Core Type System

Doc map: alphaswarm_docs/index.md · Full Symbol class diagram: alphaswarm_docs/class-diagram.md#1-symbol--core-enums.

AlphaSwarm 0.3 ports Lean's data model into Python with minimal surface area, full backward compatibility, and strict dataclass-only value objects.

Quick map

Lean (C#)	AlphaSwarm (Python)	File
Slice	Slice	alphaswarm/core/slice.py
BaseData	BarData (alias TradeBar), QuoteBar, TickData (alias Tick)	alphaswarm/core/types.py
SubscriptionDataConfig	SubscriptionDataConfig	same
Resolution / TickType	Resolution / TickType	same
DataNormalizationMode	DataNormalizationMode	same
Symbol / SecurityIdentifier	Symbol (composite ticker.exchange)	same
Security / SecurityHolding	SecurityHolding (extends PositionData)	same
Cash / CashBook	Cash / CashBook	same
Order / OrderTicket / OrderEvent	OrderData / OrderTicket / OrderEvent	same
IndicatorBase<T> / RollingWindow<T>	IndicatorBase[T] / RollingWindow[T]	alphaswarm/core/indicators.py
MarketHoursDatabase	MarketHoursDatabase	alphaswarm/core/exchange_hours.py
MapFile / FactorFile	MapFile / FactorFile	alphaswarm/core/corporate_actions.py

Migration notes

• BarData is unchanged. TradeBar is a type alias; existing backtest code keeps working.
• TickData is unchanged. Tick is an alias.
• PositionData is unchanged. The richer SecurityHolding is additive — convert via SecurityHolding.from_position(pos).
• on_bar(bar, ctx) remains the supported strategy entry point. Strategies that implement on_data(slice, ctx) get called once per timestamp instead of once per symbol; the engine auto-detects which method to call.
• Orders now surface as tickets. The engine populates BacktestResult.tickets with :class:OrderTicket objects that carry the full OrderEvent stream for each order.

Indicator registry

25 built-in indicators, all subclasses of IndicatorBase. Resolve by string via build_indicator("SMA", period=20) or import directly.

from alphaswarm.core.indicators import SimpleMovingAverage, warmup

sma = SimpleMovingAverage(20)
print(warmup(sma, [100, 101, 102]))  # NaN until 20 samples

Subscription routing

Every downstream consumer (backtest engine, paper engine, RL env, factor job) reads data through :class:SubscriptionDataConfig via :class:alphaswarm.data.subscription.SubscriptionManager. That swap enables normalisation-aware queries and composite history providers without touching strategy code.

Type relationships