onesecondtrader 0.46.0__py3-none-any.whl → 0.48.0__py3-none-any.whl

onesecondtrader/events/__init__.py

@@ -3,5 +3,6 @@ Defines the event message objects propagated through the system.
 """
 
 from .base import EventBase
+from . import market, orders, requests, responses
 
-__all__ = ["EventBase"]
+__all__ = ["EventBase", "market", "orders", "requests", "responses"]

onesecondtrader/events/market/__init__.py

@@ -0,0 +1,7 @@
+from .bar_received import BarReceived
+from .bar_processed import BarProcessed
+
+__all__ = [
+    "BarReceived",
+    "BarProcessed",
+]

onesecondtrader/events/market/bar_processed.py

@@ -0,0 +1,29 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader.events.market.bar_received import BarReceived
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class BarProcessed(BarReceived):
+    """
+    Event representing a market data bar with computed indicator values.
+
+    This event extends `BarReceived` by attaching indicator values derived from the bar data.
+
+    | Field           | Type                    | Semantics                                                                  |
+    |-----------------|-------------------------|----------------------------------------------------------------------------|
+    | `ts_event_ns`   | `int`                   | Time at which the bar was observed by the system, as UTC epoch nanoseconds.|
+    | `ts_created_ns` | `int`                   | Time at which the event object was created, as UTC epoch nanoseconds.      |
+    | `symbol`        | `str`                   | Identifier of the traded instrument.                                       |
+    | `bar_period`    | `models.data.BarPeriod` | Time interval represented by the bar.                                      |
+    | `open`          | `float`                 | Opening price of the bar period.                                           |
+    | `high`          | `float`                 | Highest traded price during the bar period.                                |
+    | `low`           | `float`                 | Lowest traded price during the bar period.                                 |
+    | `close`         | `float`                 | Closing price of the bar period.                                           |
+    | `volume`        | `int` or `None`         | Traded volume during the bar period, if available.                         |
+    | `indicators`    | `dict[str, float]`      | Mapping of indicator names to computed indicator values.                   |
+    """
+
+    indicators: dict[str, float] = dataclasses.field(default_factory=dict)

onesecondtrader/events/market/bar_received.py

@@ -0,0 +1,34 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader import events, models
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True)
+class BarReceived(events.EventBase):
+    """
+    Event representing the reception of a completed market data bar.
+
+    This event represents a time-aggregated bar as received from a market data source or produced by a resampling process.
+
+    | Field           | Type                     | Semantics                                                                   |
+    |-----------------|--------------------------|-----------------------------------------------------------------------------|
+    | `ts_event_ns`   | `int`                    | Time at which the bar was observed by the system, as UTC epoch nanoseconds. |
+    | `ts_created_ns` | `int`                    | Time at which the event object was created, as UTC epoch nanoseconds.       |
+    | `symbol`        | `str`                    | Identifier of the traded instrument.                                        |
+    | `bar_period`    | `models.data.BarPeriod`  | Time interval represented by the bar.                                       |
+    | `open`          | `float`                  | Opening price of the bar period.                                            |
+    | `high`          | `float`                  | Highest traded price during the bar period.                                 |
+    | `low`           | `float`                  | Lowest traded price during the bar period.                                  |
+    | `close`         | `float`                  | Closing price of the bar period.                                            |
+    | `volume`        | `int` or `None`          | Traded volume during the bar period, if available.                          |
+    """
+
+    symbol: str
+    bar_period: models.BarPeriod
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: int | None = None

onesecondtrader/events/orders/__init__.py

@@ -0,0 +1,9 @@
+from .base import OrderBase
+from .expirations import OrderExpired
+from .fills import FillEvent
+
+__all__ = [
+    "OrderBase",
+    "OrderExpired",
+    "FillEvent",
+]

onesecondtrader/events/orders/base.py

@@ -0,0 +1,30 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader import events
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class OrderBase(events.EventBase):
+    """
+    Base class for broker-originated order events.
+
+    Order events are broker-originated facts about the state or execution of an order.
+    Each order event is correlated to a system order identifier via `associated_order_id`.
+
+    | Field                 | Type            | Semantics                                                                             |
+    |-----------------------|-----------------|---------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`           | Time at which the response event was observed by the system, as UTC epoch nanoseconds.|
+    | `ts_created_ns`       | `int`           | Time at which the event object was created, as UTC epoch nanoseconds.                 |
+    | `ts_broker_ns`        | `int`           | Time reported by the broker for the response, as UTC epoch nanoseconds.               |
+    | `associated_order_id` | `uuid.UUID`.    | Identifier of the order associated with the broker response.                          |
+    | `broker_order_id`     | `str` or `None` | Broker-assigned identifier of the order, if reported.                                 |
+    | `symbol`              | `str`           | Identifier of the traded instrument.                                                  |
+    """
+
+    ts_broker_ns: int
+    associated_order_id: uuid.UUID
+    broker_order_id: str | None = None
+    symbol: str

