siglab-py 0.1.35__py3-none-any.whl → 0.1.37__py3-none-any.whl

siglab_py/ordergateway/client.py

@@ -46,6 +46,9 @@ class Order:
         self.reduce_only = reduce_only
         self.fees_ccy = fees_ccy
 
+        self.dispatched_amount : float = 0 # This is amount in base ccy, with rounding + multiplier applied (So for contracts with multiplier!=1, this is no longer amount in base ccy.)
+        self.dispatched_price : Union[None, float] = None
+
     def to_dict(self) -> Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES]:
         return {
             "ticker" : self.ticker,
@@ -54,7 +57,9 @@ class Order:
             "order_type" : self.order_type,
             "leg_room_bps" : self.leg_room_bps,
             "reduce_only" : self.reduce_only,
-            "fees_ccy" : self.fees_ccy
+            "fees_ccy" : self.fees_ccy,
+            "dispatched_amount" : self.dispatched_amount,
+            "dispatched_price" : self.dispatched_price
         }
 
 '''
@@ -86,6 +91,7 @@ class DivisiblePosition(Order):
         self.fees : Union[float, None] = None
         self.pos : Union[float, None] = None # in base ccy, after execution. (Not in USDT or quote ccy, Not in # contracts)
 
+        self.dispatched_slices : List[Order] = []
         self.executions : Dict[str, Dict[str, Any]] = {}
 
     def to_slices(self) -> List[Order]:
@@ -136,60 +142,172 @@ class DivisiblePosition(Order):
     def get_executions(self) -> Dict[str, Dict[str, Any]]:
         return self.executions
 
-    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] 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
-
-    def get_average_cost(self) -> float:
-        '''
-        Example hyperliquid don't have 'average' in response JSON:
+    '''
+    The purpose of patch_executions is to fix erroneous exchange response where filled, amount or average None when status already 'closed'.
 
