siglab-py 0.1.27__tar.gz → 0.1.29__tar.gz

{siglab_py-0.1.27 → siglab_py-0.1.29}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.1.27
+Version: 0.1.29
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.27 → siglab_py-0.1.29}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.1.27"
+version = "0.1.29"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.1.27 → siglab_py-0.1.29}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.1.27
+version = 0.1.29
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.1.27 → siglab_py-0.1.29}/siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py

@@ -26,7 +26,7 @@ from siglab_py.util.analytic_util import compute_candles_stats
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
-    python ccxt_candles_ta_to_csv.py --exchange_name bybit --symbol BTC/USDT:USDT --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --default_type linear --compute_ta Y --pypy_compatible N
+    python ccxt_candles_ta_to_csv.py --exchange_name bybit --symbol BTC/USDT:USDT --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --default_type linear --compute_ta Y --pypy_compatible N
 
     (Remember: python -mpip install siglab_py)
 
@@ -35,6 +35,17 @@ This script is pypy compatible. Set "pypy_compatible" to True, in which case "co
 
     (Remember: pypy -mpip install siglab_py)
 
+Other arguments:
+    candle_size: default 1h (Hourly candles). You can specify 1d, 1m ...etc
+    ma_long_intervals (default 24), ma_short_intervals (default 8): 
+        analytic_util.compute_candles_stats employ sliding windows to calculate things like std (Standard Deviation), EMA/SMAs, and actually most other technical indicators.
+        compute_candles_stats calculate certain things, for example EMA, in two levels: 'long' vs 'short'
+        'long' refers to 'higher timeframe' - this uses a bigger sliding window specified by 'ma_long_intervals'
+        'short' refers to 'lower timeframes' - this uses a smaller sliding window specified by 'ma_short_intervals'
+
+    compute_ta: Whether you wish to compute technical indicators? Y or N (Default)
+    pypy_compatible: Some technical indicators requires python libraries that's not pypy compatible, such as statsmodels.api (slopes and divergence calc) and scipy.stats.linregress. Set to Y, then analytic_util.compute_candles_stats will skip calculations which requires these libraries. 
+
 If debugging from VSCode, launch.json:
 
     {

{siglab_py-0.1.27 → siglab_py-0.1.29}/siglab_py/market_data_providers/futu_candles_ta_to_csv.py

@@ -17,7 +17,7 @@ from siglab_py.util.analytic_util import compute_candles_stats
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
-    python futu_candles_ta_to_csv.py --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 --pypy_compatible N
+    python futu_candles_ta_to_csv.py --symbol HK.00700 --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
 
     python futu_candles_ta_to_csv.py --symbol AAPL --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --market US --trdmarket US --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
 
@@ -28,6 +28,17 @@ This script is pypy compatible. Set "pypy_compatible" to True, in which case "co
 
     (Remember: pypy -mpip install siglab_py)
 
+Other arguments:
+    candle_size: default 1h (Hourly candles). You can specify 1d, 1m ...etc
+    ma_long_intervals (default 24), ma_short_intervals (default 8): 
+        analytic_util.compute_candles_stats employ sliding windows to calculate things like std (Standard Deviation), EMA/SMAs, and actually most other technical indicators.
+        compute_candles_stats calculate certain things, for example EMA, in two levels: 'long' vs 'short'
+        'long' refers to 'higher timeframe' - this uses a bigger sliding window specified by 'ma_long_intervals'
+        'short' refers to 'lower timeframes' - this uses a smaller sliding window specified by 'ma_short_intervals'
+
+    compute_ta: Whether you wish to compute technical indicators? Y or N (Default)
+    pypy_compatible: Some technical indicators requires python libraries that's not pypy compatible, such as statsmodels.api (slopes and divergence calc) and scipy.stats.linregress. Set to Y, then analytic_util.compute_candles_stats will skip calculations which requires these libraries. 
+
 If debugging from VSCode, launch.json:
 
