mirror of
https://github.com/mihakralj/QuanTAlib.git
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python wrapper
This commit is contained in:
Miha Kralj
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"""quantalib — Python wrapper for QuanTAlib NativeAOT exports.
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Usage::
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import quantalib as qtl
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result = qtl.sma(close_array, length=14)
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result = qtl.bbands(close_array, length=20, std=2.0)
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"""
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from __future__ import annotations
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from ._loader import load_native_library
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from . import indicators
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from .indicators import * # noqa: F401, F403 — re-export all indicator functions
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from ._compat import ALIASES, get_compat
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from ._bridge import (
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QtlError,
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QtlNullPointerError,
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QtlInvalidLengthError,
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QtlInvalidParamError,
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QtlInternalError,
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)
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__all__ = [
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"load_native_library",
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"indicators",
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"ALIASES",
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"get_compat",
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"QtlError",
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"QtlNullPointerError",
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"QtlInvalidLengthError",
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"QtlInvalidParamError",
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"QtlInternalError",
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]
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__version__ = "0.1.0"
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"""Low-level ctypes bindings for every quantalib NativeAOT export.
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Each native function is bound via ``_bind`` at module load. If the shared
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library was compiled without a particular export the binding is silently
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skipped (the corresponding ``HAS_*`` flag stays False).
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"""
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from __future__ import annotations
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import ctypes
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from ctypes import c_double, c_int, POINTER
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from typing import Final
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from ._loader import load_native_library
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# ---------------------------------------------------------------------------
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# Status codes (mirror StatusCodes.cs)
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# ---------------------------------------------------------------------------
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QTL_OK: Final[int] = 0
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QTL_ERR_NULL_PTR: Final[int] = 1
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QTL_ERR_INVALID_LENGTH: Final[int] = 2
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QTL_ERR_INVALID_PARAM: Final[int] = 3
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QTL_ERR_INTERNAL: Final[int] = 4
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class QtlError(Exception):
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"""Base exception for quantalib native errors."""
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class QtlNullPointerError(QtlError):
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pass
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class QtlInvalidLengthError(QtlError):
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pass
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class QtlInvalidParamError(QtlError):
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pass
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class QtlInternalError(QtlError):
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pass
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_STATUS_MAP: dict[int, type[QtlError]] = {
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QTL_ERR_NULL_PTR: QtlNullPointerError,
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QTL_ERR_INVALID_LENGTH: QtlInvalidLengthError,
