Merge branch 'main' of github.com:bsdz/yabte

.github/workflows/branch.yml

@@ -6,9 +6,15 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10"]
-        poetry-version: ["1.3.1"]
-        os: [ubuntu-latest]
+        include:
+          - os: ubuntu-latest
+            python-version: "3.10"
+            poetry-version: "1.3.1"
+            use-mypyc: true
+          - os: ubuntu-latest
+            python-version: "3.10"
+            poetry-version: "1.3.1"
+            use-mypyc: false
     runs-on: ${{ matrix.os }}
     steps:
       - uses: actions/checkout@v3
@@ -20,6 +26,9 @@ jobs:
           cache: "poetry"
       - name: Install dependencies
         run: poetry install --with dev
+      - if: ${{ matrix.use-mypyc }}
+        name: Build mypyc modules
+        run: poetry run python build.py --inplace
       - name: Run tests with coverage
         run: poetry run coverage run -m unittest
       - name: Show coverage report

.github/workflows/release.yaml

@@ -9,14 +9,17 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        python-version: ["3.10"]
-        poetry-version: ["1.3.1"]
-        os: [ubuntu-latest]
+        include:
+          - os: ubuntu-latest
+            python-version: "3.10"
+            poetry-version: "1.3.1"
     runs-on: ${{ matrix.os }}
     steps:
       - uses: actions/checkout@v3
       - name: Install poetry
-        run: pipx install poetry==${{ matrix.poetry-version }}
+        run: |
+          pipx install poetry==${{ matrix.poetry-version }}
+          poetry self add poetry-plugin-ignore-build-script
       - uses: actions/setup-python@v4
         with:
           python-version: ${{ matrix.python-version }}
@@ -25,5 +28,7 @@ jobs:
         env:
           PYPI_TOKEN: ${{ secrets.PYPI_API_TOKEN }}
         run: |
+          poetry build
+          poetry build ----ignore-build-script
           poetry config pypi-token.pypi $PYPI_TOKEN
-          poetry publish --build
+          poetry publish

build.py

@@ -0,0 +1,63 @@
+import sys
+
+mypyc_modules = [
+    "yabte/backtest/__init__.py",
+    "yabte/backtest/_helpers.py",
+    "yabte/backtest/asset.py",
+    "yabte/backtest/book.py",
+    "yabte/backtest/order.py",
+    "yabte/backtest/strategy.py",
+    "yabte/backtest/transaction.py",
+]
+
+
+def build(setup_kwargs):
+    """Imported by poetry generated setup.py during build."""
+    try:
+        from mypyc.build import mypycify
+
+        setup_kwargs.update(
+            {
+                "ext_modules": mypycify(mypyc_modules),
+            }
+        )
+    except:
+        pass
+
+
+def build_inplace():
+    """Build modules inplace for running tests."""
+    import os
+    import subprocess
+
+    # mypyc generates a setup.py and calls build_ext --inplace
+    env = os.environ.copy()
+    cmd = subprocess.run([sys.executable, "-m", "mypyc"] + mypyc_modules, env=env)
+    return cmd.returncode
+
+
+def cleanup():
+    from pathlib import Path
+
+    this_dir = Path(__file__).parent
+
+    # rm module shared objs
+    for mod in mypyc_modules:
+        fp = this_dir / mod
+        for gfp in fp.parent.glob(fp.with_suffix("").name + "*.so"):
+            gfp.unlink(missing_ok=True)
+
+    for gfp in this_dir.glob("*__mypyc.*.so"):
+        gfp.unlink(missing_ok=True)
+
+    return 0
+
+
+if __name__ == "__main__":
+    if len(sys.argv) == 2:
+        if "clean" in sys.argv[1]:
+            sys.exit(cleanup())
+        elif "inplace" in sys.argv[1]:
+            sys.exit(build_inplace())
+
+    sys.exit("Unknown option, use '--clean' or '--inplace'")

pyproject.toml

@@ -7,16 +7,21 @@ license = "MIT"
 readme = "README.md"
 repository = "https://github.com/bsdz/yabte"
 
+[tool.poetry.build]
+script = "build.py"
+generate-setup-file = true
+
 [tool.poetry.dependencies]
 python = "^3.10,<3.12"
 pandas = "^1.5.2"
 scipy = "^1.10.0"
+pandas-stubs = "^2.0.0.230412"
+mypy = "^1.3.0"
 
 [tool.poetry.group.dev]
 optional = true
 
 [tool.poetry.group.dev.dependencies]
-mypy = "^0.991"
 isort = "^5.11.4"
 black = {extras = ["jupyter"], version = "^23.1.0"}
 docformatter = "^1.5.1"
@@ -42,5 +47,5 @@ nbconvert = "^7.2.9"
 profile = "black"
 
 [build-system]
-requires = ["poetry-core>=1.0.0"]
+requires = ["poetry-core>=1.0.0", "setuptools==67.8.0", "mypy==1.3.0", "pandas-stubs==2.0.0.230412"]
 build-backend = "poetry.core.masonry.api"

yabte/backtest/__init__.py

@@ -1,6 +1,8 @@
-from .asset import Asset, AssetName
-from .book import Book, BookMandate, BookName
-from .order import (
+# TODO: use absolute imports until mypyc fixes relative imports in __init__.py
+# (https://github.com/mypyc/mypyc/issues/996)
+from yabte.backtest.asset import Asset, AssetName
+from yabte.backtest.book import Book, BookMandate, BookName
+from yabte.backtest.order import (
     BasketOrder,
     Order,
     OrderSizeType,
@@ -9,8 +11,8 @@
     PositionalOrder,
     PositionalOrderCheckType,
 )
-from .strategy import Strategy, StrategyRunner
-from .transaction import CashTransaction, Trade
+from yabte.backtest.strategy import Strategy, StrategyRunner
+from yabte.backtest.transaction import CashTransaction, Trade
 
 __all__ = [
     "Asset",