siglab-py 0.1.32__tar.gz → 0.1.33__tar.gz

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  1. {siglab_py-0.1.32 → siglab_py-0.1.33}/PKG-INFO +1 -1
  2. {siglab_py-0.1.32 → siglab_py-0.1.33}/pyproject.toml +1 -1
  3. {siglab_py-0.1.32 → siglab_py-0.1.33}/setup.cfg +1 -1
  4. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/analytic_util.py +18 -12
  5. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/PKG-INFO +1 -1
  6. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/__init__.py +0 -0
  7. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/constants.py +0 -0
  8. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/exchanges/__init__.py +0 -0
  9. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/exchanges/any_exchange.py +0 -0
  10. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/exchanges/futubull.py +0 -0
  11. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/__init__.py +0 -0
  12. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/aggregated_orderbook_provider.py +0 -0
  13. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/candles_provider.py +0 -0
  14. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/candles_ta_provider.py +0 -0
  15. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py +0 -0
  16. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/deribit_options_expiry_provider.py +0 -0
  17. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/futu_candles_ta_to_csv.py +0 -0
  18. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/orderbooks_provider.py +0 -0
  19. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/market_data_providers/test_provider.py +0 -0
  20. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/ordergateway/__init__.py +0 -0
  21. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/ordergateway/client.py +0 -0
  22. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/ordergateway/encrypt_keys_util.py +0 -0
  23. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/ordergateway/gateway.py +0 -0
  24. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/ordergateway/test_ordergateway.py +0 -0
  25. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/__init__.py +0 -0
  26. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/integration/__init__.py +0 -0
  27. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/integration/market_data_util_tests.py +0 -0
  28. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/unit/__init__.py +0 -0
  29. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/unit/analytic_util_tests.py +0 -0
  30. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/tests/unit/market_data_util_tests.py +0 -0
  31. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/__init__.py +0 -0
  32. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/aws_util.py +0 -0
  33. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/market_data_util.py +0 -0
  34. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/retry_util.py +0 -0
  35. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/SOURCES.txt +0 -0
  36. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/dependency_links.txt +0 -0
  37. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/requires.txt +0 -0
  38. {siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/top_level.txt +0 -0
{siglab_py-0.1.32 → siglab_py-0.1.33}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.1
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  Name: siglab_py
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- Version: 0.1.32
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+ Version: 0.1.33
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  Summary: Market data fetches, TA calculations and generic order gateway.
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  Author: r0bbarh00d
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  Author-email: r0bbarh00d <r0bbarh00d@gmail.com>
{siglab_py-0.1.32 → siglab_py-0.1.33}/pyproject.toml RENAMED
@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
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  [project]
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  name = "siglab_py"
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- version = "0.1.32"
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+ version = "0.1.33"
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  description = "Market data fetches, TA calculations and generic order gateway."
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  authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
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  license = {text = "MIT"}
{siglab_py-0.1.32 → siglab_py-0.1.33}/setup.cfg RENAMED
@@ -1,6 +1,6 @@
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  [metadata]
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  name = siglab_py
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- version = 0.1.32
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+ version = 0.1.33
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  description = Market data fetches, TA calculations and generic order gateway.
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  author = r0bbarh00d
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  author_email = r0bbarh00d@gmail.com
{siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py/util/analytic_util.py RENAMED
@@ -86,11 +86,17 @@ def compute_candles_stats(
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  pd_candles['is_green'] = pd_candles['close'] >= pd_candles['open']
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+ close_short_periods_rolling = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio))
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+ close_long_periods_rolling = pd_candles['close'].rolling(window=sliding_window_how_many_candles)
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+ close_short_periods_ewm = pd_candles['close'].ewm(span=int(sliding_window_how_many_candles/slow_fast_interval_ratio), adjust=False)
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+ close_long_periods_ewm = pd_candles['close'].ewm(span=sliding_window_how_many_candles, adjust=False)
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+
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+
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  pd_candles['pct_change_close'] = pd_candles['close'].pct_change() * 100
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- pd_candles['sma_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).mean()
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- pd_candles['sma_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).mean()
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- pd_candles['ema_short_periods'] = pd_candles['close'].ewm(span=int(sliding_window_how_many_candles/slow_fast_interval_ratio), adjust=False).mean()
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- pd_candles['ema_long_periods'] = pd_candles['close'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
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+ pd_candles['sma_short_periods'] = close_short_periods_rolling.mean()
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+ pd_candles['sma_long_periods'] = close_long_periods_rolling.mean()
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+ pd_candles['ema_short_periods'] = close_short_periods_ewm.mean()
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+ pd_candles['ema_long_periods'] = close_long_periods_ewm.mean()
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  pd_candles['ema_close'] = pd_candles['ema_long_periods'] # Alias, shorter name
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  pd_candles['std'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).std()
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@@ -106,15 +112,15 @@ def compute_candles_stats(
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  pd_candles['ema_volume_short_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles/slow_fast_interval_ratio, adjust=False).mean()
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  pd_candles['ema_volume_long_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
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- pd_candles['max_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).max()
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- pd_candles['max_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).max()
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- 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())
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- pd_candles['idmax_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmax())
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+ pd_candles['max_short_periods'] = close_short_periods_rolling.max()
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+ pd_candles['max_long_periods'] = close_long_periods_rolling.max()
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+ pd_candles['idmax_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmax())
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+ pd_candles['idmax_long_periods'] = close_long_periods_rolling.apply(lambda x : x.idxmax())
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- pd_candles['min_short_periods'] = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).min()
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- pd_candles['min_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).min()
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- 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())
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- pd_candles['idmin_long_periods'] = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmin())
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+ pd_candles['min_short_periods'] = close_short_periods_rolling.min()
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+ pd_candles['min_long_periods'] = close_long_periods_rolling.min()
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+ pd_candles['idmin_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmin())
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+ pd_candles['idmin_long_periods'] = close_long_periods_rolling.apply(lambda x : x.idxmin())
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  # ATR https://medium.com/codex/detecting-ranging-and-trending-markets-with-choppiness-index-in-python-1942e6450b58
{siglab_py-0.1.32 → siglab_py-0.1.33}/siglab_py.egg-info/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.1
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  Name: siglab-py
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- Version: 0.1.32
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+ Version: 0.1.33
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  Summary: Market data fetches, TA calculations and generic order gateway.
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  Author: r0bbarh00d
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  Author-email: r0bbarh00d <r0bbarh00d@gmail.com>