vectorbt 0.26.2__tar.gz → 0.27.0__tar.gz

{vectorbt-0.26.2/vectorbt.egg-info → vectorbt-0.27.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: vectorbt
-Version: 0.26.2
+Version: 0.27.0
 Summary: Python library for backtesting and analyzing trading strategies at scale
 Home-page: https://github.com/polakowo/vectorbt
 Author: Oleg Polakow
@@ -25,7 +25,7 @@ Classifier: Topic :: Scientific/Engineering :: Information Analysis
 Requires-Python: >=3.6
 Description-Content-Type: text/markdown
 License-File: LICENSE.md
-Requires-Dist: numpy<2.0.0,>=1.16.5
+Requires-Dist: numpy>=1.16.5
 Requires-Dist: pandas
 Requires-Dist: scipy
 Requires-Dist: matplotlib
@@ -48,7 +48,7 @@ Provides-Extra: full
 Requires-Dist: yfinance>=0.2.22; extra == "full"
 Requires-Dist: python-binance; extra == "full"
 Requires-Dist: ccxt>=4.0.14; extra == "full"
-Requires-Dist: alpaca-trade-api>=1.4.3; extra == "full"
+Requires-Dist: alpaca-py; extra == "full"
 Requires-Dist: ray>=1.4.1; extra == "full"
 Requires-Dist: ta; extra == "full"
 Requires-Dist: pandas_ta; extra == "full"

{vectorbt-0.26.2 → vectorbt-0.27.0}/setup.py

@@ -21,7 +21,7 @@ setup(
         'vectorbt': ['templates/*.json']
     },
     install_requires=[
-        'numpy>=1.16.5, <2.0.0',
+        'numpy>=1.16.5',
         'pandas',
         'scipy',
         'matplotlib',
@@ -46,7 +46,7 @@ setup(
             'yfinance>=0.2.22',
             'python-binance',
             'ccxt>=4.0.14',
-            'alpaca-trade-api>=1.4.3',
+            'alpaca-py',
             'ray>=1.4.1',
             'ta',
             'pandas_ta',

{vectorbt-0.26.2 → vectorbt-0.27.0}/tests/test_indicators.py

@@ -1020,9 +1020,9 @@ class TestFactory:
                 (1, 'c')
             ], names=['custom_p', None])
         )
-        assert F.from_apply_func(apply_func).run(ts, [0, 1])._in_out.dtype == np.float_
-        assert F.from_apply_func(apply_func, in_output_settings={'in_out': {'dtype': np.int_}}) \
-                   .run(ts, [0, 1])._in_out.dtype == np.int_
+        assert F.from_apply_func(apply_func).run(ts, [0, 1])._in_out.dtype == np.float64
+        assert F.from_apply_func(apply_func, in_output_settings={'in_out': {'dtype': np.int64}}) \
+                   .run(ts, [0, 1])._in_out.dtype == np.int64
         pd.testing.assert_frame_equal(
             F.from_apply_func(apply_func, in_out=-1).run(ts, [0, 1]).in_out,
             target
@@ -1113,12 +1113,12 @@ class TestFactory:
             ], names=['custom_p', None])
         )
         pd.testing.assert_frame_equal(
-            F.from_apply_func(apply_func, in_output_settings=dict(in_out=dict(dtype=np.int_)))
+            F.from_apply_func(apply_func, in_output_settings=dict(in_out=dict(dtype=np.int64)))
                 .run([0, 1], input_shape=ts.shape, input_index=ts.index, input_columns=ts.columns).in_out,
             target
         )
         pd.testing.assert_frame_equal(
-            F.from_apply_func(apply_func_nb, numba_loop=True, in_output_settings=dict(in_out=dict(dtype=np.int_)))
+            F.from_apply_func(apply_func_nb, numba_loop=True, in_output_settings=dict(in_out=dict(dtype=np.int64)))
                 .run([0, 1], input_shape=ts.shape, input_index=ts.index, input_columns=ts.columns).in_out,
             target
         )
@@ -2104,7 +2104,7 @@ class TestFactory:
             input_names=['ts'], output_names=['o1', 'o2'], in_output_names=['in_out'], param_names=['p1', 'p2'],
             attr_settings={
                 'ts': {'dtype': None},
-                'o1': {'dtype': np.float_},
+                'o1': {'dtype': np.float64},
                 'o2': {'dtype': np.bool_},
                 'in_out': {'dtype': TestEnum}
             }

