roboquant 2.4.1__tar.gz → 2.4.2__tar.gz

{roboquant-2.4.1 → roboquant-2.4.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: roboquant
-Version: 2.4.1
+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'

{roboquant-2.4.1 → roboquant-2.4.2}/pyproject.toml

@@ -22,7 +22,7 @@ module-name = "roboquant"
 
 [project]
 name = "roboquant"
-version = "2.4.1"
+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"
@@ -59,7 +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]

{roboquant-2.4.1 → roboquant-2.4.2}/roboquant/account.py

@@ -1,7 +1,9 @@
-from dataclasses import dataclass
+from dataclasses import dataclass, asdict
 from datetime import datetime
 from decimal import Decimal
 
+import pandas as pd
+
 from roboquant.asset import Asset
 from roboquant.monetary import USD, Amount, Currency, Wallet
 from roboquant.order import Order
@@ -24,8 +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)
@@ -40,9 +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"""
@@ -282,3 +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-2.4.1 → roboquant-2.4.2}/roboquant/brokers/simbroker.py

@@ -134,8 +134,7 @@ class SimBroker(Broker):
         """Simulate a market execution and return a Trade object if the order has (partially) been executed."""
 
         price = self._get_execution_price(order, item)
-        executable = price <= order.limit if order.is_buy else price >= order.limit
-        if executable:
+        if order.is_executable(price):
             fill = self._get_fill(order, price)
             fee = self._get_fee(Trade(order.asset, time, fill, price, 0.0))
             pnl = self._pnl(order.asset, order.remaining, price) - fee
@@ -151,9 +150,10 @@ class SimBroker(Broker):
 
         account.last_update = event.time
 
-        for asset, position in account.positions.items():
+        for asset, pos in account.positions.items():
             if price := event.get_price(asset, price_type):
-                position.mkt_price = price
+                pos.mkt_price = price
+                pos.pnl = asset.contract_value(pos.size, pos.avg_price - price)
 
     def __next_order_id(self) -> str:
         """Generate a new order id. The order id is a simple integer that is incremented for each new order."""
@@ -181,9 +181,15 @@ class SimBroker(Broker):
         del self._orders[order.id]
         self._order_entry.pop(order.id)
 
-    def _update_order(self, order: Order) -> None:
-            """Remove an order from the account, called when an order is completed, expired or cancelled."""
-            self._orders[order.id] = order
+
+    def _fill_order(self, order: Order, trade: Trade) -> None:
+            """Fill an order"""
+            new_fill = order.fill + trade.size
+            order = replace(order, fill = new_fill)
+            if order.remaining.is_zero():
+                self._remove_order(order)
+            else:
+                self._orders[order.id] = order
 
     def _order_is_expired(self, order: Order, time: datetime) -> bool:
         if order.tif == "GTC":
@@ -212,13 +218,8 @@ class SimBroker(Broker):
                 if trade is not None:
                     logger.info("executed order=%s trx=%s", order, trade)
                     self._update_account(trade)
-                    new_fill = order.fill + trade.size
-                    order = replace(order, fill = new_fill)
-                    if not order.remaining:
-                        logger.info("completed order %s", order)
-                        self._remove_order(order)
-                    else:
-                        self._update_order(order)
+                    self._fill_order(order, trade)
+
 
     def _calculate_open_orders(self) -> Wallet:
         """Calculate the buying power required for the open orders"""

{roboquant-2.4.1 → roboquant-2.4.2}/roboquant/monetary.py

@@ -19,8 +19,8 @@ logger = logging.getLogger(__name__)
 
 
 class Currency(str):
-    """Currency class represents a monetary currency and is a subclass of `str`. It doesn't
-    differentiate between fiat- and crypto-currencies.
+    """Represents a monetary currency and is a subclass of `str`.
+    It doesn't differentiate between fiat- and crypto-currencies.
 
     It is possible to create an `Amount` using a combination of a `number` and a `Currency`:
     ```
@@ -138,18 +138,20 @@ class CurrencyConverter(ABC):
 
 
 class NoConversion(CurrencyConverter):
-    """The default currency converter that doesn't convert between currencies. If you don't trade in different currencies, this
-    will be sufficient. It will raise an exception if a conversion is required."""
+    """The default currency converter that doesn't convert between currencies.
+    If you don't trade in different currencies, this will be sufficient.
+    It will raise an exception if a conversion is required during a run."""
 
     def convert(self, amount: "Amount", to_currency: Currency, dt: datetime) -> float:
-        """Raise an error as no conversion is supported."""
+        """Raise an error as no conversions are supported."""
         raise NotImplementedError("The default NoConversion doesn't support any conversions")
 
 
 class ECBConversion(CurrencyConverter):
     """CurrencyConverter that retrieves its exchange rates from the ECB (European Central Bank).
-    These exchange rates are based on the Euro and are updated daily by the ECB. They don't contain
-    any historical data from before the Euro was introduced in 1999.
+    These exchange rates are based on the Euro and are updated daily by the ECB.
+    They don't contain any historical data from before the Euro was introduced in 1999 and also
+    there is not support for crypto-currencies.
     """
 
     __file_name = Path.home() / ".roboquant" / "eurofxref-hist.csv"
@@ -158,7 +160,7 @@ class ECBConversion(CurrencyConverter):
         """Initialize the ECBConversion.
 
