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95 lines
3.0 KiB
ReStructuredText
95 lines
3.0 KiB
ReStructuredText
============
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qsim Package
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============
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Simulator is the heart of QSim, and the primary access point for creating, launching, and tracking simulations. You can find it in :py:class:`~qsim.core.Simulator`
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Simulator Sub-Components
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==========================
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Each simulation contains numerous subcomponents, each operating asynchronously from all others, and communicating
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via zeromq.
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DataSources
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--------------------
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A DataSource represents a historical event record, which will be played back during simulation. A simulation may have one or more DataSources, which will be combined in DataFeed. Generally, datasources read records from a persistent store (db, csv file, remote service), format the messages for downstream simulation components, and send them to a PUSH socket. See the base class for all datasources :py:class:`~qsim.sources.DataSource`
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DataFeed
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--------------------
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All simulations start with a collection of :py:class:`DataSources <qsim.sources.DataSource>`, which need to be fed to an algorithm. Each :py:class:`~qsim.sources.DataSource`can contain events of differing content (trades, quotes, corporate event) and frequency (quarterly, intraday). To simplify the process of managing the data sources, :py:class:`~qsim.core.DataFeed` can receive events from multiple :py:class:`DataSources <qsim.sources.DataSource>` and combine them into a serial chronological stream.
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Transforms
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--------------------
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Often, an algorithm will require a running calculation on top of a :py:class:`~qsim.sources.DataSource`, or on the consolidated feed. A simple example is a technical indicator or a moving average. Transforms can be described in :py:class:`~qsim.core.Simulator`'s configuration. Subclass :py:class:`~qsim.transforms.core.Transform` to add your own Transform. Transforms must hold their own state between events, and serialize their current values into messages.
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Data Alignment
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--------------------
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Like Datasources, Transforms have differing frequencies and results. Simulator manages the results of parallel transforms and **aligns** transform results with the raw DataFeed. Client algorithms simply receive a map of data, which includes the current event and all the transformed values.
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QSim API
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===========================
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:mod:`qsim` Package
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-------------------
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.. automodule:: qsim.__init__
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:members:
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:undoc-members:
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:show-inheritance:
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:mod:`config` Module
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--------------------
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.. automodule:: qsim.config
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:members:
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:undoc-members:
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:show-inheritance:
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:mod:`core` Module
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------------------
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.. automodule:: qsim.core
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:members:
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:undoc-members:
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:show-inheritance:
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:mod:`messaging` Module
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-----------------------
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.. automodule:: qsim.messaging
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:members:
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:undoc-members:
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:show-inheritance:
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:mod:`sources` Module
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---------------------
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.. automodule:: qsim.sources
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:members:
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:undoc-members:
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:show-inheritance:
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:mod:`util` Module
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------------------
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.. automodule:: qsim.util
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:members:
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:undoc-members:
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:show-inheritance:
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Subpackages
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-----------
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.. toctree::
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qsim.test
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qsim.transforms
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