siglab-py 0.1.18__py3-none-any.whl → 0.1.20__py3-none-any.whl

siglab_py/exchanges/futubull.py

@@ -8,7 +8,9 @@ Subscribe L2 data: https://openapi.futunn.com/futu-api-doc/en/intro/authority.ht
 
 Investor Protection: https://www.futuhk.com/en
 
-Margin Trading: https://www.futunn.com/en/learn/detail-what-is-margin-trading-62010-220679271
+Margin Trading: 
+    https://www.futunn.com/en/learn/detail-what-is-margin-trading-62010-220679271
+    Margin rate 6.8% annual https://www.futuhk.com/en/support/topic2_417
 
 Download Futu OpenD
     https://www.futuhk.com/en/support/topic1_464?global_content=%7B%22promote_id%22%3A13765%2C%22sub_promote_id%22%3A10%7D
@@ -40,13 +42,14 @@ API
 
 '''
 from datetime import datetime, timedelta
+import pytz
 from typing import List, Dict, Union, Any, NoReturn
 import pandas as pd
 
 import futu as ft
 from futu import *
 
-from exchanges.any_exchange import AnyExchange
+from siglab_py.exchanges.any_exchange import AnyExchange
 
 class Futubull(AnyExchange):
     def __init__(self, *args: Dict[str, Any]) -> None:
@@ -259,6 +262,23 @@ class Futubull(AnyExchange):
                 '''
                 time_key = row['time_key']
                 dt = datetime.strptime(time_key, "%Y-%m-%d %H:%M:%S")
+                
+                if self.market in [ Market.HK, Market.SH, Market.SZ ]:
+                    tz = pytz.timezone('Asia/Shanghai')
+                    dt = tz.localize(dt)
+                elif self.market == Market.US:
+                    tz = pytz.timezone('US/Eastern')
+                    dt = tz.localize(dt)
+                elif self.market == Market.CA:
+                    tz = pytz.timezone('US/Eastern')
+                    dt = tz.localize(dt)
+                elif self.market == Market.AU:
+                    tz = pytz.timezone('Australia/Sydney')
+                    dt = tz.localize(dt)
+                else:
+                    # @todo:  HK SH SZ US AU CA FX
+                    raise ValueError(f"Unsupported market {self.market}")
+
                 timestamp_ms = int(dt.timestamp() * 1000)
                 open = row['open']
                 high = row['high']

siglab_py/market_data_providers/futu_candles.py

@@ -0,0 +1,95 @@
+import argparse
+from datetime import datetime
+from typing import Dict, Union
+import asyncio
+
+from futu import *
+
+from siglab_py.exchanges.futubull import Futubull
+from siglab_py.util.market_data_util import fetch_candles
+from siglab_py.util.analytic_util import compute_candles_stats
+
+end_date : datetime = datetime.today()
+start_date : datetime = end_date - timedelta(days=365)
+
+param : Dict = {
+    'symbol' : None,
+    'trdmarket' : TrdMarket.HK,
+    'security_firm' : SecurityFirm.FUTUSECURITIES,
+    'market' : Market.HK, 
+    'security_type' : SecurityType.STOCK,
+    'daemon' : {
+        'host' : '127.0.0.1',
+        'port' : 11111
+    }
+}
+
+'''
+If debugging from VSCode, launch.json:
+
+    {
+        "version": "0.2.0",
+        "configurations": [
+            {
+                "name": "Python Debugger: Current File",
+                "type": "debugpy",
+                "request": "launch",
+                "program": "${file}",
+                "console": "integratedTerminal",
+                "args" : [
+                        "--symbol", "HK.00700",
+                        "--market", "HK",
+                        "--trdmarket", "HK",
+                        "--security_firm", "FUTUSECURITIES",
+                        "--security_type", "STOCK"
+                    ],
+                "env": {
+                    "PYTHONPATH": "${workspaceFolder}"
+                }
+            }
+        ]
+    }
+'''
+def parse_args():
+    parser = argparse.ArgumentParser() # type: ignore
+    parser.add_argument("--symbol", help="symbol, example HK.00700", default=None)
+
+    '''
+    Enums here: 
+    https://openapi.futunn.com/futu-api-doc/en/quote/quote.html#66
+    https://openapi.futunn.com/futu-api-doc/en/trade/trade.html#9434
+    '''
+    parser.add_argument("--market", help="market: HK SH SZ US AU CA FX", default=Market.HK)
+    parser.add_argument("--trdmarket", help="trdmarket: HK, HKCC, HKFUND, FUTURES, CN, CA, AU, JP, MY, SG, US, USFUND", default=TrdMarket.HK)
+    parser.add_argument("--security_firm", help="security_firm: FUTUSECURITIES (HK), FUTUINC (US), FUTUSG (SG), FUTUAU (AU)", default=SecurityFirm.FUTUSECURITIES)
+    parser.add_argument("--security_type", help="STOCK, BOND, ETF, FUTURE, WARRANT, IDX ... ", default=SecurityType.STOCK)
+
+    args = parser.parse_args()
+    param['symbol'] = args.symbol
+    param['market'] = args.market
+    param['trdmarket'] = args.trdmarket
+    param['security_firm'] = args.security_firm
+
+async def main():
+    parse_args()
+
+    exchange = Futubull(param)
+
+    pd_candles: Union[pd.DataFrame, None] = fetch_candles(
+            start_ts=int(start_date.timestamp()),
+            end_ts=int(end_date.timestamp()),
+            exchange=exchange,
+            normalized_symbols=[ param['symbol'] ],
+            candle_size='1d'
+        )[param['symbol']]
+
+    assert pd_candles is not None
+
+    if pd_candles is not None:
+        assert len(pd_candles) > 0, "No candles returned."
+        expected_columns = {'exchange', 'symbol', 'timestamp_ms', 'open', 'high', 'low', 'close', 'volume', 'datetime_utc', 'datetime', 'year', 'month', 'day', 'hour', 'minute'}
+        assert set(pd_candles.columns) >= expected_columns, "Missing expected columns."
+        assert pd_candles['timestamp_ms'].notna().all(), "timestamp_ms column contains NaN values."
+        assert pd_candles['timestamp_ms'].is_monotonic_increasing, "Timestamps are not in ascending order."
+
+asyncio.run(main())

