roboquant 2.2.0__tar.gz → 2.3.2__tar.gz

{roboquant-2.2.0 → roboquant-2.3.2}/PKG-INFO

@@ -1,43 +1,43 @@
 Metadata-Version: 2.4
 Name: roboquant
-Version: 2.2.0
+Version: 2.3.2
 Summary: A fast algorithmic trading platform with support for AI based strategies
-Project-URL: Homepage, https://roboquant.org
-Project-URL: Repository, https://github.com/neurallayer/roboquant.py.git
-Project-URL: Issues, https://github.com/neurallayer/roboquant.py/issues
+Keywords: algorithmic,trading,machine learning,AI,investment,finance,crypto,stocks,exchange,forex
+Author: roboquant team
 Author-email: roboquant team <info@roboquant.org>
 License-Expression: Apache-2.0
 License-File: LICENSE
-Keywords: AI,algorithmic,crypto,exchange,finance,forex,investment,machine learning,stocks,trading
 Classifier: Development Status :: 4 - Beta
 Classifier: Intended Audience :: Developers
-Classifier: License :: OSI Approved :: Apache Software License
-Classifier: Operating System :: OS Independent
 Classifier: Programming Language :: Python
 Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3 :: Only
 Classifier: Programming Language :: Python :: 3.12
 Classifier: Programming Language :: Python :: 3.13
 Classifier: Programming Language :: Python :: 3.14
+Classifier: Operating System :: OS Independent
 Classifier: Topic :: Office/Business :: Financial
 Classifier: Topic :: Office/Business :: Financial :: Investment
-Requires-Python: <3.15,>=3.12
 Requires-Dist: numpy>2.0.0
-Requires-Dist: pyarrow>24.0.0
 Requires-Dist: requests>2.30.0
-Requires-Dist: ta-lib==0.6.5
 Requires-Dist: yfinance>1.5.0
+Requires-Dist: pyarrow>24.0.0
+Requires-Dist: ta-lib==0.6.5
+Requires-Dist: torch>=2.9.0 ; extra == 'ai'
+Requires-Dist: tensorboard>=2.21.0 ; extra == 'ai'
+Requires-Dist: stable-baselines3>=2.9.0 ; extra == 'ai'
+Requires-Dist: sb3-contrib>=2.9.0 ; extra == 'ai'
+Requires-Dist: alpaca-py>=0.43.5 ; extra == 'alpaca'
+Requires-Dist: ccxt>=4.5.65 ; extra == 'crypto'
+Requires-Dist: ibind[oauth]>=0.1.22 ; extra == 'ibkr'
+Requires-Python: >=3.12, <3.15
+Project-URL: Homepage, https://roboquant.org
+Project-URL: Repository, https://github.com/neurallayer/roboquant.py.git
+Project-URL: Issues, https://github.com/neurallayer/roboquant.py/issues
 Provides-Extra: ai
-Requires-Dist: sb3-contrib>=2.9.0; extra == 'ai'
-Requires-Dist: stable-baselines3>=2.9.0; extra == 'ai'
-Requires-Dist: tensorboard>=2.21.0; extra == 'ai'
-Requires-Dist: torch>=2.9.0; extra == 'ai'
 Provides-Extra: alpaca
-Requires-Dist: alpaca-py>=0.43.5; extra == 'alpaca'
 Provides-Extra: crypto
-Requires-Dist: ccxt>=4.5.65; extra == 'crypto'
 Provides-Extra: ibkr
-Requires-Dist: ibind[oauth]>=0.1.22; extra == 'ibkr'
 Description-Content-Type: text/markdown
 
 

{roboquant-2.2.0 → roboquant-2.3.2}/pyproject.toml

@@ -2,11 +2,8 @@
 line-length = 127
 
 [build-system]
-requires = ["hatchling"]
-build-backend = "hatchling.build"
-
-[tool.hatch.version]
-path = "roboquant/__init__.py"
+requires = ["uv_build>=0.11.28,<0.12"]
+build-backend = "uv_build"
 
