onesecondtrader 0.14.0__py3-none-any.whl → 0.49.0__py3-none-any.whl

onesecondtrader/indicators/base.py

@@ -0,0 +1,142 @@
+from __future__ import annotations
+
+import abc
+import collections
+import threading
+
+import numpy as np
+
+from onesecondtrader import events
+
+
+class IndicatorBase(abc.ABC):
+    """
+    Base class for scalar technical indicators with per-symbol history.
+
+    The class provides a thread-safe mechanism for storing and retrieving indicator values computed from incoming market bars, keyed by symbol.
+    It does not manage input windows or rolling computation state.
+
+    Subclasses define a stable indicator identifier via the `name` property and implement `_compute_indicator`, which computes a single scalar value per incoming bar.
+    Indicators with multiple conceptual outputs must be implemented as multiple single-output indicators (e.g. Bollinger Bands must be implemented via three separate indicators `BBUpper`, `BBMiddle`, and `BBLower`).
+
+    The update mechanism is thread-safe.
+    Indicator computation is performed outside the internal lock.
+    Subclasses that maintain internal state are responsible for ensuring its thread safety and must not access `_history_data`.
+
+    Indicator values are stored per symbol in bounded FIFO buffers.
+    Missing data and out-of-bounds access yield `numpy.nan`.
+
+    The `plot_at` attribute is an opaque identifier forwarded to the charting backend and has no intrinsic meaning within the indicator subsystem.
+    """
+
+    def __init__(self, max_history: int = 100, plot_at: int = 99) -> None:
+        """
+        Parameters:
+            max_history:
+                Maximum number of indicator values retained per symbol.
+                Cannot be less than 1.
+            plot_at:
+                Opaque plotting identifier forwarded to the charting backend.
+        """
+        self._lock = threading.Lock()
+        self._max_history = max(1, int(max_history))
+        self._history_data: dict[str, collections.deque[float]] = {}
+        self._plot_at = plot_at
+
+    @property
+    @abc.abstractmethod
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Stable identifier used for charting and downstream integration.
+        """
+        pass
+
+    @abc.abstractmethod
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Compute the indicator value for a single market bar.
+
+        This method is executed outside the internal lock.
+        Implementations must not access `_history_data` and must ensure thread safety of any internal computation state.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input for indicator computation.
+
+        Returns:
+            Computed indicator value.
+        """
+        pass
+
+    def update(self, incoming_bar: events.market.BarReceived) -> None:
+        """
+        Update the indicator with a new market bar.
+
+        The computed value is appended to the per-symbol history buffer.
+
+        Parameters:
+            incoming_bar:
+                Market bar triggering the update.
+        """
+        symbol = incoming_bar.symbol
+
+        value = self._compute_indicator(incoming_bar)
+
+        with self._lock:
+            if symbol not in self._history_data:
+                self._history_data[symbol] = collections.deque(maxlen=self._max_history)
+
+            self._history_data[symbol].append(value)
+
+    def latest(self, symbol: str) -> float:
+        """
+        Return the most recent indicator value for a symbol.
+
+        Parameters:
+            symbol:
+                Symbol identifier.
+
+        Returns:
+            Most recent value, or `numpy.nan` if unavailable.
+        """
+        return self[symbol, -1]
+
+    def __getitem__(self, key: tuple[str, int]) -> float:
+        """
+        Retrieve an indicator value by symbol and index.
+
+        Indexing follows standard Python sequence semantics.
+        Negative indices refer to positions relative to the most recent value.
+
+        Parameters:
+            key:
+                `(symbol, index)` pair specifying the symbol and history offset.
+
+        Returns:
+            Indicator value at the specified position, or `numpy.nan` if unavailable.
+        """
+        symbol, index = key
+
+        with self._lock:
+            history = self._history_data.get(symbol)
+
+            if history is None:
+                return np.nan
+
+            try:
+                return history[index]
+            except IndexError:
+                return np.nan
+
+    @property
+    def plot_at(self) -> int:
+        """
+        Plotting identifier.
+
+        Returns:
+            Opaque identifier consumed by the charting backend.
+        """
+        return self._plot_at

