Python Engine Expansion for Multi-Resolution Structural Analysis

Simple adjustment -------$10 Max If you are not competent at financial Programming, then just dont bid Adjustment prompt for existing Engine Expansion PROJECT TITLE Expand Existing Python Bid/Ask Non-Print Structural Engine into a Multi-Resolution Structural Analysis Engine PROJECT OVERVIEW I already have a fully functioning Python engine that processes Time & Sales data. The engine is COMPLETE and WORKING. I am NOT looking for a rewrite. I am looking for an experienced Python developer with strong algorithmic trading experience to EXPAND the existing engine. Current Engine: • Bid Non-Print Engine (1 Tick / 1 Line Break) • Ask Non-Print Engine (1 Tick / 1 Line Break) The engine currently generates structural events and exports them to CSV. Example: Timestamp Event_ID Engine Previous_State New_State Void_Start_Price Void_End_Price Void_Size Void_Persistence_Seconds Structural_Velocity Structural_Acceleration Example Output Timestamp,Event_ID,Engine,Previous_State,New_State,Void_Start_Price,Void_End_Price,Void_Size,Void_Persistence_Seconds,Structural_Velocity,Structural_Acceleration 2026-06-27T17:28:40.298328+00:00 ASK_dd135143_000001 ask 19998.5 20000.25 19998.5 20000.25 1.75 0.1 0.0 0.0 2026-06-27T17:28:41.198327+00:00 ASK_dd135143_000002 ask 19999.5 19996.5 19999.5 19996.5 3.0 0.1 -4.166670640313441 -4.629638459960006 The engine also produces historical summaries similar to: [BID] events=447149 structures=31628014 void_size(mean=17.0909, max=87.2500) persistence_s(mean=0.0525) velocity(mean=285.0721) accel(mean=38485.8292) [ASK] events=447993 structures=49333307 void_size(mean=26.9383, max=109.2500) persistence_s(mean=0.0522) velocity(mean=-455.9090) accel(mean=-61955.2195) The current engine is functioning correctly. I want to BUILD ON TOP OF IT. --- IMPORTANT REQUIREMENT DO NOT redesign or redefine any calculations already implemented. The following calculations already exist and MUST remain exactly as they are. Void_Size Void_Persistence_Seconds Structural_Velocity Structural_Acceleration All new functionality must consume these existing outputs. Do NOT replace them. Do NOT modify them. Do NOT reinterpret them. --- PRIMARY OBJECTIVE Create a Multi-Resolution Structural Analysis Engine. Instead of only producing one structural engine (1 Tick / 1 Line Break), I want one shared structural event stream capable of simultaneously generating structural analysis for Line Break values from: 1 Line Break through 100 Line Break. The market data should only be processed once. Every structural engine should consume the exact same structural event stream. Architecture Time & Sales ↓ Bid Non-Print Engine ↓ Ask Non-Print Engine ↓ Shared Structural Event Stream ↓ 1 LB 2 LB 3 LB ... 100 LB The goal is maximum efficiency. The market should never be processed 100 separate times. --- STRUCTURAL EVENT DEFINITIONS Every row generated by the current engine is considered one Structural Event. No new event definitions should be created. The new engine should simply consume the existing Structural Events. --- COMPRESSION / EXPANSION CLASSIFICATION Every Structural Event should be classified. Compression Definition One individual Structural Event. Rule 1 consecutive Structural Event = Compression Expansion Definition Two or more consecutive Structural Events with no interruption from an opposite structural state. Rule 2 or more consecutive Structural Events = Expansion This classification should be performed independently for: Bid Ask Every Line Break Resolution --- STRENGTH SCORE Every Structural Event should receive a configurable Strength Score. Range 0-100 The programmer should create a weighted scoring model using ONLY the existing engine outputs. Inputs Void_Size Void_Persistence_Seconds Structural_Velocity Structural_Acceleration The weighting of each metric must remain user configurable. No hard-coded weighting values. Future optimization should only require changing configuration values. No source-code modifications. --- FOR EVERY LINE BREAK RESOLUTION Generate an independent structural profile. Each profile should maintain its own statistics. Required Metrics Total Events Total Structures Compression Count Expansion Count Average Compression Strength Average Expansion Strength Mean Void Size Maximum Void Size Mean Persistence Maximum Persistence Mean Velocity Maximum Velocity Mean Acceleration Maximum Acceleration --- LIVE STRUCTURAL SNAPSHOT Every Line Break resolution should maintain a continuously updating structural snapshot. Example Resolution 25 Line Break Bid Current State Compression or Expansion Current Strength Score Current Void Size Current Persistence Current Velocity Current Acceleration Total Compression Events Total Expansion Events Average Compression Strength Average Expansion Strength Timestamp Ask Current State Compression or Expansion Current Strength Score Current Void Size Current Persistence Current Velocity Current Acceleration Total Compression Events Total Expansion Events Average Compression Strength Average Expansion Strength Timestamp This snapshot should always represent the CURRENT structural condition. --- BACKTEST SUMMARY After every completed historical run, Generate a complete summary for EVERY Line Break resolution. Example Resolution 25 Line Break [BID] Events Structures Compression Count Expansion Count Average Compression Strength Average Expansion Strength Mean Void Size Maximum Void Size Mean Persistence Maximum Persistence Mean Velocity Maximum Velocity Mean Acceleration Maximum Acceleration [ASK] Repeat identical statistics. This summary should automatically be produced for every configured Line Break resolution from: 1 through 100 --- DATA EXPORT Every Structural Event should be exportable. Preferred Formats CSV JSON SQLite (optional) Each exported record should include Timestamp Event_ID Resolution Bid or Ask Previous_State New_State Compression or Expansion Strength Score Void_Start_Price Void_End_Price Void_Size Void_Persistence_Seconds Structural_Velocity Structural_Acceleration --- PERFORMANCE REQUIREMENTS The engine should remain highly optimized. Requirements Process Time & Sales only once. Use one shared structural event stream. Avoid duplicate calculations. Avoid duplicate memory usage. Support future expansion beyond 100 Line Break resolutions without redesigning the architecture. Code should be modular. Code should be documented. --- PROJECT GOAL This is NOT a traditional charting project. It is NOT a footprint chart. It is NOT a candlestick project. The objective is to transform Time & Sales data into a multi-resolution structural database describing Bid-side and Ask-side liquidity behavior. The final engine will be used for future quantitative research, machine learning, AI analysis, and automated trading strategy development. Only developers with strong Python experience, algorithmic trading experience, market microstructure knowledge, and performance optimization experience should apply. When responding, please describe your experience with: • Python performance optimization • Time & Sales processing • Market microstructure • Multi-threaded/event-driven architecture • Quantitative trading systems • Large-scale data processing • Low-latency financial software

Project ID: 40545784