 [tool.ruff.lint]
 select = ["E", "F", "W"]
@@ -16,9 +13,13 @@ typeCheckingMode = "standard"
 reportPrivateImportUsage = "none" 
 # typeCheckingMode = "strict"
 
+[tool.uv.build-backend]
+module-root = ""
+module-name = "roboquant"
+
 [project]
 name = "roboquant"
-dynamic = ["version"]
+version = "2.3.2"
 authors = [{ name = "roboquant team", email = "info@roboquant.org" }]
 description = "A fast algorithmic trading platform with support for AI based strategies"
 readme = "README.md"
@@ -34,7 +35,6 @@ classifiers = [
   "Programming Language :: Python :: 3.12",
   "Programming Language :: Python :: 3.13",
   "Programming Language :: Python :: 3.14",
-  "License :: OSI Approved :: Apache Software License",
   "Operating System :: OS Independent",
   "Topic :: Office/Business :: Financial",
   "Topic :: Office/Business :: Financial :: Investment",

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/__init__.py

@@ -3,10 +3,6 @@ The `roboquant` package contains the `run` method and a number of shared classes
 like `Account`, `Asset` and `Event`.
 """
 
-__version__ = "2.2.0"
-
-import logging
-
 from roboquant import brokers
 from roboquant import feeds
 from roboquant import journals
@@ -22,9 +18,6 @@ from .asset import Asset, Stock, Crypto, Forex, Option
 from .run import run
 from .timeframe import Timeframe, utcnow
 
-logger = logging.getLogger(__name__)
-logger.info("roboquant version=%s", __version__)
-
 __all__ = [
     "brokers",
     "feeds",

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/feeds/feed.py

@@ -13,7 +13,7 @@ class Feed(ABC):
     It provides methods for playing the events and some smaller utility methods, like plotting prices.
 
     Although the most common type of events are those containing market data, other types of
-    events are also possible. For example, events containing news items or social media sentiment could
+    events are also possible. For example, events containing news items or social media posts could
     also be represented as a feed.
     """
 

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/feeds/parquet.py

@@ -213,3 +213,4 @@ class ParquetFeed(Feed):
             if items:
                 batch = pa.RecordBatch.from_pylist(items, schema=ParquetFeed.__schema)
                 writer.write_batch(batch)
+

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/journals/metricsjournal.py

@@ -1,3 +1,4 @@
+from dataclasses import dataclass
 from datetime import datetime
 
 from roboquant.journals.journal import Journal
@@ -9,6 +10,55 @@ from roboquant.event import Event
 from roboquant.order import Order
 from typing import Dict, List
 
+from roboquant.timeframe import Timeframe
+
+@dataclass
+class TimeSeries:
+    name: str
+    timeline: list[datetime]
+    values: list[float]
+
+    def __post_init__(self):
+        if len(self.timeline) != len(self.values):
+            raise ValueError("Timeline and values must have the same length")
+
+    def __len__(self):
+        return len(self.timeline)
+
+    def timeframe(self) -> Timeframe:
+        """Return the timeframe of the time series. If the time series is empty,
+        an empty timeframe will be returned."""
+        return Timeframe(self.timeline[0], self.timeline[-1], True) if len(self) > 0 else Timeframe.EMPTY
+
+    def plot(self, plot_x: bool = True, ax = None, **kwargs):
+        """Plot one of the metrics. Optional a `matplotlib.axes.Axes` can be provided
+        This requires matplotlib to be installed."""
+        if not ax:
+            from matplotlib import pyplot as plt
+            _, ax = plt.subplots()
+
+        if plot_x:
+            result = ax.plot(self.timeline, self.values, **kwargs)  # type: ignore
+        else:
+            result = ax.plot(self.values, **kwargs)
+
+        ax.set_title(self.name)
+        return result
+
+    def to_dataframe(self, time_index: bool = False):
+        """Return the timeseries as a Pandas dataframe optionally with the time being the index
+        and the value being the column.
+        """
+        import pandas as pd
+
+        d = {
+            "time": self.timeline,
+            "value": self.values
+        }
+        df = pd.DataFrame.from_dict(d, orient="columns")
+        df.Name = self.name
+        return df.set_index("time") if time_index else df  # type: ignore
+
 
 class MetricsJournal(Journal):
     """
@@ -36,7 +86,7 @@ class MetricsJournal(Journal):
 
         self._history.append((event.time, result))
 