onesecondtrader/events/orders/expirations.py

@@ -0,0 +1,23 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader.events.orders.base import OrderBase
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class OrderExpired(OrderBase):
+    """
+    Event indicating that the order is no longer active at the venue due to expiration according to broker- or venue-specific rules (e.g. time-in-force constraints).
+
+    | Field                 | Type            | Semantics                                                                          |
+    |-----------------------|-----------------|------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`           | Time at which the expiration was observed by the system, as UTC epoch nanoseconds. |
+    | `ts_created_ns`       | `int`           | Time at which the event object was created, as UTC epoch nanoseconds.              |
+    | `ts_broker_ns`        | `int`           | Time reported by the broker for the expiration, as UTC epoch nanoseconds.          |
+    | `associated_order_id` | `uuid.UUID`     | Identifier of the expired order.                                                   |
+    | `broker_order_id`     | `str` or `None` | Broker-assigned identifier of the expired order, if reported.                      |
+    | `symbol`              | `str`           | Identifier of the traded instrument.                                               |
+    """
+
+    pass

onesecondtrader/events/orders/fills.py

@@ -0,0 +1,41 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader import models
+from onesecondtrader.events.orders.base import OrderBase
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class FillEvent(OrderBase):
+    """
+    Event representing the execution of a trade resulting in a fill.
+
+    A fill event records the execution of a quantity of an order at a specific price.
+    Multiple fill events may be associated with the same order in the case of partial execution.
+
+    | Field                 | Type                | Semantics                                                                       |
+    |-----------------------|---------------------|---------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`               | Time at which the fill was observed by the system, as UTC epoch nanoseconds.    |
+    | `ts_created_ns`       | `int`               | Time at which the event object was created, as UTC epoch nanoseconds.           |
+    | `ts_broker_ns`        | `int`               | Time reported by the broker for the fill, as UTC epoch nanoseconds.             |
+    | `associated_order_id` | `uuid.UUID`         | Identifier of the order associated with the fill.                               |
+    | `broker_order_id`     | `str` or `None`     | Broker-assigned identifier of the order associated with the fill, if available. |
+    | `symbol`              | `str`               | Identifier of the traded instrument.                                            |
+    | `fill_id`             | `uuid.UUID`         | System-assigned unique identifier of the fill event.                            |
+    | `broker_fill_id`      | `str` or `None`     | Broker-assigned identifier of the execution record, if available.               |
+    | `side`                | `models.TradeSide`  | Trade direction of the executed quantity.                                       |
+    | `quantity_filled`     | `float`             | Quantity executed in this fill.                                                 |
+    | `fill_price`          | `float`             | Execution price of the fill.                                                    |
+    | `commission`          | `float`             | Commission or fee associated with the fill.                                     |
+    | `exchange`            | `str`               | Identifier of the execution venue.                                              |
+    """
+
+    fill_id: uuid.UUID = dataclasses.field(default_factory=uuid.uuid4)
+    broker_fill_id: str | None = None
+    side: models.TradeSide
+    quantity_filled: float
+    fill_price: float
+    commission: float
+    exchange: str = "SIMULATED"

onesecondtrader/events/requests/__init__.py

@@ -1,8 +1,10 @@
+from .base import RequestBase
 from .order_submission import OrderSubmissionRequest
 from .order_cancellation import OrderCancellationRequest
 from .order_modification import OrderModificationRequest
 
 __all__ = [
+    "RequestBase",
     "OrderSubmissionRequest",
     "OrderCancellationRequest",
     "OrderModificationRequest",

onesecondtrader/events/requests/base.py

@@ -0,0 +1,25 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+from onesecondtrader import events
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class RequestBase(events.EventBase):
+    """
+    Base class for request events.
+
+    This class defines attributes common to all requests issued to a broker.
+
+    | Field             | Type        | Semantics                                                                  |
+    |-------------------|-------------|----------------------------------------------------------------------------|
+    | `ts_event_ns`     | `int`       | Time at which the request was issued, as UTC epoch nanoseconds.            |
+    | `ts_created_ns`   | `int`       | Time at which the event object was created, as UTC epoch nanoseconds.      |
+    | `system_order_id` | `uuid.UUID` | System-assigned identifier of the order associated with the request.       |
+    | `symbol`          | `str`       | Identifier of the traded instrument.                                       |
+    """
+
+    system_order_id: uuid.UUID
+    symbol: str

onesecondtrader/events/requests/order_cancellation.py

@@ -1,23 +1,21 @@
 from __future__ import annotations
 
 import dataclasses
-import uuid
 
-from onesecondtrader import events
+from onesecondtrader.events.requests.base import RequestBase
 
 
 @dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
-class OrderCancellationRequest(events.EventBase):
+class OrderCancellationRequest(RequestBase):
     """
     Event representing a request to cancel an existing order.
 