onesecondtrader/indicators/market_fields.py

@@ -0,0 +1,166 @@
+from __future__ import annotations
+
+import numpy as np
+
+from onesecondtrader import events, indicators
+
+
+class Open(indicators.IndicatorBase):
+    """
+    Open price indicator.
+
+    This indicator exposes the open price of each incoming market bar as a scalar time series.
+    Values are stored per symbol and can be accessed historically via the indicator interface.
+    """
+
+    @property
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Fixed identifier for the open price indicator.
+        """
+        return "OPEN"
+
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the open price from an incoming market bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input.
+
+        Returns:
+            Open price of the bar.
+        """
+        return incoming_bar.open
+
+
+class High(indicators.IndicatorBase):
+    """
+    High price indicator.
+
+    This indicator exposes the high price of each incoming market bar as a scalar time series.
+    Values are stored per symbol and can be accessed historically via the indicator interface.
+    """
+
+    @property
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Fixed identifier for the high price indicator.
+        """
+        return "HIGH"
+
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the high price from an incoming market bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input.
+
+        Returns:
+            High price of the bar.
+        """
+        return incoming_bar.high
+
+
+class Low(indicators.IndicatorBase):
+    """
+    Low price indicator.
+
+    This indicator exposes the low price of each incoming market bar as a scalar time series.
+    Values are stored per symbol and can be accessed historically via the indicator interface.
+    """
+
+    @property
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Fixed identifier for the low price indicator.
+        """
+        return "LOW"
+
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the low price from an incoming market bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input.
+
+        Returns:
+            Low price of the bar.
+        """
+        return incoming_bar.low
+
+
+class Close(indicators.IndicatorBase):
+    """
+    Close price indicator.
+
+    This indicator exposes the close price of each incoming market bar as a scalar time series.
+    Values are stored per symbol and can be accessed historically via the indicator interface.
+    """
+
+    @property
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Fixed identifier for the close price indicator.
+        """
+        return "CLOSE"
+
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the close price from an incoming market bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input.
+
+        Returns:
+            Close price of the bar.
+        """
+        return incoming_bar.close
+
+
+class Volume(indicators.IndicatorBase):
+    """
+    Volume indicator.
+
+    This indicator exposes the traded volume of each incoming market bar as a scalar time series.
+    Values are stored per symbol and can be accessed historically via the indicator interface.
+    Missing volume values yield `numpy.nan`.
+    """
+
+    @property
+    def name(self) -> str:
+        """
+        Canonical indicator name.
+
+        Returns:
+            Fixed identifier for the volume indicator.
+        """
+        return "VOLUME"
+
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the volume from an incoming market bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar used as input.
+
+        Returns:
+            Volume of the bar, or `numpy.nan` if unavailable.
+        """
+        return float(incoming_bar.volume) if incoming_bar.volume is not None else np.nan

onesecondtrader/indicators/moving_averages.py

@@ -1,132 +1,104 @@
-"""
-This module provides various moving average indicators.
-"""
+from __future__ import annotations
 
-import numpy as np
 import collections
-from onesecondtrader.indicators import base_indicator
-from onesecondtrader.core import models
-from onesecondtrader.monitoring import console
+import numpy as np
+
+from onesecondtrader import events, indicators, models
 
