tradingkit-py 0.1.0__py3-none-any.whl

tradingkit/__init__.py

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+"""
+tradingkit — pip-installable trading strategy framework.
+
+Quick start:
+    from tradingkit import Indicator, Strategy, Signal, BarContext, ta_indicator
+
+Writing an indicator:
+    from tradingkit import Indicator, IndicatorContext
+    import numpy as np
+
+    class WeightedRSI(Indicator):
+        def compute(self, ctx: IndicatorContext) -> np.ndarray:
+            rsi = ctx.ta.rsi(ctx.np.close, self.period)
+            return rsi * (ctx.np.volume / ctx.np.volume.mean())
+        def required_periods(self) -> int:
+            return self.period + 1
+
+Writing a strategy:
+    from tradingkit import Strategy, Signal, BarContext, ta_indicator
+
+    class MyStrategy(Strategy):
+        rsi = ta_indicator.rsi(period=14)
+        ema = ta_indicator.ema(period=50)
+
+        async def on_bar(self, bar: BarContext) -> Signal | None:
+            if bar.rsi < 30 and bar.close < bar.ema:
+                return Signal("entry", 0.8, metadata={"direction": "long"})
+            if bar.rsi > 70:
+                return Signal("exit", 0.7)
+"""
+
+# ── Indicator ────────────────────────────────────────────────────────
+from tradingkit.indicator import (
+    Indicator,
+    IndicatorContext,
+    IndicatorDeclaration,
+    ScriptIndicator,
+    JitIndicator,
+    CppIndicator,
+    ta_indicator,
+    load_indicator_plugin,
+)
+
+# ── Strategy ─────────────────────────────────────────────────────────
+from tradingkit.strategy import (
+    Strategy,
+    Signal,
+    BarContext,
+    ScriptStrategy,
+    CppStrategyPlugin,
+    load_strategy_plugin,
+    StrategyPlugin,
+)
+
+# ── Source ───────────────────────────────────────────────────────────
+from tradingkit.source import (
+    DataSource,
+    ScriptSource,
+)
+
+# ── Executor ─────────────────────────────────────────────────────────
+from tradingkit.executor import (
+    PluginExecutor,
+    LocalExecutor,
+    SubprocessExecutor,
+    RemoteExecutor,
+    CppRunnerPool,
+)
+
+# ── Pipeline ─────────────────────────────────────────────────────────
+from tradingkit.pipeline import (
+    Pipeline,
+    PipelineResult,
+)
+
+# ── Backtest ─────────────────────────────────────────────────────────
+from tradingkit.backtest import (
+    BacktestRunner,
+    BacktestResult,
+)
+
+# ── Collector ────────────────────────────────────────────────────────
+from tradingkit.collector import DataCollector
+
+# ── Aggregation ──────────────────────────────────────────────────────
+from tradingkit.aggregation import (
+    AggregationContext,
+    AggregationWorker,
+    AggregationScript,
+    load_aggregation_script,
+)
+
+# ── Application layer ────────────────────────────────────────────────
+from tradingkit.context import TradingContext
+from tradingkit.core.clickhouse import ClickHouseManager
+from tradingkit.core.resolver import DependencyResolver
+from tradingkit.core.timeframe import parse_timeframe
+
+
+__version__ = "0.1.0"
+
+__all__ = [
+    # Indicator
+    "Indicator",
+    "IndicatorContext",
+    "IndicatorDeclaration",
+    "ScriptIndicator",
+    "JitIndicator",
+    "CppIndicator",
+    "ta_indicator",
+    "load_indicator_plugin",
+    # Strategy
+    "Strategy",
+    "Signal",
+    "BarContext",
+    "ScriptStrategy",
+    "CppStrategyPlugin",
+    "load_strategy_plugin",
+    "StrategyPlugin",
+    # Source
+    "DataSource",
+    "ScriptSource",
+    # Executor
+    "PluginExecutor",
+    "LocalExecutor",
+    "SubprocessExecutor",
+    "RemoteExecutor",
+    "CppRunnerPool",
+    # Pipeline
+    "Pipeline",
+    "PipelineResult",
+    # Backtest
+    "BacktestRunner",
+    "BacktestResult",
+    # Collector
+    "DataCollector",
+    # Aggregation
+    "AggregationContext",
+    "AggregationWorker",
+    "AggregationScript",
+    "load_aggregation_script",
+    # Application
+    "TradingContext",
+    "ClickHouseManager",
+    "DependencyResolver",
+    "parse_timeframe",
+]

