onesecondtrader 0.34.0__tar.gz → 0.36.0__tar.gz

{onesecondtrader-0.34.0 → onesecondtrader-0.36.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: onesecondtrader
-Version: 0.34.0
+Version: 0.36.0
 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-0.34.0 → onesecondtrader-0.36.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "onesecondtrader"
-version = "0.34.0"
+version = "0.36.0"
 description = "The Trading Infrastructure Toolkit for Python. Research, simulate, and deploy algorithmic trading strategies — all in one place."
 authors = [
     {name = "Nils P. Kujath",email = "63961429+NilsKujath@users.noreply.github.com"}

onesecondtrader-0.36.0/src/onesecondtrader/connectors/__init__.py

@@ -0,0 +1,2 @@
+from onesecondtrader.connectors import brokers as brokers
+from onesecondtrader.connectors import datafeeds as datafeeds

onesecondtrader-0.36.0/src/onesecondtrader/connectors/brokers/__init__.py

@@ -0,0 +1,3 @@
+__all__ = ["SimulatedBroker"]
+
+from .simulated import SimulatedBroker

onesecondtrader-0.36.0/src/onesecondtrader/connectors/brokers/simulated.py

@@ -0,0 +1,346 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader.core import events, messaging, models
+from onesecondtrader.core.brokers import BrokerBase
+
+
+@dataclasses.dataclass
+class _PendingOrder:
+    # Order state tracked by the broker, distinct from the OrderSubmission event
+    order_id: uuid.UUID
+    symbol: str
+    order_type: models.OrderType
+    side: models.OrderSide
+    quantity: float
+    limit_price: float | None = None
+    stop_price: float | None = None
+
+
+class SimulatedBroker(BrokerBase):
+    commission_per_unit: float = 0.0
+    minimum_commission_per_order: float = 0.0
+
+    def __init__(self, event_bus: messaging.EventBus) -> None:
+        self._pending_market_orders: dict[uuid.UUID, _PendingOrder] = {}
+        self._pending_limit_orders: dict[uuid.UUID, _PendingOrder] = {}
+        self._pending_stop_orders: dict[uuid.UUID, _PendingOrder] = {}
+        self._pending_stop_limit_orders: dict[uuid.UUID, _PendingOrder] = {}
+
+        super().__init__(event_bus)
+        self._subscribe(events.BarReceived)
+
+    def _on_event(self, event: events.EventBase) -> None:
+        match event:
+            case events.BarReceived() as bar:
+                self._on_bar(bar)
+            case _:
+                super()._on_event(event)
+
+    def _on_bar(self, event: events.BarReceived) -> None:
+        self._process_market_orders(event)
+        self._process_stop_orders(event)
+        self._process_stop_limit_orders(event)
+        self._process_limit_orders(event)
+
+    def _process_market_orders(self, event: events.BarReceived) -> None:
+        for order_id, order in list(self._pending_market_orders.items()):
+            if order.symbol != event.symbol:
+                continue
+
+            self._publish(
+                events.OrderFilled(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=order.order_id,
+                    symbol=order.symbol,
+                    side=order.side,
+                    quantity_filled=order.quantity,
+                    fill_price=event.open,
+                    commission=max(
+                        order.quantity * self.commission_per_unit,
+                        self.minimum_commission_per_order,
+                    ),
+                )
+            )
+            del self._pending_market_orders[order_id]
+
+    def _process_stop_orders(self, event: events.BarReceived) -> None:
+        for order_id, order in list(self._pending_stop_orders.items()):
+            if order.symbol != event.symbol:
+                continue
+
+            # This is for mypy, it has already been validated on submission
+            assert order.stop_price is not None
+
+            triggered = False
+            match order.side:
+                case models.OrderSide.BUY:
+                    triggered = event.high >= order.stop_price
+                case models.OrderSide.SELL:
+                    triggered = event.low <= order.stop_price
+
+            if not triggered:
+                continue
+
+            fill_price = 0.0
+            match order.side:
+                case models.OrderSide.BUY:
+                    fill_price = max(order.stop_price, event.open)
+                case models.OrderSide.SELL:
+                    fill_price = min(order.stop_price, event.open)
+
+            self._publish(
+                events.OrderFilled(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=order.order_id,
