roboquant 0.1.6__tar.gz

roboquant-0.1.6/LICENSE

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roboquant-0.1.6/PKG-INFO

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+Metadata-Version: 2.1
+Name: roboquant
+Version: 0.1.6
+Summary: A fast algo-trading platform
+Author-email: roboquant team <info@roboquant.org>
+Project-URL: Homepage, https://roboquant.org
+Project-URL: Repository, https://github.com/neurallayer/rq.git
+Project-URL: Issues, https://github.com/neurallayer/rq/issues
+Keywords: trading,investment,finance,crypto,stocks,exchange,forex
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Developers
+Classifier: Programming Language :: Python
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3 :: Only
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: License :: OSI Approved :: Apache Software License
+Classifier: Operating System :: OS Independent
+Classifier: Topic :: Office/Business :: Financial
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy>=1.25.2
+Requires-Dist: prettytable~=3.9.0
+Requires-Dist: websocket-client~=1.7.0
+Requires-Dist: requests>=2.31.0
+Provides-Extra: torch
+Requires-Dist: torch>=2.1.0; extra == "torch"
+Requires-Dist: tensorboard>=2.15.2; extra == "torch"
+Provides-Extra: yahoo
+Requires-Dist: yfinance~=0.2.36; extra == "yahoo"
+Provides-Extra: all
+Requires-Dist: roboquant[torch,yahoo]; extra == "all"
+
+
+# Introduction
+Roboquant is an open-source algorithmic trading platform. It is flexible, user-friendly and completely free to use. It is designed for anyone serious about algo-trading. So whether you are a beginning retail trader or an established trading firm, roboquant can help you to develop robust and fully automated trading strategies.
+
+![roboquant logo](https://github.com/neurallayer/roboquant/raw/main/docs/roboquant_header.png)
+
+# Install
+Roboquant can be installed like most other Python packages, using for example pip or conda. Just make sure you have Python version 3.10 or higher installed.
+
+```shell
+python3 -m pip install --upgrade roboquant
+```
+
+If you want to use PyTorch based strategies and YahooFinance market data, you can install roboquant using the following command:
+
+```shell
+python3 -m pip install --upgrade roboquant[all]
+```
+
+# Usage
+The following code snippet shows the code required to run a full back-test on a number of stocks.
+
+```python
+from roboquant import *
+
+feed = YahooFeed("TSLA", "AMZN", "IBM")
+strategy = EMACrossover()
+roboquant = Roboquant(strategy)
+tracker = StandardTracker()
+
+roboquant.run(feed, tracker)
+print(tracker)
+```
+
+# Building from source
+Go to directory where you have downloaded the py_oboquant project and run the following commands to create a virtual environment:
+
+```shell
+python3 -m venv .venv
+source .venv/bin/activate
+```
+
+Now install the required packages and build roboquant in this virtual environment:
+
+```shell
+pip install -r requirements.txt
+python -m build
+```
+
+To run the unittest:
+
+```shell
+python -m unittest discover -s tests/unit
+```
+
+To install it:
+
+```shell
+pip install .
+```
+
+
+## Interactive Brokers
+
+Unfortunatly Interactive Brokers doesn't allow their Python client library to be redistributed by third parties. However it is freely available to be downloaded and installed. Please follow the instructions found [here](https://ibkrcampus.com/ibkr-quant-news/interactive-brokers-python-api-native-a-step-by-step-guide/) (download and install version 10.19).  
+
+# Kotlin version
+Next to this Python version of `roboquant`, there is also a Koltin version available. Both (will) share a similar API, just the used computer language is different.
+Which one to use, depends very much on personal preference, skills and use-case.

