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Python API Reference

Complete reference for the flox_py Python module. All classes and functions are available directly from import flox_py.

Installation

pip install flox-py

Or build from source:

cmake -B build -DFLOX_ENABLE_PYTHON=ON -DFLOX_ENABLE_BACKTEST=ON -DCMAKE_BUILD_TYPE=Release
cmake --build build

Modules

Module Description
Engine & Backtest Backtest engine, signal creation, batch execution
Indicators 20+ technical indicators (EMA, RSI, MACD, ATR, ...)
Aggregators Bar aggregation (time, tick, volume, range, renko, Heikin-Ashi)
Order Books NLevelOrderBook, L3OrderBook, CompositeBookMatrix
Profiles Footprint bars, volume profile, market profile
Positions Position tracking, group management, order tracking
Replay Binary log reader/writer, market data recorder
Segment Ops Merge, split, export, validate, partition data
Backtest Components SimulatedExecutor, fills, trade records
Optimizer Permutation test, correlation, bootstrap CI

Conventions

  • Prices and quantities are passed as float64 and converted to fixed-point (int64, scale 10^8) internally.
  • Timestamps are int64 nanoseconds. Millisecond and microsecond inputs are auto-detected and converted.
  • Numpy arrays are the primary data format. Structured arrays use packed C structs for zero-copy access.
  • GIL release: All compute-heavy functions release the Python GIL for true parallelism.
  • Raw values: Fields ending in _raw are fixed-point integers (value * 10^8). Divide by 1e8 to get floats.