tea-bond 0.2.8__cp310-abi3-win_amd64.whl

pybond/nb/nb_time.py

@@ -0,0 +1,279 @@
+import datetime
+import operator
+
+from llvmlite import ir
+from numba import types
+from numba.core import cgutils
+from numba.extending import (
+    NativeValue,
+    as_numba_type,
+    box,
+    lower_builtin,
+    make_attribute_wrapper,
+    models,
+    overload,
+    overload_attribute,
+    # overload_method,
+    register_model,
+    type_callable,
+    typeof_impl,
+    unbox,
+)
+
+from .ir_utils import ir_isinstance, long_as_ulong
+
+
+class Time:
+    def __init__(self, hour, minute, second, nanosecond):
+        # secs = hour * 3600 + minute * 60 + sec
+        # self.val = int(secs * 1e9 + nsecs)
+        self.hour = hour
+        self.minute = minute
+        self.second = second
+        self.nanosecond = nanosecond
+
+
+class TimeType(types.Type):
+    def __init__(self):
+        super().__init__(name="Time")
+
+
+time_type = TimeType()
+as_numba_type.register(datetime.time, time_type)
+
+
+@typeof_impl.register(datetime.time)
+@typeof_impl.register(Time)
+def typeof_datetime_time(val, c):
+    return time_type
+
+
+@type_callable(datetime.time)
+@type_callable(Time)
+def type_time(context):
+    def typer(hour, minute, second, nanosecond=0):
+        return time_type
+
+    return typer
+
+
+@register_model(TimeType)
+class TimeModel(models.StructModel):
+    def __init__(self, dmm, fe_type):
+        members = [
+            ("hour", types.uint32),
+            ("minute", types.uint32),
+            ("second", types.uint32),
+            ("nanosecond", types.uint32),
+        ]
+        models.StructModel.__init__(self, dmm, fe_type, members)
+
+
+make_attribute_wrapper(TimeType, "hour", "hour")
+make_attribute_wrapper(TimeType, "minute", "minute")
+make_attribute_wrapper(TimeType, "second", "second")
+make_attribute_wrapper(TimeType, "nanosecond", "nanosecond")
+
+
+@lower_builtin(Time, types.uint32, types.uint32, types.uint32, types.uint32)
+@lower_builtin(Time, types.int32, types.int32, types.int32, types.int32)
+def time_constructor_u32(context, builder, sig, args):
+    time_type = sig.return_type
+    time = cgutils.create_struct_proxy(time_type)(context, builder)
+    time.hour = args[0]
+    time.minute = args[1]
+    time.second = args[2]
+    time.nanosecond = args[3]
+    return time._getvalue()
+
+
+@lower_builtin(datetime.time, types.uint32, types.uint32, types.uint32, types.uint32)
+@lower_builtin(datetime.time, types.int32, types.int32, types.int32, types.int32)
+def datetime_time_constructor_u32(context, builder, sig, args):
+    time_type = sig.return_type
+    time = cgutils.create_struct_proxy(time_type)(context, builder)
+    time.hour = args[0]
+    time.minute = args[1]
+    time.second = args[2]
+    # the last param of datetime time is microsecond, but we store nanosecond
+    time.nanosecond = builder.mul(args[3], ir.Constant(ir.IntType(32), 1000))
+    return time._getvalue()
+
+
+@lower_builtin(Time, types.int64, types.int64, types.int64, types.int64)
+def time_constructor_i64(context, builder, sig, args):
+    time_type = sig.return_type
+    time = cgutils.create_struct_proxy(time_type)(context, builder)
+    time.hour = builder.trunc(args[0], ir.IntType(32))
+    time.minute = builder.trunc(args[1], ir.IntType(32))
+    time.second = builder.trunc(args[2], ir.IntType(32))
+    time.nanosecond = builder.trunc(args[3], ir.IntType(32))
+    return time._getvalue()
+
+
+@lower_builtin(datetime.time, types.int64, types.int64, types.int64, types.int64)
+def datetime_time_constructor_i64(context, builder, sig, args):
+    time_type = sig.return_type
+    time = cgutils.create_struct_proxy(time_type)(context, builder)
+    time.hour = builder.trunc(args[0], ir.IntType(32))
+    time.minute = builder.trunc(args[1], ir.IntType(32))
+    time.second = builder.trunc(args[2], ir.IntType(32))
+    nanosecond = builder.mul(args[3], ir.Constant(ir.IntType(64), 1000))
+    time.nanosecond = builder.trunc(nanosecond, ir.IntType(32))
+    return time._getvalue()
+
+
+@lower_builtin(datetime.time, types.int64, types.int64, types.int64)
+@lower_builtin(Time, types.int64, types.int64, types.int64)
+def time_constructor_i64_hms(context, builder, sig, args):
+    time_type = sig.return_type
