walrasquant-lib 0.4.26__tar.gz → 0.4.28__tar.gz

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: walrasquant-lib
-Version: 0.4.26
+Version: 0.4.28
 Summary: fastest python trading bot
 Author: River-Shi
 Author-email: River-Shi <nachuan.shi.quant@gmail.com>
@@ -25,7 +25,7 @@ Requires-Dist: rich>=14.0.0
 Requires-Dist: picows>=2.1.1
 Requires-Dist: nexuscore-lib>=0.2.1
 Requires-Dist: flashduty-lib>=0.2.0
-Requires-Dist: nexuslog-lib>=0.8.0
+Requires-Dist: nexuslog-lib>=0.9.0
 Requires-Dist: msgspec>=0.21.1
 Requires-Dist: pandas<3.0.0
 Requires-Dist: numpy>=2.2.0

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "walrasquant-lib"
-version = "0.4.26"
+version = "0.4.28"
 description = "fastest python trading bot"
 authors = [
     {name = "River-Shi",email = "nachuan.shi.quant@gmail.com"}
@@ -29,7 +29,7 @@ dependencies = [
     "picows>=2.1.1",
     "nexuscore-lib>=0.2.1",
     "flashduty-lib>=0.2.0",
-    "nexuslog-lib>=0.8.0",
+    "nexuslog-lib>=0.9.0",
     "msgspec>=0.21.1",
     "pandas<3.0.0",
     "numpy>=2.2.0",

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/base/ems.py

@@ -168,6 +168,40 @@ class ExecutionManagementSystem(ABC):
         self._build_order_submit_queues()
         self._set_account_type()
 
+    @staticmethod
+    def _quantize_step(
+        value: float,
+        step: float | str,
+        mode: Literal["round", "ceil", "floor"] = "round",
+    ) -> Decimal:
+        """
+        Snap ``value`` to the nearest integer multiple of ``step``.
+
+        Unlike ``Decimal.quantize`` (which aligns to a number of decimal
+        places), this aligns to the actual step value, so it is correct for
+        arbitrary steps such as tick sizes of 0.5 or 0.2 as well as the usual
+        powers of ten. The result is normalized to the number of decimal places
+        implied by ``step`` so its string form matches decimal-place rounding
+        for power-of-ten / integer steps (no spurious trailing zeros).
+
+        ``step`` arrives either as a float (ccxt ``market.precision``) or a str
+        (exchange-native tick fields); both are normalized via ``Decimal(str())``
+        to avoid binary-float error.
+        """
+        rounding = {
+            "round": ROUND_HALF_UP,
+            "ceil": ROUND_CEILING,
+            "floor": ROUND_FLOOR,
+        }[mode]
+        value_decimal = Decimal(str(value))
+        step_decimal = Decimal(str(step))
+        multiples = (value_decimal / step_decimal).quantize(
+            Decimal("1"), rounding=rounding
+        )
+        result = multiples * step_decimal
+        ndigits = max(0, -step_decimal.normalize().as_tuple().exponent)
+        return result.quantize(Decimal(1).scaleb(-ndigits))
+
     def _amount_to_precision(
         self,
         symbol: str,
@@ -178,29 +212,7 @@ class ExecutionManagementSystem(ABC):
         Convert the amount to the precision of the market
         """
         market = self._market[symbol]
-        amount_decimal: Decimal = Decimal(str(amount))
-        precision = market.precision.amount
-
-        if precision >= 1:
-            exp = Decimal(int(precision))
-            precision_decimal = Decimal("1")
-        else:
-            exp = Decimal("1")
-            precision_decimal = Decimal(str(precision))
-
-        if mode == "round":
-            format_amount = (amount_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_HALF_UP
-            ) * exp
-        elif mode == "ceil":
-            format_amount = (amount_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_CEILING
-            ) * exp
-        elif mode == "floor":
-            format_amount = (amount_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_FLOOR
-            ) * exp
-        return format_amount
+        return self._quantize_step(amount, market.precision.amount, mode)
 