     {

siglab_py-0.1.29/siglab_py/tests/unit/analytic_util_tests.py

@@ -0,0 +1,73 @@
+import unittest
+from typing import List
+from pathlib import Path
+
+from util.analytic_util import compute_candles_stats
+
+import pandas as pd
+
+'''
+Manual checks against for example Tradingview here: \siglab\siglab_py\tests\manual
+'''
+
+# @unittest.skip("Skip all integration tests.")
+class AnalyticUtilTests(unittest.TestCase):
+
+    def test_compute_candle_stats(self):
+        '''
+        Folder structure:
+            \ siglab
+                \ siglab_py	<-- python project root
+                    \ sigab_py
+                        __init__.py
+                        \ util
+                            __init__.py
+                            market_data_util.py
+                        \ tests
+                            \ unit
+                                __init__.py
+                                analytic_util_tests.py <-- Tests here
+                            
+                \ siglab_rs <-- Rust project root
+                \ data	 <-- Data files here!
+        '''
+        data_dir = Path(__file__).parent.parent.parent.parent / "data"
+        csv_path = data_dir / "sample_btc_candles.csv"
+        pd_candles : pd.DataFrame = pd.read_csv(csv_path)
+        compute_candles_stats(
+            pd_candles=pd_candles,
+            boillenger_std_multiples=2,
+            sliding_window_how_many_candles=20,
+            pypy_compat=True
+        )
+
+        expected_columns : List[str] = [
+            'exchange', 'symbol', 'timestamp_ms', 
+            'open', 'high', 'low', 'close', 'volume', 
+            'datetime', 'datetime_utc', 'year', 'month', 'day', 'hour', 'minute', 'dayofweek', 
+            'pct_chg_on_close', 'candle_height', 
+            'week_of_month', 'apac_trading_hr', 'emea_trading_hr', 'amer_trading_hr', 
+            'is_green', 'pct_change_close', 
+            'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 
+            'std', 'std_percent', 'candle_height_percent', 'candle_height_percent_rounded', 
+            'chop_against_ema', 
+            'ema_volume_short_periods', 'ema_volume_long_periods', 
+            'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 
+            'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 
+            'hurst_exp', 
+            'boillenger_upper', 'boillenger_lower', 'boillenger_channel_height', 'boillenger_upper_agg', 'boillenger_lower_agg', 'boillenger_channel_height_agg', 
+            'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 
+            'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 
+            'close_delta', 'close_delta_percent', 'up', 'down', 'rsi', 'ema_rsi', 'typical_price', 
+            'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 
+            'macd', 'signal', 'macd_minus_signal', 
+            'fib_618_short_periods', 'fib_618_long_periods', 
+            'gap_close_vs_ema', 
+            'close_above_or_below_ema', 
+            'close_vs_ema_inflection'
+        ]
+
+        missing_columns = [ expected for expected in expected_columns if expected not in pd_candles.columns.to_list() ]
+        unexpected_columns = [ actual for actual in pd_candles.columns.to_list() if actual not in expected_columns ]
+
+        assert(pd_candles.columns.to_list()==expected_columns)

{siglab_py-0.1.27 → siglab_py-0.1.29}/siglab_py/util/analytic_util.py

@@ -96,7 +96,8 @@ def compute_candles_stats(
 
     pd_candles['std_percent'] = pd_candles['std'] / pd_candles['ema_close'] * 100
     pd_candles['candle_height_percent'] = pd_candles['candle_height'] / pd_candles['ema_close'] * 100
-    
+    pd_candles['candle_height_percent_rounded'] = pd_candles['candle_height_percent'].round().astype(int)
+
     pd_candles['chop_against_ema'] = (
         (pd_candles['is_green'] & (pd_candles['close'] > pd_candles['ema_close'])) |  # Case 1: Green candle and close > EMA
         (~pd_candles['is_green'] & (pd_candles['close'] < pd_candles['ema_close']))   # Case 2: Red candle and close < EMA

{siglab_py-0.1.27 → siglab_py-0.1.29}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.27
+Version: 0.1.29
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

siglab_py-0.1.27/siglab_py/tests/unit/analytic_util_tests.py

@@ -1,45 +0,0 @@
-import unittest
-from typing import List
-from pathlib import Path
-
-from util.analytic_util import compute_candles_stats
-
-import pandas as pd
-
-'''
-Manual checks against for example Tradingview here: \siglab\siglab_py\tests\manual
-'''
-
-# @unittest.skip("Skip all integration tests.")
-class AnalyticUtilTests(unittest.TestCase):
-
-    def test_compute_candle_stats(self):
-        '''
-        Folder structure:
-            \ siglab
-                \ siglab_py	<-- python project root
-                    \ sigab_py
-                        __init__.py
-                        \ util
-                            __init__.py
-                            market_data_util.py
-                        \ tests
-                            \ unit
-                                __init__.py
-                                analytic_util_tests.py <-- Tests here
-                            
-                \ siglab_rs <-- Rust project root
-                \ data	 <-- Data files here!
-        '''
-        data_dir = Path(__file__).parent.parent.parent.parent / "data"
-        csv_path = data_dir / "sample_btc_candles.csv"
-        pd_candles : pd.DataFrame = pd.read_csv(csv_path)
-        compute_candles_stats(
-            pd_candles=pd_candles,
-            boillenger_std_multiples=2,
-            sliding_window_how_many_candles=20,
-            pypy_compat=True
-        )
-
-        expected_columns : List[str] = ['exchange', 'symbol', 'timestamp_ms', 'open', 'high', 'low', 'close', 'volume', 'datetime', 'datetime_utc', 'year', 'month', 'day', 'hour', 'minute', 'dayofweek', 'pct_chg_on_close', 'candle_height', 'is_green', 'pct_change_close', 'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 'std', 'std_percent', 'candle_height_percent', 'chop_against_ema', 'ema_volume_short_periods', 'ema_volume_long_periods', 'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 'hurst_exp', 'boillenger_upper', 'boillenger_lower', 'boillenger_channel_height', 'boillenger_upper_agg', 'boillenger_lower_agg', 'boillenger_channel_height_agg', 'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 'close_delta', 'close_delta_percent', 'up', 'down', 'rsi', 'ema_rsi', 'typical_price', 'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 'macd', 'signal', 'macd_minus_signal', 'fib_618_short_periods', 'fib_618_long_periods', 'gap_close_vs_ema', 'close_above_or_below_ema', 'close_vs_ema_inflection']
-        assert(pd_candles.columns.to_list()==expected_columns)