quantbt-engine 1.0.7__py3-none-any.whl

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Files changed (133) hide show
  1. quantbt/__init__.py +862 -0
  2. quantbt/adapters/__init__.py +5 -0
  3. quantbt/adapters/nautilus/__init__.py +42 -0
  4. quantbt/adapters/nautilus/_dependency.py +53 -0
  5. quantbt/adapters/nautilus/backend.py +639 -0
  6. quantbt/adapters/nautilus/instruments.py +275 -0
  7. quantbt/adapters/nautilus/options.py +465 -0
  8. quantbt/adapters/nautilus/reports.py +231 -0
  9. quantbt/backends/__init__.py +29 -0
  10. quantbt/backends/_native_event_rust.py +2168 -0
  11. quantbt/backends/native_event.py +5048 -0
  12. quantbt/backends/native_option.py +796 -0
  13. quantbt/backends/native_portfolio.py +928 -0
  14. quantbt/backends/native_vectorized.py +1299 -0
  15. quantbt/backtester.py +485 -0
  16. quantbt/benchmarks/__init__.py +1 -0
  17. quantbt/benchmarks/compare_phase9_parity.py +302 -0
  18. quantbt/benchmarks/gamma_scalping_backtestsample.py +802 -0
  19. quantbt/benchmarks/profile_phase7.py +415 -0
  20. quantbt/benchmarks/run_arbitrage_phase_e.py +160 -0
  21. quantbt/benchmarks/run_optimization_overhead.py +195 -0
  22. quantbt/benchmarks/run_options_engine.py +272 -0
  23. quantbt/benchmarks/run_pct_equity_nautilus_smoke.py +227 -0
  24. quantbt/benchmarks/run_phase12_arbitrage_cert.py +402 -0
  25. quantbt/benchmarks/run_phase12_benchmark_nautilus_cert.py +430 -0
  26. quantbt/benchmarks/run_phase13_portfolio_report.py +97 -0
  27. quantbt/benchmarks/run_phase13_wfo_cache.py +162 -0
  28. quantbt/benchmarks/run_phase14_service_loop.py +694 -0
  29. quantbt/benchmarks/run_phase15a_nautilus_certification.py +514 -0
  30. quantbt/benchmarks/run_phase15b_synthetic_depth.py +175 -0
  31. quantbt/benchmarks/run_phase16_performance_debt.py +389 -0
  32. quantbt/benchmarks/run_phase30e_reactive_runner.py +161 -0
  33. quantbt/benchmarks/run_phase31_intrabar.py +441 -0
  34. quantbt/benchmarks/run_phase34a_native_event_memory.py +179 -0
  35. quantbt/benchmarks/run_phase34b_native_event_prepared_score.py +173 -0
  36. quantbt/benchmarks/run_phase34c_native_event_single_pass.py +176 -0
  37. quantbt/benchmarks/run_phase7.py +654 -0
  38. quantbt/benchmarks/run_portfolio_real_parity.py +537 -0
  39. quantbt/core/__init__.py +323 -0
  40. quantbt/core/arbitrage.py +767 -0
  41. quantbt/core/basket.py +234 -0
  42. quantbt/core/certification.py +274 -0
  43. quantbt/core/constraints.py +155 -0
  44. quantbt/core/engine.py +1144 -0
  45. quantbt/core/event.py +869 -0
  46. quantbt/core/execution_contract.py +197 -0
  47. quantbt/core/execution_depth.py +613 -0
  48. quantbt/core/intrabar_kernel.py +1906 -0
  49. quantbt/core/intrabar_reference.py +907 -0
  50. quantbt/core/intrabar_session.py +156 -0
  51. quantbt/core/market_tape.py +480 -0
  52. quantbt/core/native_event_capabilities.py +121 -0
  53. quantbt/core/native_event_parity.py +336 -0
  54. quantbt/core/order_compiler.py +422 -0
  55. quantbt/core/orders.py +319 -0
  56. quantbt/core/portfolio.py +392 -0
