pyvsmc

High-performance NumPy/Numba market-structure engine for Smart Money Concepts (SMC).

pyvsmc provides NumPy/Numba + Polars implementations of SMC/ICT concepts — Fair Value Gaps, fractal swings, BOS/CHOCH, Order Blocks, Liquidity sweeps, Premium/Discount & OTE — with appropriate data structures and low asymptotic complexity.

Architecture: NumPy for bulk transforms, Numba njit(cache=True) for stateful/first-passage scans, Polars for DataFrame integration. Not “zero loops” — correctness and complexity first.

Features

• Correctness: Strict mypy, NaN-aware, first-cross BOS, CE50/full/inverted tracking.
• Polars: pl.DataFrame.smc.* + add_smc_columns(); fvg/swings have native LazyFrame expr, other modules fallback honest collect() (documented).
• Tested: 92 tests covering empty, flat, NaN, dense gaps, mitigation, EQH/EQL, OTE, LazyFrame.

Installation

pip install pyvsmc

With Polars (recommended):

pip install "pyvsmc[dev]"   # includes polars, pytest, ruff, mypy, numba
# or
pip install pyvsmc polars numba

From source:

git clone https://github.com/Khaymat/pyvsmc
cd pyvsmc
pip install -e ".[dev]"

Requirements: Python >=3.10, numpy>=1.24.0, polars>=0.20.0 (optional), numba>=0.56 (optional, for JIT).

Quickstart

NumPy API

import numpy as np
import pyvsmc as smc

high  = np.array([10.0, 11.2, 10.8, 12.5, 11.0, 13.0])
low   = np.array([ 9.5,  9.8, 10.0, 11.8, 10.5, 12.2])
close = np.array([10.0, 10.5, 10.2, 12.2, 11.1, 12.8])
open_ = np.array([ 9.8, 10.0, 10.4, 11.0, 11.5, 12.0])

# 1. FVG + CE/IFVG
fvg = smc.detect_fvg(high, low, close=close, compute_mitigation=True)
print(fvg.bullish, fvg.ce_level, fvg.mitigated_50, fvg.inverted)

# 2. Swings
swings = smc.detect_swings(high, low, window_size=2)

# 3. Structure — break_mode close/wick/both, first-cross
structure = smc.detect_structure(high, low, close, window_size=2, break_mode="close")
print(structure.bos_bullish, structure.trend)

# 4. Order Blocks — zone_mode full/body/mean_threshold + breaker
obs = smc.detect_order_blocks(open_, high, low, close, lookback=5, zone_mode="body", compute_mitigation=True)
print(obs.bullish_ob, obs.is_breaker)

# 5. Liquidity + Zones
liq = smc.detect_liquidity(high, low, close, equal_threshold=0.001)
zones = smc.detect_zones(high, low, close)
print(liq.equal_swing_high, liq.sweep_high, zones.in_ote)

Polars API

import polars as pl
import pyvsmc  # registers .smc namespace

df = pl.DataFrame({"open": open_, "high": high, "low": low, "close": close})

# Eager
from pyvsmc.polars_ext import add_smc_columns
df = add_smc_columns(df, window_size=2, fvg_mitigation=True)
# Lazy (fvg/swings native, others collect fallback)
ldf = df.lazy()
ldf = ldf.pipe(lambda d: pyvsmc.fvg_polars(d))  # native expr

# Namespace
df = pl.DataFrame({"open": open_, "high": high, "low": low, "close": close})
df = df.smc.add_all(window_size=2, include_liquidity=True)
df = df.smc.fvg(min_gap_size=0.5)
df = df.smc.swings(window_size=2)
df = df.smc.structure(window_size=2, break_mode="wick")
df = df.smc.order_blocks(lookback=5, zone_mode="body")
df = df.smc.liquidity(equal_threshold=0.001)
df = df.smc.zones(eq_threshold=0.02)

API Reference

detect_fvg(high, low, min_gap_size=None, min_gap_size_pct=None, *, compute_mitigation=False, close=None)