 
-class SimpleMovingAverage(base_indicator.BaseIndicator):
+class SimpleMovingAverage(indicators.IndicatorBase):
     """
-    Simple Moving Average (SMA) indicator for different OHLC-data related time series,
-     the possible modes for the SMA calculation are indicated in the
-     `core.models.XMAMode` enum (currently: `open`, `high`, `low`, `close`,
-     `typical_price`, `weighted close`).
-
-    Examples:
-        >>> from onesecondtrader.indicators import moving_averages
-        >>> from onesecondtrader.core import models
-        >>> sma = moving_averages.SimpleMovingAverage(
-        ...     period=3, mode=models.XMAMode.CLOSE
-        ... )
-        >>> bar1 = models.Bar(
-        ...     open=100.0, high=101.0, low=99.0, close=100.0, volume=1000
-        ... )
-        >>> sma.update(bar1)
-        >>> import numpy as np
-        >>> np.isnan(sma.latest)
-        True
-        >>> bar2 = models.Bar(
-        ...     open=100.0, high=102.0, low=100.0, close=101.0, volume=1500
-        ... )
-        >>> sma.update(bar2)
-        >>> np.isnan(sma.latest)
-        True
-        >>> bar3 = models.Bar(
-        ...     open=101.0, high=103.0, low=101.0, close=102.0, volume=2000
-        ... )
-        >>> sma.update(bar3)
-        >>> np.isnan(sma.latest)
-        False
-        >>> sma.latest
-        101.0
+    Simple Moving Average (SMA) indicator.
+
+    This indicator computes the arithmetic mean of a selected bar field over a fixed rolling window.
+    One scalar value is produced per incoming bar and stored per symbol.
+
+    The rolling window is maintained independently for each symbol.
+    Until the window is fully populated, the indicator yields `numpy.nan`.
     """
 
     def __init__(
         self,
-        period: int,
-        mode: models.XMAMode = models.XMAMode.CLOSE,
+        period: int = 200,
         max_history: int = 100,
+        bar_field: models.BarField = models.BarField.CLOSE,
+        plot_at: int = 0,
     ) -> None:
         """
-        Initialize the indicator with a period and a mode.
-
-        Args:
-            period (int): Period of the moving average. Will be set to 1 if < 1.
-            mode (models.XMAMode): Mode of the moving average. Defaults to `CLOSE`.
-            max_history (int): Maximum lookback history length. Defaults to 100.
-
-        Attributes:
-            self.period (int): Period of the moving average.
-            self.mode (models.XMAMode): Mode of the moving average.
+        Parameters:
+            period:
+                Window size used to compute the moving average.
+            max_history:
+                Maximum number of computed indicator values retained per symbol.
+            bar_field:
+                Bar field used as the input series.
+            plot_at:
+                Opaque plotting identifier forwarded to the charting backend.
         """
-        if period < 1:
-            console.logger.warning(
-                f"Period must be >= 1, got {period}; defaulting to 1"
-            )
-            period = 1
+        super().__init__(max_history=max_history, plot_at=plot_at)
 
-        super().__init__(max_history=max_history)
-        self.period: int = period
-        self.mode: models.XMAMode = mode
-        self._window: collections.deque[float] = collections.deque(maxlen=self.period)
+        self.period: int = max(1, int(period))
+        self.bar_field: models.BarField = bar_field
+        self._window: dict[str, collections.deque[float]] = {}
 
     @property
     def name(self) -> str:
-        return f"SMA_{self.period}_{self.mode.name}"
+        """
+        Canonical indicator name.
+
+        Returns:
+            Identifier encoding the indicator type, period, and bar field.
+        """
+        return f"SMA_{self.period}_{self.bar_field.name}"
 
-    def _compute_indicator(self, incoming_bar: models.Bar) -> float:
+    def _compute_indicator(self, incoming_bar: events.market.BarReceived) -> float:
         """
-        Compute the specified simple moving average based on the incoming bar.
+        Compute the simple moving average for a single received bar.
 
-        Args:
-            incoming_bar (models.Bar): Incoming bar with OHLCV data.
+        Parameters:
+            incoming_bar:
+                Market bar used as input for the computation.
 
