quantjourney-bidask 0.6.0__tar.gz → 0.9.1__tar.gz

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/CHANGELOG.md

@@ -5,7 +5,7 @@ All notable changes to the quantjourney-bidask project will be documented in thi
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
-## [0.1.0] - 2024-06-24
+## [0.9.0] - 2024-06-24
 
 ### Added
 - Initial release of quantjourney-bidask package

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/LICENSE

@@ -1,6 +1,6 @@
 MIT License
 
-Copyright (c) 2024 Jakub Polec, QuantJourney
+Copyright (c) 2025 Jakub Polec, QuantJourney
 
 Permission is hereby granted, free of charge, to any person obtaining a copy
 of this software and associated documentation files (the "Software"), to deal

quantjourney_bidask-0.9.1/MANIFEST.in

@@ -0,0 +1,19 @@
+include LICENSE
+include README.md
+include pyproject.toml
+include CHANGELOG.md
+include requirements.txt
+
+# Documentation and examples for users
+include docs/usage_examples.ipynb
+include examples/*.py
+include data/*.py
+
+# Main package code
+recursive-include quantjourney_bidask *.py
+
+# Exclude development-only files
+exclude tests/*.py
+exclude *.egg-info/*
+exclude build/*
+exclude dist/*

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/PKG-INFO

@@ -1,7 +1,7 @@
 Metadata-Version: 2.4
 Name: quantjourney-bidask
-Version: 0.6.0
-Summary: Efficient bid-ask spread estimator from OHLC prices with simplified data fetching for stocks and crypto
+Version: 0.9.1
+Summary: Efficient bid-ask spread estimator from OHLC prices
 Author-email: Jakub Polec <jakub@quantjourney.pro>
 License-Expression: MIT
 Project-URL: Homepage, https://github.com/QuantJourneyOrg/qj_bidask
@@ -26,7 +26,6 @@ Requires-Dist: yfinance>=0.2
 Requires-Dist: matplotlib>=3.5
 Requires-Dist: plotly>=5.0
 Requires-Dist: websocket-client>=1.0
-Requires-Dist: ccxt>=4.0
 Provides-Extra: dev
 Requires-Dist: pytest>=7.0; extra == "dev"
 Requires-Dist: pytest-mock>=3.10; extra == "dev"
@@ -185,24 +184,126 @@ python examples/realtime_spread_monitor.py --mode dashboard
 python examples/realtime_spread_monitor.py --mode console
 ```
 
-## Examples
+## Project Structure
 
-The `examples/` directory contains comprehensive examples:
+```
+quantjourney_bidask/
+├── quantjourney_bidask/          # Main library code
+│   ├── __init__.py
+│   ├── edge.py                   # Core EDGE estimator
+│   ├── edge_rolling.py           # Rolling window estimation
+│   └── edge_expanding.py         # Expanding window estimation
+├── data/
+│   └── fetch.py                  # Simplified data fetcher for examples
+├── examples/                     # Comprehensive usage examples
+│   ├── simple_data_example.py    # Basic usage demonstration
+│   ├── spread_estimator.py       # Spread estimation examples
+│   ├── animated_spread_monitor.py # Animated visualizations
+│   ├── crypto_spread_comparison.py # Crypto spread analysis
+│   ├── liquidity_risk_monitor.py  # Risk monitoring
+│   ├── realtime_spread_monitor.py # Live monitoring dashboard
+│   └── stock_liquidity_risk.py    # Stock liquidity analysis
+├── tests/                        # Unit tests (GitHub only)
+│   ├── test_edge.py
+│   ├── test_edge_rolling.py
+│   └── test_data_fetcher.py
+└── _output/                      # Example output images
+    ├── simple_data_example.png
+    ├── crypto_spread_comparison.png
+    └── spread_estimator_results.png
+```
+
+## Examples and Visualizations
+
+The package includes comprehensive examples with beautiful visualizations:
+
+### Basic Data Analysis
+![Crypto Spread Analysis](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/ad49bd78c82ab1c44561d0f2e707ae304575a147/_output/crypto_spread_comprehensive_analysis.png)
 
-- `spread_estimator.py` - Basic spread estimation examples
-- `spread_monitor.py` - Spread monitoring with threshold alerts
-- `realtime_spread_monitor.py` - Live websocket monitoring with animation
-- `crypto_spread_comparison.py` - Multi-asset spread comparison
-- `liquidity_risk_monitor.py` - Liquidity risk monitoring
-- `stock_liquidity_risk.py` - Stock-specific liquidity analysis
+### Crypto Spread Comparison  
+![Crypto Spread Comparison](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/crypto_spread_comparison.png)
+
+### Spread Estimation Results
+![Spread Estimator Results](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/spread_estimator_results.png)
+
+### Running Examples
+
+After installing via pip, examples are included in the package:
+
+```python
+import quantjourney_bidask
+from pathlib import Path
 
-Run any example:
+# Find package location
+pkg_path = Path(quantjourney_bidask.__file__).parent
+examples_path = pkg_path.parent / 'examples'
+print(f"Examples located at: {examples_path}")
+
+# List available examples
+for example in examples_path.glob('*.py'):
+    print(f"📄 {example.name}")
+```
+
+Or clone the repository for full access to examples and tests:
 