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QTL_ERR_INVALID_PARAM: QtlInvalidParamError,
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QTL_ERR_INTERNAL: QtlInternalError,
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}
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def _check(status: int) -> None:
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"""Raise if *status* is not QTL_OK."""
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if status == QTL_OK:
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return
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exc_type = _STATUS_MAP.get(status, QtlError)
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raise exc_type(f"quantalib native call failed (status={status})")
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# ---------------------------------------------------------------------------
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# Load native library
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# ---------------------------------------------------------------------------
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_lib = load_native_library()
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# Shorthand type aliases
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_dp = POINTER(c_double) # double*
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_ip = POINTER(c_int) # int*
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_ci = c_int
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_cd = c_double
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# ---------------------------------------------------------------------------
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# ABI signature pattern templates
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#
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# Pattern A : (src*, n, dst*, period) → single-input + int
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# Pattern A2: (src*, n, dst*, alpha) → single-input + double
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# Pattern A3: (src*, n, dst*) → single-input no params
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# Pattern B : (h*, l*, c*, v*, n, dst*, period) → HLCV + int
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# Pattern C : (o*, h*, l*, c*, n, dst*) → OHLC no extra
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# Pattern C2: (o*, h*, l*, c*, n, dst*, double) → OHLC + double
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# Pattern D : (h*, l*, n, dst*) → HL
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# Pattern E : (h*, l*, c*, n, dst*) → HLC
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# Pattern F : (actual*, predicted*, n, dst*, period) → dual-input + int
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# Pattern G : (src*, vol*, n, dst*) → source+volume
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# Pattern G2: (src*, vol*, n, dst*, period) → source+volume+int
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# Pattern H : (x*, y*, n, dst*, period) → X+Y + int
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# Pattern I : multi-output (various)
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# ---------------------------------------------------------------------------
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# Common argtypes per pattern
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_PA = [_dp, _ci, _dp, _ci] # Pattern A
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_PA2 = [_dp, _ci, _dp, _cd] # Pattern A (alpha)
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_PA3 = [_dp, _ci, _dp] # Pattern A (no param)
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_PB = [_dp, _dp, _dp, _dp, _ci, _dp, _ci] # Pattern B (HLCV)
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_PC = [_dp, _dp, _dp, _dp, _ci, _dp] # Pattern C (OHLC)
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_PC2 = [_dp, _dp, _dp, _dp, _ci, _dp, _cd] # Pattern C (OHLC+double)
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_PD = [_dp, _dp, _ci, _dp] # Pattern D (HL)
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_PE = [_dp, _dp, _dp, _ci, _dp] # Pattern E (HLC)
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_PF = [_dp, _dp, _ci, _dp, _ci] # Pattern F
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_PG = [_dp, _dp, _ci, _dp] # Pattern G
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_PG2 = [_dp, _dp, _ci, _dp, _ci] # Pattern G2
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_PH = [_dp, _dp, _ci, _dp, _ci] # Pattern H
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def _bind(name: str, argtypes: list[object]) -> bool:
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"""Bind a single native function. Returns True if found."""
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fn = getattr(_lib, name, None)
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if fn is None:
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return False
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fn.argtypes = argtypes
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fn.restype = _ci
