algo_engine.base¶

The core layer provides C-level market data types, buffers, and memory allocation. All types are implemented in Cython and compiled to native extensions.

Market Data Types¶

class algo_engine.base.MarketData¶

address¶

static buffer_size(md_data_type dtype)¶

data_addr¶

dtype¶

classmethod from_bytes(cls, bytes data)¶

static from_ptr(uintptr_t addr)¶

market_price¶

market_time¶

owner¶

price¶

session_date¶

session_datetime¶

session_time¶

ticker¶

timestamp¶

to_bytes(self) → bytes¶

topic¶

class algo_engine.base.TickData(str ticker, *, double timestamp, double last_price, double open_price=NAN, double prev_close=NAN, double total_traded_volume=0.0, double total_traded_notional=0.0, uint64_t total_trade_count=0, double total_bid_volume=0.0, double total_ask_volume=0.0, double weighted_bid_price=NAN, double weighted_ask_price=NAN, **kwargs)¶

Bases: MarketData

__init__(*args, **kwargs)¶

ask¶

ask_price¶

ask_volume¶

best_ask_price¶

best_ask_volume¶

best_bid_price¶

best_bid_volume¶

bid¶

bid_price¶

bid_volume¶

last_price¶

lite(self, bool copy=True) → TickDataLite¶

mid_price¶

open_price¶

parse(self, dict kwargs) → void¶

prev_close¶

spread¶

total_ask_volume¶

total_bid_volume¶

total_trade_count¶

total_traded_notional¶

total_traded_volume¶

weighted_ask_price¶

weighted_bid_price¶

class algo_engine.base.OrderBook¶

at_level(self, Py_ssize_t idx) → tuple¶

at_price(self, double price) → tuple¶

capacity¶

direction¶

classmethod from_buffer(cls, const unsigned char[: ] buffer)¶

classmethod from_bytes(cls, bytes data)¶

loc_volume(self, double p0, double p1)¶

n_orders¶

price¶

side¶

size¶

sort(self)¶

sorted¶

to_bytes(self)¶

to_numpy(self)¶

volume¶

class algo_engine.base.BarData(str ticker, *, double timestamp, double high_price, double low_price, double open_price, double close_price, double volume=0.0, double notional=0.0, uint64_t trade_count=0, double start_timestamp=0., bar_span=None, **kwargs)¶

Bases: MarketData

__init__(*args, **kwargs)¶

bar_end_time¶

bar_span¶

bar_span_seconds¶

bar_start_time¶

bar_type¶

close_price¶

high_price¶

low_price¶

notional¶

open_price¶

start_timestamp¶

trade_count¶

volume¶

vwap¶

class algo_engine.base.DailyBar(str ticker, *, date market_date, double high_price, double low_price, double open_price, double close_price, double volume=0.0, double notional=0.0, uint64_t trade_count=0, int bar_span=1, **kwargs)¶

Bases: BarData

__init__(*args, **kwargs)¶

bar_end_time¶

bar_span¶

bar_start_time¶

bar_type¶

market_date¶

market_time¶

Transaction Types¶

class algo_engine.base.TransactionData(str ticker: str, *, double timestamp, double price, double volume, md_side side, double multiplier=1.0, double notional=NAN, transaction_id=None, buy_id=None, sell_id=None, **kwargs)¶

Bases: MarketData

__init__(*args, **kwargs)¶

buy_id¶

classmethod merge(cls, list data_list)¶

multiplier¶

notional¶

notional_flow¶

price¶

sell_id¶

side¶

side_int¶

side_sign¶

transaction_id¶

volume¶

volume_flow¶

class algo_engine.base.OrderData(str ticker, *, double timestamp, double price, double volume, md_side side, order_id=None, md_order_type order_type=md_order_type.ORDER_GENERIC, **kwargs)¶

Bases: MarketData

__init__(*args, **kwargs)¶

flow¶

order_id¶

order_type¶

order_type_int¶

price¶

side¶

side_int¶

side_sign¶

volume¶

class algo_engine.base.TradeData(str ticker: str, *, double timestamp, double trade_price, double trade_volume, md_side trade_side, double multiplier=1.0, double notional=NAN, transaction_id=None, buy_id=None, sell_id=None, **kwargs)¶

