roboquant 2.4.0__tar.gz → 2.4.2__tar.gz

{roboquant-2.4.0 → roboquant-2.4.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: roboquant
-Version: 2.4.0
+Version: 2.4.2
 Summary: A fast algorithmic trading platform with support for AI based strategies
 Keywords: algorithmic,trading,machine learning,AI,investment,finance,crypto,stocks,exchange,forex
 Author: roboquant team
@@ -23,6 +23,7 @@ Requires-Dist: requests>2.30.0
 Requires-Dist: yfinance>1.5.0
 Requires-Dist: pyarrow>24.0.0
 Requires-Dist: ta-lib==0.6.5
+Requires-Dist: pandas>=2.2.0
 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'
@@ -46,16 +47,15 @@ Description-Content-Type: text/markdown
 ![PyPI - Version](https://img.shields.io/pypi/v/roboquant?)
 ![PyPI - License](https://img.shields.io/pypi/l/roboquant?)
 ![PyPI - Python Version](https://img.shields.io/pypi/pyversions/roboquant?)
-![PyPI - Status](https://img.shields.io/pypi/status/roboquant?)
 ![GitHub Actions Workflow Status](https://img.shields.io/github/actions/workflow/status/neurallayer/roboquant.py/verify.yml)
 [![discord](https://img.shields.io/discord/954650958300856340?label=discord)](https://discord.com/channels/954650958300856340/954650958300856343)
 
-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. 
+Roboquant is an open-source algorithmic trading platform written in Python. 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. You can find out more at [roboquant.org](https://roboquant.org).
 
 ## Usage
-The following code snippet shows the steps required to run a full back-test on a number of stocks.
+The following code snippet shows the required steps to run a full back-test on a number of stocks.
 
 ```python
 import roboquant as rq
@@ -66,6 +66,18 @@ account = rq.run(feed, strategy)
 print(account)
 ```
 
+## Features
+Below are some of the key features of *roboquant*:
+- [x] fast back testing and live trading
+- [x] AI/ML based strategies
+- [x] market data feeds from CSV files, Yahoo Finance, Alpaca and many crypto exchanges
+- [x] multi-currency trading
+- [x] multi-asset trading, stocks, options, forex and crypto out of the box
+- [x] larger-than-memory data feeds 
+- [x] TaLib based indicators and strategies
+- [x] plotting of prices and metrics
+- [x] modulair and extensible 
+
 ## Install
 Roboquant can be installed like most other Python packages, using tools like `uv`, `pip` or `conda`.
 Make sure you have Python version 3.12 or higher installed.
@@ -74,7 +86,7 @@ Make sure you have Python version 3.12 or higher installed.
 python3 -m pip install --upgrade roboquant
 ```
 
-The core of roboquant limits the number of dependencies. But you can install roboquant including one or more of the optional dependencies if you require certain additional functionality:
+The core installation of roboquant limits the number of dependencies. But you can install roboquant including one or more of the optional dependencies if you require certain additional functionality:
 
 ```shell
 # AI based strategies using PyTorch and SB3
@@ -90,30 +102,6 @@ python3 -m pip install --upgrade "roboquant[alpaca]"
 python3 -m pip install --upgrade "roboquant[crypto]"
 ```
 
-## Building from source
-Roboquant.py uses `uv` as the main tool for handling package dependencies. 
-
-```shell
-uv sync --all-extras --dev
-```
-
-You should now be in the virtual environment and ready to build/install roboquant:
-
-```shell
-uv build
-uv pip install .
-```
-
-Some other useful commands:
-
-```shell
-# build & validate the code
-./bin/verify.sh
-
-# publish, only works if UV_PUBLISH_TOKEN is set
-./bin/publish.sh
-```
-
 ## License
 Roboquant is made available under the Apache 2.0 license. You can read more about the Apache 2.0 license on this page: https://www.apache.org/licenses/LICENSE-2.0.html
 

{roboquant-2.4.0 → roboquant-2.4.2}/README.md

@@ -4,16 +4,15 @@
 ![PyPI - Version](https://img.shields.io/pypi/v/roboquant?)
 ![PyPI - License](https://img.shields.io/pypi/l/roboquant?)
 ![PyPI - Python Version](https://img.shields.io/pypi/pyversions/roboquant?)
-![PyPI - Status](https://img.shields.io/pypi/status/roboquant?)
 ![GitHub Actions Workflow Status](https://img.shields.io/github/actions/workflow/status/neurallayer/roboquant.py/verify.yml)
 [![discord](https://img.shields.io/discord/954650958300856340?label=discord)](https://discord.com/channels/954650958300856340/954650958300856343)
 
-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. 
+Roboquant is an open-source algorithmic trading platform written in Python. 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. You can find out more at [roboquant.org](https://roboquant.org).
 
 ## Usage
-The following code snippet shows the steps required to run a full back-test on a number of stocks.
+The following code snippet shows the required steps to run a full back-test on a number of stocks.
 