{vectorbt-0.26.2 → vectorbt-0.27.0}/tests/test_portfolio.py

@@ -3816,7 +3816,7 @@ class TestFromOrderFunc:
             order_size = np.copy(target_hold_value[c.i, c.from_col:c.to_col])
             order_size_type = np.full(c.group_len, SizeType.TargetValue)
             direction = np.full(c.group_len, Direction.Both)
-            order_value_out = np.empty(c.group_len, dtype=np.float_)
+            order_value_out = np.empty(c.group_len, dtype=np.float64)
             c.last_val_price[c.from_col:c.to_col] = c.close[c.i, c.from_col:c.to_col]
             nb.sort_call_seq_nb(c, order_size, order_size_type, direction, order_value_out)
             return order_size, order_size_type, direction
@@ -4064,12 +4064,12 @@ class TestFromOrderFunc:
             [-1, -1, -1],
             [1, 1, 1]
         ])
-        value_arr1 = np.empty((size.shape[0], 2), dtype=np.float_)
-        value_arr2 = np.empty(size.shape, dtype=np.float_)
-        value_arr3 = np.empty(size.shape, dtype=np.float_)
-        return_arr1 = np.empty((size.shape[0], 2), dtype=np.float_)
-        return_arr2 = np.empty(size.shape, dtype=np.float_)
-        return_arr3 = np.empty(size.shape, dtype=np.float_)
+        value_arr1 = np.empty((size.shape[0], 2), dtype=np.float64)
+        value_arr2 = np.empty(size.shape, dtype=np.float64)
+        value_arr3 = np.empty(size.shape, dtype=np.float64)
+        return_arr1 = np.empty((size.shape[0], 2), dtype=np.float64)
+        return_arr2 = np.empty(size.shape, dtype=np.float64)
+        return_arr3 = np.empty(size.shape, dtype=np.float64)
         pos_record_arr1 = np.empty(size.shape, dtype=trade_dt)
         pos_record_arr2 = np.empty(size.shape, dtype=trade_dt)
         pos_record_arr3 = np.empty(size.shape, dtype=trade_dt)
@@ -4233,14 +4233,14 @@ class TestFromOrderFunc:
             ], dtype=trade_dt)
         )
 
-        cash_arr = np.empty((size.shape[0], 2), dtype=np.float_)
-        position_arr = np.empty(size.shape, dtype=np.float_)
-        val_price_arr = np.empty(size.shape, dtype=np.float_)
-        value_arr = np.empty((size.shape[0], 2), dtype=np.float_)
-        return_arr = np.empty((size.shape[0], 2), dtype=np.float_)
-        sim_order_cash_arr = np.empty(size.shape, dtype=np.float_)
-        sim_order_value_arr = np.empty(size.shape, dtype=np.float_)
-        sim_order_return_arr = np.empty(size.shape, dtype=np.float_)
+        cash_arr = np.empty((size.shape[0], 2), dtype=np.float64)
+        position_arr = np.empty(size.shape, dtype=np.float64)
+        val_price_arr = np.empty(size.shape, dtype=np.float64)
+        value_arr = np.empty((size.shape[0], 2), dtype=np.float64)
+        return_arr = np.empty((size.shape[0], 2), dtype=np.float64)
+        sim_order_cash_arr = np.empty(size.shape, dtype=np.float64)
+        sim_order_value_arr = np.empty(size.shape, dtype=np.float64)
+        sim_order_return_arr = np.empty(size.shape, dtype=np.float64)
 