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return True
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# ---------------------------------------------------------------------------
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# Health check
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# ---------------------------------------------------------------------------
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HAS_SKELETON = _bind("qtl_skeleton_noop", [_dp, _ci, _dp])
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.1 Core
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_AVGPRICE = _bind("qtl_avgprice", _PC)
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HAS_MEDPRICE = _bind("qtl_medprice", _PD)
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HAS_TYPPRICE = _bind("qtl_typprice", [_dp, _dp, _dp, _ci, _dp]) # OHL (no close!)
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HAS_MIDBODY = _bind("qtl_midbody", [_dp, _dp, _ci, _dp]) # OC
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.2 Momentum
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_RSI = _bind("qtl_rsi", _PA)
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HAS_ROC = _bind("qtl_roc", _PA)
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HAS_MOM = _bind("qtl_mom", _PA)
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HAS_CMO = _bind("qtl_cmo", _PA)
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HAS_TSI = _bind("qtl_tsi", [_dp, _ci, _dp, _ci, _ci]) # longP, shortP
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HAS_APO = _bind("qtl_apo", [_dp, _ci, _dp, _ci, _ci]) # fast, slow
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HAS_BIAS = _bind("qtl_bias", _PA)
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HAS_CFO = _bind("qtl_cfo", _PA)
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HAS_CFB = _bind("qtl_cfb", [_dp, _ci, _dp, _ip, _ci]) # special
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HAS_ASI = _bind("qtl_asi", _PC2) # OHLC + double limit
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.3 Oscillators
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_FISHER = _bind("qtl_fisher", _PA)
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HAS_FISHER04 = _bind("qtl_fisher04", _PA)
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HAS_DPO = _bind("qtl_dpo", _PA)
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HAS_TRIX = _bind("qtl_trix", _PA)
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HAS_INERTIA = _bind("qtl_inertia", _PA)
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HAS_RSX = _bind("qtl_rsx", _PA)
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HAS_ER = _bind("qtl_er", _PA)
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HAS_CTI = _bind("qtl_cti", _PA)
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HAS_REFLEX = _bind("qtl_reflex", _PA)
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HAS_TRENDFLEX = _bind("qtl_trendflex", _PA)
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HAS_KRI = _bind("qtl_kri", _PA)
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HAS_PSL = _bind("qtl_psl", _PA)
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HAS_DECO = _bind("qtl_deco", [_dp, _ci, _dp, _ci, _ci]) # shortP, longP
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HAS_DOSC = _bind("qtl_dosc", [_dp, _ci, _dp, _ci, _ci, _ci, _ci]) # rsiP, ema1P, ema2P, sigP
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HAS_DYMOI = _bind("qtl_dymoi", [_dp, _ci, _dp, _ci, _ci, _ci, _ci, _ci]) # p1..p5
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HAS_CRSI = _bind("qtl_crsi", [_dp, _ci, _dp, _ci, _ci, _ci]) # rsiP, streakP, rankP
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HAS_BBB = _bind("qtl_bbb", [_dp, _ci, _dp, _ci, _cd]) # period, mult
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HAS_BBI = _bind("qtl_bbi", [_dp, _ci, _dp, _ci, _ci, _ci, _ci]) # p1..p4
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HAS_DEM = _bind("qtl_dem", _PD) # HL pattern
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HAS_BRAR = _bind("qtl_brar", [_dp, _dp, _dp, _dp, _ci, _dp, _dp, _ci]) # OHLC + 2 outputs + period
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.4 Trends — FIR
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_SMA = _bind("qtl_sma", _PA)
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HAS_WMA = _bind("qtl_wma", _PA)
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HAS_HMA = _bind("qtl_hma", _PA)
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HAS_TRIMA = _bind("qtl_trima", _PA)
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HAS_SWMA = _bind("qtl_swma", _PA)
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HAS_DWMA = _bind("qtl_dwma", _PA)
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HAS_BLMA = _bind("qtl_blma", _PA)
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HAS_ALMA = _bind("qtl_alma", _PA)
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HAS_LSMA = _bind("qtl_lsma", _PA)
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HAS_SGMA = _bind("qtl_sgma", _PA)
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HAS_SINEMA = _bind("qtl_sinema", _PA)
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HAS_HANMA = _bind("qtl_hanma", _PA)