roboquant-0.1.6/README.md

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+
+# Introduction
+Roboquant is an open-source algorithmic trading platform. It is flexible, user-friendly and completely free to use. It is designed for anyone serious about algo-trading. So whether you are a beginning retail trader or an established trading firm, roboquant can help you to develop robust and fully automated trading strategies.
+
+![roboquant logo](https://github.com/neurallayer/roboquant/raw/main/docs/roboquant_header.png)
+
+# Install
+Roboquant can be installed like most other Python packages, using for example pip or conda. Just make sure you have Python version 3.10 or higher installed.
+
+```shell
+python3 -m pip install --upgrade roboquant
+```
+
+If you want to use PyTorch based strategies and YahooFinance market data, you can install roboquant using the following command:
+
+```shell
+python3 -m pip install --upgrade roboquant[all]
+```
+
+# Usage
+The following code snippet shows the code required to run a full back-test on a number of stocks.
+
+```python
+from roboquant import *
+
+feed = YahooFeed("TSLA", "AMZN", "IBM")
+strategy = EMACrossover()
+roboquant = Roboquant(strategy)
+tracker = StandardTracker()
+
+roboquant.run(feed, tracker)
+print(tracker)
+```
+
+# Building from source
+Go to directory where you have downloaded the py_oboquant project and run the following commands to create a virtual environment:
+
+```shell
+python3 -m venv .venv
+source .venv/bin/activate
+```
+
+Now install the required packages and build roboquant in this virtual environment:
+
+```shell
+pip install -r requirements.txt
+python -m build
+```
+
+To run the unittest:
+
+```shell
+python -m unittest discover -s tests/unit
+```
+
+To install it:
+
+```shell
+pip install .
+```
+
+
+## Interactive Brokers
+
+Unfortunatly Interactive Brokers doesn't allow their Python client library to be redistributed by third parties. However it is freely available to be downloaded and installed. Please follow the instructions found [here](https://ibkrcampus.com/ibkr-quant-news/interactive-brokers-python-api-native-a-step-by-step-guide/) (download and install version 10.19).  
+
+# Kotlin version
+Next to this Python version of `roboquant`, there is also a Koltin version available. Both (will) share a similar API, just the used computer language is different.
+Which one to use, depends very much on personal preference, skills and use-case.

roboquant-0.1.6/pyproject.toml

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+[tool.black]
+line-length = 127
+
+[tool.flake8]
+max-line-length = 127
+
+[build-system]
+requires = ["setuptools>=61.0"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "roboquant"
+version = "0.1.6"
+authors = [ { name="roboquant team", email="info@roboquant.org" },]
+description = "A fast algo-trading platform"
+readme = "README.md"
+requires-python = ">=3.10"
+classifiers = [
+    "Development Status :: 3 - Alpha",
+    "Intended Audience :: Developers",
+    "Programming Language :: Python",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: 3 :: Only",
+    "Programming Language :: Python :: 3.10",
+    "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.12",
+    "License :: OSI Approved :: Apache Software License",
+    "Operating System :: OS Independent",
+    "Topic :: Office/Business :: Financial",
+    "Topic :: Office/Business :: Financial :: Investment"
+]
+keywords = ["trading", "investment", "finance", "crypto", "stocks", "exchange", "forex"]
+dependencies = [
+  "numpy>=1.25.2",
+  "prettytable~=3.9.0",
+  "websocket-client~=1.7.0",
+  "requests>=2.31.0",
+]
+
+[project.optional-dependencies]
+torch = ["torch>=2.1.0", "tensorboard>=2.15.2"]
+yahoo = ["yfinance~=0.2.36"]
+all = [ "roboquant[torch,yahoo]" ]
+
+
+[project.urls]
+Homepage = "https://roboquant.org"
+Repository = "https://github.com/neurallayer/rq.git"
+Issues = "https://github.com/neurallayer/rq/issues"

roboquant-0.1.6/roboquant/__init__.py

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+from .account import Account, OptionAccount, Position
+from .roboquant import Roboquant
+
+from .event import Event, PriceItem, Candle, Trade, Quote
+from .order import Order, OrderStatus
+from .timeframe import Timeframe
+from .config import Config
+
+
+from roboquant.brokers import Broker, SimBroker
+from roboquant.traders import Trader, FlexTrader
+from roboquant.trackers import Tracker, StandardTracker, BasicTracker, CAPMTracker, EquityTracker, TensorboardTracker
+from roboquant.strategies import (
+    Strategy,
+    EMACrossover,
+    SMACrossover,
+    CandleStrategy,
+    NOPStrategy,
+    NumpyBuffer,
+    OHLCVBuffer,
+)
+from roboquant.feeds import (
+    Feed,
+    CSVFeed,
+    SQLFeed,
+    RandomWalk,
+    YahooFeed,
+    TiingoLiveFeed,
+    TiingoHistoricFeed,
+    CandleFeed,
+    EventChannel,
+    feedutil
+)

