roboquant 0.2.7__tar.gz → 0.2.8__tar.gz

{roboquant-0.2.7 → roboquant-0.2.8}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: roboquant
-Version: 0.2.7
+Version: 0.2.8
 Summary: A fast algo-trading platform
 Author-email: roboquant team <info@roboquant.org>
 Project-URL: Homepage, https://roboquant.org
@@ -28,7 +28,8 @@ 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"
-Requires-Dist: stable-baselines3>=2.2.1; extra == "torch"
+Requires-Dist: stable-baselines3[extra]>=2.2.1; extra == "torch"
+Requires-Dist: sb3-contrib>=2.2.1; extra == "torch"
 Provides-Extra: yahoo
 Requires-Dist: yfinance~=0.2.36; extra == "yahoo"
 Provides-Extra: ibkr

{roboquant-0.2.7 → roboquant-0.2.8}/pyproject.toml

@@ -10,6 +10,10 @@ testpaths = [
 
 [tool.pyright]
 reportOptionalOperand = "none"
+exclude = ["samples/*.py"]
+
+[tool.pylint.MASTER]
+ignore-paths = 'samples'
 
 [tool.pylint.'MESSAGES CONTROL']
 max-line-length = 127
@@ -22,6 +26,12 @@ max-attributes = 10
 requires = ["setuptools>=61.0"]
 build-backend = "setuptools.build_meta"
 
+[tool.setuptools.packages.find]
+exclude = ["docs*", "tests*", "samples*"]
+
+[tool.setuptools.package-data]
+"*" = ["*.json"]
+
 [project]
 name = "roboquant"
 dynamic = ["version"]
@@ -54,11 +64,11 @@ dependencies = [
 version = {attr = "roboquant.__version__"}
 
 [project.optional-dependencies]
-torch = ["torch>=2.1.0", "tensorboard>=2.15.2", "stable-baselines3>=2.2.1"]
+torch = ["torch>=2.1.0", "tensorboard>=2.15.2", "stable-baselines3[extra]>=2.2.1", "sb3-contrib>=2.2.1"]
 yahoo = ["yfinance~=0.2.36"]
 ibkr = ["nautilus-ibapi~=10.19.2"]
 alpaca = ["alpaca-py"]
-all = [ "roboquant[torch,yahoo,ibkr]" ]
+all = ["roboquant[torch,yahoo,ibkr]"]
 
 
 [project.urls]

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/__init__.py

@@ -1,4 +1,4 @@
-__version__ = "0.2.7"
+__version__ = "0.2.8"
 
 from roboquant import brokers
 from roboquant import feeds

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/brokers/ibkr.py

@@ -14,7 +14,7 @@ from ibapi.wrapper import EWrapper
 from roboquant.account import Account, Position
 from roboquant.event import Event
 from roboquant.order import Order, OrderStatus
-from .broker import Broker, _update_positions
+from roboquant.brokers.broker import Broker, _update_positions
 
 assert VERSION["major"] == 10 and VERSION["minor"] == 19, "Wrong version of the IBAPI found"
 
@@ -144,6 +144,7 @@ class IBKRBroker(Broker):
         self.__api = api
         self.__has_new_orders_since_sync = False
         self.price_type = "DEFAULT"
+        self.sleep_after_cancel = 0.0
 
         # Start the handling in a thread
         self.__api_thread = threading.Thread(target=api.run, daemon=True)
@@ -211,6 +212,8 @@ class IBKRBroker(Broker):
             if order.size.is_zero():
                 assert order.id is not None, "can only cancel orders with an id"
                 self.__api.cancelOrder(int(order.id), "")
+                if self.sleep_after_cancel:
+                    time.sleep(self.sleep_after_cancel)
             else:
                 if order.id is None:
                     order.id = self.__api.get_next_order_id()

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/event.py

@@ -111,7 +111,7 @@ class Event:
     """
 
     def __init__(self, time: datetime, items: list[Any]):
-        assert time.tzname() == "UTC", time.tzname()
+        assert time.tzname() == "UTC", "event with non UTC timezone"
         self.time = time
         self.items = items
 

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/feeds/__init__.py

@@ -7,6 +7,7 @@ from .historic import HistoricFeed
 from .randomwalk import RandomWalk
 from .sqllitefeed import SQLFeed
 from .tiingo import TiingoLiveFeed, TiingoHistoricFeed
+from .alpacafeed import AlpacaLiveFeed
 
 try:
     from .yahoo import YahooFeed

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/feeds/alpacafeed.py

@@ -1,7 +1,6 @@
 from array import array
 from datetime import timedelta
 import threading
-import time
 from typing import Literal
 
 from alpaca.data import DataFeed
@@ -11,11 +10,10 @@ from alpaca.data.live.option import OptionDataStream
 
 from roboquant.config import Config
 from roboquant.event import Event, Quote, Trade, Bar
-from roboquant.feeds.eventchannel import EventChannel
-from roboquant.feeds.feed import Feed
+from roboquant.feeds.live import LiveFeed
 
 
-class AlpacaLiveFeed(Feed):
+class AlpacaLiveFeed(LiveFeed):
 
