tradepose-client 0.1.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Potentially problematic release.
This version of tradepose-client might be problematic. Click here for more details.
- tradepose_client/__init__.py +156 -0
- tradepose_client/analysis.py +302 -0
- tradepose_client/api/__init__.py +8 -0
- tradepose_client/api/engine.py +59 -0
- tradepose_client/api/export.py +828 -0
- tradepose_client/api/health.py +70 -0
- tradepose_client/api/strategy.py +228 -0
- tradepose_client/client.py +58 -0
- tradepose_client/models.py +1836 -0
- tradepose_client/schema.py +186 -0
- tradepose_client/viz.py +762 -0
- tradepose_client-0.1.0.dist-info/METADATA +576 -0
- tradepose_client-0.1.0.dist-info/RECORD +15 -0
- tradepose_client-0.1.0.dist-info/WHEEL +4 -0
- tradepose_client-0.1.0.dist-info/licenses/LICENSE +21 -0
|
@@ -0,0 +1,186 @@
|
|
|
1
|
+
import polars as pl
|
|
2
|
+
|
|
3
|
+
# Enhanced OHLCV Schema
|
|
4
|
+
enhanced_ohlcv_schema = {
|
|
5
|
+
"idx": pl.Int64,
|
|
6
|
+
"ts": pl.Datetime("ms"),
|
|
7
|
+
"open": pl.Float64,
|
|
8
|
+
"high": pl.Float64,
|
|
9
|
+
"low": pl.Float64,
|
|
10
|
+
"close": pl.Float64,
|
|
11
|
+
"volume": pl.Float64,
|
|
12
|
+
"gap_type": pl.Int64,
|
|
13
|
+
"gap_points": pl.Float64,
|
|
14
|
+
"gap_range_min": pl.Float64,
|
|
15
|
+
"gap_range_max": pl.Float64,
|
|
16
|
+
"entry_signal": pl.Boolean,
|
|
17
|
+
"exit_signal": pl.Boolean,
|
|
18
|
+
"cleaned_entry_signal": pl.Boolean,
|
|
19
|
+
"cleaned_exit_signal": pl.Boolean,
|
|
20
|
+
"base_entry_price": pl.Float64,
|
|
21
|
+
"base_entry_strategy": pl.Int64,
|
|
22
|
+
"base_exit_price": pl.Float64,
|
|
23
|
+
"base_exit_strategy": pl.Int64,
|
|
24
|
+
"base_position_id": pl.Int64,
|
|
25
|
+
# 巢狀結構統一使用 Struct
|
|
26
|
+
"base_trading_context": pl.Struct(
|
|
27
|
+
[
|
|
28
|
+
pl.Field("bars_in_position", pl.Int64),
|
|
29
|
+
pl.Field("highest_since_entry", pl.Float64),
|
|
30
|
+
pl.Field("lowest_since_entry", pl.Float64),
|
|
31
|
+
pl.Field("position_entry_price", pl.Float64),
|
|
32
|
+
]
|
|
33
|
+
),
|
|
34
|
+
# 來自 trigger 自動產生
|
|
35
|
+
# "base_entry": pl.Struct(
|
|
36
|
+
# [
|
|
37
|
+
# pl.Field("cond", pl.Boolean),
|
|
38
|
+
# pl.Field("price", pl.Float64),
|
|
39
|
+
# pl.Field("strategy", pl.Int64),
|
|
40
|
+
# pl.Field("priority", pl.Int64),
|
|
41
|
+
# ]
|
|
42
|
+
# ),
|
|
43
|
+
"advanced_favorable_entry_hypo_price": pl.Float64,
|
|
44
|
+
"advanced_adverse_entry_hypo_price": pl.Float64,
|
|
45
|
+
"advanced_neutral_entry_hypo_price": pl.Float64,
|
|
46
|
+
"advanced_favorable_entry_strategy": pl.Int64,
|
|
47
|
+
"advanced_adverse_entry_strategy": pl.Int64,
|
|
48
|
+
"advanced_neutral_entry_strategy": pl.Int64,
|
|
49
|
+
"advanced_entry_price": pl.Float64,
|
|
50
|
+
"advanced_entry_strategy": pl.Int64,
|
