siglab-py 0.1.21__tar.gz → 0.1.23__tar.gz

{siglab_py-0.1.21 → siglab_py-0.1.23}/PKG-INFO

@@ -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 → siglab_py-0.1.23}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.1.21"
+version = "0.1.23"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.1.21 → siglab_py-0.1.23}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.1.21
+version = 0.1.23
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

siglab_py-0.1.23/siglab_py/market_data_providers/futu_candles.py

@@ -0,0 +1,187 @@
+import sys
+import logging
+import argparse
+from datetime import datetime
+from typing import Dict, Union
+from enum import Enum
+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
+
+'''
+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
+
+This script is NOT pypy compatible.
+
+If debugging from VSCode, launch.json:
+
+    {
+        "version": "0.2.0",
+        "configurations": [
+            {
+                "name": "Python Debugger: Current File",
+                "type": "debugpy",
+                "request": "launch",
+                "program": "${file}",
+                "console": "integratedTerminal",
+                "args" : [
+                        "--symbol", "HK.00700",
+                        "--end_date", "2025-03-11 0:0:0",
+                        "--start_date", "2024-03-11 0:0:0",
+                        "--market", "HK",
+                        "--trdmarket", "HK",
+                        "--security_firm", "FUTUSECURITIES",
+                        "--security_type", "STOCK",
+                        "--compute_ta", "Y"
+                    ],
+                "env": {
+                    "PYTHONPATH": "${workspaceFolder}"
+                }
+            }
+        ]
+    }
+'''
+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: 
+    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)
+
+    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.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(
+            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."
+
+    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-0.1.21 → siglab_py-0.1.23}/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-0.1.21 → siglab_py-0.1.23}/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 → siglab_py-0.1.23}/siglab_py.egg-info/PKG-INFO

@@ -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/siglab_py/market_data_providers/futu_candles.py

@@ -1,95 +0,0 @@
-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())