         def post_order_func_nb(c):
             sim_order_cash_arr[c.i, c.col] = c.cash_now
@@ -4644,8 +4644,8 @@ class TestFromOrderFunc:
             [-5, 5, -10],
             [-5, 5, 10]
         ])
-        debt = np.empty(price_wide.shape, dtype=np.float_)
-        free_cash = np.empty(price_wide.shape, dtype=np.float_)
+        debt = np.empty(price_wide.shape, dtype=np.float64)
+        free_cash = np.empty(price_wide.shape, dtype=np.float64)
         pf = vbt.Portfolio.from_order_func(
             price_wide,
             order_func, size,
@@ -4680,8 +4680,8 @@ class TestFromOrderFunc:
             pf.cash(free=True).values
         )
 
-        debt = np.empty(price_wide.shape, dtype=np.float_)
-        free_cash = np.empty(price_wide.shape, dtype=np.float_)
+        debt = np.empty(price_wide.shape, dtype=np.float64)
+        free_cash = np.empty(price_wide.shape, dtype=np.float64)
         pf = vbt.Portfolio.from_order_func(
             price_wide.vbt.wrapper.wrap(price_wide.values[::-1]),
             order_func, size,
@@ -4716,8 +4716,8 @@ class TestFromOrderFunc:
             pf.cash(free=True).values
         )
 
-        debt = np.empty(price_wide.shape, dtype=np.float_)
-        free_cash = np.empty((price_wide.shape[0], 2), dtype=np.float_)
+        debt = np.empty(price_wide.shape, dtype=np.float64)
+        free_cash = np.empty((price_wide.shape[0], 2), dtype=np.float64)
         pf = vbt.Portfolio.from_order_func(
             price_wide,
             order_func, size,

{vectorbt-0.26.2 → vectorbt-0.27.0}/tests/test_records.py

@@ -2345,7 +2345,7 @@ close = pd.Series([1, 2, 3, 4, 5, 6, 7, 8], index=[
     datetime(2020, 1, 8)
 ]).vbt.tile(4, keys=['a', 'b', 'c', 'd'])
 
-size = np.full(close.shape, np.nan, dtype=np.float_)
+size = np.full(close.shape, np.nan, dtype=np.float64)
 size[:, 0] = [1, 0.1, -1, -0.1, np.nan, 1, -1, 2]
 size[:, 1] = [-1, -0.1, 1, 0.1, np.nan, -1, 1, -2]
 size[:, 2] = [1, 0.1, -1, -0.1, np.nan, 1, -2, 2]

{vectorbt-0.26.2 → vectorbt-0.27.0}/tests/test_signals.py

@@ -175,7 +175,7 @@ class TestAccessors:
             temp_int[0] = from_i
             return temp_int[:1]
 
-        temp_int = np.empty((mask.shape[0],), dtype=np.int_)
+        temp_int = np.empty((mask.shape[0],), dtype=np.int64)
 
         en, ex = pd.Series.vbt.signals.generate_both(
             5, entry_func_nb, (temp_int,), exit_func_nb, (temp_int,),
@@ -321,7 +321,7 @@ class TestAccessors:
             temp_int[0] = from_i
             return temp_int[:1]
 
-        temp_int = np.empty((mask.shape[0],), dtype=np.int_)
+        temp_int = np.empty((mask.shape[0],), dtype=np.int64)
 
