onesecondtrader 0.33.0__py3-none-any.whl → 0.35.0__py3-none-any.whl

onesecondtrader/__init__.py

@@ -4,6 +4,7 @@ __all__ = [
     "BarReceived",
     "BrokerBase",
     "Close",
+    "Datafeed",
     "FillRecord",
     "High",
     "Indicator",
@@ -15,14 +16,16 @@ __all__ = [
     "OrderSide",
     "OrderSubmission",
     "OrderType",
-    "SimpleMovingAverage",
     "SimulatedBroker",
+    "SimulatedDatafeed",
+    "SimpleMovingAverage",
     "SMACrossover",
     "StrategyBase",
     "Volume",
 ]
 
 from onesecondtrader.brokers import BrokerBase, SimulatedBroker
+from onesecondtrader.datafeeds import Datafeed, SimulatedDatafeed
 from onesecondtrader.events import (
     BarProcessed,
     BarReceived,

onesecondtrader/datafeeds/__init__.py

@@ -0,0 +1,7 @@
+__all__ = [
+    "Datafeed",
+    "SimulatedDatafeed",
+]
+
+from .base import Datafeed
+from .simulated import SimulatedDatafeed

onesecondtrader/datafeeds/base.py

@@ -0,0 +1,19 @@
+import abc
+
+from onesecondtrader import events, messaging, models
+
+
+class Datafeed(abc.ABC):
+    def __init__(self, event_bus: messaging.EventBus) -> None:
+        self._event_bus = event_bus
+
+    def _publish(self, event: events.EventBase) -> None:
+        self._event_bus.publish(event)
+
+    @abc.abstractmethod
+    def stream(self, symbols: list[str], bar_period: models.BarPeriod) -> None:
+        pass
+
+    @abc.abstractmethod
+    def shutdown(self) -> None:
+        pass

onesecondtrader/datafeeds/simulated.py

@@ -0,0 +1,99 @@
+import pathlib
+import threading
+
+import pandas as pd
+
+from onesecondtrader import events, messaging, models
+from .base import Datafeed
+
+_RTYPE_MAP = {
+    models.BarPeriod.SECOND: 32,
+    models.BarPeriod.MINUTE: 33,
+    models.BarPeriod.HOUR: 34,
+    models.BarPeriod.DAY: 35,
+}
+
+
+class SimulatedDatafeed(Datafeed):
+    csv_path: str = ""
+
+    def __init__(self, event_bus: messaging.EventBus) -> None:
+        super().__init__(event_bus)
+        self._thread: threading.Thread | None = None
+        self._stop_event = threading.Event()
+
+    def stream(self, symbols: list[str], bar_period: models.BarPeriod) -> None:
+        csv_path = pathlib.Path(self.csv_path)
+        if self._thread and self._thread.is_alive():
+            raise RuntimeError("Already streaming")
+        if not csv_path.exists():
+            raise FileNotFoundError(f"CSV file not found: {csv_path}")
+        if not symbols:
+            raise ValueError("symbols list cannot be empty")
+
+        self._stop_event.clear()
+        self._thread = threading.Thread(
+            target=self._stream,
+            args=(symbols, bar_period),
+            name=self.__class__.__name__,
+            daemon=False,
+        )
+        self._thread.start()
+
+    def wait(self) -> None:
+        if self._thread:
+            self._thread.join()
+
+    def shutdown(self) -> None:
+        self._stop_event.set()
+        if self._thread and self._thread.is_alive():
+            self._thread.join()
+
+    def _stream(self, symbols: list[str], bar_period: models.BarPeriod) -> None:
+        symbols_set = set(symbols)
+        rtype = _RTYPE_MAP[bar_period]
+
+        for chunk in pd.read_csv(
+            self.csv_path,
+            usecols=[
+                "ts_event",
+                "rtype",
+                "open",
+                "high",
+                "low",
+                "close",
+                "volume",
+                "symbol",
+            ],
+            dtype={
+                "ts_event": int,
+                "rtype": int,
+                "open": int,
+                "high": int,
+                "low": int,
+                "close": int,
+                "volume": int,
+                "symbol": str,
+            },
+            chunksize=10_000,
+        ):
+            for row in chunk.itertuples():
+                if self._stop_event.is_set():
+                    return
+
+                if row.symbol not in symbols_set or row.rtype != rtype:
+                    continue
+
+                self._publish(
+                    events.BarReceived(
+                        ts_event=pd.Timestamp(row.ts_event, unit="ns", tz="UTC"),
+                        symbol=row.symbol,
+                        bar_period=bar_period,
+                        open=row.open / 1e9,
+                        high=row.high / 1e9,
+                        low=row.low / 1e9,
+                        close=row.close / 1e9,
+                        volume=row.volume,
+                    )
+                )
+                self._event_bus.wait_until_system_idle()