+    Example hyperliquid don't have 'average' in response JSON:
         {
             'info': {
                 'order': {
-                        'coin': 'SUSHI', 
-                        'side': 'B', 
-                        'limitPx': '0.79252', 
-                        'sz': '0.0', 
-                        'oid': xxx, 
-                        'timestamp': xxx, 
-                        'origSz': '30.0'
+                    'coin': 'SUSHI', 
+                    'side': 'B', 
+                    'limitPx': '0.79252', 
+                    'sz': '0.0', 
+                    'oid': xxx, 
+                    'timestamp': xxx, 
+                    'origSz': '30.0'
+                }, 
+                'status': 'filled', 
+                'statusTimestamp': xxx}, 
+                'id': 'xxx', 
+                'clientOrderId': None, 
+                'timestamp': xxx, 
+                'datetime': 'xxx', 
+                'lastTradeTimestamp': None, 
+                'lastUpdateTimestamp': xxx, 
+                'symbol': 'SUSHI/USDC:USDC', 
+                'type': None, 
+                'timeInForce': None, 
+                'postOnly': None, 
+                'reduceOnly': None, 
+                'side': 'buy', 
+                'price': 0.79252, 
+                'triggerPrice': None, 
+                'amount': 30.0, 
+                'cost': 23.7756, 
+                'average': None, <-- No average cost?
+                'filled': 30.0, 
+                'remaining': 0.0, 
+                'status': 'closed', 
+                'fee': None, 
+                'trades': [], 
+                'fees': [], 
+                'stopPrice': None, 
+                'takeProfitPrice': None, 
+                'stopLossPrice': None
+            }
+
+        A second example, sometimes even 'amount', 'filled' and 'average' both None, but status is 'filled':
+            [
+                {
+                    'info': {
+                        'order': {
+                            'coin': 'BTC', 
+                            'side': 'A', 
+                            'limitPx': '84389.0', 
+                            'sz': '0.0',
+                            'oid': xxx, 
+                            'timestamp': xxx, 
+                            'origSz': '0.01184'
+                        },
+                        'status': 'filled', 
+                        'statusTimestamp': xxx
                     }, 
-                    'status': 'filled', 
-                    'statusTimestamp': xxx}, 
-                    'id': 'xxx', 
+                    'id': 'xxx',
                     'clientOrderId': None, 
                     'timestamp': xxx, 
-                    'datetime': '2025-02-26T01:00:00.522Z', 
+                    'datetime': 'xxx', 
                     'lastTradeTimestamp': None, 
-                    'lastUpdateTimestamp': xxx, 
-                    'symbol': 'SUSHI/USDC:USDC', 
+                    'lastUpdateTimestamp': None, 
+                    'symbol': 'BTC/USDC:USDC', 
                     'type': None, 
-                    'timeInForce': None, 
+                    'timeInForce': None,
                     'postOnly': None, 
                     'reduceOnly': None, 
-                    'side': 'buy', 
-                    'price': 0.79252, 
+                    'side': 'sell', 
+                    'price': 84389.0,
                     'triggerPrice': None, 
-                    'amount': 30.0, 
-                    'cost': 23.7756, 
-                    'average': None, <-- No average cost?
-                    'filled': 30.0, 
+                    'amount': None, <-- No amount!?!
+                    'cost': None, 
+                    'average': None, <-- No average!?!
+                    'filled': None,    <-- No filled!?!
                     'remaining': 0.0, 
                     'status': 'closed', 
-                    'fee': None, 
-                    'trades': [], 
-                    'fees': [], 
-                    'stopPrice': None, 
-                    'takeProfitPrice': None, 
-                    'stopLossPrice': None
-                }
+                    'fee': None, 'trades': [], 'fees':
+                    [], 'stopPrice': None, 'takeProfitPrice': None, 'stopLossPrice': None}
+                ]
         '''
-        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] 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 ])
+    def patch_executions(self):
+        i : int = 0
+        for order_id in self.executions:
+            execution = self.executions[order_id]
+            execution['patch'] = {}
+            execution['patch']['average'] = None
+            execution['patch']['filled'] = 0
+            execution['patch']['amount'] = 0
+
+            corresponding_slice = self.dispatched_slices[i]
+
+            status = execution['status']
+            if status and status.strip().lower()=='closed':
+                if 'average' in execution:
+                    if not execution['average']:
+                        if 'price' in execution and execution['price']:
+                            execution['patch']['average'] = execution['price']
+                        else:
+                            execution['patch']['average'] = corresponding_slice.dispatched_price
+                    else:
+                        execution['patch']['average'] = execution['average']
+
+                if 'filled' in execution:
+                    if not execution['filled']:
+                        execution['patch']['filled'] = corresponding_slice.dispatched_amount
+                    else:
+                        execution['patch']['filled'] = execution['filled']
+
+                if 'amount' in execution:
+                    if not execution['amount']:
+                        execution['patch']['amount'] = corresponding_slice.dispatched_amount
+                    else:
+                        execution['patch']['amount'] = execution['amount']
+
+            i += 1
+        
+    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] and self.executions[order_id]['filled'] 
+                            else self.executions[order_id]['patch']['dispatched_amount']
+                        )  * self.multiplier 
+                        for order_id in self.executions 
+                    ]
+                )
+        if self.side=='sell':
+            filled_amount = -1 * filled_amount
+        return filled_amount
+
+    def get_average_cost(self) -> float:
+        total_amount : float = sum(
+            [ 
+                self.executions[order_id]['amount'] 
+                if 'amount' in self.executions[order_id] and self.executions[order_id]['amount'] 
+                else self.executions[order_id]['patch']['dispatched_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 (
+                        self.executions[order_id]['price'] 
+                        if self.executions[order_id]['price'] 
+                        else self.executions[order_id]['patch']['dispatched_price']
+                    )
+                ) * 
+                (
+                    self.executions[order_id]['amount'] 
+                    if 'amount' in self.executions[order_id] and self.executions[order_id]['amount'] 
+                    else self.executions[order_id]['patch']['dispatched_amount']
+                )
+                for order_id in self.executions 
+            ]
+        )
         average_cost = average_cost / total_amount if total_amount!=0 else 0
         return average_cost
 

siglab_py/ordergateway/gateway.py

@@ -461,7 +461,7 @@ async def execute_one_position(
             dt_now : datetime = datetime.now()
 
             slice_amount_in_base_ccy : float = slice.amount
-            rounded_slice_amount_in_base_ccy = slice_amount_in_base_ccy / multiplier # After devided by multiplier, rounded_slice_amount_in_base_ccy in number of contracts actually (Not in base ccy).
+            rounded_slice_amount_in_base_ccy = slice_amount_in_base_ccy / multiplier # After divided by multiplier, rounded_slice_amount_in_base_ccy in number of contracts actually (Not in base ccy).
             rounded_slice_amount_in_base_ccy = exchange.amount_to_precision(position.ticker, rounded_slice_amount_in_base_ccy) # type: ignore
             rounded_slice_amount_in_base_ccy = float(rounded_slice_amount_in_base_ccy) if rounded_slice_amount_in_base_ccy else 0
             rounded_slice_amount_in_base_ccy = rounded_slice_amount_in_base_ccy if rounded_slice_amount_in_base_ccy>min_amount else min_amount
@@ -660,6 +660,10 @@ async def execute_one_position(
 