-    | Field             | Type        | Semantics                                                           |
-    |-------------------|-------------|---------------------------------------------------------------------|
-    | `ts_event_ns`     | `int`       | Time at which the cancellation request was issued, as UTC epoch ns. |
-    | `ts_created_ns`   | `int`       | Time at which the event object was created, as UTC epoch ns.        |
-    | `system_order_id` | `uuid.UUID` | System-assigned identifier of the order to be cancelled.            |
-    | `symbol`          | `str`       | Identifier of the traded instrument.                                |
+    | Field             | Type        | Semantics                                                                    |
+    |-------------------|-------------|------------------------------------------------------------------------------|
+    | `ts_event_ns`     | `int`       | Time at which the cancellation request was issued, as UTC epoch nanoseconds. |
+    | `ts_created_ns`   | `int`       | Time at which the event object was created, as UTC epoch nanoseconds.        |
+    | `system_order_id` | `uuid.UUID` | System-assigned identifier of the order to be cancelled.                     |
+    | `symbol`          | `str`       | Identifier of the traded instrument.                                         |
     """
 
-    system_order_id: uuid.UUID
-    symbol: str
+    pass

onesecondtrader/events/requests/order_modification.py

@@ -1,13 +1,12 @@
 from __future__ import annotations
 
 import dataclasses
-import uuid
 
-from onesecondtrader import events
+from onesecondtrader.events.requests.base import RequestBase
 
 
 @dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
-class OrderModificationRequest(events.EventBase):
+class OrderModificationRequest(RequestBase):
     """
     Event representing a request to modify an existing order.
 
@@ -22,8 +21,6 @@ class OrderModificationRequest(events.EventBase):
     | `stop_price`      | `float` or `None` | Updated stop price, if modified.                                             |
     """
 
-    system_order_id: uuid.UUID
-    symbol: str
     quantity: float | None = None
     limit_price: float | None = None
     stop_price: float | None = None

onesecondtrader/events/requests/order_submission.py

@@ -3,19 +3,22 @@ from __future__ import annotations
 import dataclasses
 import uuid
 
-from onesecondtrader import events, models
+from onesecondtrader import models
+from onesecondtrader.events.requests.base import RequestBase
 
 
 @dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
-class OrderSubmissionRequest(events.EventBase):
+class OrderSubmissionRequest(RequestBase):
     """
     Event representing a request to submit a new order to a broker.
 
+    The `system_order_id` is a unique identifier assigned by the system to the order submission request by default at object creation.
+
     | Field             | Type                     | Semantics                                                                  |
     |-------------------|--------------------------|----------------------------------------------------------------------------|
     | `ts_event_ns`     | `int`                    | Time at which the submission request was issued, as UTC epoch nanoseconds. |
     | `ts_created_ns`   | `int`                    | Time at which the event object was created, as UTC epoch nanoseconds.      |
-    | `system_order_id` | `uuid.UUID`            | System-assigned unique identifier for the order submission.                  |
+    | `system_order_id` | `uuid.UUID`              | System-assigned unique identifier for the order submission.                |
     | `symbol`          | `str`                    | Identifier of the traded instrument.                                       |
     | `order_type`      | `models.OrderType`       | Execution constraint of the order.                                         |
     | `side`            | `models.TradeSide`       | Direction of the trade.                                                    |
@@ -25,7 +28,6 @@ class OrderSubmissionRequest(events.EventBase):
     """
 
     system_order_id: uuid.UUID = dataclasses.field(default_factory=uuid.uuid4)
-    symbol: str
     order_type: models.OrderType
     side: models.TradeSide
     quantity: float

onesecondtrader/events/responses/__init__.py

@@ -0,0 +1,14 @@
+from .base import ResponseBase
+from .orders import OrderAccepted, OrderRejected
+from .modifications import ModificationAccepted, ModificationRejected
+from .cancellations import CancellationAccepted, CancellationRejected
+
+__all__ = [
+    "ResponseBase",
+    "OrderAccepted",
+    "OrderRejected",
+    "ModificationAccepted",
+    "ModificationRejected",
+    "CancellationAccepted",
+    "CancellationRejected",
+]