onesecondtrader/observers/__init__.py

@@ -0,0 +1,5 @@
+__all__ = [
+    "CSVBookkeeper",
+]
+
+from .csvbookkeeper import CSVBookkeeper

onesecondtrader/observers/csvbookkeeper.py

@@ -0,0 +1,180 @@
+import pathlib
+
+import pandas as pd
+
+from onesecondtrader import events, messaging
+
+
+class CSVBookkeeper(messaging.Subscriber):
+    BATCH_SIZE: int = 1000
+
+    def __init__(
+        self, event_bus: messaging.EventBus, results_path: pathlib.Path
+    ) -> None:
+        self._results_path = results_path
+        self._bars_buffer: list[dict] = []
+        self._fills_buffer: list[dict] = []
+        self._orders_buffer: list[dict] = []
+
+        super().__init__(event_bus)
+        self._subscribe(
+            events.BarProcessed,
+            events.OrderFilled,
+            events.OrderSubmission,
+            events.OrderModification,
+            events.OrderCancellation,
+            events.OrderSubmissionAccepted,
+            events.OrderModificationAccepted,
+            events.OrderCancellationAccepted,
+            events.OrderSubmissionRejected,
+            events.OrderModificationRejected,
+            events.OrderCancellationRejected,
+            events.OrderExpired,
+        )
+
+    def _on_event(self, event: events.EventBase) -> None:
+        match event:
+            case events.BarProcessed() as e:
+                self._on_processed_bar(e)
+            case events.OrderFilled() as e:
+                self._on_fill(e)
+            case events.OrderSubmission() as e:
+                self._on_order_event(e, "submission_requested")
+            case events.OrderModification() as e:
+                self._on_order_event(e, "modification_requested")
+            case events.OrderCancellation() as e:
+                self._on_order_event(e, "cancellation_requested")
+            case events.OrderSubmissionAccepted() as e:
+                self._on_order_event(e, "submission_accepted")
+            case events.OrderModificationAccepted() as e:
+                self._on_order_event(e, "modification_accepted")
+            case events.OrderCancellationAccepted() as e:
+                self._on_order_event(e, "cancellation_accepted")
+            case events.OrderSubmissionRejected() as e:
+                self._on_order_event(e, "submission_rejected")
+            case events.OrderModificationRejected() as e:
+                self._on_order_event(e, "modification_rejected")
+            case events.OrderCancellationRejected() as e:
+                self._on_order_event(e, "cancellation_rejected")
+            case events.OrderExpired() as e:
+                self._on_order_event(e, "expired")
+
+    def _on_processed_bar(self, event: events.BarProcessed) -> None:
+        record = {
+            "ts_event": event.ts_event,
+            "symbol": event.symbol,
+            "bar_period": event.bar_period.name,
+            "open": event.open,
+            "high": event.high,
+            "low": event.low,
+            "close": event.close,
+            "volume": event.volume,
+        }
+        record.update(event.indicators)
+        self._bars_buffer.append(record)
+        if len(self._bars_buffer) >= self.BATCH_SIZE:
+            self._flush_bars()
+
+    def _on_fill(self, event: events.OrderFilled) -> None:
+        self._fills_buffer.append(
+            {
+                "ts_event": event.ts_event,
+                "fill_id": str(event.fill_id),
+                "broker_fill_id": event.broker_fill_id,
+                "order_id": str(event.associated_order_id),
+                "symbol": event.symbol,
+                "side": event.side.name,
+                "quantity": event.quantity_filled,