+                    symbol=order.symbol,
+                    side=order.side,
+                    quantity_filled=order.quantity,
+                    fill_price=fill_price,
+                    commission=max(
+                        order.quantity * self.commission_per_unit,
+                        self.minimum_commission_per_order,
+                    ),
+                )
+            )
+            del self._pending_stop_orders[order_id]
+
+    def _process_stop_limit_orders(self, event: events.BarReceived) -> None:
+        for order_id, order in list(self._pending_stop_limit_orders.items()):
+            if order.symbol != event.symbol:
+                continue
+
+            # This is for mypy, it has already been validated on submission
+            assert order.stop_price is not None
+
+            triggered = False
+            match order.side:
+                case models.OrderSide.BUY:
+                    triggered = event.high >= order.stop_price
+                case models.OrderSide.SELL:
+                    triggered = event.low <= order.stop_price
+
+            if not triggered:
+                continue
+
+            limit_order = dataclasses.replace(order, order_type=models.OrderType.LIMIT)
+            self._pending_limit_orders[order_id] = limit_order
+            del self._pending_stop_limit_orders[order_id]
+
+    def _process_limit_orders(self, event: events.BarReceived) -> None:
+        for order_id, order in list(self._pending_limit_orders.items()):
+            if order.symbol != event.symbol:
+                continue
+
+            # This is for mypy, it has already been validated on submission
+            assert order.limit_price is not None
+
+            triggered = False
+            match order.side:
+                case models.OrderSide.BUY:
+                    triggered = event.low <= order.limit_price
+                case models.OrderSide.SELL:
+                    triggered = event.high >= order.limit_price
+
+            if not triggered:
+                continue
+
+            fill_price = 0.0
+            match order.side:
+                case models.OrderSide.BUY:
+                    fill_price = min(order.limit_price, event.open)
+                case models.OrderSide.SELL:
+                    fill_price = max(order.limit_price, event.open)
+
+            self._publish(
+                events.OrderFilled(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=order.order_id,
+                    symbol=order.symbol,
+                    side=order.side,
+                    quantity_filled=order.quantity,
+                    fill_price=fill_price,
+                    commission=max(
+                        order.quantity * self.commission_per_unit,
+                        self.minimum_commission_per_order,
+                    ),
+                )
+            )
+            del self._pending_limit_orders[order_id]
+
+    def _reject_if_invalid_submission(self, event: events.OrderSubmission) -> bool:
+        is_invalid = event.quantity <= 0
+
+        match event.order_type:
+            case models.OrderType.LIMIT:
+                is_invalid = (
+                    is_invalid or event.limit_price is None or event.limit_price <= 0
+                )
+            case models.OrderType.STOP:
+                is_invalid = (
+                    is_invalid or event.stop_price is None or event.stop_price <= 0
+                )
+            case models.OrderType.STOP_LIMIT:
+                is_invalid = is_invalid or (
+                    event.limit_price is None
+                    or event.limit_price <= 0
+                    or event.stop_price is None
+                    or event.stop_price <= 0
+                )
+
+        if is_invalid:
+            # Use event timestamp to maintain simulated time consistency in backtesting
+            self._publish(
+                events.OrderSubmissionRejected(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=event.system_order_id,
+                )
+            )
+
+        return is_invalid
+
+    def _on_submit_order(self, event: events.OrderSubmission) -> None:
+        if self._reject_if_invalid_submission(event):
+            return
+
+        order = _PendingOrder(
+            order_id=event.system_order_id,
+            symbol=event.symbol,
+            order_type=event.order_type,
+            side=event.side,
+            quantity=event.quantity,
+            limit_price=event.limit_price,
+            stop_price=event.stop_price,
+        )
