openfund-core 1.0.8__tar.gz → 1.0.9__tar.gz

{openfund_core-1.0.8 → openfund_core-1.0.9}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: openfund-core
-Version: 1.0.8
+Version: 1.0.9
 Summary: Openfund-core.
 Requires-Python: >=3.9,<4.0
 Classifier: Programming Language :: Python :: 3

{openfund_core-1.0.8 → openfund_core-1.0.9}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openfund-core"
-version = "1.0.8"
+version = "1.0.9"
 description = "Openfund-core."
 authors = []
 readme = "README.md"

{openfund_core-1.0.8 → openfund_core-1.0.9}/src/core/smc/SMCLiquidity.py

@@ -1,4 +1,5 @@
 import logging
+from decimal import Decimal
 from core.smc.SMCStruct import SMCStruct
 
 
@@ -27,20 +28,17 @@ class SMCLiquidity(SMCStruct):
         df = data.copy()
         
         # 识别高点
-        df[self.LIQU_HIGH_COL] = 0
+        df[self.LIQU_HIGH_COL] = Decimal(0.0)
         for i in range(pivot_length, len(df) - pivot_length):
             if df[self.HIGH_COL].iloc[i] == max(df[self.HIGH_COL].iloc[i-pivot_length:i+pivot_length+1]):
-                df.loc[df.index[i], self.LIQU_HIGH_COL] = df[self.HIGH_COL].iloc[i]
-        
+                df.loc[df.index[i], self.LIQU_HIGH_COL] = df[self.HIGH_COL].iloc[i]        
         # 识别低点
-        df[self.LIQU_LOW_COL] = 0
+        df[self.LIQU_LOW_COL] = Decimal(0.0)
         for i in range(pivot_length, len(df) - pivot_length):
 
             if df[self.LOW_COL].iloc[i] == min(df[self.LOW_COL].iloc[i-pivot_length:i+pivot_length+1]):
                 df.loc[df.index[i], self.LIQU_LOW_COL] = df[self.LOW_COL].iloc[i]
 
-        
-        
         return df
         
     def find_EQH_EQL(self, data, trend, end_idx=-1, atr_offset=0.1) -> dict:
@@ -63,7 +61,7 @@ class SMCLiquidity(SMCStruct):
         try:
             self.check_columns(df, check_columns) 
         except ValueError as e:
-            self.logger.warning(f"DataFrame must contain columns {check_columns} : {str(e)}")
+            # self.logger.warning(f"DataFrame must contain columns {check_columns} : {str(e)}")
             df = self._identify_liquidity_pivots(df)
             
         df = df[(df[self.LIQU_HIGH_COL] > 0) | (df[self.LIQU_LOW_COL] > 0)]

{openfund_core-1.0.8 → openfund_core-1.0.9}/src/core/smc/SMCPDArray.py

@@ -9,13 +9,14 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
     PD_LOW_COL = "pd_low"
     PD_MID_COL = "pd_mid"
     PD_TYPE_COL = "pd_type"
+    PD_WAS_BALANCED_COL = "pd_was_balanced"
 
     def __init__(self):
         super().__init__()
         self.logger = logging.getLogger(__name__)
 
     def find_PDArrays(
-        self, struct: pd.DataFrame, side, start_index=-1, check_balanced=True,
+        self, struct: pd.DataFrame, side, start_index=-1, balanced=False,
     ) -> pd.DataFrame:
         """_summary_
             寻找PDArrays,包括Fair Value Gap (FVG)|Order Block (OB)|Breaker Block(BB)|Mitigation Block(BB) 
@@ -23,7 +24,7 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
             data (pd.DataFrame): K线数据
             side (_type_): 交易方向 'buy'|'sell'
             start_index (int): 开始查找索引的起点,默认为-1
-            check_balanced (bool): PD是否有效,默认为True。PD被crossed过,则是无效PD
+            balanced (bool): PD是否有效,默认为False。PD被crossed过,则是无效PD
 
         Returns:
             pd.DataFrame: _description_
@@ -36,11 +37,14 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
             else struct.copy().iloc[max(0, start_index - 1) :]
         )
 