-    def get_metric(self, metric_name: str) -> tuple[list[datetime], list[float]]:
+    def get_metric(self, metric_name: str) -> TimeSeries:
         """Return the calculated values of a metric as tuple of date-times and float values"""
         timeline: list[datetime] = []
         values: list[float] = []
@@ -44,38 +94,7 @@ class MetricsJournal(Journal):
             if metric_name in metrics:
                 timeline.append(time)
                 values.append(metrics[metric_name])
-        return timeline, values
-
-    def to_dataframe(self, metric_name: str, time_index: bool = False):
-        """Return the metric as a Pandas dataframe optionally with the time being the index
-        and the value being the column.
-        """
-        import pandas as pd
-
-        times, values = self.get_metric(metric_name)
-        d = {
-            "time": times,
-            "value": values
-        }
-        df = pd.DataFrame.from_dict(d, orient="columns")
-        return df.set_index("time") if time_index else df  # type: ignore
-
-    def plot(self, metric_name: str, plot_x: bool = True, ax = None, **kwargs):
-        """Plot one of the metrics. Optional a `matplotlib.axes.Axes` can be provided
-        This requires matplotlib to be installed."""
-        if not ax:
-            from matplotlib import pyplot as plt
-            _, ax = plt.subplots()
-
-        x, y = self.get_metric(metric_name)
-
-        if plot_x:
-            result = ax.plot(x, y, **kwargs)  # type: ignore
-        else:
-            result = ax.plot(y, **kwargs)
-
-        ax.set_title(metric_name)
-        return result
+        return TimeSeries(metric_name, timeline, values)
 
     def get_metric_names(self) -> list[str]:
         """Return a list of the recorded metric names"""

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/journals/scorecard.py

@@ -23,9 +23,11 @@ class _Timeseries:
 class ScoreCard(Journal):
     """Tracks progress of a run so it can be plotted using matplotlib charts afterwards.
     It will track the following aspects:
-    - the price of a single asset
-    - the orders for that asset
-    - any metric that is provided
+    - the price of the assets
+    - the orders for that asset as markers on the price chart
+    - any additional metric that has been provided
+
+    This works best on smaller runs with a limited number of assets and orders.
     """
 
     def __init__(self, *metrics: Metric, include_prices: bool = True, price_type: str = "DEFAULT"):
@@ -56,7 +58,7 @@ class ScoreCard(Journal):
             for name, value in result.items():
                 self._metric_results[name].add(time, value)
 
-    def plot(self, **kwargs):
+    def plot(self, size: tuple[float, float] = (8.27, 11.69), **kwargs):
         """Plot a chart with the following sub-charts:
         - prices of the configured asset. Orders als small green up (BUY) and red down (SELL) triangles.
         - metrics that have been configured, each in their own chart.
@@ -71,7 +73,7 @@ class ScoreCard(Journal):
         if not hasattr(axes, "__getitem__"):
             axes = [axes]
 
-        fig.set_size_inches(8.27, 11.69)  # A4
+        fig.set_size_inches(size)
         fig.tight_layout()
 
         plot_nr = 0

{roboquant-2.2.0 → roboquant-2.3.2}/roboquant/strategies/emacrossover.py

@@ -1,5 +1,3 @@
-from datetime import timedelta
-
 from roboquant.signal import Signal
 from roboquant.asset import Asset
 from roboquant.event import Event
@@ -7,13 +5,15 @@ from roboquant.strategies.strategy import Strategy
 
 
 class EMACrossover(Strategy):
-    """Trading strategy based on a fast and slow exponential moving average.
+    """Trading strategy based on a fast and slow Exponential Moving Average.
 