         Returns:
-            float: Simple moving average value, or np.nan if insufficient data or
-                errors occur.
+            Simple moving average value, or `numpy.nan` if the rolling window is not yet fully populated.
         """
-        try:
-            mode = self.mode
-            if mode is models.XMAMode.OPEN:
-                current_value = incoming_bar.open
-            elif mode is models.XMAMode.HIGH:
-                current_value = incoming_bar.high
-            elif mode is models.XMAMode.LOW:
-                current_value = incoming_bar.low
-            elif mode is models.XMAMode.CLOSE:
-                current_value = incoming_bar.close
-            elif mode is models.XMAMode.TYPICAL_PRICE:
-                current_value = (
-                    incoming_bar.high + incoming_bar.low + incoming_bar.close
-                ) / 3.0
-            elif mode is models.XMAMode.WEIGHTED_CLOSE:
-                current_value = (
-                    incoming_bar.high + incoming_bar.low + 2.0 * incoming_bar.close
-                ) / 4.0
-            else:
-                console.logger.warning(
-                    f"Unsupported XMAMode: {mode}; using close price"
-                )
-                current_value = incoming_bar.close
-
-            if not np.isfinite(current_value):
-                console.logger.warning(
-                    f"Invalid value extracted: {current_value} (mode={mode.name}); "
-                    f"using np.nan"
-                )
-                return np.nan
+        symbol = incoming_bar.symbol
+        if symbol not in self._window:
+            self._window[symbol] = collections.deque(maxlen=self.period)
 
-            with self._lock:
-                self._window.append(current_value)
-                if len(self._window) < self.period:
-                    return np.nan
-                sma_value = sum(self._window) / self.period
-            return sma_value
+        window = self._window[symbol]
+        value = self._extract_field(incoming_bar)
+        window.append(value)
 
-        except Exception as e:
-            console.logger.warning(f"SMA calculation failed: {e}; returning np.nan")
+        if len(window) < self.period:
             return np.nan
+        return sum(window) / self.period
+
+    def _extract_field(self, incoming_bar: events.market.BarReceived) -> float:
+        """
+        Extract the configured bar field from an incoming bar.
+
+        Parameters:
+            incoming_bar:
+                Market bar providing the input data.
+
+        Returns:
+            Extracted field value, or `numpy.nan` if unavailable.
+        """
+        match self.bar_field:
+            case models.BarField.OPEN:
+                return incoming_bar.open
+            case models.BarField.HIGH:
+                return incoming_bar.high
+            case models.BarField.LOW:
+                return incoming_bar.low
+            case models.BarField.CLOSE:
+                return incoming_bar.close
+            case models.BarField.VOLUME:
+                return (
+                    float(incoming_bar.volume)
+                    if incoming_bar.volume is not None
+                    else np.nan
+                )
+            case _:
+                return incoming_bar.close

onesecondtrader/models/__init__.py

@@ -0,0 +1,23 @@
+"""
+Defines the fundamental domain concepts used throughout the trading system.
+"""
+
+from .bar_fields import BarField
+from .bar_period import BarPeriod
+from .order_types import OrderType
+from .rejection_reasons import (
+    OrderRejectionReason,
+    CancellationRejectionReason,
+    ModificationRejectionReason,
+)
+from .trade_sides import TradeSide
+
+__all__ = [
+    "BarField",
+    "BarPeriod",
+    "OrderType",
+    "TradeSide",
+    "OrderRejectionReason",
+    "CancellationRejectionReason",
+    "ModificationRejectionReason",
+]

onesecondtrader/models/bar_fields.py

@@ -0,0 +1,23 @@
+from __future__ import annotations
+
+import enum
+
+
+class BarField(enum.Enum):
+    """
+    Enumeration of bar fields used as indicator inputs.
+
+    | Value    | Semantics                          |
+    |----------|------------------------------------|
+    | `OPEN`   | Bar's opening value.               |
+    | `HIGH`   | Bar's highest value.               |
+    | `LOW`    | Bar's lowest value.                |
+    | `CLOSE`  | Bar's closing value.               |
+    | `VOLUME` | Bar's traded volume.               |
+    """
+
+    OPEN = enum.auto()
+    HIGH = enum.auto()
+    LOW = enum.auto()
+    CLOSE = enum.auto()
+    VOLUME = enum.auto()