-        df_FVGs = self.find_FVGs(df, side, check_balanced, start_index)
-        # self.logger.info(f"fvgs:\n{df_FVGs[['timestamp', self.FVG_SIDE, self.FVG_TOP, self.FVG_BOT, self.FVG_WAS_BALANCED]]}")
+        df_FVGs = self.find_FVGs(df, side, start_index)
 
+        if not balanced:
+            df_FVGs = df_FVGs[~df_FVGs[self.FVG_WAS_BALANCED]]
+        # self.logger.info(f"fvgs:\n{df_FVGs[['timestamp', self.FVG_SIDE, self.FVG_TOP, self.FVG_BOT, self.FVG_WAS_BALANCED]]}")
 
-        df_OBs = self.find_OBs(df, side, start_index, is_valid=check_balanced)
+        is_valid = not balanced
+        df_OBs = self.find_OBs(struct=df, side=side, start_index=start_index, is_valid=is_valid)
         # self.logger.info("find_OBs:\n %s", df_OBs)
         
         # 使用更简洁的方式重命名和合并时间戳列
@@ -59,6 +63,10 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
         df_PDArrays[self.TIMESTAMP_COL] = df_PDArrays[timestamp_mapping[self.TIMESTAMP_COL][0]].fillna(
             df_PDArrays[timestamp_mapping[self.TIMESTAMP_COL][1]]
         )
+
+        df_PDArrays[self.PD_WAS_BALANCED_COL] = df_PDArrays[[self.OB_WAS_CROSSED, self.FVG_WAS_BALANCED]].apply(
+            lambda x: x.iloc[0] if pd.notna(x.iloc[0]) else x.iloc[1], axis=1)
+
         df_PDArrays[self.PD_TYPE_COL] = df_PDArrays[[self.FVG_SIDE, self.OB_DIRECTION_COL]].apply(
             lambda x: 'FVG-OB' if pd.notna(x.iloc[0]) and pd.notna(x.iloc[1]) else 'FVG' if pd.notna(x.iloc[0]) else 'OB', axis=1
         )
@@ -68,10 +76,12 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
         df_PDArrays.loc[:, self.PD_MID_COL] = (df_PDArrays[self.PD_HIGH_COL] + df_PDArrays[self.PD_LOW_COL]) / 2
                
 
-        return df_PDArrays
+        # 根据balanced参数过滤PDArrays,返回符合条件的数据
+      
+        return df_PDArrays[df_PDArrays[self.PD_WAS_BALANCED_COL] == balanced]
 
 
-    def get_latest_PDArray(self, df_PDArrays: pd.DataFrame, side, start_index=-1, check_balanced=True, mask:str=None) -> dict:
+    def get_latest_PDArray(self, df_PDArrays: pd.DataFrame, side, start_index=-1, balanced=False, mask=None) -> dict:
         """_summary_
             过滤PDArrays,只保留指定方向的PDArrays
         Args:
@@ -89,16 +99,22 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
             self.check_columns(df, check_columns)
         except ValueError as e:
             df = self.build_struct(df)
-       
-        df = self.find_PDArrays(df, side, start_index, check_balanced)
 
-        if mask:
-            df = df[df[mask]]
+
+        check_columns = [self.PD_TYPE_COL]
+        try:
+            self.check_columns(df, check_columns)
+        except ValueError as e:
+            df = self.find_PDArrays(df, side, start_index, balanced)
+        
+        if mask is not None:
+            df = df[mask]
             
         if len(df) == 0:
             self.logger.info("未找到PDArray.")
             return None
         else:
+            self.logger.debug(f"PDArray:\n{df[[self.TIMESTAMP_COL, self.PD_TYPE_COL, self.PD_HIGH_COL, self.PD_LOW_COL, self.PD_MID_COL,self.PD_WAS_BALANCED_COL,self.OB_WAS_CROSSED,self.FVG_WAS_BALANCED]]}")
             last_pd = df.iloc[-1]
             return {
                 self.TIMESTAMP_COL: last_pd[self.TIMESTAMP_COL],
@@ -106,4 +122,5 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
                 self.PD_HIGH_COL: last_pd[self.PD_HIGH_COL],
                 self.PD_LOW_COL: last_pd[self.PD_LOW_COL],
                 self.PD_MID_COL: last_pd[self.PD_MID_COL],
+                self.PD_WAS_BALANCED_COL: last_pd[self.PD_WAS_BALANCED_COL],
             }