 ```python
 import roboquant as rq
@@ -24,6 +23,18 @@ account = rq.run(feed, strategy)
 print(account)
 ```
 
+## Features
+Below are some of the key features of *roboquant*:
+- [x] fast back testing and live trading
+- [x] AI/ML based strategies
+- [x] market data feeds from CSV files, Yahoo Finance, Alpaca and many crypto exchanges
+- [x] multi-currency trading
+- [x] multi-asset trading, stocks, options, forex and crypto out of the box
+- [x] larger-than-memory data feeds 
+- [x] TaLib based indicators and strategies
+- [x] plotting of prices and metrics
+- [x] modulair and extensible 
+
 ## Install
 Roboquant can be installed like most other Python packages, using tools like `uv`, `pip` or `conda`.
 Make sure you have Python version 3.12 or higher installed.
@@ -32,7 +43,7 @@ Make sure you have Python version 3.12 or higher installed.
 python3 -m pip install --upgrade roboquant
 ```
 
-The core of roboquant limits the number of dependencies. But you can install roboquant including one or more of the optional dependencies if you require certain additional functionality:
+The core installation of roboquant limits the number of dependencies. But you can install roboquant including one or more of the optional dependencies if you require certain additional functionality:
 
 ```shell
 # AI based strategies using PyTorch and SB3
@@ -48,30 +59,6 @@ python3 -m pip install --upgrade "roboquant[alpaca]"
 python3 -m pip install --upgrade "roboquant[crypto]"
 ```
 
-## Building from source
-Roboquant.py uses `uv` as the main tool for handling package dependencies. 
-
-```shell
-uv sync --all-extras --dev
-```
-
-You should now be in the virtual environment and ready to build/install roboquant:
-
-```shell
-uv build
-uv pip install .
-```
-
-Some other useful commands:
-
-```shell
-# build & validate the code
-./bin/verify.sh
-
-# publish, only works if UV_PUBLISH_TOKEN is set
-./bin/publish.sh
-```
-
 ## License
 Roboquant is made available under the Apache 2.0 license. You can read more about the Apache 2.0 license on this page: https://www.apache.org/licenses/LICENSE-2.0.html
 

{roboquant-2.4.0 → roboquant-2.4.2}/pyproject.toml

@@ -8,6 +8,9 @@ build-backend = "uv_build"
 [tool.ruff.lint]
 select = ["E", "F", "W"]
 
+[tool.ty.rules]
+unused-type-ignore-comment = "ignore"
+
 [tool.pyright]
 typeCheckingMode = "standard"
 reportPrivateImportUsage = "none" 
@@ -19,7 +22,7 @@ module-name = "roboquant"
 
 [project]
 name = "roboquant"
-version = "2.4.0"
+version = "2.4.2"
 authors = [{ name = "roboquant team", email = "info@roboquant.org" }]
 description = "A fast algorithmic trading platform with support for AI based strategies"
 readme = "README.md"
@@ -56,7 +59,8 @@ dependencies = [
   "requests>2.30.0",
   "yfinance>1.5.0",
   "pyarrow>24.0.0",
-  "ta-lib==0.6.5"
+  "ta-lib==0.6.5",
+  "pandas>=2.2.0"
 ]
 
 [project.optional-dependencies]
@@ -83,4 +87,5 @@ dev = [
   "ipykernel>=7.3.0",
   "ipywidgets>=8.1.6",
   "chronos-forecasting>=2.3.1",
+  "ty>=0.0.62",
 ]