+                "price": event.fill_price,
+                "commission": event.commission,
+                "exchange": event.exchange,
+            }
+        )
+        if len(self._fills_buffer) >= self.BATCH_SIZE:
+            self._flush_fills()
+
+    def _on_order_event(self, event: events.EventBase, event_type: str) -> None:
+        record: dict = {
+            "ts_event": event.ts_event,
+            "event_type": event_type,
+        }
+        match event:
+            case events.OrderSubmission():
+                record.update(
+                    {
+                        "order_id": str(event.system_order_id),
+                        "symbol": event.symbol,
+                        "order_type": event.order_type.name,
+                        "side": event.side.name,
+                        "quantity": event.quantity,
+                        "limit_price": event.limit_price,
+                        "stop_price": event.stop_price,
+                    }
+                )
+            case events.OrderModification():
+                record.update(
+                    {
+                        "order_id": str(event.system_order_id),
+                        "symbol": event.symbol,
+                        "quantity": event.quantity,
+                        "limit_price": event.limit_price,
+                        "stop_price": event.stop_price,
+                    }
+                )
+            case events.OrderCancellation():
+                record.update(
+                    {
+                        "order_id": str(event.system_order_id),
+                        "symbol": event.symbol,
+                    }
+                )
+            case events.OrderSubmissionAccepted() | events.OrderModificationAccepted():
+                record.update(
+                    {
+                        "order_id": str(event.associated_order_id),
+                        "broker_order_id": event.broker_order_id,
+                    }
+                )
+            case events.OrderCancellationAccepted():
+                record.update({"order_id": str(event.associated_order_id)})
+            case (
+                events.OrderSubmissionRejected()
+                | events.OrderModificationRejected()
+                | events.OrderCancellationRejected()
+            ):
+                record.update({"order_id": str(event.associated_order_id)})
+            case events.OrderExpired():
+                record.update({"order_id": str(event.associated_order_id)})
+
+        self._orders_buffer.append(record)
+        if len(self._orders_buffer) >= self.BATCH_SIZE:
+            self._flush_orders()
+
+    def _flush_bars(self) -> None:
+        if not self._bars_buffer:
+            return
+        df = pd.DataFrame(self._bars_buffer)
+        path = self._results_path / "processed_bars.csv"
+        df.to_csv(path, mode="a", header=not path.exists(), index=False)
+        self._bars_buffer.clear()
+
+    def _flush_fills(self) -> None:
+        if not self._fills_buffer:
+            return
+        df = pd.DataFrame(self._fills_buffer)
+        path = self._results_path / "fills.csv"
+        df.to_csv(path, mode="a", header=not path.exists(), index=False)
+        self._fills_buffer.clear()
+
+    def _flush_orders(self) -> None:
+        if not self._orders_buffer:
+            return
+        df = pd.DataFrame(self._orders_buffer)
+        path = self._results_path / "orders.csv"
+        df.to_csv(path, mode="a", header=not path.exists(), index=False)
+        self._orders_buffer.clear()
+
+    def _cleanup(self) -> None:
+        self._flush_bars()
+        self._flush_fills()
+        self._flush_orders()