         pd.testing.assert_series_equal(
             mask['a'].vbt.signals.generate_exits(choice_func_nb, temp_int),
@@ -768,7 +768,7 @@ class TestAccessors:
         a = np.full(n * 2, 0.)
         for i in range(10000):
             en, ex = pd.Series.vbt.signals.generate_random_both(1000, n, entry_wait=2, exit_wait=2)
-            _a = np.empty((n * 2,), dtype=np.int_)
+            _a = np.empty((n * 2,), dtype=np.int64)
             _a[0::2] = np.flatnonzero(en)
             _a[1::2] = np.flatnonzero(ex)
             a += _a
@@ -2130,7 +2130,7 @@ class TestFactory:
             ),
             in_output_settings=dict(
                 in_out2=dict(
-                    dtype=np.float_
+                    dtype=np.float64
                 )
             ),
             in_out2=np.nan,
@@ -2183,7 +2183,7 @@ class TestFactory:
             ),
             in_output_settings=dict(
                 in_out2=dict(
-                    dtype=np.float_
+                    dtype=np.float64
                 )
             ),
             in_out2=np.nan,
@@ -2286,7 +2286,7 @@ class TestFactory:
             ),
             in_output_settings=dict(
                 in_out2=dict(
-                    dtype=np.float_
+                    dtype=np.float64
                 )
             ),
             in_out2=np.nan,
@@ -2430,10 +2430,10 @@ class TestFactory:
             ),
             in_output_settings=dict(
                 in_out1=dict(
-                    dtype=np.float_
+                    dtype=np.float64
                 ),
                 in_out2=dict(
-                    dtype=np.float_
+                    dtype=np.float64
                 )
             ),
             in_out1=np.nan,

{vectorbt-0.26.2 → vectorbt-0.27.0}/tests/test_utils.py

@@ -1861,11 +1861,11 @@ class TestChecks:
             checks.assert_instance_of(0, np.zeros(1))
 
     def test_assert_dtype(self):
-        checks.assert_dtype(np.zeros(1), np.float_)
-        checks.assert_dtype(pd.Series([1, 2, 3]), np.int_)
-        checks.assert_dtype(pd.DataFrame({'a': [1, 2], 'b': [3, 4]}), np.int_)
+        checks.assert_dtype(np.zeros(1), np.float64)
+        checks.assert_dtype(pd.Series([1, 2, 3]), np.int64)
+        checks.assert_dtype(pd.DataFrame({'a': [1, 2], 'b': [3, 4]}), np.int64)
         with pytest.raises(Exception):
-            checks.assert_dtype(pd.DataFrame({'a': [1, 2], 'b': [3., 4.]}), np.int_)
+            checks.assert_dtype(pd.DataFrame({'a': [1, 2], 'b': [3., 4.]}), np.int64)
 
     def test_assert_subdtype(self):
         checks.assert_subdtype([0], np.number)

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/_settings.py

@@ -165,7 +165,7 @@ settings = SettingsConfig(
             missing_columns='raise',
             alpaca=Config(
                 dict(
-                    key_id=None,
+                    api_key=None,
                     secret_key=None
                 )
             ),

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/_version.py

@@ -1,4 +1,4 @@
 # Copyright (c) 2021 Oleg Polakow. All rights reserved.
 # This code is licensed under Apache 2.0 with Commons Clause license (see LICENSE.md for details)
 
-__version__ = "0.26.2"
+__version__ = "0.27.0"

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/base/array_wrapper.py

@@ -608,7 +608,7 @@ class ArrayWrapper(Configured, PandasIndexer):
 
         if to_index:
             if dtype is None:
-                dtype = np.int_
+                dtype = np.int64
             if fillna is None:
                 fillna = -1
 

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/base/column_grouper.py

@@ -71,7 +71,7 @@ def get_groups_and_index(index: tp.Index, group_by: tp.GroupByLike) -> tp.Tuple[
 @njit(cache=True)
 def get_group_lens_nb(groups: tp.Array1d) -> tp.Array1d:
     """Return count per group."""
-    result = np.empty(groups.shape[0], dtype=np.int_)
+    result = np.empty(groups.shape[0], dtype=np.int64)
     j = 0
     last_group = -1
     group_len = 0

