeShareSlippage,
+    ZeroSlippage,
+)
+
+__version__ = "0.1.0"
+
+__all__ = [
+    "FEE_SCHEDULES",
+    "Excursion",
+    "ExcursionStats",
+    "FeeSchedule",
+    "Fill",
+    "FixedSlippage",
+    "LiquidityConstraint",
+    "Market",
+    "Order",
+    "ParticipationCap",
+    "Side",
+    "SlippageModel",
+    "TradePath",
+    "VolumeShareSlippage",
+    "ZeroSlippage",
+    "excursion",
+    "excursion_stats",
+    "fee_for",
+    "mae",
+    "mfe",
+    "__version__",
+]