tradingkit/_docker/compiler/Dockerfile

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+FROM debian:12-slim
+RUN apt-get update && apt-get install -y --no-install-recommends gcc g++ && rm -rf /var/lib/apt/lists/*
+WORKDIR /build
+COPY compile.sh /compile.sh
+RUN chmod +x /compile.sh
+ENTRYPOINT ["/compile.sh"]

tradingkit/_docker/compiler/compile.sh

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+#!/bin/bash
+# Read C++ source from stdin, compile to .so, write to stdout.
+# Args: [std] [opt]  — defaults: c++20, -O2
+# Output on success: "SUCCESS\n" followed by raw .so bytes
+# Output on failure: "ERROR\n" followed by GCC stderr
+
+STD=${1:-c++20}
+OPT=${2:--O2}
+
+cat > /tmp/indicator.cpp
+g++ -shared -fPIC -std="$STD" "$OPT" -o /tmp/indicator.so /tmp/indicator.cpp 2>/tmp/gcc_stderr.txt
+
+if [ $? -eq 0 ]; then
+    printf "SUCCESS\n"
+    cat /tmp/indicator.so
+else
+    printf "ERROR\n"
+    cat /tmp/gcc_stderr.txt
+fi

tradingkit/_docker/runner/Dockerfile

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+FROM debian:12-slim
+RUN apt-get update && apt-get install -y --no-install-recommends \
+    python3 python3-pip \
+    && rm -rf /var/lib/apt/lists/*
+RUN pip3 install --no-cache-dir --break-system-packages pyarrow numpy
+COPY runner_worker.py /runner_worker.py
+ENTRYPOINT ["python3", "/runner_worker.py"]

tradingkit/_docker/runner/runner_worker.py

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+#!/usr/bin/env python3
+"""
+C++ indicator runner — Unix socket server.
+
+Listens on /run/cpp-runner/runner-{RUNNER_ID}.sock.
+Accepts length-prefixed pickle requests, executes compiled .so, returns results.
+
+Protocol (same as CppRunnerPool):
+  Request:  {"so": bytes, "candles": arrow_ipc_bytes, "params": json_str}
+  Response: {"values": float64_bytes} | {"error": str}
+
+ABI expected from the .so:
+  extern "C" void indicator_compute(
+      const double* close, const double* high, const double* low,
+      const double* open,  const double* volume,
+      int length, double* result, const char* params_json);
+"""
+from __future__ import annotations
+
+import asyncio
+import ctypes
+import logging
+import os
+import pickle
+import struct
+import tempfile
+
+import numpy as np
+import pyarrow as pa
+
+logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s: %(message)s")
+logger = logging.getLogger(__name__)
+
+SOCKET_DIR = os.environ.get("RUNNER_SOCKET_DIR", "/run/cpp-runner")
+RUNNER_ID  = os.environ.get("RUNNER_ID", "0")
+SOCK_PATH  = f"{SOCKET_DIR}/runner-{RUNNER_ID}.sock"
+
+
+def _load_so(so_bytes: bytes) -> ctypes.CDLL:
+    with tempfile.NamedTemporaryFile(suffix=".so", delete=False) as f:
+        f.write(so_bytes)
+        f.flush()
+        return ctypes.CDLL(f.name)
+
+
+def _run_indicator(so_bytes: bytes, candles_ipc: bytes, params_json: str) -> bytes:
+    buf = pa.py_buffer(candles_ipc)
+    reader = pa.ipc.open_stream(buf)
+    table = reader.read_all()
+
+    def _col(name: str) -> np.ndarray:
+        return np.asarray(table.column(name), dtype=np.float64)
+
+    close  = _col("close")
+    high   = _col("high")
+    low    = _col("low")
+    open_  = _col("open")
+    volume = _col("volume")
+    length = len(close)
+    result = np.zeros(length, dtype=np.float64)
+
+    lib = _load_so(so_bytes)
+    fn = lib.indicator_compute
+    fn.restype = None
+    fn.argtypes = [
+        ctypes.POINTER(ctypes.c_double),  # close
+        ctypes.POINTER(ctypes.c_double),  # high
+        ctypes.POINTER(ctypes.c_double),  # low
+        ctypes.POINTER(ctypes.c_double),  # open
+        ctypes.POINTER(ctypes.c_double),  # volume
+        ctypes.c_int,                      # length
+        ctypes.POINTER(ctypes.c_double),  # result
+        ctypes.c_char_p,                   # params_json
+    ]
+
+    fn(
+        close.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        high.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        low.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        open_.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        volume.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        ctypes.c_int(length),
+        result.ctypes.data_as(ctypes.POINTER(ctypes.c_double)),
+        params_json.encode(),
+    )
+    return result.tobytes()
+
+
+async def handle_client(reader: asyncio.StreamReader, writer: asyncio.StreamWriter) -> None:
+    try:
+        while True:
+            header = await reader.readexactly(4)
+            payload_len = struct.unpack(">I", header)[0]
+            raw = await reader.readexactly(payload_len)
+            req = pickle.loads(raw)
+
+            try:
+                values_bytes = _run_indicator(
+                    req["so"],
+                    req["data"],
+                    req.get("params", "{}"),
+                )
+                response = {"values": values_bytes}
+            except Exception as exc:
+                logger.exception("indicator_compute failed")
+                response = {"error": str(exc)}
+
+            resp_bytes = pickle.dumps(response)
+            writer.write(struct.pack(">I", len(resp_bytes)) + resp_bytes)
+            await writer.drain()
+    except (asyncio.IncompleteReadError, ConnectionResetError):
+        pass
+    finally:
+        writer.close()
+
+
+async def main() -> None:
+    os.makedirs(SOCKET_DIR, exist_ok=True)
+    if os.path.exists(SOCK_PATH):
+        os.unlink(SOCK_PATH)
+
+    server = await asyncio.start_unix_server(handle_client, path=SOCK_PATH)
+    try:
+        # 0o666, not 0o660: this container runs as root, but whoever connects doesn't
+        # necessarily -- the app container's UID in production, or a bare non-root CI
+        # runner process in tests (neither of which this image controls or can predict).
+        # 660 would restrict the socket to root:root, so anything not running as root
+        # gets EACCES on connect(). The real isolation boundary is network=none + seccomp
+        # + which processes can even see this shared path at all, not the socket's own
+        # owner/group bits.
+        os.chmod(SOCK_PATH, 0o666)
+    except OSError as exc:
+        # Some bind-mount backends (observed: Docker Desktop's virtiofs) reject chmod on
+        # socket special files outright with EINVAL. Not worth crashing the runner over.
+        logger.warning("Could not chmod %s to 0o666: %s", SOCK_PATH, exc)
+    logger.info("Runner %s listening on %s", RUNNER_ID, SOCK_PATH)
+
+    async with server:
+        await server.serve_forever()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