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HAS_PARZEN = _bind("qtl_parzen", _PA)
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HAS_TSF = _bind("qtl_tsf", _PA)
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HAS_CONV = _bind("qtl_conv", [_dp, _ci, _dp, _dp, _ci]) # src,n,dst,kernel*,kernelLen
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HAS_BWMA = _bind("qtl_bwma", [_dp, _ci, _dp, _ci, _ci]) # period, polyOrder
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HAS_CRMA = _bind("qtl_crma", [_dp, _ci, _dp, _ci, _cd]) # period, volumeFactor
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HAS_SP15 = _bind("qtl_sp15", _PA)
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HAS_TUKEY_W = _bind("qtl_tukey_w", _PA)
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HAS_RAIN = _bind("qtl_rain", _PA)
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HAS_AFIRMA = _bind("qtl_afirma", [_dp, _ci, _dp, _ci, _ci, _ci]) # src,n,dst,period,windowType,useSimd
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.5 Trends — IIR
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_EMA = _bind("qtl_ema", _PA)
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HAS_EMA_ALPHA = _bind("qtl_ema_alpha", _PA2)
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HAS_DEMA = _bind("qtl_dema", _PA)
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HAS_DEMA_ALPHA = _bind("qtl_dema_alpha", _PA2)
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HAS_TEMA = _bind("qtl_tema", _PA)
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HAS_LEMA = _bind("qtl_lema", _PA)
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HAS_HEMA = _bind("qtl_hema", _PA)
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HAS_AHRENS = _bind("qtl_ahrens", _PA)
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HAS_DECYCLER = _bind("qtl_decycler", _PA)
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HAS_DSMA = _bind("qtl_dsma", [_dp, _ci, _dp, _ci, _cd]) # period, factor
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HAS_GDEMA = _bind("qtl_gdema", [_dp, _ci, _dp, _ci, _cd]) # period, factor
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HAS_CORAL = _bind("qtl_coral", [_dp, _ci, _dp, _ci, _cd]) # period, friction
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HAS_AGC = _bind("qtl_agc", _PA2) # alpha
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HAS_CCYC = _bind("qtl_ccyc", _PA2) # alpha
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.6 Channels
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_BBANDS = _bind("qtl_bbands", [_dp, _ci, _dp, _dp, _dp, _ci, _cd]) # src,n, upper,mid,lower, period,mult
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HAS_ABBER = _bind("qtl_abber", [_dp, _dp, _dp, _dp, _ci, _ci, _cd]) # src,mid,upper,lower,n,period,mult
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HAS_ATRBANDS = _bind("qtl_atrbands", [_dp, _dp, _dp, _ci, _dp, _dp, _dp, _ci, _cd]) # h,l,c,n, upper,mid,lower, period,mult
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HAS_APCHANNEL = _bind("qtl_apchannel", [_dp, _dp, _ci, _dp, _dp, _ci]) # h,l,n, upper,lower, period
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.7 Volatility
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_TR = _bind("qtl_tr", _PE) # HLC
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HAS_BBW = _bind("qtl_bbw", _PA)
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HAS_BBWN = _bind("qtl_bbwn", [_dp, _ci, _dp, _ci, _cd, _ci]) # period, mult, lookback
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HAS_BBWP = _bind("qtl_bbwp", [_dp, _ci, _dp, _ci, _cd, _ci]) # period, mult, lookback
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HAS_STDDEV = _bind("qtl_stddev", _PA)
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HAS_VARIANCE = _bind("qtl_variance", _PA)
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HAS_ETHERM = _bind("qtl_etherm", _PD) # HL
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HAS_CCV = _bind("qtl_ccv", [_dp, _ci, _dp, _ci, _ci]) # shortP, longP
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HAS_CV = _bind("qtl_cv", [_dp, _ci, _dp, _ci, _cd, _cd]) # period, minVol, maxVol
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HAS_CVI = _bind("qtl_cvi", [_dp, _ci, _dp, _ci, _ci]) # emaPeriod, rocPeriod
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HAS_EWMA = _bind("qtl_ewma", [_dp, _ci, _dp, _ci, _ci, _ci]) # period, isPop, annFactor
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.8 Volume
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_OBV = _bind("qtl_obv", _PG) # close,vol,n,dst
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HAS_PVT = _bind("qtl_pvt", _PG)
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HAS_PVR = _bind("qtl_pvr", _PG)
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HAS_VF = _bind("qtl_vf", _PG)
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HAS_NVI = _bind("qtl_nvi", _PG)
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HAS_PVI = _bind("qtl_pvi", _PG)
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HAS_TVI = _bind("qtl_tvi", _PG2) # close,vol,n,dst,period
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HAS_PVD = _bind("qtl_pvd", _PG2)
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HAS_VWMA = _bind("qtl_vwma", _PG2)
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HAS_EVWMA = _bind("qtl_evwma", _PG2)
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HAS_EFI = _bind("qtl_efi", _PG2)
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HAS_AOBV = _bind("qtl_aobv", [_dp, _dp, _ci, _dp, _dp]) # close,vol,n,obv,signal
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HAS_MFI = _bind("qtl_mfi", _PB) # HLCV + period
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HAS_CMF = _bind("qtl_cmf", _PB)
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HAS_EOM = _bind("qtl_eom", [_dp, _dp, _dp, _ci, _dp, _ci]) # h,l,v,n,dst,period
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HAS_PVO = _bind("qtl_pvo", [_dp, _ci, _dp, _dp, _dp, _ci, _ci, _ci]) # vol,n, pvo,signal,hist, fast,slow,signal_p
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.9 Statistics
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_ZSCORE = _bind("qtl_zscore", _PA)
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HAS_CMA = _bind("qtl_cma", _PA3) # no period
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HAS_ENTROPY = _bind("qtl_entropy", _PA)
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HAS_CORRELATION = _bind("qtl_correlation", _PH)
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HAS_COVARIANCE = _bind("qtl_covariance", [_dp, _dp, _ci, _dp, _ci, _ci]) # x,y,n,dst,period,isSample
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HAS_COINTEGRATION = _bind("qtl_cointegration", _PH)
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.10 Errors
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_MSE = _bind("qtl_mse", _PF)
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HAS_RMSE = _bind("qtl_rmse", _PF)
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HAS_MAE = _bind("qtl_mae", _PF)
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HAS_MAPE = _bind("qtl_mape", _PF)
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.11 Filters
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_BESSEL = _bind("qtl_bessel", _PA)
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HAS_BUTTER2 = _bind("qtl_butter2", _PA)
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HAS_BUTTER3 = _bind("qtl_butter3", _PA)
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HAS_CHEBY1 = _bind("qtl_cheby1", _PA)
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HAS_CHEBY2 = _bind("qtl_cheby2", _PA)
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HAS_ELLIPTIC = _bind("qtl_elliptic", _PA)
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HAS_EDCF = _bind("qtl_edcf", _PA)
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HAS_BPF = _bind("qtl_bpf", _PA)
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HAS_ALAGUERRE = _bind("qtl_alaguerre", [_dp, _ci, _dp, _ci, _ci]) # period, order
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HAS_BILATERAL = _bind("qtl_bilateral", [_dp, _ci, _dp, _ci, _cd, _cd]) # period, sigmaS, sigmaR
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HAS_BAXTERKING = _bind("qtl_baxterking", [_dp, _ci, _dp, _ci, _ci, _ci]) # period, minP, maxP
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HAS_CFITZ = _bind("qtl_cfitz", [_dp, _ci, _dp, _ci, _ci]) # period, bandwidthP
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# ═══════════════════════════════════════════════════════════════════════════
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# §8.12 Cycles
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# ═══════════════════════════════════════════════════════════════════════════
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HAS_CG = _bind("qtl_cg", _PA)
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HAS_DSP = _bind("qtl_dsp", _PA)
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HAS_CCOR = _bind("qtl_ccor", _PA)
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HAS_EBSW = _bind("qtl_ebsw", [_dp, _ci, _dp, _ci, _ci]) # period, hpPeriod
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HAS_EACP = _bind("qtl_eacp", [_dp, _ci, _dp, _ci, _ci, _ci, _ci]) # period, minP, maxP, useMedian
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|
||||
# ═══════════════════════════════════════════════════════════════════════════
|
||||
# §8.14 Numerics
|
||||
# ═══════════════════════════════════════════════════════════════════════════
|
||||
HAS_CHANGE = _bind("qtl_change", _PA)
|
||||
HAS_EXPTRANS = _bind("qtl_exptrans", _PA3) # no period
|
||||
HAS_BETADIST = _bind("qtl_betadist", [_dp, _ci, _dp, _ci, _cd, _cd]) # period, alpha, beta
|
||||
HAS_EXPDIST = _bind("qtl_expdist", [_dp, _ci, _dp, _ci, _cd]) # period, lambda
|
||||
HAS_BINOMDIST = _bind("qtl_binomdist", [_dp, _ci, _dp, _ci, _ci, _ci]) # period, trials, successes
|
||||
HAS_CWT = _bind("qtl_cwt", [_dp, _ci, _dp, _cd, _cd]) # scale, omega
|
||||
HAS_DWT = _bind("qtl_dwt", [_dp, _ci, _dp, _ci, _ci]) # period, levels
|
||||
@@ -0,0 +1,72 @@
|
||||
"""pandas-ta compatibility aliases.
|
||||
|
||||
Maps pandas-ta function names to quantalib equivalents where signatures
|
||||
overlap. Import ``from quantalib._compat import ALIASES`` then look up
|
||||
the target function in ``quantalib.indicators``.
