siglab-py 0.1.31__py3-none-any.whl → 0.1.33__py3-none-any.whl

siglab_py/ordergateway/client.py

@@ -138,7 +138,7 @@ class DivisiblePosition(Order):
 
     def get_filled_amount(self) -> float:
         # filled_amount is in base ccy
-        filled_amount = sum([ self.executions[order_id]['filled'] if 'filled' in self.executions[order_id] else 0 * self.multiplier for order_id in self.executions ])
+        filled_amount = sum([ self.executions[order_id]['filled'] if 'filled' in self.executions[order_id] and self.executions[order_id]['filled'] else 0 * self.multiplier for order_id in self.executions ])
         if self.side=='sell':
             filled_amount = -1 * filled_amount
         return filled_amount
@@ -189,14 +189,14 @@ class DivisiblePosition(Order):
                 }
         '''
         total_amount : float = sum([ self.executions[order_id]['amount'] for order_id in self.executions ])
-        average_cost = sum([ (self.executions[order_id]['average'] if 'average' in self.executions[order_id] else 0 if self.executions[order_id]['average'] else self.executions[order_id]['price']) * self.executions[order_id]['amount'] for order_id in self.executions ])
+        average_cost = sum([ (self.executions[order_id]['average'] if 'average' in self.executions[order_id] and self.executions[order_id]['average'] else 0 if self.executions[order_id]['average'] else self.executions[order_id]['price']) * self.executions[order_id]['amount'] for order_id in self.executions ])
         average_cost = average_cost / total_amount if total_amount!=0 else 0
         return average_cost
 
     def get_fees(self) -> float:
         fees : float = 0
         if self.fees_ccy:
-            fees = sum([ float(self.executions[order_id]['fee']['cost'] if self.executions[order_id]['fee'] else 0)  for order_id in self.executions if self.executions[order_id]['fee'] and self.executions[order_id]['fee']['currency'].strip().upper()==self.fees_ccy.strip().upper() ])
+            fees = sum([ float(self.executions[order_id]['fee']['cost'] if self.executions[order_id]['fee'] and self.executions[order_id]['fee']['cost'] else 0)  for order_id in self.executions if self.executions[order_id]['fee'] and self.executions[order_id]['fee']['currency'].strip().upper()==self.fees_ccy.strip().upper() ])
         return fees
 
     def to_dict(self) -> Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES]:

siglab_py/util/analytic_util.py

@@ -86,11 +86,17 @@ def compute_candles_stats(
 
     pd_candles['is_green'] =  pd_candles['close'] >= pd_candles['open']
 
+    close_short_periods_rolling = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio))
+    close_long_periods_rolling = pd_candles['close'].rolling(window=sliding_window_how_many_candles)
+    close_short_periods_ewm = pd_candles['close'].ewm(span=int(sliding_window_how_many_candles/slow_fast_interval_ratio), adjust=False)
+    close_long_periods_ewm = pd_candles['close'].ewm(span=sliding_window_how_many_candles, adjust=False)
+
+
     pd_candles['pct_change_close'] = pd_candles['close'].pct_change() * 100
-    pd_candles['sma_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).mean()
-    pd_candles['sma_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).mean()
-    pd_candles['ema_short_periods'] = pd_candles['close'].ewm(span=int(sliding_window_how_many_candles/slow_fast_interval_ratio), adjust=False).mean()
-    pd_candles['ema_long_periods'] = pd_candles['close'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
+    pd_candles['sma_short_periods'] = close_short_periods_rolling.mean()
+    pd_candles['sma_long_periods'] = close_long_periods_rolling.mean()
+    pd_candles['ema_short_periods'] = close_short_periods_ewm.mean()
+    pd_candles['ema_long_periods'] = close_long_periods_ewm.mean()
     pd_candles['ema_close'] = pd_candles['ema_long_periods'] # Alias, shorter name
     pd_candles['std'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).std()
 
@@ -106,15 +112,15 @@ def compute_candles_stats(
     pd_candles['ema_volume_short_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles/slow_fast_interval_ratio, adjust=False).mean()
     pd_candles['ema_volume_long_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
 
-    pd_candles['max_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).max()
-    pd_candles['max_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).max()
-    pd_candles['idmax_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x : x.idxmax())
-    pd_candles['idmax_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmax())
+    pd_candles['max_short_periods'] = close_short_periods_rolling.max()
+    pd_candles['max_long_periods'] = close_long_periods_rolling.max()
+    pd_candles['idmax_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmax())
+    pd_candles['idmax_long_periods'] = close_long_periods_rolling.apply(lambda x : x.idxmax())
 
-    pd_candles['min_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).min()
-    pd_candles['min_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).min()
-    pd_candles['idmin_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x : x.idxmin())
-    pd_candles['idmin_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmin())
+    pd_candles['min_short_periods'] = close_short_periods_rolling.min()
+    pd_candles['min_long_periods'] = close_long_periods_rolling.min()
+    pd_candles['idmin_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmin())
+    pd_candles['idmin_long_periods'] = close_long_periods_rolling.apply(lambda x : x.idxmin())
 
 
     # ATR https://medium.com/codex/detecting-ranging-and-trending-markets-with-choppiness-index-in-python-1942e6450b58 

{siglab_py-0.1.31.dist-info → siglab_py-0.1.33.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.31
+Version: 0.1.33
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.31.dist-info → siglab_py-0.1.33.dist-info}/RECORD

@@ -13,7 +13,7 @@ siglab_py/market_data_providers/futu_candles_ta_to_csv.py,sha256=S4GXaJ7AveEh-Cm
 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=vpvBacWFRYUDIAtpxkMjylE2zuP9PYpo8_9QdvnC1zg,9715
+siglab_py/ordergateway/client.py,sha256=XgY4l8ue2f1hrFAla6VwzpFzsOmIW-6SkvulOGSVAGQ,9841
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
 siglab_py/ordergateway/gateway.py,sha256=FoE-OUBrHJ2fdKAfvGue1yQ2P67falWoyoEGCV8ScfA,37219
 siglab_py/ordergateway/test_ordergateway.py,sha256=_Gz2U_VqljogGWqGyNDYYls1INqUiig9veyPttfGRpg,3901
@@ -24,11 +24,11 @@ siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hS
 siglab_py/tests/unit/analytic_util_tests.py,sha256=BzT__hxfqXMRAKvqtYDVYNrcMGGDF3-gFoXhxiJ0Lew,3703
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=w3-ee13q7d6O-w45zafQdWeuKtYO2ycNW9Ek4MJTOuY,44042
+siglab_py/util/analytic_util.py,sha256=xo9gD1ELQt_1v84yu9d4NgxtOIXthePZGipvDrjZAQ8,43834
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=qRKsFKZMYsaC18ImSWug6dRAOo2_GS1NZM-j0EYMViE,19319
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.31.dist-info/METADATA,sha256=vLf-54Ssp9XJXmEQ7x3Er_kxax2aMYE2ttf30DESUF4,980
-siglab_py-0.1.31.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.31.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.31.dist-info/RECORD,,
+siglab_py-0.1.33.dist-info/METADATA,sha256=skhdhJMkkOwglY5aDjlkzczs9xb-FSXrlLYGuxeFntU,980
+siglab_py-0.1.33.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.33.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.33.dist-info/RECORD,,