migrated towards uv

.vscode/settings.json

@@ -32,7 +32,7 @@
     "python.testing.pytestEnabled": false,
     "python.testing.unittestEnabled": true,
     "[python]": {
-        "editor.defaultFormatter": "ms-python.black-formatter"
+        "editor.defaultFormatter": "charliermarsh.ruff"
     },
     "pylint.ignorePatterns": [
         "*samples/*.py"

README.md

@@ -40,44 +40,45 @@ The core of roboquant limits the number of dependencies.
 But you can install roboquant including one or more of the optional dependencies if you require certain functionality:
 
 ```shell
-# market data from Yahoo Finance using the YahooFeed
-python3 -m pip install --upgrade "roboquant[yahoo]"
-
 # PyTorch based strategies using RNNStrategy
 python3 -m pip install --upgrade "roboquant[torch]"
 
 # Integration with Interactive Brokers using IBKRBroker
 python3 -m pip install --upgrade "roboquant[ibkr]"
 
+# Integration with Alpaca
+python3 -m pip install --upgrade "roboquant[alpaca]"
+
 # Install all dependencies
 python3 -m pip install --upgrade "roboquant[all]"
 ```
 
 ## Building from source
-Although this first step isn't required, it is recommended to create a virtual environment.
-Go to the directory where you have downloaded the source code and run the following commands:
+Roboquant.py uses `uv` as the main tool for handling package dependencies.
+
 
 ```shell
-python3 -m venv .venv
-source .venv/bin/activate
+uv sync
 ```
 
-You should now be in the virtual environment and ready to install the required packages and build/install roboquant:
+You should now be in the virtual environment and ready to build/install roboquant:
 
 ```shell
-pip install -r requirements.txt
-python -m build
-pip install .
+uv build
+uv pip install
 ```
 
 Some other useful commands:
 
 ```shell
 # run the unit tests
-python -m unittest discover -s tests/unit 
+uv run python -m unittest discover -s tests/unit 
 
 # validate the code
-flake8 roboquant tests
+uvx ruff check
+
+# publish, only works if UV_PUBLISH_TOKEN is set
+uv publish 
 ```
 
 ## License

bin/local_install.sh

@@ -1,18 +1,18 @@
 
 [[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/local_install.sh" && exit 1
 
-source .venv/bin/activate
-
 rm -rf ./runs
 
+uv sync --all-extras
+
 # QA
-flake8 roboquant tests || exit 1
-pylint roboquant tests || exit 1
-python -m unittest discover -s tests/unit || exit 1
+uvx ruff check || exit 1
+uv run python -m unittest discover -s tests/unit || exit 1
 
 # Build
 rm -rf dist
-python -m build || exit 1
+uv build || exit 1
 
 # Install
-pip install .
+uv pip install .
+

bin/publish.sh

@@ -1,23 +1,22 @@
 
 [[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/publish.sh" && exit 1
 
-source .venv/bin/activate
-
 rm -rf ./runs
 
+uv sync --all-extras
+
 # QA
-flake8 || exit 1
-pylint roboquant tests || exit 1
-python -m unittest discover -s tests/unit || exit 1
+uvx ruff check
+uv run python -m unittest discover -s tests/unit || exit 1
 
 # Build
 rm -rf dist
-python -m build || exit 1
+uv build || exit 1
 
 # Publish
 read -p "Publish (y/n)? " ANSWER
 if [ "$ANSWER" = "y" ]; then
-  twine upload dist/*; exit 0
+  uv publish; exit 0
 else
   echo "Not published"; exit 1
 fi

bin/verify.sh

@@ -1,11 +1,11 @@
-
 [[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/verify.sh" && exit 1
 