     __one_minute = str(timedelta(minutes=1))
 
@@ -38,34 +36,24 @@ class AlpacaLiveFeed(Feed):
 
         thread = threading.Thread(None, self.stream.run, daemon=True)
         thread.start()
-        self._channel = None
-
-    def play(self, channel: EventChannel):
-        self._channel = channel
-        while not channel.is_closed:
-            time.sleep(1)
-        self._channel = None
 
     async def close(self):
         await self.stream.close()
 
     async def __handle_trades(self, data):
-        if self._channel:
-            item = Trade(data.symbol, data.price, data.size)
-            event = Event(data.timestamp, [item])
-            self._channel.put(event)
+        item = Trade(data.symbol, data.price, data.size)
+        event = Event(data.timestamp, [item])
+        self.put(event)
 
     async def __handle_bars(self, data):
-        if self._channel:
-            item = Bar(data.symbol, array("f", [data.open, data.high, data.low, data.close, data.volume]), self.__one_minute)
-            event = Event(data.timestamp, [item])
-            self._channel.put(event)
+        item = Bar(data.symbol, array("f", [data.open, data.high, data.low, data.close, data.volume]), self.__one_minute)
+        event = Event(data.timestamp, [item])
+        self.put(event)
 
     async def __handle_quotes(self, data):
-        if self._channel:
-            item = Quote(data.symbol, array("f", [data.ask_price, data.ask_size, data.bid_price, data.bid_size]))
-            event = Event(data.timestamp, [item])
-            self._channel.put(event)
+        item = Quote(data.symbol, array("f", [data.ask_price, data.ask_size, data.bid_price, data.bid_size]))
+        event = Event(data.timestamp, [item])
+        self.put(event)
 
     def subscribe_trades(self, *symbols: str):
         self.stream.subscribe_trades(self.__handle_trades, *symbols)

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/feeds/csvfeed.py

@@ -1,4 +1,5 @@
 import csv
+import sys
 import logging
 import os
 import pathlib
@@ -87,9 +88,18 @@ class CSVFeed(HistoricFeed):
 
         class StooqCSVFeed(CSVFeed):
             def __init__(self):
-                super().__init__(
-                    path, columns=columns, time_offset="21:00:00+00:00", datetime_fmt="%Y%m%d", endswith=".txt", frequency="1d"
-                )
+                # from Python 3.11 onwards we can use the fast standard ISO parsing
+                if sys.version_info >= (3, 11):
+                    super().__init__(path, columns=columns, time_offset="21:00:00+00:00", endswith=".txt", frequency="1d")
+                else:
+                    super().__init__(
+                        path,
+                        columns=columns,
+                        time_offset="21:00:00+00:00",
+                        datetime_fmt="%Y%m%d",
+                        endswith=".txt",
+                        frequency="1d",
+                    )
 
             def _get_symbol(self, filename: str):
                 base = pathlib.Path(filename).stem.upper()

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/feeds/feedutil.py

@@ -23,8 +23,11 @@ def get_symbol_prices(
     return x, y
 
 
-def get_symbol_ohlcv(feed: Feed, symbol: str, timeframe: Timeframe | None = None) -> dict[str, list]:
-    """Get the OHLCV values for a single symbol from a feed"""
+def get_ohlcv(feed: Feed, symbol: str, timeframe: Timeframe | None = None) -> dict[str, list]:
+    """Get the OHLCV values for a symbol from a feed.
+    The returned value is a dict with the keys being "Date", "Open", "High", "Low", "Close", "Volume"
+    and the values a list.
+    """
 
     result = {column: [] for column in ["Date", "Open", "High", "Low", "Close", "Volume"]}
     channel = feed.play_background(timeframe)

{roboquant-0.2.7 → roboquant-0.2.8}/roboquant/feeds/historic.py

@@ -11,7 +11,7 @@ from .feed import Feed
 
 class HistoricFeed(Feed, ABC):
     """
-    Abstract base class for other feeds that produce historic price-items.
+    Abstract base class for feeds that produce historic price-items.
     """
 
     def __init__(self):

roboquant-0.2.8/roboquant/feeds/live.py

@@ -0,0 +1,35 @@
+from datetime import datetime, timedelta
+import time
+
+from roboquant.event import Event
+from .eventchannel import ChannelClosed, EventChannel
+from .feed import Feed
+
+
+class LiveFeed(Feed):
+    """
+    Abstract base class for feeds that produce live price-items. It will ensure that
+    events that are published are monotonic in time (so always increasing).
+    """
+
+    def __init__(self):
+        super().__init__()
+        self._channel = None
+        self._last_time = datetime.fromisoformat("1900-01-01T00:00:00+00:00")
+        self._min_change = timedelta(microseconds=1)
+
+    def play(self, channel: EventChannel):
+        self._channel = channel
+        while not channel.is_closed:
+            time.sleep(1)
+        self._channel = None
+
+    def put(self, event: Event):
+        if self._channel:
+            try:
+                if event.time <= self._last_time:
+                    event.time = self._last_time + self._min_change
+                self._channel.put(event)
+                self._last_time = event.time
+            except ChannelClosed:
+                pass