Python API Reference

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

Installation

pip install lrvx

Or install from source — from the repository root, where pyproject.toml lives (needs CMake 3.22+, a C++23 compiler and the LZ4 headers):

pip install .

Or build the extension in-tree with CMake directly:

cmake -B build -DLRVX_BUILD_PYTHON=ON -DLRVX_ENABLE_BACKTEST=ON -DCMAKE_BUILD_TYPE=Release
cmake --build build

Modules

Module	Description
Engine & Backtest	Backtest engine, SignalBuilder, Stats
Strategy	Event-driven Strategy, Runner, BacktestRunner
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.