+
+        match order.order_type:
+            case models.OrderType.MARKET:
+                self._pending_market_orders[order.order_id] = order
+            case models.OrderType.LIMIT:
+                self._pending_limit_orders[order.order_id] = order
+            case models.OrderType.STOP:
+                self._pending_stop_orders[order.order_id] = order
+            case models.OrderType.STOP_LIMIT:
+                self._pending_stop_limit_orders[order.order_id] = order
+
+        # Use event timestamp to maintain simulated time consistency in backtesting
+        self._publish(
+            events.OrderSubmissionAccepted(
+                ts_event=event.ts_event,
+                ts_broker=event.ts_event,
+                associated_order_id=order.order_id,
+            )
+        )
+
+    def _on_cancel_order(self, event: events.OrderCancellation) -> None:
+        order_id = event.system_order_id
+
+        removed = False
+        for pending_orders in (
+            self._pending_market_orders,
+            self._pending_limit_orders,
+            self._pending_stop_orders,
+            self._pending_stop_limit_orders,
+        ):
+            if order_id in pending_orders:
+                del pending_orders[order_id]
+                removed = True
+                break
+
+        # Use event timestamp to maintain simulated time consistency in backtesting
+        if removed:
+            self._publish(
+                events.OrderCancellationAccepted(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=order_id,
+                )
+            )
+        else:
+            self._publish(
+                events.OrderCancellationRejected(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=order_id,
+                )
+            )
+
+    def _reject_if_invalid_modification(self, event: events.OrderModification) -> bool:
+        is_invalid = (
+            (event.quantity is not None and event.quantity <= 0)
+            or (event.limit_price is not None and event.limit_price <= 0)
+            or (event.stop_price is not None and event.stop_price <= 0)
+        )
+
+        if is_invalid:
+            # Use event timestamp to maintain simulated time consistency in backtesting
+            self._publish(
+                events.OrderModificationRejected(
+                    ts_event=event.ts_event,
+                    ts_broker=event.ts_event,
+                    associated_order_id=event.system_order_id,
+                )
+            )
+
+        return is_invalid
+
+    def _on_modify_order(self, event: events.OrderModification) -> None:
+        if self._reject_if_invalid_modification(event):
+            return
+
+        order_id = event.system_order_id
+
+        for pending_orders in (
+            self._pending_market_orders,
+            self._pending_limit_orders,
+            self._pending_stop_orders,
+            self._pending_stop_limit_orders,
+        ):
+            if order_id in pending_orders:
+                order = pending_orders[order_id]
+
+                new_quantity = (
+                    event.quantity if event.quantity is not None else order.quantity
+                )
+                new_limit_price = (
+                    event.limit_price
+                    if event.limit_price is not None
+                    else order.limit_price
+                )
+                new_stop_price = (
+                    event.stop_price
+                    if event.stop_price is not None
+                    else order.stop_price
+                )
+
+                pending_orders[order_id] = dataclasses.replace(
+                    order,
+                    quantity=new_quantity,
+                    limit_price=new_limit_price,
+                    stop_price=new_stop_price,
+                )
+
+                # Use event timestamp to maintain simulated time consistency in backtesting
+                self._publish(
+                    events.OrderModificationAccepted(
+                        ts_event=event.ts_event,
+                        ts_broker=event.ts_event,
+                        associated_order_id=order_id,
+                    )
+                )
+                return
+
+        # Use event timestamp to maintain simulated time consistency in backtesting
+        self._publish(
+            events.OrderModificationRejected(
+                ts_event=event.ts_event,
+                ts_broker=event.ts_event,
+                associated_order_id=order_id,
+            )
+        )