-source .venv/bin/activate
+uv sync --all-extras
 
 # QA
-flake8 || exit 1
-pylint roboquant tests || exit 1
-python -m unittest discover -s tests/unit || exit 1
+echo "Running ruff" 
+uvx ruff check || exit 1
+echo "Running unittest" 
+uv run python -m unittest discover -s tests/unit || exit 1
 
 echo "All tests passed"

pyproject.toml

@@ -1,4 +1,4 @@
-[tool.black]
+[tool.ruff]
 line-length = 127
 
 [tool.pytest.ini_options]
@@ -8,25 +8,18 @@ testpaths = [
     "tests/unit"
 ]
 
-[tool.pyright]
-reportOptionalOperand = "none"
-
-[tool.pylint.'MESSAGES CONTROL']
-max-line-length = 127
-disable = "too-few-public-methods,missing-module-docstring,missing-class-docstring,missing-function-docstring,unnecessary-ellipsis,invalid-name"
-max-args = 15
-max-locals = 20
-max-attributes = 10
-
 [build-system]
-requires = ["setuptools>=61.0"]
-build-backend = "setuptools.build_meta"
+requires = ["hatchling"]
+build-backend = "hatchling.build"
+
+[tool.hatch.version]
+path = "roboquant/__init__.py"
 
-[tool.setuptools.packages.find]
-exclude = ["docs*", "tests*", "samples*", "scratch*"]
+[tool.ruff.lint]
+ignore = ["F401"]
 
-[tool.setuptools.package-data]
-"*" = ["*.json"]
+[tool.pyright]
+reportOptionalOperand = "none"
 
 [project]
 name = "roboquant"
@@ -53,21 +46,19 @@ dependencies = [
   "numpy>=1.26.4",
   "websocket-client~=1.8.0",
   "requests>=2.32.0",
+  "fastavro>=1.9.7",
+  "pyarrow>=16.1.0",
+  "matplotlib>=3.10.0",
+  "yfinance~=0.2.50"
 ]
 
-[tool.setuptools.dynamic]
-version = {attr = "roboquant.__version__"}
-
 [project.optional-dependencies]
-torch = ["torch>=2.5.0", "tensorboard>=2.15.2", "stable-baselines3[extra_no_roms]>=2.3.2", "sb3-contrib>=2.3.0"]
-yahoo = ["yfinance~=0.2.50"]
+torch = ["torch>=2.5.0", "tensorboard>=2.15.2", "stable-baselines3>=2.4.0", "sb3-contrib>=2.4.0"]
 ibkr = ["nautilus-ibapi~=10.19.2"]
 alpaca = ["alpaca-py"]
-all = ["roboquant[torch,yahoo,ibkr,alpaca]"]
-
+all = ["roboquant[torch,ibkr,alpaca]"]
 
 [project.urls]
 Homepage = "https://roboquant.org"
 Repository = "https://github.com/neurallayer/roboquant.py.git"
 Issues = "https://github.com/neurallayer/roboquant.py/issues"
-

roboquant/account.py

@@ -60,8 +60,7 @@ def base_currency(self) -> Currency:
         return self.buying_power.currency
 
     def mkt_value(self) -> Wallet:
-        """Return the sum of the market values of the open positions in the account.
-        """
+        """Return the sum of the market values of the open positions in the account."""
         result = Wallet()
         for asset, position in self.positions.items():
             result += asset.contract_amount(position.size, position.mkt_price)
@@ -78,15 +77,25 @@ def position_value(self, asset: Asset) -> float:
 
     def short_positions(self) -> dict[Asset, Position]:
         """Return al the short positions in the account"""
-        return {asset: position for (asset, position) in self.positions.items() if position.is_short}
+        return {
+            asset: position
+            for (asset, position) in self.positions.items()
+            if position.is_short
+        }
 
     def long_positions(self) -> dict[Asset, Position]:
         """Return al the long positions in the account"""
-        return {asset: position for (asset, position) in self.positions.items() if position.is_long}
+        return {
+            asset: position
+            for (asset, position) in self.positions.items()
+            if position.is_long
+        }
 
