siglab-py 0.1.31__tar.gz → 0.1.33__tar.gz

{siglab_py-0.1.31 → siglab_py-0.1.33}/PKG-INFO

@@ -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 → siglab_py-0.1.33}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.1.31"
+version = "0.1.33"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.1.31 → siglab_py-0.1.33}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.1.31
+version = 0.1.33
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.1.31 → siglab_py-0.1.33}/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-0.1.31 → siglab_py-0.1.33}/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 → siglab_py-0.1.33}/siglab_py.egg-info/PKG-INFO

@@ -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>