     def _price_to_precision(
         self,
@@ -212,30 +224,7 @@ class ExecutionManagementSystem(ABC):
         Convert the price to the precision of the market
         """
         market = self._market[symbol]
-        price_decimal: Decimal = Decimal(str(price))
-
-        decimal = market.precision.price
-
-        if decimal >= 1:
-            exp = Decimal(int(decimal))
-            precision_decimal = Decimal("1")
-        else:
-            exp = Decimal("1")
-            precision_decimal = Decimal(str(decimal))
-
-        if mode == "round":
-            format_price = (price_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_HALF_UP
-            ) * exp
-        elif mode == "ceil":
-            format_price = (price_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_CEILING
-            ) * exp
-        elif mode == "floor":
-            format_price = (price_decimal / exp).quantize(
-                precision_decimal, rounding=ROUND_FLOOR
-            ) * exp
-        return format_price
+        return self._quantize_step(price, market.precision.price, mode)
 
     @abstractmethod
     def _instrument_id_to_account_type(

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/config.py

@@ -21,6 +21,8 @@ class LogConfig:
         color: ANSI colorization of log output. "auto" colors only when writing
             to a color-capable terminal, "off" disables it, "always" forces it
             even for files and pipes.
+        format: Output line format. "logfmt" (default) or "json" (NDJSON,
+            recommended for shipping logs to Vector/Fluentd -> a DB).
     """
 
     filename: Literal["auto"] | str | None = None
@@ -29,6 +31,7 @@ class LogConfig:
     unix_ts: bool = False
     batch_size: int = 1
     color: Literal["auto", "off", "always"] = "auto"
+    format: Literal["logfmt", "json"] = "logfmt"
 
     def __post_init__(self):
         if self.level not in ["TRACE", "DEBUG", "INFO", "WARNING", "ERROR"]:
@@ -48,6 +51,11 @@ class LogConfig:
                 f"Invalid color: {self.color}. Must be one of auto, off, always."
             )
 
+        if self.format not in ["logfmt", "json"]:
+            raise ValueError(
+                f"Invalid format: {self.format}. Must be one of logfmt, json."
+            )
+
 
 @dataclass
 class BasicConfig:

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/constants.py

@@ -225,6 +225,7 @@ class ExchangeType(Enum):
     BYBIT = "bybit"
     HYPERLIQUID = "hyperliquid"
     BITGET = "bitget"
+    DERIBIT = "deribit"
 
 
 class AccountType(Enum):

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/core/nautilius_core.py

@@ -1,7 +1,7 @@
 from __future__ import annotations
 
 from importlib import import_module
-from typing import Any, Mapping
+from typing import Any, Literal, Mapping
 
 import nexuslog as logging
 from walrasquant.constants import settings
@@ -54,7 +54,8 @@ def setup_nexus_core(
     name_levels: Mapping[str | None, str] | None = None,
     unix_ts: bool = False,
     batch_size: int | None = None,
-    color: str = "auto",
+    color: Literal["auto", "off", "always"] = "auto",
+    format: Literal["logfmt", "json"] = "logfmt",
 ) -> tuple[Any, Any]:
     """
     Setup logging for the application using nexuslog and initialize MessageBus and Clock.
@@ -65,6 +66,7 @@ def setup_nexus_core(
         level: Minimum log level to record (TRACE, DEBUG, INFO, WARNING, ERROR)
         unix_ts: If True, emit unix timestamps instead of formatted local time.
         color: ANSI colorization mode ("auto", "off", "always").
+        format: Output line format ("logfmt" or "json").
 
     Returns:
         tuple: (msgbus, clock) - MessageBus and LiveClock instances
@@ -101,6 +103,7 @@ def setup_nexus_core(
         unix_ts=unix_ts,
         batch_size=batch_size,
         color=color,
+        format=format,
     )
 
     return msgbus, clock

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/engine.py

@@ -75,6 +75,7 @@ class Engine:
             unix_ts=self._config.log_config.unix_ts,
             batch_size=self._config.log_config.batch_size,
             color=self._config.log_config.color,
+            format=self._config.log_config.format,
         )
 
         # Create logger instance for Engine

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/exchange/__init__.py

@@ -3,6 +3,7 @@ from walrasquant.exchange.bybit import BybitAccountType
 from walrasquant.exchange.okx import OkxAccountType
 from walrasquant.exchange.hyperliquid import HyperLiquidAccountType
 from walrasquant.exchange.bitget import BitgetAccountType
+from walrasquant.exchange.deribit import DeribitAccountType
 