onesecondtrader/models/bar_period.py

@@ -0,0 +1,21 @@
+from __future__ import annotations
+
+import enum
+
+
+class BarPeriod(enum.Enum):
+    """
+    Enumeration of bar aggregation periods.
+
+    | Value    | Semantics            |
+    |----------|----------------------|
+    | `SECOND` | Duration of 1 second.|
+    | `MINUTE` | Duration of 1 minute.|
+    | `HOUR`   | Duration of 1 hour.  |
+    | `DAY`    | Duration of 1 day.   |
+    """
+
+    SECOND = enum.auto()
+    MINUTE = enum.auto()
+    HOUR = enum.auto()
+    DAY = enum.auto()

onesecondtrader/models/order_types.py

@@ -0,0 +1,21 @@
+from __future__ import annotations
+
+import enum
+
+
+class OrderType(enum.Enum):
+    """
+    Enumeration of order execution types.
+
+    | Value        | Semantics                                                   |
+    |--------------|-------------------------------------------------------------|
+    | `LIMIT`      | Executable only at the specified limit price or better.     |
+    | `MARKET`     | Executable immediately at the best available market price.  |
+    | `STOP`       | Becomes a market order once the stop price is reached.      |
+    | `STOP_LIMIT` | Becomes a limit order once the stop price is reached.       |
+    """
+
+    LIMIT = enum.auto()
+    MARKET = enum.auto()
+    STOP = enum.auto()
+    STOP_LIMIT = enum.auto()

onesecondtrader/models/rejection_reasons.py

@@ -0,0 +1,48 @@
+from __future__ import annotations
+
+import enum
+
+
+class OrderRejectionReason(enum.Enum):
+    """
+    Enumeration of canonical order rejection reasons.
+
+    This enumeration defines the system-level classification of order rejection causes.
+    It provides a stable, broker-agnostic taxonomy for programmatic handling of rejected orders.
+
+    | Value     | Semantics                                                                 |
+    |-----------|---------------------------------------------------------------------------|
+    | `UNKNOWN` | The rejection reason could not be classified into a known category.       |
+    """
+
+    UNKNOWN = enum.auto()
+
+
+class ModificationRejectionReason(enum.Enum):
+    """
+    Enumeration of canonical order modification rejection reasons.
+
+    This enumeration defines the system-level classification of reasons for which an order modification request may be rejected by a broker.
+    It provides a stable, broker-agnostic taxonomy intended for programmatic handling and observability of modification rejections.
+
+    | Value     | Semantics                                                                        |
+    |-----------|----------------------------------------------------------------------------------|
+    | `UNKNOWN` | The modification rejection reason could not be classified into a known category. |
+    """
+
+    UNKNOWN = enum.auto()
+
+
+class CancellationRejectionReason(enum.Enum):
+    """
+    Enumeration of canonical order cancellation rejection reasons.
+
+    This enumeration defines the system-level classification of reasons for which an order cancellation request may be rejected by a broker.
+    It provides a stable, broker-agnostic taxonomy intended for programmatic handling and observability of cancellation rejections.
+
+    | Value     | Semantics                                                                        |
+    |-----------|----------------------------------------------------------------------------------|
+    | `UNKNOWN` | The cancellation rejection reason could not be classified into a known category. |
+    """
+
+    UNKNOWN = enum.auto()

onesecondtrader/models/trade_sides.py

@@ -0,0 +1,20 @@
+from __future__ import annotations
+
+import enum
+
+
+class TradeSide(enum.Enum):
+    """
+    Enumeration of trade direction.
+
+    `TradeSide` specifies the direction of change applied to the (net) signed position
+    quantity from the perspective of the trading account.
+
+    | Value   | Semantics                                      |
+    |---------|------------------------------------------------|
+    | `BUY`   | Increases the signed position quantity.        |
+    | `SELL`  | Decreases the signed position quantity.        |
+    """
+
+    BUY = enum.auto()
+    SELL = enum.auto()