Bases: TransactionData

__init__(*args, **kwargs)¶

trade_price¶

trade_side¶

trade_volume¶

class algo_engine.base.TransactionSide(*values)¶

property sign¶

property offset¶

property direction¶

property side_name¶

property offset_name¶

property direction_name¶

SIDE_LONG_OPEN = 10¶

SIDE_LONG_CLOSE = 18¶

SIDE_LONG_CANCEL = 2¶

SIDE_SHORT_OPEN = 8¶

SIDE_SHORT_CLOSE = 16¶

SIDE_SHORT_CANCEL = 0¶

SIDE_NEUTRAL_OPEN = 11¶

SIDE_NEUTRAL_CLOSE = 19¶

SIDE_BID = 6¶

SIDE_ASK = 4¶

SIDE_CANCEL = 1¶

SIDE_UNKNOWN = 1¶

SIDE_LONG = 10¶

SIDE_SHORT = 8¶

ShortOrder = 4¶

AskOrder = 4¶

Ask = 4¶

LongOrder = 6¶

BidOrder = 6¶

Bid = 6¶

ShortFilled = 16¶

Unwind = 16¶

Sell = 16¶

LongFilled = 10¶

LongOpen = 10¶

Buy = 10¶

ShortOpen = 8¶

Short = 8¶

Cover = 18¶

UNKNOWN = 1¶

CANCEL = 1¶

FAULTY = 255¶

class algo_engine.base.TransactionDirection(*values)¶

property sign¶

DIRECTION_UNKNOWN = 1¶

DIRECTION_SHORT = 0¶

DIRECTION_LONG = 2¶

DIRECTION_NEUTRAL = 3¶

class algo_engine.base.TransactionOffset(*values)¶

OFFSET_CANCEL = 0¶

OFFSET_ORDER = 4¶

OFFSET_OPEN = 8¶

OFFSET_CLOSE = 16¶

class algo_engine.base.OrderType(*values)¶

ORDER_UNKNOWN = 2¶

ORDER_CANCEL = 1¶

ORDER_GENERIC = 0¶

ORDER_LIMIT = 10¶

ORDER_LIMIT_MAKER = 11¶

ORDER_MARKET = 20¶

ORDER_FOK = 21¶

ORDER_FAK = 22¶

ORDER_IOC = 23¶

Trade Utilities¶

class algo_engine.base.OrderState(*values)¶

property is_working¶

property is_placed¶

property is_done¶

property state_name¶

STATE_UNKNOWN = 0¶

STATE_REJECTED = 1¶

STATE_INVALID = 2¶

STATE_PENDING = 3¶

STATE_SENT = 4¶

STATE_PLACED = 5¶

STATE_PARTFILLED = 6¶

STATE_FILLED = 7¶

STATE_CANCELING = 8¶

STATE_CANCELED = 9¶

UNKNOWN = 0¶

Rejected = 1¶

Invalid = 2¶

Pending = 3¶

Sent = 4¶

Placed = 5¶

PartFilled = 6¶

Filled = 7¶

Canceling = 8¶

Canceled = 9¶

class algo_engine.base.TradeReport(str ticker, *, double timestamp, double price, double volume, md_side side, double notional=NAN, double multiplier=1., double fee=0., order_id=None, trade_id=NO_DEFAULT, **kwargs)¶

__init__(*args, **kwargs)¶

fee¶

classmethod from_json(cls, json_data)¶

multiplier¶

notional¶

notional_flow¶

order_id¶

price¶

reset_order_id(self, order_id=NO_DEFAULT) → TradeReport¶

reset_trade_id(self, trade_id=NO_DEFAULT) → TradeReport¶

side¶

side_int¶

side_sign¶

to_json(self, str fmt='str', **kwargs)¶

to_trade(self) → TransactionData¶

trade_id¶

trade_time¶

volume¶

volume_flow¶

class algo_engine.base.TradeInstruction(str ticker, *, double timestamp, md_side side, double volume, md_order_type order_type=md_order_type.ORDER_GENERIC, double limit_price=NAN, double multiplier=1., order_id=NO_DEFAULT, **kwargs)¶