 ```bash
+git clone https://github.com/QuantJourneyOrg/qj_bidask
+cd qj_bidask
+python examples/simple_data_example.py
 python examples/spread_estimator.py
-python examples/realtime_spread_monitor.py
+python examples/crypto_spread_comparison.py
 ```
 
+### Available Examples
+
+- **`simple_data_example.py`** - Basic usage with stock and crypto data
+- **`spread_estimator.py`** - Core spread estimation functionality
+- **`animated_spread_monitor.py`** - Real-time animated visualizations
+- **`crypto_spread_comparison.py`** - Multi-asset crypto analysis
+- **`liquidity_risk_monitor.py`** - Risk monitoring and alerts
+- **`realtime_spread_monitor.py`** - Live websocket monitoring dashboard
+- **`stock_liquidity_risk.py`** - Stock-specific liquidity analysis
+
+## Testing and Development
+
+### Unit Tests
+The package includes comprehensive unit tests (available in the GitHub repository):
+
+- **`test_edge.py`** - Core EDGE estimator tests with known values from the academic paper
+- **`test_edge_rolling.py`** - Rolling window estimation tests
+- **`test_edge_expanding.py`** - Expanding window estimation tests  
+- **`test_data_fetcher.py`** - Data fetching functionality tests
+- **`test_estimators.py`** - Integration tests for all estimators
+
+Tests verify accuracy against the original paper's test cases and handle edge cases like missing data, non-positive prices, and various market conditions.
+
+### Development and Testing
+For full development access including tests:
+
+```bash
+# Clone the repository
+git clone https://github.com/QuantJourneyOrg/qj_bidask
+cd qj_bidask
+
+# Install in development mode
+pip install -e .
+
+# Run tests
+python -m pytest tests/ -v
+
+# Run specific test files
+python -m pytest tests/test_edge.py -v
+python -m pytest tests/test_data_fetcher.py -v
+
+# Run examples
+python examples/simple_data_example.py
+python examples/spread_estimator.py
+```
+
+### Package vs Repository
+- **PyPI Package** (`pip install quantjourney-bidask`): Includes core library, examples, and documentation
+- **GitHub Repository**: Full development environment with tests, development tools, and additional documentation
+
 ## API Reference
 
 ### Core Functions
@@ -213,11 +314,13 @@ python examples/realtime_spread_monitor.py
 
 ### Data Fetching (`data/fetch.py`)
 
-- `fetch_yfinance_data(tickers, period, interval)`: Fetch real market data from Yahoo Finance
-- `generate_synthetic_crypto_data(symbols, hours, interval_minutes)`: Generate synthetic crypto data
-- `fetch_binance_data(*args, **kwargs)`: Compatibility function (returns synthetic data)
-- `create_realtime_stream(symbols, exchange)`: Create websocket data stream
-- `create_spread_monitor(symbols, window)`: Create real-time spread monitor
+- `DataFetcher()`: Main data fetcher class
+- `get_stock_data(ticker, period, interval)`: Fetch stock data from Yahoo Finance
+- `get_crypto_data(symbol, exchange, timeframe, limit)`: Fetch crypto data via CCXT (async)
+- `stream_btc_data(duration_seconds)`: Stream BTC data via websocket (async)
+- `DataFetcher.get_btc_1m_websocket()`: Stream BTC 1-minute data
+- `DataFetcher.get_historical_crypto_data()`: Get historical crypto OHLCV data
+- `DataFetcher.save_data()` / `DataFetcher.load_data()`: Save/load data to CSV
 
 ### Real-Time Classes
 

quantjourney_bidask-0.6.0/quantjourney_bidask.egg-info/PKG-INFO → quantjourney_bidask-0.9.1/README.md

@@ -1,45 +1,3 @@
-Metadata-Version: 2.4
-Name: quantjourney-bidask
-Version: 0.6.0
-Summary: Efficient bid-ask spread estimator from OHLC prices with simplified data fetching for stocks and crypto
-Author-email: Jakub Polec <jakub@quantjourney.pro>
-License-Expression: MIT
-Project-URL: Homepage, https://github.com/QuantJourneyOrg/qj_bidask
-Project-URL: Repository, https://github.com/QuantJourneyOrg/qj_bidask
-Project-URL: Bug Tracker, https://github.com/QuantJourneyOrg/qj_bidask/issues
-Keywords: finance,bid-ask,spread,trading,quantitative,OHLC
-Classifier: Development Status :: 4 - Beta
-Classifier: Intended Audience :: Financial and Insurance Industry
-Classifier: Operating System :: OS Independent
-Classifier: Programming Language :: Python :: 3
-Classifier: Programming Language :: Python :: 3.11
-Classifier: Programming Language :: Python :: 3.12
-Classifier: Topic :: Office/Business :: Financial :: Investment
-Classifier: Topic :: Software Development :: Libraries :: Python Modules
-Requires-Python: <3.15,>=3.11
-Description-Content-Type: text/markdown
-License-File: LICENSE
-Requires-Dist: numpy>=1.20
-Requires-Dist: pandas>=1.5
-Requires-Dist: requests>=2.28
-Requires-Dist: yfinance>=0.2
-Requires-Dist: matplotlib>=3.5
-Requires-Dist: plotly>=5.0
-Requires-Dist: websocket-client>=1.0
-Requires-Dist: ccxt>=4.0
-Provides-Extra: dev
-Requires-Dist: pytest>=7.0; extra == "dev"
-Requires-Dist: pytest-mock>=3.10; extra == "dev"
-Requires-Dist: pytest-cov>=4.0; extra == "dev"
-Requires-Dist: ruff>=0.1; extra == "dev"
-Requires-Dist: mypy>=1.0; extra == "dev"
-Requires-Dist: black>=22.0; extra == "dev"
-Requires-Dist: isort>=5.0; extra == "dev"
-Provides-Extra: examples
-Requires-Dist: jupyter>=1.0; extra == "examples"
-Requires-Dist: ipywidgets>=7.0; extra == "examples"
-Dynamic: license-file
-
 # QuantJourney Bid-Ask Spread Estimator
 
 ![PyPI](https://img.shields.io/pypi/v/quantjourney-bidask)
@@ -185,24 +143,126 @@ python examples/realtime_spread_monitor.py --mode dashboard
 python examples/realtime_spread_monitor.py --mode console
 ```
 
-## Examples
+## Project Structure
+
+```
+quantjourney_bidask/
+├── quantjourney_bidask/          # Main library code
+│   ├── __init__.py
+│   ├── edge.py                   # Core EDGE estimator
+│   ├── edge_rolling.py           # Rolling window estimation
+│   └── edge_expanding.py         # Expanding window estimation
+├── data/
+│   └── fetch.py                  # Simplified data fetcher for examples
+├── examples/                     # Comprehensive usage examples
+│   ├── simple_data_example.py    # Basic usage demonstration
+│   ├── spread_estimator.py       # Spread estimation examples
+│   ├── animated_spread_monitor.py # Animated visualizations
+│   ├── crypto_spread_comparison.py # Crypto spread analysis
+│   ├── liquidity_risk_monitor.py  # Risk monitoring
+│   ├── realtime_spread_monitor.py # Live monitoring dashboard
+│   └── stock_liquidity_risk.py    # Stock liquidity analysis
+├── tests/                        # Unit tests (GitHub only)
+│   ├── test_edge.py
+│   ├── test_edge_rolling.py
+│   └── test_data_fetcher.py
+└── _output/                      # Example output images
+    ├── simple_data_example.png
+    ├── crypto_spread_comparison.png
+    └── spread_estimator_results.png
+```
+
+## Examples and Visualizations
 
-The `examples/` directory contains comprehensive examples:
+The package includes comprehensive examples with beautiful visualizations:
 
-- `spread_estimator.py` - Basic spread estimation examples
-- `spread_monitor.py` - Spread monitoring with threshold alerts
-- `realtime_spread_monitor.py` - Live websocket monitoring with animation
-- `crypto_spread_comparison.py` - Multi-asset spread comparison
-- `liquidity_risk_monitor.py` - Liquidity risk monitoring
-- `stock_liquidity_risk.py` - Stock-specific liquidity analysis
+### Basic Data Analysis
+![Crypto Spread Analysis](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/ad49bd78c82ab1c44561d0f2e707ae304575a147/_output/crypto_spread_comprehensive_analysis.png)
 
-Run any example:
+### Crypto Spread Comparison  
+![Crypto Spread Comparison](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/crypto_spread_comparison.png)
+
+### Spread Estimation Results
+![Spread Estimator Results](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/spread_estimator_results.png)
+
+### Running Examples
+
+After installing via pip, examples are included in the package:
+
+```python
+import quantjourney_bidask
+from pathlib import Path
+
+# Find package location
+pkg_path = Path(quantjourney_bidask.__file__).parent
+examples_path = pkg_path.parent / 'examples'
+print(f"Examples located at: {examples_path}")
+
+# List available examples
+for example in examples_path.glob('*.py'):
+    print(f"📄 {example.name}")
+```
+
+Or clone the repository for full access to examples and tests:
 
 ```bash
+git clone https://github.com/QuantJourneyOrg/qj_bidask
+cd qj_bidask
+python examples/simple_data_example.py
+python examples/spread_estimator.py
+python examples/crypto_spread_comparison.py
+```
+
+### Available Examples
+
+- **`simple_data_example.py`** - Basic usage with stock and crypto data
+- **`spread_estimator.py`** - Core spread estimation functionality
+- **`animated_spread_monitor.py`** - Real-time animated visualizations
+- **`crypto_spread_comparison.py`** - Multi-asset crypto analysis
+- **`liquidity_risk_monitor.py`** - Risk monitoring and alerts
+- **`realtime_spread_monitor.py`** - Live websocket monitoring dashboard
+- **`stock_liquidity_risk.py`** - Stock-specific liquidity analysis
+
+## Testing and Development
+
+### Unit Tests
+The package includes comprehensive unit tests (available in the GitHub repository):
+
+- **`test_edge.py`** - Core EDGE estimator tests with known values from the academic paper
+- **`test_edge_rolling.py`** - Rolling window estimation tests
+- **`test_edge_expanding.py`** - Expanding window estimation tests  
+- **`test_data_fetcher.py`** - Data fetching functionality tests
+- **`test_estimators.py`** - Integration tests for all estimators
+
+Tests verify accuracy against the original paper's test cases and handle edge cases like missing data, non-positive prices, and various market conditions.
+
+### Development and Testing
+For full development access including tests:
+
+```bash
+# Clone the repository
+git clone https://github.com/QuantJourneyOrg/qj_bidask
+cd qj_bidask
+
+# Install in development mode
+pip install -e .
+
+# Run tests
+python -m pytest tests/ -v
+
+# Run specific test files
+python -m pytest tests/test_edge.py -v
+python -m pytest tests/test_data_fetcher.py -v
+
+# Run examples
+python examples/simple_data_example.py
 python examples/spread_estimator.py
-python examples/realtime_spread_monitor.py
 ```
 
+### Package vs Repository
+- **PyPI Package** (`pip install quantjourney-bidask`): Includes core library, examples, and documentation
+- **GitHub Repository**: Full development environment with tests, development tools, and additional documentation
+
 ## API Reference
 
 ### Core Functions
@@ -213,11 +273,13 @@ python examples/realtime_spread_monitor.py
 
 ### Data Fetching (`data/fetch.py`)
 
-- `fetch_yfinance_data(tickers, period, interval)`: Fetch real market data from Yahoo Finance
-- `generate_synthetic_crypto_data(symbols, hours, interval_minutes)`: Generate synthetic crypto data
-- `fetch_binance_data(*args, **kwargs)`: Compatibility function (returns synthetic data)
-- `create_realtime_stream(symbols, exchange)`: Create websocket data stream
-- `create_spread_monitor(symbols, window)`: Create real-time spread monitor
+- `DataFetcher()`: Main data fetcher class
+- `get_stock_data(ticker, period, interval)`: Fetch stock data from Yahoo Finance
+- `get_crypto_data(symbol, exchange, timeframe, limit)`: Fetch crypto data via CCXT (async)
+- `stream_btc_data(duration_seconds)`: Stream BTC data via websocket (async)
+- `DataFetcher.get_btc_1m_websocket()`: Stream BTC 1-minute data
+- `DataFetcher.get_historical_crypto_data()`: Get historical crypto OHLCV data
+- `DataFetcher.save_data()` / `DataFetcher.load_data()`: Save/load data to CSV
 
 ### Real-Time Classes
 
@@ -290,4 +352,4 @@ python examples/realtime_spread_monitor.py
 
 - **Documentation**: [GitHub Repository](https://github.com/QuantJourneyOrg/qj_bidask)
 - **Issues**: [Bug Tracker](https://github.com/QuantJourneyOrg/qj_bidask/issues)
-- **Contact**: jakub@quantjourney.pro
+- **Contact**: jakub@quantjourney.pro

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/data/fetch.py

@@ -222,10 +222,10 @@ async def get_crypto_data(symbol: str = "BTC/USDT", exchange: str = "binance", t
     fetcher = DataFetcher()
     return await fetcher.get_historical_crypto_data(symbol, exchange, timeframe, limit)
 
-def get_stock_data(ticker: str, period: str = "1mo"):
+def get_stock_data(ticker: str, period: str = "1mo", interval: str = "1d"):
     """Quick function to get stock data."""
     fetcher = DataFetcher()
-    return fetcher.get_stock_data(ticker, period)
+    return fetcher.get_stock_data(ticker, period, interval)
 
 async def stream_btc_data(duration_seconds: int = 60):
     """Quick function to stream BTC data."""

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/pyproject.toml

@@ -5,12 +5,13 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "quantjourney-bidask"
-version = "0.6.0"
+version = "0.9.1"
 license = "MIT"
+
 authors = [
   { name = "Jakub Polec", email = "jakub@quantjourney.pro" },
 ]
-description = "Efficient bid-ask spread estimator from OHLC prices with simplified data fetching for stocks and crypto"
+description = "Efficient bid-ask spread estimator from OHLC prices"
 readme = "README.md"
 requires-python = ">=3.11,<3.15"
 keywords = ["finance", "bid-ask", "spread", "trading", "quantitative", "OHLC"]
@@ -31,8 +32,7 @@ dependencies = [
   "yfinance>=0.2",
   "matplotlib>=3.5",
   "plotly>=5.0",
-  "websocket-client>=1.0",
-  "ccxt>=4.0"
+  "websocket-client>=1.0"
 ]
 
 [project.optional-dependencies]
@@ -81,4 +81,4 @@ testpaths = ["tests"]
 python_files = ["test_*.py"]
 python_classes = ["Test*"]
 # Corrected: Removed extraneous text that caused a TOML parsing error
-python_functions = ["test_*"]
+python_functions = ["test_*"]

quantjourney_bidask-0.9.1/quantjourney_bidask/_version.py

@@ -0,0 +1,7 @@
+"""Version information for quantjourney_bidask."""
+
+__version__ = "0.9.1"
+__author__ = "Jakub Polec"
+__email__ = "jakub@quantjourney.pro"
+__license__ = "MIT"
+__copyright__ = "Copyright (c) 2025 Jakub Polec, QuantJourney"

{quantjourney_bidask-0.6.0 → quantjourney_bidask-0.9.1}/quantjourney_bidask.egg-info/SOURCES.txt

@@ -1,9 +1,7 @@
-.gitignore
 CHANGELOG.md
 LICENSE
 MANIFEST.in
 README.md
-__init__.py
 pyproject.toml
 requirements.txt
 data/fetch.py
@@ -24,14 +22,4 @@ quantjourney_bidask/data_fetcher.py
 quantjourney_bidask/edge.py
 quantjourney_bidask/edge_expanding.py
 quantjourney_bidask/edge_rolling.py
-quantjourney_bidask/websocket_fetcher.py
-quantjourney_bidask.egg-info/PKG-INFO
-quantjourney_bidask.egg-info/SOURCES.txt
-quantjourney_bidask.egg-info/dependency_links.txt
-quantjourney_bidask.egg-info/requires.txt
-quantjourney_bidask.egg-info/top_level.txt
-tests/test_data_fetcher.py
-tests/test_edge.py
-tests/test_edge_expanding.py
-tests/test_edge_rolling.py
-tests/test_estimators.py
+quantjourney_bidask/websocket_fetcher.py