+    time = cgutils.create_struct_proxy(time_type)(context, builder)
+    time.hour = builder.trunc(args[0], ir.IntType(32))
+    time.minute = builder.trunc(args[1], ir.IntType(32))
+    time.second = builder.trunc(args[2], ir.IntType(32))
+    time.nanosecond = ir.Constant(ir.IntType(32), 0)
+    return time._getvalue()
+
+
+@unbox(TimeType)
+def unbox_time(typ, obj, c):
+    time_type_c = c.pyapi.unserialize(c.pyapi.serialize_object(datetime.time))
+    is_time = ir_isinstance(c.pyapi, obj, time_type_c)
+    c.pyapi.decref(time_type_c)
+
+    hour_obj = c.pyapi.object_getattr_string(obj, "hour")
+    hour = c.builder.trunc(long_as_ulong(c.pyapi, hour_obj), ir.IntType(32))
+    minute_obj = c.pyapi.object_getattr_string(obj, "minute")
+    minute = c.builder.trunc(long_as_ulong(c.pyapi, minute_obj), ir.IntType(32))
+    second_obj = c.pyapi.object_getattr_string(obj, "second")
+    second = c.builder.trunc(long_as_ulong(c.pyapi, second_obj), ir.IntType(32))
+    c.pyapi.decref(hour_obj)
+    c.pyapi.decref(minute_obj)
+    c.pyapi.decref(second_obj)
+
+    nsecs_ptr = cgutils.alloca_once(c.builder, ir.IntType(32))
+    with c.builder.if_else(is_time) as (then, otherwise):
+        with then:
+            msecs_obj = c.pyapi.object_getattr_string(obj, "microsecond")
+            msecs = long_as_ulong(c.pyapi, msecs_obj)
+            nsecs = c.builder.mul(msecs, ir.Constant(c.pyapi.ulong, 1000))
+            nsecs = c.builder.trunc(nsecs, ir.IntType(32))
+            c.pyapi.decref(msecs_obj)
+            c.builder.store(nsecs, nsecs_ptr)
+        with otherwise:
+            nsecs_obj = c.pyapi.object_getattr_string(obj, "nanosecond")
+            nsecs = long_as_ulong(c.pyapi, nsecs_obj)
+            nsecs = c.builder.trunc(nsecs, ir.IntType(32))
+            c.pyapi.decref(nsecs_obj)
+            c.builder.store(nsecs, nsecs_ptr)
+    nanosecond = c.builder.load(nsecs_ptr)
+    time = cgutils.create_struct_proxy(typ)(c.context, c.builder)
+    time.hour = hour
+    time.minute = minute
+    time.second = second
+    time.nanosecond = nanosecond
+    # Check for errors
+    is_error = cgutils.is_not_null(c.builder, c.pyapi.err_occurred())
+    return NativeValue(time._getvalue(), is_error=is_error)
+
+
+@box(TimeType)
+def box_time(typ, val, c):
+    """
+    Box a native time object into a Python datetime.time object.
+    """
+    time = cgutils.create_struct_proxy(typ)(c.context, c.builder, value=val)
+    hour_obj = c.pyapi.long_from_unsigned_int(time.hour)
+    minute_obj = c.pyapi.long_from_unsigned_int(time.minute)
+    second_obj = c.pyapi.long_from_unsigned_int(time.second)
+    microsecond = c.builder.udiv(
+        time.nanosecond, ir.Constant(time.nanosecond.type, 1000)
+    )
+    microsecond_obj = c.pyapi.long_from_unsigned_int(microsecond)
+
+    class_obj = c.pyapi.unserialize(c.pyapi.serialize_object(datetime.time))
+    time_obj = c.pyapi.call_function_objargs(
+        class_obj, (hour_obj, minute_obj, second_obj, microsecond_obj)
+    )
+    c.pyapi.decref(hour_obj)
+    c.pyapi.decref(minute_obj)
+    c.pyapi.decref(second_obj)
+    c.pyapi.decref(microsecond_obj)
+    return time_obj
+
+
+@overload_attribute(TimeType, "nsecs")
+def get_time_impl(dt):
+    def getter(dt):
+        return int(
+            (dt.hour * 3600 + dt.minute * 60 + dt.second) * 1_000_000_000
+            + dt.nanosecond
+        )
+
+    return getter
+
+
+@overload(operator.ge)
+def impl_ge(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs >= dt2.nsecs
+
+    return impl
+
+
+@overload(operator.gt)
+def impl_gt(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs > dt2.nsecs
+
+    return impl
+
+
+@overload(operator.le)
+def impl_le(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs <= dt2.nsecs
+
+    return impl
+
+
+@overload(operator.lt)
+def impl_lt(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs < dt2.nsecs
+
+    return impl
+
+
+@overload(operator.eq)
+def impl_eq(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs == dt2.nsecs
+
+    return impl
+
+
+@overload(operator.ne)
+def impl_ne(dt, dt2):
+    if not isinstance(dt, TimeType) or not isinstance(dt, TimeType):
+        return
+
+    def impl(dt, dt2):
+        return dt.nsecs != dt2.nsecs
+
+    return impl