__init__(*args, **kwargs)¶

add_trade(self, TradeReport trade_report) → TradeInstruction¶

average_price¶

cancel_order(self, double timestamp=NAN) → TradeInstruction¶

canceled(self, double timestamp=NAN) → TradeInstruction¶

canceled_time¶

canceled_ts¶

fee¶

fill(self, TradeReport trade_report) → TradeInstruction¶

filled_notional¶

filled_volume¶

finished_time¶

finished_ts¶

classmethod from_json(cls, json_data)¶

is_done¶

is_placed¶

is_working¶

limit_price¶

multiplier¶

order_id¶

order_state¶

order_state_int¶

order_type¶

order_type_int¶

placed_time¶

placed_ts¶

reset(self) → TradeInstruction¶

reset_order_id(self, order_id=NO_DEFAULT) → TradeInstruction¶

set_order_state(self, md_order_state order_state, double timestamp=NAN) → TradeInstruction¶

side¶

side_int¶

side_sign¶

start_time¶

to_json(self, str fmt='str', **kwargs)¶

trades¶

volume¶

working_volume¶

Data Buffers¶

class algo_engine.base.MarketDataBuffer¶

buf¶

cache(self)¶

data_capacity¶

data_tail¶

classmethod from_bytes(cls, bytes data)¶

get(self, Py_ssize_t idx)¶

is_sorted¶

ptr_capacity¶

ptr_tail¶

put(self, MarketData market_data)¶

sort(self)¶

to_bytes(self)¶

class algo_engine.base.MarketDataRingBuffer¶

data_capacity¶

data_tail¶

get(self, int idx: int)¶

is_empty¶

listen(self, bool block=True, double timeout=0.0)¶

ptr_capacity¶

ptr_head¶

ptr_tail¶

put(self, MarketData market_data, bool block=True, double timeout=0.0)¶

class algo_engine.base.MarketDataConcurrentBuffer¶

disable_worker(self, size_t worker_id)¶

enable_worker(self, size_t worker_id)¶

is_empty(self)¶

is_full(self)¶

is_worker_empty(self, size_t worker_id)¶

listen(self, size_t worker_id, bool block=True, double timeout=0.0)¶

put(self, MarketData market_data, bool block=True, double timeout=0)¶

class algo_engine.base.MarketDataBufferCache¶

capacity¶

clear(self)¶

get(self, Py_ssize_t idx)¶

parent¶

put(self, MarketData market_data)¶

size¶

Configuration¶

algo_engine.base.CONFIG = mappingproxy({'market_data': mappingproxy({'DEBUG': False, 'BOOK_SIZE': 10, 'ID_SIZE': 16, 'LONG_ID_SIZE': 128, 'MAX_WORKERS': 128, 'MID_ALLOW_INT64': 1, 'MID_ALLOW_INT128': 1, 'LONG_MID_ALLOW_INT64': 1, 'LONG_MID_ALLOW_INT128': 1, 'DTYPE_MIN_SIZE': 80, 'DTYPE_MAX_SIZE': 392, 'MD_FILTER_ALL': 254}), 'market_data_buffer': mappingproxy({'MD_BUF_PTR_DEFAULT_CAP': 16, 'MD_BUF_DATA_DEFAULT_CAP': 1024}), 'exchange_profile': mappingproxy({'SECONDS_PER_DAY': 86400.0, 'SECONDS_PER_HOUR': 3600.0, 'SECONDS_PER_MINUTE': 60.0, 'NANOS_PER_SECOND': 1000000000.0, 'MICROS_PER_SECOND': 1000000.0, 'UNIX_EPOCH_ORDINAL': 719163, 'EX_PROFILE_ID_SIZE': 64, 'EX_PROFILE_MIN_YEAR': 1, 'EX_PROFILE_MAX_YEAR': 9999, 'EX_PROFILE_MAX_ORDINAL': 3652059})})¶: Read-only proxy of a mapping.

algo_engine.base.USE_CYTHON = True¶: Returns True when the argument is true, False otherwise. The builtins True and False are the only two instances of the class bool. The class bool is a subclass of the class int, and cannot be subclassed.

Financial Utilities¶

class algo_engine.base.FinancialDecimal(value: Real | str = 0.0, /, k: int = None, tick: int = None)[source]¶

classmethod from_float(f: float, tick=None)[source]¶

as_integer_ratio() → tuple[int, int][source]¶

Return a pair of integers, whose ratio is exactly equal to the original float.

The ratio is in lowest terms and has a positive denominator. Raise OverflowError on infinities and a ValueError on NaNs.

>>> (10.0).as_integer_ratio()
(10, 1)
>>> (0.0).as_integer_ratio()
(0, 1)
>>> (-.25).as_integer_ratio()
(-1, 4)

property k¶

property numerator¶

property tick¶

property denominator¶