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/base/index_fns.py

@@ -244,7 +244,7 @@ def drop_duplicate_levels(index: tp.Index, keep: tp.Optional[str] = None) -> tp.
 @njit(cache=True)
 def _align_index_to_nb(a: tp.Array1d, b: tp.Array1d) -> tp.Array1d:
     """Return indices required to align `a` to `b`."""
-    idxs = np.empty(b.shape[0], dtype=np.int_)
+    idxs = np.empty(b.shape[0], dtype=np.int64)
     g = 0
     for i in range(b.shape[0]):
         for j in range(a.shape[0]):

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/data/base.py

@@ -92,7 +92,7 @@ Updating can be implemented by overriding the `Data.update_symbol` instance meth
 the same arguments as `Data.download_symbol`. In contrast to the download method, the update
 method is an instance method and can access the data downloaded earlier. It can also access the
 keyword arguments initially passed to the download method, accessible under `Data.download_kwargs`.
-Those arguments can be used as default arguments and overriden by arguments passed directly
+Those arguments can be used as default arguments and overridden by arguments passed directly
 to the update method, using `vectorbt.utils.config.merge_dicts`.
 
 Let's define an update method that updates the latest data point and adds two news data points.

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/data/custom.py

@@ -196,7 +196,7 @@ class YFData(Data):
         ...     end='2021-04-12 09:35:00 -0400',
         ...     interval='1m'
         ... )
-        >>> yf_data.get())
+        >>> yf_data.get()
                                          Open        High         Low       Close  \\
         Datetime
         2021-04-12 13:30:00+00:00  685.080017  685.679993  684.765015  685.679993
@@ -759,7 +759,7 @@ class CCXTData(Data):
 
 
 class AlpacaData(Data):
-    """`Data` for data coming from `alpaca-trade-api`.
+    """`Data` for data coming from `alpaca-py`.
 
     Sign up for Alpaca API keys under https://app.alpaca.markets/signup.
     
@@ -815,7 +815,7 @@ class AlpacaData(Data):
                         end: tp.DatetimeLike = 'now UTC',
                         adjustment: tp.Optional[str] = 'all',
                         limit: int = 500,
-                        exchange: tp.Optional[str] = 'CBSE',
+                        feed: tp.Optional[str] = None,
                         **kwargs) -> tp.Frame:
         """Download the symbol.
 
@@ -839,17 +839,25 @@ class AlpacaData(Data):
 
                 Allowed are `raw`, `split`, `dividend` or `all`.
             limit (int): The maximum number of returned items.
-            exchange (str): For crypto symbols. Which exchange you wish to retrieve data from.
+            feed (str): The feed to pull market data from.
 
-                Allowed are `FTX`, `ERSX`, `CBSE`
+                This is either "iex", "otc", or "sip". Feeds "sip" and "otc" are only available to
+                those with a subscription. Default is "iex" for free plans and "sip" for paid.
 
         For defaults, see `data.alpaca` in `vectorbt._settings.settings`.
         """
         from vectorbt._settings import settings
-        from alpaca_trade_api.rest import TimeFrameUnit, TimeFrame, REST
+        from alpaca.data.timeframe import TimeFrame, TimeFrameUnit
+        from alpaca.data.requests import CryptoBarsRequest, StockBarsRequest
+        from alpaca.data.historical import CryptoHistoricalDataClient, StockHistoricalDataClient
 
         alpaca_cfg = settings['data']['alpaca']
 
+        if "/" in symbol:
+            REST = CryptoHistoricalDataClient
+        else:
+            REST = StockHistoricalDataClient
+
         client_kwargs = dict()
         for k in get_func_kwargs(REST):
             if k in kwargs:
@@ -878,27 +886,24 @@ class AlpacaData(Data):
         start_ts = to_tzaware_datetime(start, tz=get_utc_tz()).isoformat()
         end_ts = to_tzaware_datetime(end, tz=get_utc_tz()).isoformat()
 