{onesecondtrader-0.33.0.dist-info → onesecondtrader-0.35.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: onesecondtrader
-Version: 0.33.0
+Version: 0.35.0
 Summary: The Trading Infrastructure Toolkit for Python. Research, simulate, and deploy algorithmic trading strategies — all in one place.
 License-File: LICENSE
 Author: Nils P. Kujath

{onesecondtrader-0.33.0.dist-info → onesecondtrader-0.35.0.dist-info}/RECORD

@@ -1,7 +1,10 @@
-onesecondtrader/__init__.py,sha256=CLUi62mHp8tBzp-58mig3M4SEhPELPihHfQQzcD9Nz8,901
+onesecondtrader/__init__.py,sha256=bzV-SaWcDnq7os8pUtsaq8GAsBWjxBDhkFvRs3Z9FJw,1008
 onesecondtrader/brokers/__init__.py,sha256=YofzD0qlrfo_BzL6gwiHb9by7Webp36TQ_1O5EV0uzY,124
 onesecondtrader/brokers/base.py,sha256=b6Xq2gBUdy3RTpnUfpUiNSXwbuq_bRIjXJ-s89Xu7nE,1345
 onesecondtrader/brokers/simulated.py,sha256=pJvZ7b76xAs-NBbOX_v78IJgVrdnuTLCadqj8kYQ5sg,12694
+onesecondtrader/datafeeds/__init__.py,sha256=zSj1cQhBS-Z5271ICsmGc_zq-1fOd8yLQ7c4F0oJIVk,124
+onesecondtrader/datafeeds/base.py,sha256=bSIHBlZ8kbJ4rTZrUMiMgl8_j0Kqe6Eh2hNX5E3DhHU,477
+onesecondtrader/datafeeds/simulated.py,sha256=mbnEh0jjgZWRDhRLIASMbUpV1ybQktBA8opTv6nj33s,3006
 onesecondtrader/events/__init__.py,sha256=IOlFRdiOXz93SpvkpKL8wr1954d_8olKSB1n9mlTL3Y,898
 onesecondtrader/events/bases.py,sha256=g-ykq2jgcitIAueRurUlqAq0jINQwuhSWi_khAniPHw,662
 onesecondtrader/events/market.py,sha256=IfHuIGfp_IUiw-dFay4c4RYmkoNzshxbhuWTglBqfN0,509
@@ -18,10 +21,12 @@ onesecondtrader/models/__init__.py,sha256=7amHCQ6BAhHKps0ke63E-zh8IJNmkdDogZq-Pf
 onesecondtrader/models/data.py,sha256=fBmddVl6EXYC5u2UnvQ59DXAXeZeIb48KP1ZdeTL52A,322
 onesecondtrader/models/orders.py,sha256=y6Ar-6fMqaOd_hRnRGvfWUF0Z13H_2hfTOW3ROOk0A8,254
 onesecondtrader/models/records.py,sha256=vdCWBtoDQs5R4iB_8_3fXkxWEvoCxOssk9XBnS4l7Vk,599
+onesecondtrader/observers/__init__.py,sha256=fYF9tUW4H7L6Iueqkn2wnBf2LpXZtfdppqG4RkZCi2M,77
+onesecondtrader/observers/csvbookkeeper.py,sha256=hTRHhithHY4r2bjgroO2DchvTDOM6DEO3m6jdvWeUeM,7021
 onesecondtrader/strategies/__init__.py,sha256=5TlEckz3RnwZTs1Isj0wJ_9Og5R9MMXBL90Vu9b45io,126
 onesecondtrader/strategies/base.py,sha256=kIi6by4Y8YuB9gPMPMr2Unm5_i9SGAANyiW2UaHiRO0,11206
 onesecondtrader/strategies/sma_crossover.py,sha256=s2u_uL_D5CrZTACiAbojnrLrLf4jqIPdfOCiNDEIsDA,1119
-onesecondtrader-0.33.0.dist-info/METADATA,sha256=U06iSqkTLBBhLzZCiIl5r-f4-FjpVPF6Qimcgq_kunk,9682
-onesecondtrader-0.33.0.dist-info/WHEEL,sha256=3ny-bZhpXrU6vSQ1UPG34FoxZBp3lVcvK0LkgUz6VLk,88
-onesecondtrader-0.33.0.dist-info/licenses/LICENSE,sha256=OXLcl0T2SZ8Pmy2_dmlvKuetivmyPd5m1q-Gyd-zaYY,35149
-onesecondtrader-0.33.0.dist-info/RECORD,,
+onesecondtrader-0.35.0.dist-info/METADATA,sha256=3qckSVPhiHalNJt8HeQSto06RfjM3Af84DtXgJ9m5lo,9682
+onesecondtrader-0.35.0.dist-info/WHEEL,sha256=3ny-bZhpXrU6vSQ1UPG34FoxZBp3lVcvK0LkgUz6VLk,88
+onesecondtrader-0.35.0.dist-info/licenses/LICENSE,sha256=OXLcl0T2SZ8Pmy2_dmlvKuetivmyPd5m1q-Gyd-zaYY,35149
+onesecondtrader-0.35.0.dist-info/RECORD,,