tradingkit/_docker/runner/seccomp.json

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+{
+  "defaultAction": "SCMP_ACT_ERRNO",
+  "architectures": [
+    "SCMP_ARCH_X86_64", "SCMP_ARCH_X86", "SCMP_ARCH_X32",
+    "SCMP_ARCH_AARCH64", "SCMP_ARCH_ARM"
+  ],
+  "syscalls": [
+    {
+      "names": [
+        "accept", "accept4", "access", "arch_prctl",
+        "bind", "brk",
+        "capget", "capset", "chdir", "chmod", "clock_getres", "clock_gettime",
+        "clock_nanosleep", "clone", "clone3", "close", "close_range", "connect",
+        "dup", "dup2", "dup3",
+        "epoll_create1", "epoll_ctl", "epoll_pwait", "epoll_wait", "eventfd2",
+        "execve", "exit", "exit_group",
+        "faccessat", "faccessat2", "fchdir", "fchmod", "fchmodat", "fcntl",
+        "fstat", "fstatfs", "futex",
+        "getcwd", "getdents64", "getegid", "geteuid", "getgid", "getpeername",
+        "getpid", "getppid", "getrandom", "getsockname", "getsockopt", "gettid",
+        "gettimeofday", "getuid",
+        "ioctl",
+        "listen", "lseek", "lstat",
+        "madvise", "mkdir", "mkdirat", "mmap", "mprotect", "mremap", "msync",
+        "munmap",
+        "nanosleep", "newfstatat",
+        "open", "openat",
+        "pipe", "pipe2", "poll", "ppoll", "prctl", "pread64", "prlimit64",
+        "pselect6", "pwrite64",
+        "read", "readlink", "readlinkat", "readv", "recvfrom", "recvmsg",
+        "restart_syscall", "rseq", "rt_sigaction", "rt_sigprocmask",
+        "rt_sigreturn", "rt_sigtimedwait",
+        "select", "sendmsg", "sendto", "set_robust_list", "set_tid_address",
+        "setgid", "setgroups", "setns", "setresgid", "setresuid", "setsockopt",
+        "setuid", "shutdown", "sigaltstack", "socket", "socketpair", "stat",
+        "statfs", "statx", "sysinfo",
+        "tgkill",
+        "uname", "unlink", "unlinkat", "unshare",
+        "wait4", "write", "writev"
+      ],
+      "action": "SCMP_ACT_ALLOW"
+    }
+  ]
+}