 __all__ = [
     "BinanceAccountType",
@@ -10,4 +11,5 @@ __all__ = [
     "OkxAccountType",
     "HyperLiquidAccountType",
     "BitgetAccountType",
+    "DeribitAccountType",
 ]

{walrasquant_lib-0.4.26 → walrasquant_lib-0.4.28}/src/walrasquant/exchange/bitget/ems.py

@@ -1,7 +1,6 @@
 from typing import Dict, cast
 from decimal import Decimal
 from typing import Literal
-from decimal import ROUND_HALF_UP, ROUND_CEILING, ROUND_FLOOR
 
 from walrasquant.constants import AccountType
 from walrasquant.schema import (
@@ -124,26 +123,11 @@ class BitgetExecutionManagementSystem(ExecutionManagementSystem):
         mode: Literal["round", "ceil", "floor"] = "round",
     ) -> Decimal:
         market = self._market[symbol]
+        # Spot amount precision is a plain ccxt step handled by the base class;
+        # derivatives quantize to the contract sizeMultiplier.
         if market.spot:
             return super()._amount_to_precision(symbol, amount, mode)
-        else:
-            amount: Decimal = Decimal(str(amount))
-            amount_multiplier = Decimal(market.info.sizeMultiplier or "1")
-            multiplier_count = amount / amount_multiplier
-
-            if mode == "round":
-                amount = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_HALF_UP)
-                ) * amount_multiplier
-            elif mode == "ceil":
-                amount = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_CEILING)
-                ) * amount_multiplier
-            elif mode == "floor":
-                amount = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_FLOOR)
-                ) * amount_multiplier
-            return amount
+        return self._quantize_step(amount, market.info.sizeMultiplier or "1", mode)
 
     def _price_to_precision(
         self,
@@ -152,26 +136,11 @@ class BitgetExecutionManagementSystem(ExecutionManagementSystem):
         mode: Literal["round", "ceil", "floor"] = "round",
     ) -> Decimal:
         market = self._market[symbol]
+        # Spot price precision is a plain ccxt step handled by the base class;
+        # derivatives quantize to the priceEndStep tick.
         if market.spot:
             return super()._price_to_precision(symbol, price, mode)
-        else:
-            price: Decimal = Decimal(str(price))
-            price_multiplier = Decimal(market.info.priceEndStep or "1")
-            multiplier_count = price / price_multiplier
-
-            if mode == "round":
-                price = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_HALF_UP)
-                ) * price_multiplier
-            elif mode == "ceil":
-                price = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_CEILING)
-                ) * price_multiplier
-            elif mode == "floor":
-                price = (
-                    multiplier_count.quantize(Decimal("1"), rounding=ROUND_FLOOR)
-                ) * price_multiplier
-            return price
+        return self._quantize_step(price, market.info.priceEndStep or "1", mode)
 
     async def _cancel_all_orders(
         self, order_submit: CancelAllOrderSubmit, account_type: AccountType

walrasquant_lib-0.4.28/src/walrasquant/exchange/deribit/__init__.py

@@ -0,0 +1,26 @@
+from walrasquant.exchange.deribit.constants import DeribitAccountType
+from walrasquant.exchange.deribit.connector import (
+    DeribitPrivateConnector,
+    DeribitPublicConnector,
+)
+from walrasquant.exchange.deribit.ems import DeribitExecutionManagementSystem
+from walrasquant.exchange.deribit.exchange import DeribitExchangeManager
+from walrasquant.exchange.deribit.factory import DeribitFactory
+from walrasquant.exchange.deribit.oms import DeribitOrderManagementSystem
+
+try:
+    from walrasquant.exchange.registry import register_factory
+
+    register_factory(DeribitFactory())
+except ImportError:
+    pass
+
+__all__ = [
+    "DeribitAccountType",
+    "DeribitExchangeManager",
+    "DeribitPublicConnector",
+    "DeribitPrivateConnector",
+    "DeribitOrderManagementSystem",
+    "DeribitExecutionManagementSystem",
+    "DeribitFactory",
+]