  57. quantbt/core/preprocessor.py +256 -0
  58. quantbt/core/reactive.py +173 -0
  59. quantbt/core/results.py +341 -0
  60. quantbt/core/schema.py +211 -0
  61. quantbt/core/scopes.py +96 -0
  62. quantbt/core/structured_orders.py +378 -0
  63. quantbt/core/types.py +87 -0
  64. quantbt/core/vectorized.py +203 -0
  65. quantbt/endpoint.py +4465 -0
  66. quantbt/engines.py +1014 -0
  67. quantbt/metrics/__init__.py +45 -0
  68. quantbt/metrics/options_analytics.py +46 -0
  69. quantbt/metrics/performance.py +541 -0
  70. quantbt/optimization/__init__.py +94 -0
  71. quantbt/optimization/callbacks.py +116 -0
  72. quantbt/optimization/candidate_selection.py +397 -0
  73. quantbt/optimization/config.py +84 -0
  74. quantbt/optimization/constraints.py +22 -0
  75. quantbt/optimization/evaluator.py +21 -0
  76. quantbt/optimization/evaluators/__init__.py +32 -0
  77. quantbt/optimization/evaluators/arbitrage.py +22 -0
  78. quantbt/optimization/evaluators/generic.py +34 -0
  79. quantbt/optimization/evaluators/grid_dca.py +22 -0
  80. quantbt/optimization/evaluators/intrabar.py +54 -0
  81. quantbt/optimization/evaluators/native_event.py +51 -0
  82. quantbt/optimization/evaluators/options.py +22 -0
  83. quantbt/optimization/evaluators/portfolio.py +42 -0
  84. quantbt/optimization/evaluators/signal.py +43 -0
  85. quantbt/optimization/multiseed.py +176 -0
  86. quantbt/optimization/objectives.py +221 -0
  87. quantbt/optimization/optimizer.py +500 -0
  88. quantbt/optimization/result.py +80 -0
  89. quantbt/optimization/samplers.py +84 -0
  90. quantbt/optimization/space.py +223 -0
  91. quantbt/options/__init__.py +215 -0
  92. quantbt/options/cache.py +116 -0
  93. quantbt/options/conventions.py +158 -0
  94. quantbt/options/data.py +177 -0
  95. quantbt/options/execution.py +600 -0
  96. quantbt/options/fees.py +135 -0
  97. quantbt/options/greeks.py +173 -0
  98. quantbt/options/hedging.py +232 -0
  99. quantbt/options/iv.py +188 -0
  100. quantbt/options/ledger.py +263 -0
  101. quantbt/options/lifecycle.py +94 -0
  102. quantbt/options/margin.py +311 -0
  103. quantbt/options/packages.py +147 -0
  104. quantbt/options/pricing.py +191 -0
  105. quantbt/options/schema.py +227 -0
  106. quantbt/options/selectors.py +281 -0
  107. quantbt/options/strategy.py +249 -0
  108. quantbt/options/surface.py +142 -0
  109. quantbt/options/tape.py +226 -0
  110. quantbt/options/templates/__init__.py +33 -0
  111. quantbt/options/templates/packages.py +354 -0
  112. quantbt/portfolio.py +606 -0
  113. quantbt/py.typed +1 -0
  114. quantbt/reporting/__init__.py +38 -0
  115. quantbt/reporting/arbitrage_audit.py +211 -0
  116. quantbt/reporting/nautilus_bundle.py +758 -0
  117. quantbt/reporting/nautilus_certification.py +226 -0
  118. quantbt/reporting/nautilus_diagnostics.py +225 -0
  119. quantbt/reporting/parity.py +496 -0
  120. quantbt/reporting/portfolio_audit.py +206 -0
  121. quantbt/reporting/portfolio_nautilus.py +140 -0
  122. quantbt/sizing/__init__.py +3 -0
  123. quantbt/sizing/fast.py +67 -0
  124. quantbt/sizing/modes.py +162 -0