{roboquant-2.4.0 → roboquant-2.4.2}/roboquant/account.py

@@ -1,7 +1,8 @@
-from dataclasses import dataclass
+from dataclasses import dataclass, asdict
 from datetime import datetime
 from decimal import Decimal
-from typing import Any
+
+import pandas as pd
 
 from roboquant.asset import Asset
 from roboquant.monetary import USD, Amount, Currency, Wallet
@@ -25,8 +26,8 @@ class Trade:
     asset: Asset
     time: datetime
     size: Decimal
-    price: float
-    pnl: float
+    price: float = float("nan")
+    pnl: float = float("nan")
 
 
 @dataclass(slots=True)
@@ -41,9 +42,12 @@ class Position:
     avg_price: float
     """Average price paid denoted in the currency of the asset"""
 
-    mkt_price: float
+    mkt_price: float = float("nan")
     """Latest market price denoted in the currency of the asset"""
 
+    pnl: float = float("nan")
+    """The pnl for this position"""
+
     @property
     def is_short(self):
         """Return True if this is a short position, False otherwise"""
@@ -59,17 +63,17 @@ class Position:
         """Return a zero position size with no known prices"""
         return Position(Decimal(), float("nan"), float("nan"))
 
-
+@dataclass
 class Account:
     """Represents a trading account. The account maintains the following state during a run:
 
-    - Available buying power for orders in the base currency of the account.
-    - Cash available in the account.
-    - The open positions, each denoted in the currency of the asset.
-    - The open orders, each denoted in the currency of the asset.
-    - The trades that have been executed, each denoted in the currency of the asset.
-    - Calculated derived equity value of the account in the base currency of the account.
-    - The last time the account was updated.
+    Attributes:
+        buying_power (Amount): Available buying power for orders in the base currency of the account.
+        cash (Wallet): The cash available in the account.
+        positions (Dict[Asset, Position]): the open positions, each denoted in the currency of the asset.
+        orders (list[Order]): the open orders, each denoted in the currency of the asset.
+        trades (list[Trade]): the trades that have been executed, each denoted in the currency of the asset.
+        last_update (datetime): The last time the account was updated.
 
     Only the `broker` updates the account and does this only during its `sync` method.
     """
@@ -242,50 +246,6 @@ class Account:
         pos = self.positions.get(asset)
         return pos.size if pos else Decimal()
 
-    def get_position_list(self) -> list[dict[str, Any]]:
-        """Return all open positions including their pnl as a list of dicts.
-        This comes in handy for further processing, like converting
-        them to a dataframe.
-        """
-        result: list[dict[str, Any]] = []
-        for asset, pos in self.positions.items():
-            result.append(
-                {
-                    "asset class": asset.asset_class(),
-                    "symbol": asset.symbol,
-                    "currency": asset.currency,
-                    "size": pos.size,
-                    "type": "LONG" if pos.is_long else "SHORT",
-                    "avg price": pos.avg_price,
-                    "mkt price": pos.mkt_price,
-                    "value": asset.contract_value(pos.size, pos.mkt_price),
-                    "pnl": asset.contract_value(pos.size, pos.mkt_price - pos.avg_price),
-                }
-            )
-        return result
-
-    def get_order_list(self) -> list[dict[str, Any]]:
-        """Return all open orders as a list of dicts.
-        This comes in handy for further processing, like converting
-        them to a dataframe."""
-        result: list[dict[str, Any]] = []
-        for order in self.orders:
-            result.append(
-                {
-                    "id": order.id,
-                    "asset class": order.asset.asset_class(),
-                    "symbol": order.asset.symbol,
-                    "currency": order.asset.currency,
-                    "size": order.size,
-                    "type": "BUY" if order.is_buy else "SELL",
-                    "value": order.value(),
-                    "fill": order.fill,
-                    "tif": order.tif,
-                    "info": str(order.info) if order.info else "-",
-                }
-            )
-        return result
-
     def get_order(self, order_id: str) -> Order | None:
         """Return an order by its id, or None if no matching order can be found"""
         for order in self.orders:
@@ -327,3 +287,17 @@ class Account:
             f"last update  : {self.last_update}"
         )
         return result
+
+
+    def trades_to_dataframe(self) -> pd.DataFrame:
+        """Return the trades as a dataframe"""
+        return pd.json_normalize([asdict(trade) for trade in self.trades])
+
+    def orders_to_dataframe(self)-> pd.DataFrame:
+        """Return the orders as a dataframe"""
+        return pd.json_normalize([asdict(order) for order in self.orders])
+
+    def positions_to_dataframe(self)-> pd.DataFrame:
+        """Return the positions as a dataframe"""
+        return  pd.json_normalize([asdict(asset) | asdict(pos) for asset, pos in self.positions.items()])
+