onesecondtrader/events/responses/base.py

@@ -0,0 +1,26 @@
+from __future__ import annotations
+
+import dataclasses
+import uuid
+
+
+from onesecondtrader import events
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class ResponseBase(events.EventBase):
+    """
+    Base class for broker response events.
+
+    This class defines attributes common to all responses received from a broker in reaction to previously issued requests.
+
+    | Field                 | Type        | Semantics                                                                             |
+    |-----------------------|-------------|---------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`       | Time at which the response event was observed by the system, as UTC epoch nanoseconds.|
+    | `ts_created_ns`       | `int`       | Time at which the event object was created, as UTC epoch nanoseconds.                 |
+    | `ts_broker_ns`        | `int`       | Time reported by the broker for the response, as UTC epoch nanoseconds.               |
+    | `associated_order_id` | `uuid.UUID` | Identifier of the order associated with the broker response.                          |
+    """
+
+    ts_broker_ns: int
+    associated_order_id: uuid.UUID

onesecondtrader/events/responses/cancellations.py

@@ -0,0 +1,42 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader import models
+from onesecondtrader.events.responses.base import ResponseBase
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class CancellationAccepted(ResponseBase):
+    """
+    Event indicating that the order cancellation has been acknowledged by the broker and the order is no longer active at the execution venue.
+
+    | Field                 | Type            | Semantics                                                                              |
+    |-----------------------|-----------------|----------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`           | Time at which the cancellation was observed by the system, as UTC epoch nanoseconds.   |
+    | `ts_created_ns`       | `int`           | Time at which the event object was created, as UTC epoch nanoseconds.                  |
+    | `ts_broker_ns`        | `int`           | Time reported by the broker for the cancellation, as UTC epoch nanoseconds.            |
+    | `associated_order_id` | `uuid.UUID`     | Identifier of the cancelled order.                                                     |
+    | `broker_order_id`     | `str` or `None` | Broker-assigned identifier of the cancelled order, if reported.                        |
+    """
+
+    broker_order_id: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class CancellationRejected(ResponseBase):
+    """
+    Event indicating that the order cancellation has been rejected by the broker.
+
+    | Field                 | Type                                 | Semantics                                                                          |
+    |-----------------------|--------------------------------------|------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`                                | Time at which the rejection was observed by the system, as UTC epoch nanoseconds.  |
+    | `ts_created_ns`       | `int`                                | Time at which the event object was created, as UTC epoch nanoseconds.              |
+    | `ts_broker_ns`        | `int`                                | Time reported by the broker for the rejection, as UTC epoch nanoseconds.           |
+    | `associated_order_id` | `uuid.UUID`                          | Identifier of the order associated with the rejected cancellation.                 |
+    | `rejection_reason`    | `models.CancellationRejectionReason` | Canonical classification of the cancellation rejection cause.                      |
+    | `rejection_message`   | `str`                                | Human-readable explanation provided by the broker.                                 |
+    """
+
+    rejection_reason: models.CancellationRejectionReason
+    rejection_message: str

onesecondtrader/events/responses/modifications.py

@@ -0,0 +1,43 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader import models
+from onesecondtrader.events.responses.base import ResponseBase
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class ModificationAccepted(ResponseBase):
+    """
+    Event indicating that the requested modification has been acknowledged by
+    the broker and that the updated order parameters are active at the execution venue.
+
+    | Field                 | Type            | Semantics                                                                              |
+    |-----------------------|-----------------|----------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`           | Time at which the acceptance was observed by the system, as UTC epoch nanoseconds.     |
+    | `ts_created_ns`       | `int`           | Time at which the event object was created, as UTC epoch nanoseconds.                  |
+    | `ts_broker_ns`        | `int`           | Time reported by the broker for the modification acceptance, as UTC epoch nanoseconds. |
+    | `associated_order_id` | `uuid.UUID`     | Identifier of the modified order.                                                      |
+    | `broker_order_id`     | `str` or `None` | Broker-assigned identifier of the order after modification, if reported.               |
+    """
+
+    broker_order_id: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class ModificationRejected(ResponseBase):
+    """
+    Event indicating that the requested modification has been rejected by the broker.
+
+    | Field                 | Type                                 | Semantics                                                                          |
+    |-----------------------|--------------------------------------|------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`                                | Time at which the rejection was observed by the system, as UTC epoch nanoseconds.  |
+    | `ts_created_ns`       | `int`                                | Time at which the event object was created, as UTC epoch nanoseconds.              |
+    | `ts_broker_ns`        | `int`                                | Time reported by the broker for the rejection, as UTC epoch nanoseconds.           |
+    | `associated_order_id` | `uuid.UUID`                          | Identifier of the order associated with the rejected modification.                 |
+    | `rejection_reason`    | `models.ModificationRejectionReason` | Canonical classification of the modification rejection cause.                      |
+    | `rejection_message`   | `str`                                | Human-readable explanation provided by the broker.                                 |
+    """
+
+    rejection_reason: models.ModificationRejectionReason
+    rejection_message: str