siglab_py/ordergateway/gateway.py

@@ -463,9 +463,13 @@ async def execute_one_position(
             slice_amount_in_base_ccy : float = slice.amount
             rounded_slice_amount_in_base_ccy = slice_amount_in_base_ccy / multiplier # After devided by multiplier, rounded_slice_amount_in_base_ccy in number of contracts actually (Not in base ccy).
             rounded_slice_amount_in_base_ccy = exchange.amount_to_precision(position.ticker, rounded_slice_amount_in_base_ccy) # type: ignore
-            rounded_slice_amount_in_base_ccy = float(rounded_slice_amount_in_base_ccy)
+            rounded_slice_amount_in_base_ccy = float(rounded_slice_amount_in_base_ccy) if rounded_slice_amount_in_base_ccy else 0
             rounded_slice_amount_in_base_ccy = rounded_slice_amount_in_base_ccy if rounded_slice_amount_in_base_ccy>min_amount else min_amount
 
+            if rounded_slice_amount_in_base_ccy==0:
+                log(f"{position.ticker} Slice amount rounded to zero?! slice amount before rounding: {slice.amount}") 
+                continue
+
             orderbook = await exchange.fetch_order_book(symbol=position.ticker, limit=3) # type: ignore
             if position.side=='buy':
                 asks = [ ask[0] for ask in orderbook['asks'] ]
@@ -604,7 +608,6 @@ async def execute_one_position(
                     await asyncio.sleep(int(param['loop_freq_ms']/1000))
             
             
-
             # Cancel hung limit order, resend as market
             if order_status!='closed':
                 # If no update from websocket, do one last fetch via REST

{siglab_py-0.1.18.dist-info → siglab_py-0.1.20.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.18
+Version: 0.1.20
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.18.dist-info → siglab_py-0.1.20.dist-info}/RECORD

@@ -2,18 +2,19 @@ siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/constants.py,sha256=YGNdEsWtQ99V2oltaynZTjM8VIboSfyIjDXJKSlhv4U,132
 siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
-siglab_py/exchanges/futubull.py,sha256=yjXVZEyHUv_ZDe8NOsAkgymaS_rT5r6cOEW8vbv7Kao,19540
+siglab_py/exchanges/futubull.py,sha256=6M99G8ZYsIyDyoTvvleMT_WPyNYbb6q-t2KXp0Qyi6g,20422
 siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBNRzcNGlOG3u38OVhmOZYlkNm8dVvR-S7Ii2g,23342
 siglab_py/market_data_providers/candles_provider.py,sha256=fqHJjlECsBiBlpgyywrc4gTgxiROPNzZM8KxQBB5cOg,14139
 siglab_py/market_data_providers/candles_ta_provider.py,sha256=uiAhbEZZdTF-YulBHpSLwabos5LHCKU91NTiTmpUc0w,12001
 siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8TmC8pXaid8-jouSLKIpuW6_JBBgwRTieI665yQ,8684
+siglab_py/market_data_providers/futu_candles.py,sha256=hjvbEV8nIs_v5lu8sWu_8C4cNoB82LLRXTzTiz7YZUE,3526
 siglab_py/market_data_providers/orderbooks_provider.py,sha256=olt-3LIkoyzQWfNNQRhJtKibLbkTutt_q_rCCTM7i1g,16216
 siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lkOLa_cgpuvqRakMC0wbA,2221
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/ordergateway/client.py,sha256=qh4vrCJm8iITKAl07lisZxJ3V4JkbsYlmIBMYihfUaU,9575
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=jP_jH1rXbY-VrPRAI4tYJJuFDTEM2kxRNNnWF1kh2VU,36977
+siglab_py/ordergateway/gateway.py,sha256=FoE-OUBrHJ2fdKAfvGue1yQ2P67falWoyoEGCV8ScfA,37219
 siglab_py/ordergateway/test_ordergateway.py,sha256=_Gz2U_VqljogGWqGyNDYYls1INqUiig9veyPttfGRpg,3901
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -25,7 +26,7 @@ siglab_py/util/analytic_util.py,sha256=QLabbEMqM4rKKH2PE_LqxIyo-BUdCRhkLybLATBIm
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=PmGPBXJDTuK-so4qoGT27ag-_Qig7GNFV6znxkmcRW4,17252
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.18.dist-info/METADATA,sha256=-8lmN_HYchcMmWOl9xlrJOAbCz-AVSlUEWHw_Q7Ubks,1097
-siglab_py-0.1.18.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.18.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.18.dist-info/RECORD,,
+siglab_py-0.1.20.dist-info/METADATA,sha256=WjWRIUcBDUn91ZX1ulfXINyZfAFI_yQcBm1mg0MjbQ0,1097
+siglab_py-0.1.20.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.20.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.20.dist-info/RECORD,,