{roboquant-2.4.0 → roboquant-2.4.2}/roboquant/ai/features.py

@@ -21,7 +21,7 @@ class Feature(Generic[T]):
     roboquant machine learning models and can be used to extract relevant information.
 
     The ones included by default are either based on an `Event` or an `Account`.
-    Typically Event features are used for input data and Account features are used for
+    Typically, Event features are used for input data and Account features are used for
     reward/label/output data.
 
     Features can be combined, sliced, nested, normalized and cached to create more
@@ -197,7 +197,7 @@ class NormalizeFeature(Feature[T]):
         (count, mean, m2) = self.existing_aggregate
         stdev = self._full_nan()
         mask = count >= self.min_count
-        stdev[mask] = np.sqrt(m2[mask] / count[mask]) + 1e-12  # type: ignore
+        stdev[mask] = np.sqrt(m2[mask] / count[mask]) + 1e-12
         return (values - mean) / stdev
 
     def calc(self, value: T) -> NPFloatArray:
@@ -269,7 +269,7 @@ class ReturnFeature(Feature[T]):
 
     def calc(self, value: T) -> NPFloatArray:
         values = self.feature.calc(value)
-        r: NPFloatArray = values / self.history - np.float32(1.0)  # type: ignore
+        r: NPFloatArray = values / self.history - np.float32(1.0)
         self.history = values
         return r
 
@@ -566,7 +566,7 @@ class TaFeature(Feature[Event]):
                 if asset not in self._data:
                     self._data[asset] = OHLCVBuffer(self.period)
                 ohlcv = self._data[asset]
-                if ohlcv.append(item.ohlcv):  # type: ignore
+                if ohlcv.append(item.ohlcv):
                     v = self._calc(asset, ohlcv)
 
             result.append(v)

{roboquant-2.4.0 → roboquant-2.4.2}/roboquant/ai/rl.py

@@ -1,5 +1,5 @@
 import logging
-from typing import Callable, Generator, Any
+from typing import Callable, Iterator
 import gymnasium as gym
 from gymnasium import spaces
 from gymnasium.envs.registration import register
@@ -55,9 +55,9 @@ class TradingEnv(gym.Env):
         self.broker: SimBroker = broker or SimBroker()
         self.feed = feed
 
-        self._event_gen: Generator[Event, Any, None] = None # type: ignore
+        self._event_gen: Iterator[Event]
         self.event: Event | None = None
-        self.account: Account = None # type: ignore
+        self.account: Account
         self.obs_feature = obs_feature
         self.reward_feature = reward_feature
         self.timefame = timeframe
@@ -170,7 +170,7 @@ class SB3PolicyStrategy(Strategy):
         env: TradingEnv = model.env  # type: ignore
         return cls(env.obs_feature, env.assets, model.policy)
 
-    def create_signals(self, event) -> list[Signal]:
+    def create_signals(self, event: Event) -> list[Signal]:
         obs = self.obs_feature.calc(event)
         if np.any(np.isnan(obs)):
             return []

{roboquant-2.4.0 → roboquant-2.4.2}/roboquant/ai/strategies.py

@@ -87,10 +87,10 @@ class SequenceDataset(Dataset):
         calc_l = len(self.target_data) - self.input_sequences - self.output_sequences - self.gap + 1
         return max(0, calc_l)
 
-    def __getitem__(self, idx):
+    def __getitem__(self, index):
         """Get a sample from the dataset."""
-        end = idx + self.input_sequences
-        features = self.input_data[idx:end]
+        end = index + self.input_sequences
+        features = self.input_data[index:end]
         start = end + self.gap
         target = self.target_data[start: start + self.output_sequences]
         if self.transform: