quantpylib.hft.trades

Trades

__init__(buffer_size=100)

A class representing a buffer for storing trade logs with attributes for timestamp, price, size, and direction.

Parameters:

Name	Type	Description	Default
buffer_size	int	The size of the buffer for storing trades. Defaults to 100.	100

append(trade=None, ts=None, price=None, size=None, dir=None)

Append a new trade to the buffer. A trade is specified by the arguments ts,price,size,dir or with the 4-tuple (ts,price,size,dir).

Parameters:

Name	Type	Description	Default
ts	int	The timestamp of the trade. Defaults to None.	None
price	float	The price of the trade. Defaults to None.	None
size	float	The size of the trade. Defaults to None.	None
dir	int	The direction of the trade, 1 or -1. Defaults to None.	None
trade	tuple	A tuple representing the trade (ts,price,size,dir).	None

buffer_len()

Get the length of the trade buffer.

Returns:

Name	Type	Description
int		The length of the trade buffer.

clear_buffer()

Clear the trade buffer.

get_buffer()

Get the current contents of the trade buffer.

Returns:

Type	Description
	np.ndarray: The array of trades in the buffer.

get_flow_pnl(n=None, tau=None, T=None, min_n=10, default=0, norm_volume=True, norm_variance=False)

Get the flow pnl over the last sample trades, assuming zero-fee counterparty to all trades.

Parameters:

Name	Type	Description	Default
n	int	The number of trades to consider. Defaults to the whole stored buffer.	None
tau	int	T - t, where t is the earliest sample time.	None
T	int	The terminal time. Defaults to last timestamp observed.	None
min_n	int	The minimum number of trades required to calculate the flow pnl. Defaults to 10.	10
default	float	The default value to return if the buffer has less than min_n data points. Defaults to 0.0.	0
norm_volume	bool	Normalize the pnl by the volume. Defaults to True.	True
norm_variance	bool	Normalize the pnl by the square root of the number of trades. Defaults to False. Only applicable if norm_volume is True.	False

get_imbalance(n=None, tau=None, T=None, min_n=10, default=0, decay_function=None)

Get the trade imbalance over the last n trades.

Parameters:

Name	Type	Description	Default
n	int	The number of trades to consider. Defaults to the whole stored buffer.	None
default	float	The default value to return if the buffer has less than n data points. Defaults to 0.0.	0
decay_function	function	The decay function to apply to the samples. Defaults to simple weighting.	None

get_sample(n=None, tau=None, T=None)

Get a sample of trades from the buffer.

Parameters:

Name	Type	Description	Default
n	int	The number of trades to sample.	None
tau	int	T - t, where t is the earliest sample time.	None
T	int	The terminal time. Defaults to last timestamp observed.	None

get_ts_buffer()

Get the timestamps in the trade buffer.

sample_len(n=None, tau=None, T=None)

Get the length of the samples.

Parameters:

Name	Type	Description	Default
n	int	The number of samples to take.	None
tau	int	T - t, where t is the earliest sample time.	None
T	int	The terminal time. Defaults to last timestamp observed.	None

Returns:

Name	Type	Description
int		The length of the samples.