  125. quantbt/viz/__init__.py +4 -0
  126. quantbt/viz/plots.py +310 -0
  127. quantbt/viz/themes.py +102 -0
  128. quantbt/walkforward.py +3136 -0
  129. quantbt_engine-1.0.7.dist-info/METADATA +891 -0
  130. quantbt_engine-1.0.7.dist-info/RECORD +133 -0
  131. quantbt_engine-1.0.7.dist-info/WHEEL +5 -0
  132. quantbt_engine-1.0.7.dist-info/licenses/LICENSE +21 -0
  133. quantbt_engine-1.0.7.dist-info/top_level.txt +1 -0
quantbt/core/__init__.py ADDED
@@ -0,0 +1,323 @@
1
+ from .engine import _engine_units, _engine_pct_equity, _engine_dca_ladder, _engine_portfolio
2
+ from .event import _engine_event_v1
3
+ from .vectorized import _engine_units_v2
4
+ from .types import BacktestResult
5
+ from .results import (
6
+ BacktestResultV2,
7
+ NativeAccountingArrays,
8
+ NativeEventScalarScoreResult,
9
+ NativeEventScoreResult,
10
+ )
11
+ from .execution_contract import (
12
+ EXECUTION_CONTRACT_REGISTRY,
13
+ AmbiguityPolicy,
14
+ ExecutionContract,
15
+ FillPhase,
16
+ FundingPhase,
17
+ IntrabarSameBarPolicy,
18
+ LiquidationPriority,
19
+ MarketFillPolicy,
20
+ SignalPhase,
21
+ StopGapPolicy,
22
+ TakeProfitGapPolicy,
23
+ TrailingUpdatePhase,
24
+ get_execution_contract,
25
+ )
26
+ from .market_tape import MarketValidationCertificate, PreparedMarketTape, prepare_market_tape
27
+ from .intrabar_reference import (
28
+ IntrabarEventFlag,
29
+ IntrabarFill,
30
+ IntrabarFillReason,
31
+ IntrabarIntentTape,
32
+ IntrabarLevelMode,
33
+ IntrabarReferenceResult,
34
+ IntrabarSizingMode,
35
+ run_intrabar_reference,
36
+ )
37
+ from .intrabar_session import (
38
+ EntryPositionPolicy,
39
+ IntrabarSessionTape,
40
+ ProtectiveExitReentryPolicy,
41
+ SessionCounterBasis,
42
+ SessionExecutionPolicy,
43
+ )
44
+ from .intrabar_kernel import (
45
+ FillReplayTape,
46
+ NativeFillReplayResult,
47
+ NativeIntrabarKernelResult,
48
+ run_fill_replay_kernel,
49
+ run_intrabar_kernel,
50
+ run_intrabar_session_kernel,
51
+ )
52
+ from .certification import (
53
+ AlphaExecutionClassification,
54
+ CertificationLevel,
55
+ alpha_report_markdown,
56
+ build_alpha_certification_report,
57
+ certify_result_metadata,
58
+ classify_alpha_source,
59
+ scan_alpha_directory,
60
+ )
61
+ from .native_event_capabilities import (
62
+ NATIVE_EVENT_CAPABILITY_MATRIX,
63
+ NATIVE_EVENT_CAPABILITY_MATRIX_VERSION,
64
+ capability_matrix_fingerprint,
65
+ native_event_capability_matrix,
66
+ normalize_native_event_capabilities,
67
+ validate_native_event_capability_matrix,
68
+ )
69
+ from .native_event_parity import (
70
+ DEFAULT_NUMERIC_ATOL,
71
+ NativeEventParityCertificate,
72
+ NativeEventParityError,
73
+ assert_native_event_full_parity,
74
+ )
75
+ from .orders import (
76
+ BasketIntent,
77
+ Fill,
78
+ OrderAction,
79
+ OrderActivationPolicy,
80
+ OrderCommand,
81
+ OrderIntent,
82
+ Trade,
83
+ order_intents_to_lifecycle_commands,
84
+ )
85
+ from .basket import FrozenBasketPlan, build_frozen_basket_orders
86
+ from .execution_depth import (
87
+ NautilusExecutionDepthConfig,
88
+ PackageDepthPreflightResult,
89
+ SUPPORTED_DEPTH_MODELS,
90
+ l2_replay_available,
91
+ simulate_nautilus_order_package_depth,
92
+ )
93
+ from .structured_orders import (
94
+ BracketOrderSpec,
95
+ DcaGridSpec,
96
+ StructuredOrderPlan,
97
+ build_bracket_order_plan,
98
+ build_dca_grid_order_plan,
99
+ )
100
+ from .reactive import (
101
+ NativeActiveOrderSnapshot,
102
+ NativeCommandBatch,
103
+ NativeEventStrategy,
104
+ NativeEventStrategyError,
105
+ NativeEventStrategyProtocol,
106
+ NativeFillEvent,
107
+ NativeOrderEvent,
108
+ NativeStrategyContext,
109
+ )
110
+ from .arbitrage import (
111
+ ArbExecutionPolicy,
112
+ ArbitrageLeg,
113
+ ArbitragePlan,
114
+ ArbitrageSpec,
115
+ ArbitrageType,
116
+ BasisArbitrageSpec,
117
+ CalendarSpreadSpec,
118
+ CarryModel,
119
+ CarryModelKind,
120
+ ContractType,
121
+ CostModel,
122
+ CostModelKind,
123
+ CrossExchangeArbSpec,
124
+ FundingArbitrageSpec,
125
+ HedgePolicy,
126
+ HedgePolicyKind,
127
+ IndexBasketArbSpec,
128
+ LifecycleModel,
129
+ LifecycleModelKind,
130
+ MarginModel,
131
+ MarginModelKind,
132
+ OptionsVolArbSpec,
133
+ PackageExecutionKind,
134
+ PackageRejection,
135
+ SignalModel,
136
+ SignalModelKind,
137
+ SizingPolicy,
138
+ SizingPolicyKind,
139
+ SpotPerpCashCarrySpec,
140
+ SpreadFormula,
141
+ SpreadFormulaKind,
142
+ StatArbPairSpec,
143
+ TriangularArbSpec,
144
+ build_arbitrage_order_plan,
145
+ round_down_to_step,
146
+ )
147
+ from .schema import (
148
+ AccountConfig,
149
+ AssetType,
150
+ BasketExecutionPolicy,
151
+ BasketLegSpec,
152
+ BasketSpec,
153
+ ExecutionConfig,
154
+ FeeModel,
155
+ FillPricePolicy,
156
+ InstrumentSpec,
157
+ LiquiditySide,
158
+ MarginMode,
159
+ OmsMode,
160
+ OrderSide,
161
+ OrderType,
162
+ SameBarPolicy,
163
+ SignalSpec,
164
+ TimeInForce,
165
+ )
166
+ from .preprocessor import (
167
+ validate_datetime,
168
+ align_series,
169
+ prepare_funding,
170
+ make_funding_mask,
171
+ build_arrays,
172
+ )
173
+
174
+ __all__ = [
175
+ "_engine_units",
176
+ "_engine_event_v1",
177
+ "_engine_units_v2",
178
+ "_engine_pct_equity",
179
+ "_engine_dca_ladder",
180
+ "_engine_portfolio",
181
+ "BacktestResult",
182
+ "BacktestResultV2",
183
+ "DEFAULT_NUMERIC_ATOL",
184
+ "NativeAccountingArrays",
185
+ "NativeEventScoreResult",
186
+ "NativeEventScalarScoreResult",
187
+ "NativeEventParityCertificate",
188
+ "NativeEventParityError",
189
+ "BracketOrderSpec",
190
+ "AccountConfig",
191
+ "AlphaExecutionClassification",
192
+ "NATIVE_EVENT_CAPABILITY_MATRIX",
193
+ "NATIVE_EVENT_CAPABILITY_MATRIX_VERSION",
194
+ "AmbiguityPolicy",
195
+ "ArbExecutionPolicy",
196
+ "ArbitrageLeg",
197
+ "ArbitragePlan",
198
+ "ArbitrageSpec",
199
+ "ArbitrageType",
200
+ "AssetType",
201
+ "BasisArbitrageSpec",
202
+ "BasketExecutionPolicy",
203
+ "BasketIntent",
204
+ "BasketLegSpec",
205
+ "BasketSpec",
206
+ "CalendarSpreadSpec",
207
+ "CertificationLevel",
208
+ "CarryModel",
209
+ "CarryModelKind",
210
+ "ContractType",
211
+ "CostModel",
212
+ "CostModelKind",
213
+ "CrossExchangeArbSpec",
214
+ "DcaGridSpec",
215
+ "EXECUTION_CONTRACT_REGISTRY",