|
||||
|
||||
Usage::
|
||||
|
||||
from quantalib._compat import get_compat
|
||||
fn = get_compat("midprice") # returns indicators.medprice
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
from typing import TYPE_CHECKING
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from collections.abc import Callable
|
||||
|
||||
# pandas-ta name → quantalib indicators function name
|
||||
ALIASES: dict[str, str] = {
|
||||
# Core
|
||||
"midprice": "medprice",
|
||||
"typical_price": "typprice",
|
||||
"average_price": "avgprice",
|
||||
"mid_body": "midbody",
|
||||
# Momentum
|
||||
"momentum": "mom",
|
||||
# Trends
|
||||
"simple_moving_average": "sma",
|
||||
"weighted_moving_average": "wma",
|
||||
"hull_moving_average": "hma",
|
||||
"triangular_moving_average": "trima",
|
||||
"exponential_moving_average": "ema",
|
||||
"double_exponential_moving_average": "dema",
|
||||
"triple_exponential_moving_average": "tema",
|
||||
"least_squares_moving_average": "lsma",
|
||||
"time_series_forecast": "tsf",
|
||||
"linreg": "lsma",
|
||||
"sinwma": "sinema",
|
||||
# Core (pandas-ta price transforms)
|
||||
"hl2": "medprice",
|
||||
"hlc3": "typprice",
|
||||
"ohlc4": "avgprice",
|
||||
# Volatility
|
||||
"true_range": "tr",
|
||||
"standard_deviation": "stddev",
|
||||
"stdev": "stddev",
|
||||
# Volume
|
||||
"on_balance_volume": "obv",
|
||||
"price_volume_trend": "pvt",
|
||||
"volume_weighted_moving_average": "vwma",
|
||||
"money_flow_index": "mfi",
|
||||
"chaikin_money_flow": "cmf",
|
||||
"ease_of_movement": "eom",
|
||||
# Channels
|
||||
"bollinger_bands": "bbands",
|
||||
"aberration": "aberr",
|
||||
# Statistics
|
||||
"z_score": "zscore",
|
||||
# Filters
|
||||
"butterworth": "butter2",
|
||||
}
|
||||
|
||||
|
||||
def get_compat(name: str) -> Callable[..., object] | None:
|
||||
"""Resolve a pandas-ta alias to the quantalib function, or None."""
|
||||
from . import indicators
|
||||
|
||||
target = ALIASES.get(name)
|
||||
if target is None:
|
||||
return None
|
||||
return getattr(indicators, target, None)
|
||||
@@ -0,0 +1,41 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import ctypes
|
||||
import platform
|
||||
from pathlib import Path
|
||||
|
||||
|
||||
_PLATFORM_MAP: dict[tuple[str, str], str] = {
|
||||
("Windows", "AMD64"): "win_amd64/quantalib_native.dll",
|
||||
("Linux", "x86_64"): "linux_x86_64/quantalib_native.so",
|
||||
("Darwin", "arm64"): "macosx_arm64/quantalib_native.dylib",
|
||||
("Darwin", "x86_64"): "macosx_x86_64/quantalib_native.dylib",
|
||||
}
|
||||
|
||||
|
||||
def _native_root() -> Path:
|
||||
return Path(__file__).resolve().parent / "native"
|
||||
|
||||
|
||||
def _native_relative_path() -> str:
|
||||
key = (platform.system(), platform.machine())
|
||||
if key not in _PLATFORM_MAP:
|
||||
raise OSError(
|
||||
f"Unsupported platform/architecture: system={key[0]!r}, arch={key[1]!r}"
|
||||
)
|
||||
return _PLATFORM_MAP[key]
|
||||
|
||||
|
||||
def native_library_path() -> Path:
|
||||
return _native_root() / _native_relative_path()
|
||||
|
||||
|
||||
def load_native_library() -> ctypes.CDLL:
|
||||
path = native_library_path()
|
||||
if not path.exists():
|
||||
raise OSError(
|
||||
"quantalib native library not found. "
|
||||
f"Expected: {path} "
|
||||
f"(system={platform.system()}, arch={platform.machine()})"
|
||||
)
|
||||
return ctypes.CDLL(str(path))
|
||||
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1 @@
|
||||
keep
|
||||
@@ -0,0 +1 @@
|
||||
keep
|
||||
@@ -0,0 +1 @@
|
||||
keep
|
||||
@@ -0,0 +1 @@
|
||||
keep
|
||||
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|
||||
typed
|
||||
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Reference in New Issue
Block a user