Bullish Low[i] > High[i-2] [High[i-2], Low[i]], Bearish High[i] < Low[i-2]. Returns FVGResult with bullish/bearish, bullish_upper/lower, ce_level, gap_size, mitigated/mitigated_50/mitigated_full/inverted + indices. close enables IFVG.

detect_swings(high, low, window_size=2)

High[i]==max(window), Low[i]==min(window). Returns SwingResult.

detect_structure(high, low, close, window_size=2, *, break_mode="close")

break_mode="close"|"wick"|"both", first-cross only. Returns bos_bullish/bearish, choch_*, bos_level, trend.

detect_order_blocks(open_, high, low, close, *, lookback=10, zone_mode="full", compute_mitigation=False)

zone_mode="full"|"body"|"mean_threshold". Returns bullish_ob/bearish_ob, ob_high/low, mitigated/is_breaker.

detect_liquidity(high, low, close, *, equal_threshold=0.001, sweep_lookback=20, window_size=2)

Returns equal_high/low (adjacent) + equal_swing_high/low (EQH/EQL), sweep_high/low.

detect_zones(high, low, close, window_size=2, eq_threshold=0.02)

Returns premium/discount/equilibrium, range_high/low, ote_high/low/705, in_ote.

All have *_polars variants. Polars add_smc_columns params: include_*, fvg_mitigation, break_mode, zone_mode (see polars_ext.py).

Testing

pip install -e ".[dev]"
pytest -v
pytest --cov=pyvsmc --cov-report=term-missing

Run type checks and lint:

mypy src/pyvsmc
ruff check src/pyvsmc tests

Project Structure

pyvsmc/
├── pyproject.toml
├── README.md
├── src/pyvsmc/
│   ├── __init__.py
│   ├── py.typed
│   ├── fvg.py
│   ├── swings.py
│   ├── structure.py
│   ├── order_blocks.py
│   ├── liquidity.py
│   ├── zones.py
│   └── polars_ext.py
├── src/pysmc/          # shim deprecated → pyvsmc
├── benchmarks/
│   ├── bench.py
│   └── results.json
└── tests/
    ├── test_fvg.py + test_fvg_regression.py
    ├── test_swings.py
    ├── test_structure.py
    ├── test_order_blocks.py
    ├── test_liquidity.py
    ├── test_zones.py
    └── test_polars_ext.py

Performance & Complexity

Benchmark 0.3.1 (synthetic OHLC, window_size=2, 3 runs median, tracemalloc peak):

* struct cold JIT ~15ms, warm 47ms/100k, ** fvg_mit 0.3.1 Numba single-scan, 0.3.0 SKIP

Complexity:

• swings O(n), fvg w/o mit O(n), fvg+mit O(n + g·d) (g gaps, d avg distance, Numba early-break, worst O(g·n) documented), structure O(n) Numba cache=True, OB O(m·L) bounded L=lookback, liquidity EQH O(s) vectorized diff.

Limitations: fvg mit with g=Θ(n) still worst O(n²) — avoid compute_mitigation=True on 500k+ dense gaps; polars Lazy for fvg/swings native, others fallback collect(); order_blocks many impulses → lookback bound.

Financial & Legal Disclaimer

IMPORTANT — PLEASE READ CAREFULLY

pyvsmc is an open-source analytics and research library. It is provided solely for educational, informational, and research purposes.

• Not Financial Advice. Nothing in this library, its documentation, examples, or outputs constitutes financial, investment, trading, or other professional advice.
• No Warranty of Accuracy or Fitness. SMC are interpretive frameworks.
• Use at Your Own Risk. Trading involves substantial risk of loss.
• No Liability. Authors disclaim all liability.
• Do Your Own Research (DYOR).

License

MIT License — see LICENSE for details.

Copyright (c) 2026 pyvsmc contributors.

Contributing

Issues and pull requests are welcome. Please run ruff, mypy, and pytest before submitting.

Acknowledgements

Built with NumPy, Numba and Polars. SMC concepts as described by the broader ICT / Smart Money community.