pybond/pnl.py

@@ -0,0 +1,59 @@
+from __future__ import annotations
+
+from typing import TYPE_CHECKING
+
+if TYPE_CHECKING:
+    import polars as pl
+    from polars.type_aliases import IntoExpr
+
+from .polars_utils import parse_into_expr, register_plugin
+
+
+def calc_bond_trade_pnl(
+    settle_time: IntoExpr,
+    qty: IntoExpr,
+    clean_price: IntoExpr,
+    clean_close: IntoExpr,
+    symbol: str = "",
+    bond_info_path: str | None = None,
+    multiplier: float = 1,
+    c_rate: float = 0,
+    borrowing_cost: float = 0,
+    capital_rate: float = 0,
+    begin_state=None,
+) -> pl.Expr:
+    settle_time = parse_into_expr(settle_time)
+    qty = parse_into_expr(qty)
+    clean_price = parse_into_expr(clean_price)
+    clean_close = parse_into_expr(clean_close)
+    if bond_info_path is None:
+        from .bond import bonds_info_path as path
+
+        bond_info_path = str(path)
+
+    if begin_state is None:
+        begin_state = {
+            "pos": 0,
+            "avg_price": 0,
+            "pnl": 0,
+            "realized_pnl": 0,
+            "pos_price": 0,
+            "unrealized_pnl": 0,
+            "coupon_paid": 0,
+            "amt": 0,
+        }
+    kwargs = {
+        "symbol": symbol,
+        "multiplier": multiplier,
+        "c_rate": c_rate,
+        "borrowing_cost": borrowing_cost,
+        "capital_rate": capital_rate,
+        "begin_state": begin_state,
+        "bond_info_path": bond_info_path,
+    }
+    return register_plugin(
+        args=[settle_time, qty, clean_price, clean_close],
+        kwargs=kwargs,
+        symbol="calc_bond_trade_pnl",
+        is_elementwise=False,
+    )

pybond/polars_utils.py

@@ -0,0 +1,96 @@
+from __future__ import annotations
+
+import re
+from pathlib import Path
+from typing import TYPE_CHECKING, Any, Sequence
+
+import polars as pl
+
+if TYPE_CHECKING:
+    from polars.type_aliases import IntoExpr, PolarsDataType
+
+
+def parse_into_expr(
+    expr: IntoExpr,
+    *,
+    str_as_lit: bool = False,
+    list_as_lit: bool = True,
+    dtype: PolarsDataType | None = None,
+) -> pl.Expr:
+    """
+    Parse a single input into an expression.
+
+    Parameters
+    ----------
+    expr
+        The input to be parsed as an expression.
+    str_as_lit
+        Interpret string input as a string literal. If set to `False` (default),
+        strings are parsed as column names.
+    list_as_lit
+        Interpret list input as a lit literal, If set to `False`,
+        lists are parsed as `Series` literals.
+    dtype
+        If the input is expected to resolve to a literal with a known dtype, pass
+        this to the `lit` constructor.
+
+    Returns
+    -------
+    polars.Expr
+    """
+    if isinstance(expr, pl.Expr):
+        pass
+    elif isinstance(expr, str) and not str_as_lit:
+        expr = pl.col(expr)
+    elif isinstance(expr, list) and not list_as_lit:
+        expr = pl.lit(pl.Series(expr), dtype=dtype)
+    else:
+        expr = pl.lit(expr, dtype=dtype)
+
+    return expr
+
+
+def register_plugin(
+    *,
+    symbol: str,
+    is_elementwise: bool,
+    kwargs: dict[str, Any] | None = None,
+    args: list[IntoExpr],
+    # lib: str | Path,
+) -> pl.Expr:
+    global lib
+    if parse_version(pl.__version__) < parse_version("0.20.16"):
+        assert isinstance(args[0], pl.Expr)
+        assert isinstance(lib, str)
+        return args[0].register_plugin(
+            lib=lib,
+            symbol=symbol,
+            args=args[1:],
+            kwargs=kwargs,
+            is_elementwise=is_elementwise,
+        )
+    from polars.plugins import register_plugin_function
+
+    return register_plugin_function(
+        args=args,
+        plugin_path=lib,
+        function_name=symbol,
+        kwargs=kwargs,
+        is_elementwise=is_elementwise,
+    )
+
+
+def parse_version(version: Sequence[str | int]) -> tuple[int, ...]:
+    # Simple version parser; split into a tuple of ints for comparison.
+    # vendored from Polars
+    if isinstance(version, str):
+        version = version.split(".")
+    return tuple(int(re.sub(r"\D", "", str(v))) for v in version)
+
+
+if parse_version(pl.__version__) < parse_version("0.20.16"):
+    from polars.utils.udfs import _get_shared_lib_location
+
+    lib: str | Path = _get_shared_lib_location(__file__)
+else:
+    lib = Path(__file__).parent