onesecondtrader-0.36.0/src/onesecondtrader/connectors/datafeeds/__init__.py

@@ -0,0 +1,4 @@
+__all__ = ["Datafeed", "SimulatedDatafeed"]
+
+from .base import Datafeed
+from .simulated import SimulatedDatafeed

onesecondtrader-0.36.0/src/onesecondtrader/connectors/datafeeds/base.py

@@ -0,0 +1,19 @@
+import abc
+
+from onesecondtrader.core 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-0.36.0/src/onesecondtrader/connectors/datafeeds/simulated.py

@@ -0,0 +1,99 @@
+import pathlib
+import threading
+
+import pandas as pd
+
+from onesecondtrader.core 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-0.36.0/src/onesecondtrader/core/__init__.py

@@ -0,0 +1,6 @@
+from onesecondtrader.core import brokers as brokers
+from onesecondtrader.core import events as events
+from onesecondtrader.core import indicators as indicators
+from onesecondtrader.core import messaging as messaging
+from onesecondtrader.core import models as models
+from onesecondtrader.core import strategies as strategies

onesecondtrader-0.36.0/src/onesecondtrader/core/brokers/__init__.py

@@ -0,0 +1,3 @@
+__all__ = ["BrokerBase"]
+
+from .base import BrokerBase

onesecondtrader-0.36.0/src/onesecondtrader/core/brokers/base.py

@@ -0,0 +1,39 @@
+import abc
+
+from onesecondtrader.core import events, messaging
+
+
+class BrokerBase(messaging.Subscriber):
+    def __init__(self, event_bus: messaging.EventBus) -> None:
+        super().__init__(event_bus)
+        self._subscribe(
+            events.requests.OrderSubmission,
+            events.requests.OrderCancellation,
+            events.requests.OrderModification,
+        )
+
+    def _on_event(self, event: events.bases.EventBase) -> None:
+        match event:
+            case events.requests.OrderSubmission() as submit_order:
+                self._on_submit_order(submit_order)
+            case events.requests.OrderCancellation() as cancel_order:
+                self._on_cancel_order(cancel_order)
+            case events.requests.OrderModification() as modify_order:
+                self._on_modify_order(modify_order)
+            case _:
+                return
+
+    @abc.abstractmethod
+    def _on_submit_order(self, event: events.requests.OrderSubmission) -> None:
+        pass
+
+    @abc.abstractmethod
+    def _on_cancel_order(self, event: events.requests.OrderCancellation) -> None:
+        pass
+
+    @abc.abstractmethod
+    def _on_modify_order(self, event: events.requests.OrderModification) -> None:
+        pass
+
+    def _respond(self, response_event: events.bases.BrokerResponseEvent) -> None:
+        self._publish(response_event)

onesecondtrader-0.36.0/src/onesecondtrader/core/events/market.py

@@ -0,0 +1,22 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader.core import models
+from . import bases
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class BarReceived(bases.MarketEvent):
+    symbol: str
+    bar_period: models.data.BarPeriod
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: int | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class BarProcessed(BarReceived):
+    indicators: dict[str, float] = dataclasses.field(default_factory=dict)

onesecondtrader-0.36.0/src/onesecondtrader/core/events/requests.py

@@ -0,0 +1,31 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader.core import models
+from . import bases
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderSubmission(bases.BrokerRequestEvent):
+    system_order_id: uuid.UUID = dataclasses.field(default_factory=uuid.uuid4)
+    symbol: str
+    order_type: models.orders.OrderType
+    side: models.orders.OrderSide
+    quantity: float
+    limit_price: float | None = None
+    stop_price: float | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderCancellation(bases.BrokerRequestEvent):
+    symbol: str
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderModification(bases.BrokerRequestEvent):
+    symbol: str
+    quantity: float | None = None
+    limit_price: float | None = None
+    stop_price: float | None = None

onesecondtrader-0.36.0/src/onesecondtrader/core/events/responses.py

@@ -0,0 +1,54 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader.core import models
+from . import bases
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderSubmissionAccepted(bases.BrokerResponseEvent):
+    broker_order_id: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderSubmissionRejected(bases.BrokerResponseEvent):
+    reason: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderModificationAccepted(bases.BrokerResponseEvent):
+    broker_order_id: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderModificationRejected(bases.BrokerResponseEvent):
+    reason: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderCancellationAccepted(bases.BrokerResponseEvent):
+    pass
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderCancellationRejected(bases.BrokerResponseEvent):
+    reason: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderFilled(bases.BrokerResponseEvent):
+    fill_id: uuid.UUID = dataclasses.field(default_factory=uuid.uuid4)
+    broker_fill_id: str | None = None
+    symbol: str
+    side: models.orders.OrderSide
+    quantity_filled: float
+    fill_price: float
+    commission: float
+    exchange: str = "SIMULATED"
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class OrderExpired(bases.BrokerResponseEvent):
+    pass