216
+ "ExecutionConfig",
217
+ "ExecutionContract",
218
+ "FeeModel",
219
+ "Fill",
220
+ "FillPricePolicy",
221
+ "FillPhase",
222
+ "FundingPhase",
223
+ "FundingArbitrageSpec",
224
+ "FrozenBasketPlan",
225
+ "HedgePolicy",
226
+ "HedgePolicyKind",
227
+ "IndexBasketArbSpec",
228
+ "InstrumentSpec",
229
+ "IntrabarEventFlag",
230
+ "IntrabarFill",
231
+ "IntrabarFillReason",
232
+ "IntrabarIntentTape",
233
+ "IntrabarLevelMode",
234
+ "IntrabarReferenceResult",
235
+ "IntrabarSessionTape",
236
+ "IntrabarSizingMode",
237
+ "EntryPositionPolicy",
238
+ "ProtectiveExitReentryPolicy",
239
+ "SessionCounterBasis",
240
+ "SessionExecutionPolicy",
241
+ "IntrabarSameBarPolicy",
242
+ "FillReplayTape",
243
+ "LifecycleModel",
244
+ "LifecycleModelKind",
245
+ "LiquiditySide",
246
+ "LiquidationPriority",
247
+ "MarginMode",
248
+ "MarginModel",
249
+ "MarginModelKind",
250
+ "MarketFillPolicy",
251
+ "MarketValidationCertificate",
252
+ "NautilusExecutionDepthConfig",
253
+ "NativeFillReplayResult",
254
+ "NativeIntrabarKernelResult",
255
+ "NativeActiveOrderSnapshot",
256
+ "NativeCommandBatch",
257
+ "NativeEventStrategyError",
258
+ "NativeEventStrategy",
259
+ "NativeEventStrategyProtocol",
260
+ "NativeFillEvent",
261
+ "NativeOrderEvent",
262
+ "NativeStrategyContext",
263
+ "OmsMode",
264
+ "OrderAction",
265
+ "OrderActivationPolicy",
266
+ "OrderCommand",
267
+ "OrderIntent",
268
+ "OrderSide",
269
+ "OrderType",
270
+ "OptionsVolArbSpec",
271
+ "PackageExecutionKind",
272
+ "PackageDepthPreflightResult",
273
+ "PackageRejection",
274
+ "PreparedMarketTape",
275
+ "SameBarPolicy",
276
+ "SignalModel",
277
+ "SignalModelKind",
278
+ "SignalSpec",
279
+ "SignalPhase",
280
+ "SizingPolicy",
281
+ "SizingPolicyKind",
282
+ "SpotPerpCashCarrySpec",
283
+ "SpreadFormula",
284
+ "SpreadFormulaKind",
285
+ "StatArbPairSpec",
286
+ "StopGapPolicy",
287
+ "StructuredOrderPlan",
288
+ "TakeProfitGapPolicy",
289
+ "TimeInForce",
290
+ "Trade",
291
+ "TrailingUpdatePhase",
292
+ "TriangularArbSpec",
293
+ "alpha_report_markdown",
294
+ "build_arbitrage_order_plan",
295
+ "build_alpha_certification_report",
296
+ "build_bracket_order_plan",
297
+ "build_dca_grid_order_plan",
298
+ "build_frozen_basket_orders",
299
+ "certify_result_metadata",
300
+ "classify_alpha_source",
301
+ "get_execution_contract",
302
+ "order_intents_to_lifecycle_commands",
303
+ "prepare_market_tape",
304
+ "round_down_to_step",
305
+ "run_intrabar_reference",
306
+ "run_intrabar_kernel",
307
+ "run_intrabar_session_kernel",
308
+ "run_fill_replay_kernel",
309
+ "scan_alpha_directory",
310
+ "SUPPORTED_DEPTH_MODELS",
311
+ "l2_replay_available",
312
+ "simulate_nautilus_order_package_depth",
313
+ "validate_datetime",
314
+ "align_series",
315
+ "prepare_funding",
316
+ "make_funding_mask",
317
+ "build_arrays",
318
+ "assert_native_event_full_parity",
319
+ "capability_matrix_fingerprint",
320
+ "native_event_capability_matrix",
321
+ "normalize_native_event_capabilities",
322
+ "validate_native_event_capability_matrix",
323
+ ]