-        def _is_crypto_symbol(symbol):
-            return len(symbol) == 6 and "USD" in symbol
-
-        if _is_crypto_symbol(symbol):
-            df = client.get_crypto_bars(
-                symbol=symbol,
+        if "/" in symbol:
+            df = client.get_crypto_bars(CryptoBarsRequest(
+                symbol_or_symbols=symbol,
                 timeframe=_timeframe,
                 start=start_ts,
                 end=end_ts,
                 limit=limit,
-                exchanges=exchange
-            ).df
+            )).df
         else:
-            df = client.get_bars(
-                symbol=symbol,
+            df = client.get_stock_bars(StockBarsRequest(
+                symbol_or_symbols=symbol,
                 timeframe=_timeframe,
                 start=start_ts,
                 end=end_ts,
                 adjustment=adjustment,
-                limit=limit
-            ).df
+                limit=limit,
+                feed=feed,
+            )).df
 
         # filter for OHLCV
         # remove extra columns
@@ -911,7 +916,6 @@ class AlpacaData(Data):
             'low': 'Low',
             'close': 'Close',
             'volume': 'Volume',
-            'exchange': 'Exchange'
         }, inplace=True)
 
         df['Open'] = df['Open'].astype(float)

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/generic/accessors.py

@@ -773,7 +773,7 @@ class GenericAccessor(BaseAccessor, StatsBuilderMixin, PlotsBuilderMixin, metacl
             name_or_index='reduce' if not returns_array else None,
             to_index=returns_idx and to_index,
             fillna=-1 if returns_idx else None,
-            dtype=np.int_ if returns_idx else None
+            dtype=np.int64 if returns_idx else None
         ), wrap_kwargs)
         return self.wrapper.wrap_reduced(out, group_by=group_by, **wrap_kwargs)
 
@@ -865,7 +865,7 @@ class GenericAccessor(BaseAccessor, StatsBuilderMixin, PlotsBuilderMixin, metacl
 
     def count(self, group_by: tp.GroupByLike = None, wrap_kwargs: tp.KwargsLike = None) -> tp.MaybeSeries:
         """Return count of non-NaN elements."""
-        wrap_kwargs = merge_dicts(dict(name_or_index='count', dtype=np.int_), wrap_kwargs)
+        wrap_kwargs = merge_dicts(dict(name_or_index='count', dtype=np.int64), wrap_kwargs)
         if self.wrapper.grouper.is_grouped(group_by=group_by):
             return self.reduce(nb.count_reduce_nb, group_by=group_by, flatten=True, wrap_kwargs=wrap_kwargs)
 

{vectorbt-0.26.2 → vectorbt-0.27.0}/vectorbt/generic/enums.py

@@ -56,11 +56,11 @@ __pdoc__['DrawdownStatus'] = f"""Drawdown status.
 # ############# Records ############# #
 
 range_dt = np.dtype([
-    ('id', np.int_),
-    ('col', np.int_),
-    ('start_idx', np.int_),
-    ('end_idx', np.int_),
-    ('status', np.int_)
+    ('id', np.int64),
+    ('col', np.int64),
+    ('start_idx', np.int64),
+    ('end_idx', np.int64),
+    ('status', np.int64)
 ], align=True)
 """_"""
 
@@ -72,16 +72,16 @@ __pdoc__['range_dt'] = f"""`np.dtype` of range records.
 """
 
 drawdown_dt = np.dtype([
-    ('id', np.int_),
-    ('col', np.int_),
-    ('peak_idx', np.int_),
-    ('start_idx', np.int_),
-    ('valley_idx', np.int_),
-    ('end_idx', np.int_),
-    ('peak_val', np.float_),
-    ('valley_val', np.float_),
-    ('end_val', np.float_),
-    ('status', np.int_),
+    ('id', np.int64),
+    ('col', np.int64),
+    ('peak_idx', np.int64),
+    ('start_idx', np.int64),
+    ('valley_idx', np.int64),
+    ('end_idx', np.int64),
+    ('peak_val', np.float64),
+    ('valley_val', np.float64),
+    ('end_val', np.float64),
+    ('status', np.int64),
 ], align=True)
 """_"""