         Args:
-            force_download (bool): Force download of the latest exchange rates if True.
+            force_download: Force download of the latest exchange rates if True.
         """
         self._rates: Dict[Currency, List[Any]] = {}
         if force_download or not self.up_to_date():
@@ -400,6 +402,8 @@ class Amount:
         """
         return f"{self.value:{format_spec}}@{self.currency}"
 
+    def __bool__(self) -> bool:
+        return self.value.__bool__()
 
 class Wallet(defaultdict[Currency, float]):
     """A wallet holds monetary values of different currencies.
@@ -500,6 +504,14 @@ class Wallet(defaultdict[Currency, float]):
         result.update(self)
         return result
 
+    def deposit(self, amount: Amount) -> None:
+        """Deposit an amount into this wallet"""
+        self[amount.currency] += amount.value
+
+    def withdraw(self, amount: Amount) -> None:
+        """Withdraw an amount from this wallet"""
+        self[amount.currency] -= amount.value
+
     def convert_to(self, currency: Currency, dt: datetime) -> float:
         """Convert all the amounts held in this wallet to a single currency and return the value.
 
@@ -514,16 +526,16 @@ class Wallet(defaultdict[Currency, float]):
 
     def __repr__(self) -> str:
         """Return a string representation of the wallet without any formatting on the
-        monetary values.
+        monetary values. Zero amounts will not be shown.
 
         Returns:
             The string representation.
         """
-        return " + ".join([f"{a}" for a in self.amounts()])
+        return " + ".join([f"{a}" for a in self.amounts() if a])
 
     def __format__(self, format_spec: str) -> str:
         """Return a formatted string representation of the wallet. All the amounts
-        will be formatted according to the format_spec.
+        will be formatted according to the format_spec. Zero amounts will not be shown.
 
         Args:
             format_spec: The format specification, same as is used for float.
@@ -532,4 +544,4 @@ class Wallet(defaultdict[Currency, float]):
         Returns:
             The formatted string representation.
         """
-        return " + ".join([f"{a:{format_spec}}" for a in self.amounts()])
+        return " + ".join([f"{a:{format_spec}}" for a in self.amounts() if a])

{roboquant-2.4.1 → roboquant-2.4.2}/roboquant/order.py

@@ -21,7 +21,7 @@ class Order:
     """
 
     asset: Asset
-    """The asset of this order."""
+    """The underlying asset of this order."""
 
     size: Decimal
     """The size (number of contracts) of the order. Positive for buy orders, negative for sell orders.
@@ -95,7 +95,7 @@ class Order:
 
     def value(self) -> float:
         """
-        Return the total contract value of this order, it ignores the already filled part of the order.
+        The total contract value of this order, it ignores the already filled part of the order.
 
         Returns:
             float: The total contract value of the order.
@@ -104,7 +104,7 @@ class Order:
 
     def remaining_value(self) -> float:
         """
-        Return the remaining contract value of this order denoted in the currency of the asset.
+        The remaining contract value of this order denoted in the currency of the asset.
 
         Returns:
             float: The remaining contract value of the order.
@@ -113,7 +113,7 @@ class Order:
 
     def amount(self) -> Amount:
         """
-        Return the total value of this order as a single Amount denoted in the currency of the asset.
+        The total market value of this order as a single Amount denoted in the currency of the asset.
 
         Returns:
             Amount: The total value of the order.
@@ -123,39 +123,31 @@ class Order:
     @property
     def is_buy(self) -> bool:
         """
-        Return True if this is a BUY order, False otherwise.
-
-        Returns:
-            bool: True if this is a BUY order, False otherwise.
+        True if this is a BUY order, False otherwise.
         """
         return self.size > 0
 
     @property
     def is_sell(self) -> bool:
         """
-        Return True if this is a SELL order, False otherwise.
-
-        Returns:
-            bool: True if this is a SELL order, False otherwise.
+        True if this is a SELL order, False otherwise.
         """
         return self.size < 0
 
     @property
     def remaining(self) -> Decimal:
         """
-        Return the remaining order size that still needs to be filled.
-
-        Returns:
-            Decimal: The remaining order size.
+        The remaining order size that still needs to be filled.
         """
         return self.size - self.fill
 
     @property
     def is_cancellation(self) -> bool:
         """
-        Return True if this is a cancellation order, False otherwise.
-
-        Returns:
-            bool: True if this is a cancellation order, False otherwise.
+        True if this is a cancellation order, False otherwise.
         """
         return self.size.is_zero()
+
+    def is_executable(self, price: float) -> bool:
+        """Will this order execute given the provided price"""
+        return price <= self.limit if self.is_buy else price >= self.limit

{roboquant-2.4.1 → roboquant-2.4.2}/roboquant/timeseries.py

@@ -2,10 +2,11 @@
 from dataclasses import dataclass
 from datetime import datetime
 
-from roboquant.timeframe import Timeframe
+import pandas as pd
 
+from roboquant.timeframe import Timeframe
 
-@dataclass
+@dataclass(slots=True, frozen=True)
 class TimeSeries:
     """A time series contains a name, a timeline and the values of the metric at each point in time. It
     is used in several places in roboquant.
@@ -48,7 +49,6 @@ class TimeSeries:
         """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,