roboquant-0.1.6/roboquant/account.py

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+from dataclasses import dataclass
+from datetime import datetime
+from decimal import Decimal
+from roboquant.order import Order
+from prettytable import PrettyTable
+
+
+@dataclass(slots=True, frozen=True)
+class Position:
+    """Position of a symbol"""
+
+    size: Decimal
+    """Position size"""
+
+    avg_price: float
+    """Average price paid denoted in the currency of the symbol"""
+
+
+class Account:
+    """The account maintains the following state during a run:
+
+    - Available cash for trading (also sometimes referred to as buying power)
+    - Open positions
+    - Open orders
+    - Total equity value of the account
+    - Last time the account was updated
+
+    Only the broker updates the state of the account and does this only during its `sync` method.
+    """
+
+    def __init__(self):
+        self.buying_power: float = 0.0
+        self.positions: dict[str, Position] = {}
+        self.orders: list[Order] = []
+        self.last_update: datetime = datetime.fromisoformat("1900-01-01T00:00:00+00:00")
+        self.equity = 0.0
+
+    def get_value(self, symbol: str, size: Decimal, price: float) -> float:
+        """Return the total value of the provided contract size denoted in the base currency of the account.
+        The default implementation returns `size * price`.
+
+        The bahavior of this method can be changed for symbols denoted in a different currency and/or contract size by providing
+        a different value_calculator.
+        """
+        return float(size) * price
+
+    def mkt_value(self, prices: dict[str, float]) -> float:
+        """Return the the market value of all the open positions in the account using the provided prices."""
+        return sum([self.get_value(symbol, pos.size, prices[symbol]) for symbol, pos in self.positions.items()], 0.0)
+
+    def unrealized_pnl(self, prices: dict[str, float]) -> float:
+        return sum(
+            [
+                self.get_value(symbol, pos.size, prices[symbol] - pos.avg_price)
+                for symbol, pos in self.positions.items()
+            ],
+            0.0,
+        )
+
+    def has_open_order(self, symbol: str) -> bool:
+        """Return True if there an open order for the symbol, False otherwise"""
+
+        for order in self.orders:
+            if order.symbol == symbol and not order.closed:
+                return True
+        return False
+
+    def get_position_size(self, symbol) -> Decimal:
+        pos = self.positions.get(symbol)
+        return pos.size if pos else Decimal(0)
+
+    def open_orders(self):
+        """Return a list with the open orders"""
+        return [order for order in self.orders if not order.closed]
+
+    def __repr__(self) -> str:
+        p = PrettyTable(["account", "value"], align="r", float_format="12.2")
+        p.add_row(["buying power", self.buying_power])
+        p.add_row(["equity", self.equity])
+        p.add_row(["positions", len(self.positions)])
+        p.add_row(["orders", len(self.orders)])
+        p.add_row(["last update", self.last_update.strftime("%Y-%m-%d %H:%M:%S")])
+        result = p.get_string() + "\n\n"
+
+        p = PrettyTable(["symbol", "position size", "avg price"], align="r", float_format="12.2")
+        for symbol, pos in self.positions.items():
+            p.add_row([symbol, pos.size, pos.avg_price])
+        result += p.get_string() + "\n\n"
+
+        p = PrettyTable(
+            ["symbol", "order size", "order id", "limit", "status", "closed"], align="r", float_format="12.2"
+        )
+        for order in self.orders:
+            p.add_row([order.symbol, order.size, order.id, order.limit, order.status.name, order.closed])
+        result += p.get_string() + "\n"
+
+        return result
+
+
+class OptionAccount(Account):
+    """
+    This account handles common option contracts of size 100 and 10. Serves as an example.
+    If no contract size is registered for a symbol, it creates one based on the symbol name.
+    """
+
+    def __init__(self):
+        super().__init__()
+        self._contract_sizes: dict[str, float] = {}
+
+    def register(self, symbol: str, contract_size: float = 100.0):
+        """Register a certain contract-size for a symbol"""
+        self._contract_sizes[symbol] = contract_size
+
+    def get_value(self, symbol: str, size: Decimal, price: float) -> float:
+        contract_size = self._contract_sizes.get(symbol)
+
+        # If nithng registered we try to defer the contract size from the symbol
+        if contract_size is None:
+            if len(symbol) == 21:
+                # OCC compliant option symbol
+                symbol = symbol[0:6].rstrip()
+                contract_size = 10.0 if symbol[-1] == "7" else 100.0
+            else:
+                # not an option symbol
+                contract_size = 1.0
+
+        return contract_size * float(size) * price

roboquant-0.1.6/roboquant/brokers/__init__.py

@@ -0,0 +1,2 @@
+from .broker import Broker
+from .simbroker import SimBroker

roboquant-0.1.6/roboquant/brokers/broker.py

@@ -0,0 +1,18 @@
+
+from typing import Protocol
+from roboquant.account import Account
+from roboquant.event import Event
+from roboquant.order import Order
+
+
+
+class Broker(Protocol):
+    """A broker handles the placed orders and communicates its state through the account object"""
+
+    def place_orders(self, *orders: Order):
+        """Place zero or more orders at this broker."""
+        ...
+
+    def sync(self, event: Event | None = None) -> Account:
+        """Sync the state, and return an updated account to reflect the latest state."""
+        ...