siglab-py 0.1.21__py3-none-any.whl → 0.1.23__py3-none-any.whl

siglab_py/market_data_providers/futu_candles.py

@@ -1,6 +1,9 @@
+import sys
+import logging
 import argparse
 from datetime import datetime
 from typing import Dict, Union
+from enum import Enum
 import asyncio
 
 from futu import *
@@ -9,22 +12,12 @@ 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)
+'''
+Usage:
+    python futu_candles.py --symbol HK.00700 --end_date 2025-03-11 --start_date 2024-03-11 --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y
 
-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
-    }
-}
+This script is NOT pypy compatible.
 
-'''
 If debugging from VSCode, launch.json:
 
     {
@@ -38,10 +31,13 @@ If debugging from VSCode, launch.json:
                 "console": "integratedTerminal",
                 "args" : [
                         "--symbol", "HK.00700",
+                        "--end_date", "2025-03-11 0:0:0",
+                        "--start_date", "2024-03-11 0:0:0",
                         "--market", "HK",
                         "--trdmarket", "HK",
                         "--security_firm", "FUTUSECURITIES",
-                        "--security_type", "STOCK"
+                        "--security_type", "STOCK",
+                        "--compute_ta", "Y"
                     ],
                 "env": {
                     "PYTHONPATH": "${workspaceFolder}"
@@ -50,9 +46,59 @@ If debugging from VSCode, launch.json:
         ]
     }
 '''
+end_date : datetime = datetime.today()
+end_date = datetime(end_date.year, end_date.month, end_date.day)
+start_date : datetime = end_date - timedelta(days=365)
+
+param : Dict = {
+    'symbol' : None,
+    'start_date' : start_date,
+    'end_date' : end_date,
+    'trdmarket' : TrdMarket.HK,
+    'security_firm' : SecurityFirm.FUTUSECURITIES,
+    'market' : Market.HK, 
+    'security_type' : SecurityType.STOCK,
+    'daemon' : {
+        'host' : '127.0.0.1',
+        'port' : 11111
+    },
+    'output_filename' : 'candles_$SYMBOL$.csv'
+}
+
+class LogLevel(Enum):
+    CRITICAL = 50
+    ERROR = 40
+    WARNING = 30
+    INFO = 20
+    DEBUG = 10
+    NOTSET = 0
+
+logging.Formatter.converter = time.gmtime
+logger = logging.getLogger()
+log_level = logging.INFO # DEBUG --> INFO --> WARNING --> ERROR
+logger.setLevel(log_level)
+format_str = '%(asctime)s %(message)s'
+formatter = logging.Formatter(format_str)
+sh = logging.StreamHandler()
+sh.setLevel(log_level)
+sh.setFormatter(formatter)
+logger.addHandler(sh)
+
+def log(message : str, log_level : LogLevel = LogLevel.INFO):
+    if log_level.value<LogLevel.WARNING.value:
+        logger.info(f"{datetime.now()} {message}")
+
+    elif log_level.value==LogLevel.WARNING.value:
+        logger.warning(f"{datetime.now()} {message}")
+
+    elif log_level.value==LogLevel.ERROR.value:
+        logger.error(f"{datetime.now()} {message}")
+
 def parse_args():
     parser = argparse.ArgumentParser() # type: ignore
     parser.add_argument("--symbol", help="symbol, example HK.00700", default=None)
+    parser.add_argument("--start_date", help="Format: %Y-%m-%d %H:%M:%S", default=None)
+    parser.add_argument("--end_date", help="Format: %Y-%m-%d %H:%M:%S", default=None)
 
     '''
     Enums here: 
@@ -64,15 +110,44 @@ def parse_args():
     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)
 
+    parser.add_argument("--compute_ta", help="Compute technical indicators?. Y or N (default).", default='N')
+    parser.add_argument("--candle_size", help="candle interval: 1m, 1h, 1d... etc", default='1h')
+    parser.add_argument("--ma_long_intervals", help="Window size in number of intervals for higher timeframe", default=24)
+    parser.add_argument("--ma_short_intervals", help="Window size in number of intervals for lower timeframe", default=8)
+    parser.add_argument("--boillenger_std_multiples", help="Boillenger bands: # std", default=2)
+
     args = parser.parse_args()
-    param['symbol'] = args.symbol
+    param['symbol'] = args.symbol.strip().upper()
+
+    param['start_date'] = datetime.strptime(args.start_date, "%Y-%m-%d %H:%M:%S") if args.start_date else start_date
+    param['end_date'] = datetime.strptime(args.end_date, "%Y-%m-%d %H:%M:%S") if args.end_date else end_date
+    
     param['market'] = args.market
     param['trdmarket'] = args.trdmarket
     param['security_firm'] = args.security_firm
 