-    The strategy tracks each asset independently and emits a buy signal when
+    This strategy tracks each asset independently and emits a buy signal when
     the fast EMA crosses above the slow EMA, and a sell signal when it crosses
     below. Signals are only generated after enough prices have been observed to
-    cover the longer EMA period. The constructor controls the fast and slow
-    periods, smoothing factor, and the event price type used as input.
+    cover the longer EMA period.
+
+    The constructor controls the fast and slow periods, smoothing factor,
+    and the event price type used as input.
     """
 
     def __init__(self, fast_period: int = 13, slow_period: int = 26, smoothing: float = 2.0, price_type: str = "DEFAULT"):
@@ -23,7 +23,6 @@ class EMACrossover(Strategy):
         self.slow = 1.0 - (smoothing / (slow_period + 1))
         self.price_type = price_type
         self.min_steps = max(fast_period, slow_period)
-        self.cancel_orders_older_than = timedelta(days=5)
 
     def create_signals(self, event: Event) -> list[Signal]:
         result : list[Signal] = []

roboquant-2.2.0/.github/workflows/verify.yml

@@ -1,46 +0,0 @@
-# This workflow will install Python dependencies, run tests and lint with a variety of Python versions
-
-name: Verify roboquant 
-
-on:
-  push:
-    branches: [ "main" ]
-  pull_request:
-    branches: [ "main" ]
-
-env:
-  PYRIGHT_PYTHON_FORCE_VERSION: latest
-
-jobs:
-  verify:
-
-    runs-on: ${{ matrix.os }}
-    strategy:
-      fail-fast: false
-      matrix:
-        os: [ubuntu-24.04, windows-latest, macos-latest]
-        python-version: ["3.12", "3.13"]
- 
-    steps:
-    - name: Checkout
-      uses: actions/checkout@v7
-
-    - name: Install uv
-      uses: astral-sh/setup-uv@v7
-      with:
-          ignore-nothing-to-cache: true
-          python-version: ${{ matrix.python-version }}
-
-    - name: Install the project
-      run: uv sync --all-extras --no-dev
-
-    - name: Run ruff checking
-      run: uvx ruff check
-
-    - name: Run pyright
-      run: uv run pyright tests roboquant
-
-    - name: Run unit tests
-      run: uv run --no-dev python -m unittest discover -s tests/unit
-
-  

roboquant-2.2.0/.gitignore

@@ -1,15 +0,0 @@
-__pycache__
-runs/
-.idea/
-*.db
-scratch/
-dist/
-roboquant.egg-info/
-build/
-.venv/
-.ipynb_checkpoints/
-*.ipynb
-.ruff_cache/
-.pytest_cache/
-.env
-.DS_Store

roboquant-2.2.0/.vscode/settings.json

@@ -1,39 +0,0 @@
-{
-    "cSpell.words": [
-        "annualize",
-        "dataframe",
-        "dtype",
-        "hstack",
-        "ibkr",
-        "ohlcv",
-        "optim",
-        "pnlmetric",
-        "prettytable",
-        "roboquant",
-        "stooq",
-        "Tensorboard",
-        "Tiingo",
-        "timeframes"
-    ],
-    "python.testing.unittestArgs": [
-        "-v",
-        "-p",
-        "test_*.py"
-    ],
-    "__python.testing.unittestArgs": [
-        "-v",
-        "-s",
-        "./tests/unit",
-        "-p",
-        "test_*.py"
-    ],
-    "__python.testing.pytestArgs": [
-        "--ignore=tests/integration",
-        "--ignore=tests/performance"
-    ],
-    "python.testing.pytestEnabled": false,
-    "python.testing.unittestEnabled": true,
-    "[python]": {
-        "editor.defaultFormatter": "charliermarsh.ruff"
-    }
-}