     def contract_value(self, asset: Asset, size: Decimal, price: float) -> float:
         """Contract value denoted in the base currency of the account"""
-        return asset.contract_amount(size, price).convert_to(self.base_currency, self.last_update)
+        return asset.contract_amount(size, price).convert_to(
+            self.base_currency, self.last_update
+        )
 
     def equity(self) -> Wallet:
         """Return the equity of the account.
@@ -107,7 +116,9 @@ def unrealized_pnl(self) -> Wallet:
         """
         result = Wallet()
         for asset, position in self.positions.items():
-            result += asset.contract_amount(position.size, position.mkt_price - position.avg_price)
+            result += asset.contract_amount(
+                position.size, position.mkt_price - position.avg_price
+            )
         return result
 
     def required_buying_power(self, order: Order) -> Amount:

roboquant/asset.py

@@ -58,13 +58,15 @@ def deserialize(value: str) -> "Asset":
 
 @dataclass(frozen=True, slots=True)
 class Stock(Asset):
+    """Stock (or equity) asset"""
 
     def serialize(self):
         return "Stock" + ":" + self.symbol + ":" + self.currency
 
 
 @dataclass(frozen=True, slots=True)
 class Crypto(Asset):
+    """Crypto-currency asset"""
 
     symbol: str  # type: ignore
     currency: Currency  # type: ignore
@@ -77,14 +79,15 @@ def from_symbol(symbol: str, sep="/"):
 
 @dataclass(frozen=True, slots=True)
 class Option(Asset):
+    """Option Contract asset"""
+
     multiplier = 100
 
     def contract_value(self, size: Decimal, price: float) -> float:
         return float(size) * price * self.multiplier
 
 
 def __default_deserializer(clazz: Type[Asset]):
-
     __cache: dict[str, Asset] = {}
 
     def _deserialize(value: str) -> Asset:

roboquant/feeds/historic.py

@@ -40,6 +40,13 @@ def assets(self) -> list[Asset]:
         """Return the list of unique symbols available in this feed"""
         self._update()
         return list(self.__assets)
+
+    def get_asset(self, symbol: str) -> Asset | None:
+        """Return the first asset that matches the provided symbol name, or None if not found"""
+        try:
+            return next(asset for asset in self.assets() if asset.symbol == symbol)
+        except StopIteration:
+            return None
 
     def timeline(self) -> list[datetime]:
         """Return the timeline of this feed as a list of datatime objects"""

roboquant/feeds/randomwalk.py

@@ -41,10 +41,14 @@ def __init__(
         timeline = [start_date + frequency * i for i in range(n_prices)]
 
         match price_type:
-            case "bar": item_gen = self.__get_bar
-            case "trade": item_gen = self.__get_trade
-            case "quote": item_gen = self.__get_quote
-            case _: raise ValueError("unsupported item_type", price_type)
+            case "bar":
+                item_gen = self.__get_bar
+            case "trade":
+                item_gen = self.__get_trade
+            case "quote":
+                item_gen = self.__get_quote
+            case _:
+                raise ValueError("unsupported item_type", price_type)
 
         for asset in assets:
             prices = self.__price_path(rnd, n_prices, price_dev, start_price_min, start_price_max)

roboquant/strategies/tastrategy.py

@@ -12,7 +12,7 @@ class TaStrategy(Strategy):
     based on technical indicators using a history of bars/candlesticks.
 
     Subclasses should implement the `process_asset` method. This method is only invoked once
-    there is at least `size` history for an individual asset.
+    there is at least `size` history for an individual asset available.
     """
 
     def __init__(self, size: int) -> None:

tests/unit/test_buffer.py

@@ -6,7 +6,6 @@
 
 
 class TestBuffer(unittest.TestCase):
-
     def test_buffer(self):
         b = NumpyBuffer(10, 5)
         x = np.arange(100).reshape(20, 5)