+    param['output_filename'] = param['output_filename'].replace('$SYMBOL$', param['symbol'])
+
+    if args.compute_ta:
+        if args.compute_ta=='Y':
+            param['compute_ta'] = True
+        else:
+            param['compute_ta'] = False
+    else:
+        param['compute_ta'] = False
+    param['candle_size'] = args.candle_size
+    param['ma_long_intervals'] = int(args.ma_long_intervals)
+    param['ma_short_intervals'] = int(args.ma_short_intervals)
+    param['boillenger_std_multiples'] = int(args.boillenger_std_multiples)
+
 async def main():
     parse_args()
 
+    fh = logging.FileHandler(f"futu_candles.log")
+    fh.setLevel(log_level)
+    fh.setFormatter(formatter)     
+    logger.addHandler(fh) # type: ignore
+
     exchange = Futubull(param)
 
     pd_candles: Union[pd.DataFrame, None] = fetch_candles(
@@ -92,4 +167,21 @@ async def main():
         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."
 
+    if param['compute_ta']:
+        start = time.time()
+        compute_candles_stats(
+                                    pd_candles=pd_candles, 
+                                    boillenger_std_multiples=param['boillenger_std_multiples'], 
+                                    sliding_window_how_many_candles=param['ma_long_intervals'], 
+                                    slow_fast_interval_ratio=(param['ma_long_intervals']/param['ma_short_intervals']),
+                                    pypy_compat=False
+                                )
+        compute_candles_stats_elapsed_ms = int((time.time() - start) *1000)
+        log(f"TA calculated, took {compute_candles_stats_elapsed_ms} ms")
+
+    log(f"Candles (# rows: {pd_candles.shape[0]}) written to {param['output_filename']}")
+    pd_candles.to_csv(param['output_filename'])
+
+    sys.exit()
+
 asyncio.run(main())

siglab_py/util/analytic_util.py

@@ -10,7 +10,7 @@ from hurst import compute_Hc # compatible with pypy
 from ccxt.base.exchange import Exchange as CcxtExchange
 from ccxt import deribit
 
-from util.market_data_util import fix_column_types
+from siglab_py.util.market_data_util import fix_column_types
 
 # Fibonacci
 MAGIC_FIB_LEVELS = [0, 0.236, 0.382, 0.5, 0.618, 0.786, 1.00, 1.618, 2.618, 3.618, 4.236]

siglab_py/util/market_data_util.py

@@ -15,7 +15,7 @@ from yahoofinancials import YahooFinancials
 # yfinance allows intervals '1m', '5m', '15m', '1h', '1d', '1wk', '1mo'. yahoofinancials not as flexible
 import yfinance as yf
 
-from exchanges.futubull import Futubull
+from siglab_py.exchanges.futubull import Futubull
 
 def timestamp_to_datetime_cols(pd_candles : pd.DataFrame):
     pd_candles['datetime'] = pd_candles['timestamp_ms'].apply(

{siglab_py-0.1.21.dist-info → siglab_py-0.1.23.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.21
+Version: 0.1.23
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.21.dist-info → siglab_py-0.1.23.dist-info}/RECORD

@@ -8,7 +8,7 @@ siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBN
 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/futu_candles.py,sha256=jdD-IOU0BJvbxq0sxPBirVDW-oYV2k8E5OGItNHfNN0,7576
 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
@@ -22,11 +22,11 @@ siglab_py/tests/integration/market_data_util_tests.py,sha256=5RbWkeEWPqCOXiW3e04
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/unit/analytic_util_tests.py,sha256=-FGj-cWdIZ_WZQqQCIpDLRSv5TlJIG81fHyBlWuAm1U,2961
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=QLabbEMqM4rKKH2PE_LqxIyo-BUdCRhkLybLATBImcc,43438
+siglab_py/util/analytic_util.py,sha256=FiS7R_om3F3M8D0LbS6PbmiWy4RT1kubpgkzdbaGlTY,43448
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=PmGPBXJDTuK-so4qoGT27ag-_Qig7GNFV6znxkmcRW4,17252
+siglab_py/util/market_data_util.py,sha256=AcgWueAGtC6Gm1oq06v1R0a85dz__Tp3QarVSD_iU6Q,17262
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.21.dist-info/METADATA,sha256=KsRZwN69jt6TZAKdikVr7LPL3qjf-VTpX0r5OhDU2Yk,1097
-siglab_py-0.1.21.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.21.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.21.dist-info/RECORD,,
+siglab_py-0.1.23.dist-info/METADATA,sha256=rFMtNxP1dwVNViRngF75g8Va5BsuboilkSojaLWe6Bw,1097
+siglab_py-0.1.23.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.23.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.23.dist-info/RECORD,,