roboquant-2.2.0/.zed/settings.json

@@ -1,21 +0,0 @@
-{
-  "languages": {
-    "Python": {
-      "language_servers": ["pyright"],
-      "tasks": {
-        "variables": {
-          "TEST_RUNNER": "unittest",
-        },
-      },
-    },
-  },
-  "lsp": {
-    "pyright": {
-      "settings": {
-        "python": {
-          "pythonPath": ".venv/bin/python",
-        },
-      },
-    },
-  },
-}

roboquant-2.2.0/.zed/tasks.json

@@ -1,30 +0,0 @@
-// Project tasks configuration. See https://zed.dev/docs/tasks for documentation.
-//
-// Example:
-[
-  {
-    "label": "run unit test",
-    "command": "uv run python -m unittest discover -s tests/unit",
-    "show_command": false,
-  },
-  {
-    "label": "run pyright",
-    "command": "uv run pyright tests roboquant",
-    "show_command": false,
-  },
-  {
-    "label": "uv sync",
-    "command": "uv sync --all-extras --dev",
-    "show_command": false,
-  },
-  {
-    "label": "uv ruff",
-    "command": "uvx ruff check",
-    "show_command": false,
-  },
-  {
-    "label": "run pyright",
-    "command": "uv run pyright tests roboquant",
-    "show_command": false,
-  },
-]

roboquant-2.2.0/bin/local_install.sh

@@ -1,19 +0,0 @@
-
-[[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/local_install.sh" && exit 1
-export PYRIGHT_PYTHON_FORCE_VERSION="latest"
-
-rm -rf ./runs
-
-uv sync --all-extras --dev
-
-# QA
-uvx ruff check || exit 1
-uv run python -m unittest discover -s tests/unit || exit 1
-
-# Build the package
-rm -rf dist
-uv build || exit 1
-
-# Install the just build package
-uv pip install dist/*.whl
-

roboquant-2.2.0/bin/publish.sh

@@ -1,24 +0,0 @@
-
-[[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/publish.sh" && exit 1
-export PYRIGHT_PYTHON_FORCE_VERSION="latest"
-
-rm -rf ./runs
-
-uv sync --all-extras --dev
-
-# QA
-uvx ruff check
-uv run pyright tests roboquant || exit 1
-uv run python -m unittest discover -s tests/unit || exit 1
-
-# Build
-rm -rf dist
-uv build || exit 1
-
-# Publish
-read -p "Publish (y/n)? " ANSWER
-if [ "$ANSWER" = "y" ]; then
-  uv publish; exit 0
-else
-  echo "Not published"; exit 1
-fi

roboquant-2.2.0/bin/verify.sh

@@ -1,13 +0,0 @@
-[[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/verify.sh" && exit 1
-export PYRIGHT_PYTHON_FORCE_VERSION="latest"
-
-uv sync --all-extras --dev
-
-# QA
-echo "Running ruff" 
-uvx ruff check || exit 1
-uv run pyright tests roboquant || exit 1
-echo "Running unittest" 
-uv run python -m unittest discover -s tests/unit || exit 1
-
-echo "All tests passed"