|
51
|
+
"is_entry_gap_filled": pl.Boolean,
|
|
52
|
+
"advanced_cleaned_entry_signal": pl.Boolean,
|
|
53
|
+
"advanced_entry_position_id": pl.Int64,
|
|
54
|
+
"advanced_entry_trading_context": pl.Struct(
|
|
55
|
+
[
|
|
56
|
+
pl.Field("bars_since_advanced_entry", pl.Int64),
|
|
57
|
+
pl.Field("highest_since_advanced_entry", pl.Float64),
|
|
58
|
+
pl.Field("lowest_since_advanced_entry", pl.Float64),
|
|
59
|
+
pl.Field("position_entry_price", pl.Float64),
|
|
60
|
+
]
|
|
61
|
+
),
|
|
62
|
+
# 來自 trigger 自動產生
|
|
63
|
+
# "base_exit": pl.Struct(
|
|
64
|
+
# [
|
|
65
|
+
# pl.Field("cond", pl.Boolean),
|
|
66
|
+
# pl.Field("price", pl.Float64),
|
|
67
|
+
# pl.Field("strategy", pl.Int64),
|
|
68
|
+
# pl.Field("priority", pl.Int64),
|
|
69
|
+
# ]
|
|
70
|
+
# ),
|
|
71
|
+
"advanced_favorable_exit_hypo_price": pl.Float64,
|
|
72
|
+
"advanced_adverse_exit_hypo_price": pl.Float64,
|
|
73
|
+
"advanced_neutral_exit_hypo_price": pl.Float64,
|
|
74
|
+
"advanced_favorable_exit_strategy": pl.Int64,
|
|
75
|
+
"advanced_adverse_exit_strategy": pl.Int64,
|
|
76
|
+
"advanced_neutral_exit_strategy": pl.Int64,
|
|
77
|
+
"advanced_exit_price": pl.Float64,
|
|
78
|
+
"advanced_exit_strategy": pl.Int64,
|
|
79
|
+
"is_exit_gap_filled": pl.Boolean,
|
|
80
|
+
"advanced_cleaned_exit_signal": pl.Boolean,
|
|
81
|
+
"advanced_exit_position_id": pl.Int64,
|
|
82
|
+
"advanced_exit_trading_context": pl.Struct(
|
|
83
|
+
[
|
|
84
|
+
pl.Field("bars_since_advanced_entry", pl.Int64),
|
|
85
|
+
pl.Field("highest_since_advanced_entry", pl.Float64),
|
|
86
|
+
pl.Field("lowest_since_advanced_entry", pl.Float64),
|
|
87
|
+
pl.Field("position_entry_price", pl.Float64),
|
|
88
|
+
]
|
|
89
|
+
),
|
|
90
|
+
"is_entry_valid": pl.Boolean,
|
|
91
|
+
"entry_rejection_reason": pl.Utf8,
|
|
92
|
+
"validated_entry_signal": pl.Boolean,
|
|
93
|
+
"validated_exit_signal": pl.Boolean,
|
|
94
|
+
"final_position_id": pl.Int64,
|
|
95
|
+
"final_trading_context": pl.Struct(
|
|
96
|
+
[
|
|
97
|
+
pl.Field("bars_in_position", pl.Int64),
|
|
98
|
+
pl.Field("highest_since_entry", pl.Float64),
|
|
99
|
+
pl.Field("lowest_since_entry", pl.Float64),
|
|
100
|
+
pl.Field("position_entry_price", pl.Float64),
|
|
101
|
+
]
|
|
102
|
+
),
|
|
103
|
+
"strategy_name": pl.Utf8,
|
|
104
|
+
"blueprint_name": pl.Utf8,
|
|
105
|
+
}
|
|
106
|
+
|
|
107
|
+
# Trades Schema (from backtest-results or latest-trades export)
|
|
108
|
+
# Complete schema matching API response with MAE/MFE fields
|
|
109
|
+
trades_schema = {
|
|
110
|
+
# Position identifiers
|
|
111
|
+
"final_position_id": pl.UInt32,
|
|
112
|
+
"position_id": pl.UInt32,
|
|
113
|
+
"direction": pl.Int32, # -1 for Short, 1 for Long
|
|
114
|
+
"status": pl.Boolean, # false = closed, true = open
|
|
115
|
