siglab-py 0.1.19__tar.gz → 0.1.20__tar.gz

{siglab_py-0.1.19 → siglab_py-0.1.20}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.1.19
+Version: 0.1.20
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.19 → siglab_py-0.1.20}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.1.19"
+version = "0.1.20"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.1.19 → siglab_py-0.1.20}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.1.19
+version = 0.1.20
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.1.19 → siglab_py-0.1.20}/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
@@ -40,6 +42,7 @@ API
 
 '''
 from datetime import datetime, timedelta
+import pytz
 from typing import List, Dict, Union, Any, NoReturn
 import pandas as pd
 
@@ -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-0.1.20/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-0.1.19 → siglab_py-0.1.20}/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-0.1.19 → siglab_py-0.1.20}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.19
+Version: 0.1.20
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.19 → siglab_py-0.1.20}/siglab_py.egg-info/SOURCES.txt

@@ -15,6 +15,7 @@ siglab_py/market_data_providers/aggregated_orderbook_provider.py
 siglab_py/market_data_providers/candles_provider.py
 siglab_py/market_data_providers/candles_ta_provider.py
 siglab_py/market_data_providers/deribit_options_expiry_provider.py
+siglab_py/market_data_providers/futu_candles.py
 siglab_py/market_data_providers/orderbooks_provider.py
 siglab_py/market_data_providers/test_provider.py
 siglab_py/ordergateway/__init__.py