roboquant-2.2.0/docs/DESIGN.md

@@ -1,85 +0,0 @@
-# Design Principles
-
-## Modular Pipeline Architecture
-
-The library is built around a clean separation of five orthogonal concerns:
-
-| Component | Responsibility | Has access to Account? |
-|-----------|---------------|----------------------|
-| **Feed** | Provides market data events | No |
-| **Strategy** | Generates trading signals from events | No |
-| **Trader** | Converts signals into orders (risk/sizing) | Yes |
-| **Broker** | Executes orders, maintains account state | Yes (owns Account) |
-| **Journal** | Logs/tracks every step (read-only) | Read-only snapshot |
-
-Each component is an abstract base class with pluggable implementations, making every part of the pipeline independently swappable.
-
-## The Run Loop
-
-The core of the system is the `roboquant.run()` function, which connects all components in a streaming event loop:
-
-```
-for each event in feed.play(timeframe):
-    1. broker.sync(event)                   — update account, execute fills
-    2. strategy.create_signals(event)       — generate signals from market data
-    3. trader.create_orders(signals, ...)   — apply risk rules, produce orders
-    4. broker.place_orders(orders)          — submit orders to the broker
-    5. journal.track(event, account, ...)   — record metrics (optional)
-```
-
-### Step-by-step
-
-1. **`broker.sync(event)`** — Updates the account with the latest market data. Open orders from previous steps are tested against prices and executed if conditions are met. No look-ahead bias: orders placed at time `t` only execute at time `t+1`.
-
-2. **`strategy.create_signals(event)`** — The strategy examines the event's price data and returns a list of `Signal` objects. Each signal has an asset, a rating (typically -1.0 to 1.0), and a type (`ENTRY`, `EXIT`, or `ENTRY_EXIT`). Strategies are **pure decision-makers** — they know nothing about cash, positions, or risk.
-
-3. **`trader.create_orders(signals, event, account)`** — The trader applies risk management rules (position sizing, shorting constraints, order limits) and converts signals into concrete `Order` objects. Unlike strategies, traders **have full access to the Account** (cash, positions, buying power).
-
-4. **`broker.place_orders(orders)`** — New orders are submitted to the broker. In `SimBroker`, they are stored and evaluated for execution when the next event arrives.
-
-5. **`journal.track(...)`** — Optional logging and metrics collection. Journals are passive observers that never modify state.
-
-## Minimal Backtest
-
-```python
-import roboquant as rq
-
-feed = rq.feeds.YahooFeed("JPM", "IBM", start_date="2015-01-01")
-account = rq.run(feed, rq.strategies.EMACrossover())
-print(account)
-```
-
-This works because `run()` provides sensible defaults: `SimBroker` (USD 1M deposit, 0% slippage) and `FlexTrader` (conservative position sizing).
-
-## Custom Backtest
-
-```python
-feed = rq.feeds.YahooFeed("AAPL", "MSFT", start_date="2020-01-01")
-strategy = rq.strategies.EMACrossover()
-trader = rq.traders.FlexTrader(max_order_perc=0.1, shorting=True)
-broker = rq.brokers.SimBroker(deposit=500_000)
-journal = rq.journals.MetricsJournal()
-
-account = rq.run(feed, strategy, trader=trader, broker=broker, journal=journal)
-print(account)
-print(journal.metrics())
-```
-
-## Strategy/Trader Separation
-
-This is the most important design choice in the library:
-
-- **Strategies** produce signals from market data only. They implement `create_signals(event) -> list[Signal]` and have no access to account state. This keeps them pure, testable, and reusable across any trader configuration.
-- **Traders** implement `create_orders(signals, event, account) -> list[Order]` and are responsible for risk management, position sizing, and order construction. They know nothing about indicators or market data beyond what is in the signal.
-
-Example: The same `EMACrossover` strategy can be used with a conservative trader (2% max order) in backtesting and a different trader (20% max order, shorting enabled) in live trading — without changing a line of strategy code.
-
-## Key Principles
-
-- **Event-driven streaming** — Everything is built around `Event` objects produced lazily by feeds, supporting both backtesting and live trading with the same pipeline.
-- **Broker owns the Account** — The Account is never modified directly by user code; it is always the broker's canonical view returned by `sync()`.
-- **Default-everywhere** — `roboquant.run(feed, strategy)` works out of the box with sensible defaults, making the simplest case a one-liner.
-- **Immutable core types** — `Asset`, `Signal`, and `Event` are immutable; `Order` uses `cancel()`/`modify()` returning new objects.
-- **Strategy composition** — `MultiStrategy` combines multiple strategies with configurable conflict resolution (`first`, `last`, `mean`, `none`).
-- **Pluggable pricing** — Price type strings (`"OPEN"`, `"CLOSE"`, `"HIGH"`, `"LOW"`, `"DEFAULT"`) allow strategies and traders to choose which price to use for evaluation.
-- **Multi-currency** — Built-in support via `Amount`, `Wallet`, and pluggable `CurrencyConverter` (ECB, static, one-to-one).