onesecondtrader/events/responses/orders.py

@@ -0,0 +1,42 @@
+from __future__ import annotations
+
+import dataclasses
+
+from onesecondtrader import models
+from onesecondtrader.events.responses.base import ResponseBase
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class OrderAccepted(ResponseBase):
+    """
+    Event indicating that the order has been accepted by the broker and is active at the execution venue.
+
+    | Field                 | Type            | Semantics                                                                          |
+    |-----------------------|-----------------|------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`           | Time at which the acceptance was observed by the system, as UTC epoch nanoseconds. |
+    | `ts_created_ns`       | `int`           | Time at which the event object was created, as UTC epoch nanoseconds.              |
+    | `ts_broker_ns`        | `int`           | Time reported by the broker for the acceptance, as UTC epoch nanoseconds.          |
+    | `associated_order_id` | `uuid.UUID`     | Identifier of the accepted order.                                                  |
+    | `broker_order_id`     | `str` or `None` | Broker-assigned identifier of the accepted order.                                  |
+    """
+
+    broker_order_id: str | None = None
+
+
+@dataclasses.dataclass(kw_only=True, frozen=True, slots=True)
+class OrderRejected(ResponseBase):
+    """
+    Event indicating that the order has been rejected by the broker.
+
+    | Field                 | Type                          | Semantics                                                                          |
+    |-----------------------|-------------------------------|------------------------------------------------------------------------------------|
+    | `ts_event_ns`         | `int`                         | Time at which the rejection was observed by the system, as UTC epoch nanoseconds.  |
+    | `ts_created_ns`       | `int`                         | Time at which the event object was created, as UTC epoch nanoseconds.              |
+    | `ts_broker_ns`        | `int`                         | Time reported by the broker for the rejection, as UTC epoch nanoseconds.           |
+    | `associated_order_id` | `uuid.UUID`                   | Identifier of the rejected order.                                                  |
+    | `rejection_reason`    | `models.OrderRejectionReason` | Canonical classification of the rejection cause.                                   |
+    | `rejection_message`   | `str`                         | Human-readable explanation provided by the broker.                                 |
+    """
+
+    rejection_reason: models.OrderRejectionReason
+    rejection_message: str

onesecondtrader/indicators/__init__.py

@@ -0,0 +1,9 @@
+"""
+Provides a library of common technical indicators and a base class for creating custom ones.
+"""
+
+from .base import Indicator
+
+__all__ = [
+    "Indicator",
+]

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 Indicator(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/models/__init__.py

@@ -5,6 +5,19 @@ 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"]
+__all__ = [
+    "BarField",
+    "BarPeriod",
+    "OrderType",
+    "TradeSide",
+    "OrderRejectionReason",
+    "CancellationRejectionReason",
+    "ModificationRejectionReason",
+]

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

@@ -7,7 +7,7 @@ class TradeSide(enum.Enum):
     """
     Enumeration of trade direction.
 
-    `OrderSide` specifies the direction of change applied to the (net) signed position
+    `TradeSide` specifies the direction of change applied to the (net) signed position
     quantity from the perspective of the trading account.
 
     | Value   | Semantics                                      |

{onesecondtrader-0.46.0.dist-info → onesecondtrader-0.48.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: onesecondtrader
-Version: 0.46.0
+Version: 0.48.0
 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-0.48.0.dist-info/RECORD

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+onesecondtrader/events/requests/order_submission.py,sha256=ejLBEWJ7pzhXWcTncK1x_ZJfcaC21CnuEz00wvi1q-8,2155
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+onesecondtrader/indicators/base.py,sha256=G6z5H2k6KdrwMgjP7ARMom994rYy_1vJE4o0y0eQhl4,4649
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onesecondtrader-0.46.0.dist-info/RECORD

@@ -1,16 +0,0 @@
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-onesecondtrader/events/__init__.py,sha256=CTGyob-p2-VbvRZo4u21LbSYfk0cs78eEBRNsjW_CcE,127
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-onesecondtrader/events/requests/order_cancellation.py,sha256=bycQlLJ4GvOtpeRGbIy5munH8cGZrJUaCLdahA9UesE,1004
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