+
|
|
116
|
+
# Entry details
|
|
117
|
+
"entry_idx": pl.UInt32,
|
|
118
|
+
"entry_time": pl.Datetime("ms"),
|
|
119
|
+
"entry_price": pl.Float64,
|
|
120
|
+
"entry_reason": pl.UInt32,
|
|
121
|
+
"favorable_entry_hypo_price": pl.Float64,
|
|
122
|
+
"adverse_entry_hypo_price": pl.Float64,
|
|
123
|
+
"favorable_entry_strategy": pl.UInt32,
|
|
124
|
+
"adverse_entry_strategy": pl.UInt32,
|
|
125
|
+
|
|
126
|
+
# Exit details
|
|
127
|
+
"exit_idx": pl.UInt32,
|
|
128
|
+
"exit_time": pl.Datetime("ms"),
|
|
129
|
+
"exit_price": pl.Float64,
|
|
130
|
+
"exit_reason": pl.UInt32,
|
|
131
|
+
"favorable_exit_hypo_price": pl.Float64,
|
|
132
|
+
"adverse_exit_hypo_price": pl.Float64,
|
|
133
|
+
"favorable_exit_strategy": pl.UInt32,
|
|
134
|
+
"adverse_exit_strategy": pl.UInt32,
|
|
135
|
+
|
|
136
|
+
# Holding period
|
|
137
|
+
"holding_seconds": pl.Int64,
|
|
138
|
+
"holding_bars": pl.UInt32,
|
|
139
|
+
|
|
140
|
+
# MAE/MFE metrics (Maximum Adverse/Favorable Excursion)
|
|
141
|
+
"g_mfe": pl.Float64, # Global Maximum Favorable Excursion
|
|
142
|
+
"mae": pl.Float64, # Maximum Adverse Excursion
|
|
143
|
+
"mfe": pl.Float64, # Maximum Favorable Excursion
|
|
144
|
+
"mae_lv1": pl.Float64, # MAE Level 1
|
|
145
|
+
"mhl": pl.Float64, # Maximum High/Low
|
|
146
|
+
|
|
147
|
+
# MAE/MFE indices (bar index where each occurred)
|
|
148
|
+
"g_mfe_idx": pl.UInt32,
|
|
149
|
+
"mae_idx": pl.UInt32,
|
|
150
|
+
"mfe_idx": pl.UInt32,
|
|
151
|
+
"mae_lv1_idx": pl.UInt32,
|
|
152
|
+
"mhl_idx": pl.UInt32,
|
|
153
|
+
|
|
154
|
+
# Volatility at each key point (typically ATR)
|
|
155
|
+
"entry_volatility": pl.Float64,
|
|
156
|
+
"exit_volatility": pl.Float64,
|
|
157
|
+
"g_mfe_volatility": pl.Float64,
|
|
158
|
+
"mae_volatility": pl.Float64,
|
|
159
|
+
"mfe_volatility": pl.Float64,
|
|
160
|
+
"mae_lv1_volatility": pl.Float64,
|
|
161
|
+
"mhl_volatility": pl.Float64,
|
|
162
|
+
|
|
163
|
+
# P&L metrics
|
|
164
|
+
"pnl": pl.Float64, # Absolute profit/loss
|
|
165
|
+
"pnl_pct": pl.Float64, # Percentage profit/loss
|
|
166
|
+
|
|
167
|
+
# Metadata
|
|
168
|
+
"strategy_name": pl.Utf8,
|
|
169
|
+
"blueprint_name": pl.Utf8,
|
|
170
|
+
}
|
|
171
|
+
|
|
172
|
+
# Performance Schema (from backtest-results export)
|
|
173
|
+
performance_schema = {
|
|
174
|
+
"strategy_name": pl.Utf8,
|
|
175
|
+
"total_trades": pl.Int64,
|
|
176
|
+
"win_trades": pl.Int64,
|
|
177
|
+
"loss_trades": pl.Int64,
|
|
178
|
+
"win_rate": pl.Float64,
|
|
179
|
+
"total_pnl": pl.Float64,
|
|
180
|
+
"avg_pnl": pl.Float64,
|
|
181
|
+
"max_drawdown": pl.Float64,
|
|
182
|
+
"sharpe_ratio": pl.Float64,
|
|
183
|
+
"sortino_ratio": pl.Float64,
|
|
184
|
+
"max_consecutive_wins": pl.Int64,
|
|
185
|
+
"max_consecutive_losses": pl.Int64,
|
|
186
|
+
}
|