                         log(f"Resent market order{order_id} filled. status: {order_status}, filled_amount: {filled_amount}, remaining_amount: {remaining_amount}")
 
+            slice.dispatched_price = rounded_limit_price
+            slice.dispatched_amount = rounded_slice_amount_in_base_ccy
+            position.dispatched_slices.append(slice)
+
             log(f"Executed slice #{i}", log_level=LogLevel.INFO)
             log(f"{position.ticker}, multiplier: {multiplier}, slice_amount_in_base_ccy: {slice_amount_in_base_ccy}, rounded_slice_amount_in_base_ccy, {rounded_slice_amount_in_base_ccy}", log_level=LogLevel.INFO)
             if position.order_type=='limit':
@@ -673,6 +677,7 @@ async def execute_one_position(
         finally:
             i += 1
 
+    position.patch_executions()
     position.filled_amount = position.get_filled_amount()
     position.average_cost = position.get_average_cost()
     position.fees = position.get_fees()

siglab_py/util/market_data_util.py

@@ -18,9 +18,10 @@ import yfinance as yf
 from siglab_py.exchanges.futubull import Futubull
 
 def timestamp_to_datetime_cols(pd_candles : pd.DataFrame):
-    pd_candles['datetime'] = pd_candles['timestamp_ms'].apply(
-        lambda x: datetime.fromtimestamp(int(x.timestamp()) if isinstance(x, pd.Timestamp) else (int(x / 1000) if len(str(int(x)))==13 else int(x)) )
+    pd_candles['timestamp_ms'] = pd_candles['timestamp_ms'].apply(
+        lambda x: int(x.timestamp()) if isinstance(x, pd.Timestamp) else (int(x / 1000) if len(str(int(x)))==13 else int(x)) 
     )
+    pd_candles['datetime'] = pd_candles['timestamp_ms'].apply(lambda x: datetime.fromtimestamp(int(x)))
     pd_candles['datetime'] = pd.to_datetime(pd_candles['datetime'])
     pd_candles['datetime'] = pd_candles['datetime'].dt.tz_localize(None)
     pd_candles['datetime_utc'] = pd_candles['timestamp_ms'].apply(

{siglab_py-0.1.35.dist-info → siglab_py-0.1.37.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.35
+Version: 0.1.37
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.35.dist-info → siglab_py-0.1.37.dist-info}/RECORD

@@ -13,9 +13,9 @@ 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=XgY4l8ue2f1hrFAla6VwzpFzsOmIW-6SkvulOGSVAGQ,9841
+siglab_py/ordergateway/client.py,sha256=gtUyR41xXuAcBNoVCSlcg99koiQphe8gUBxlEgvWYt8,14637
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=FoE-OUBrHJ2fdKAfvGue1yQ2P67falWoyoEGCV8ScfA,37219
+siglab_py/ordergateway/gateway.py,sha256=VI-OIc3enhQ78cFNzAbLgX0Pzyjr2tl9VDV3IZTAtMQ,37438
 siglab_py/ordergateway/test_ordergateway.py,sha256=_Gz2U_VqljogGWqGyNDYYls1INqUiig9veyPttfGRpg,3901
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -26,9 +26,9 @@ siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGo
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 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=mXEcWO1FirySHNBYFe-PFnBJp4FR9PlruQyaSCHN0MI,19358
+siglab_py/util/market_data_util.py,sha256=E8jCOU67tyZu6GKXCnGRJjq777n3co3-xCZkMDh5uHs,19443
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.35.dist-info/METADATA,sha256=RGBNsgJFUo8x1aD3KbqAuDqRxOgMFKO99frX-8gEDwI,980
-siglab_py-0.1.35.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.35.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.35.dist-info/RECORD,,
+siglab_py-0.1.37.dist-info/METADATA,sha256=FjYav-AWsN8fa7Q3HLLTbkqt0MTAGFzngS9lsQsesZ4,980
+siglab_py-0.1.37.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.37.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.37.dist-info/RECORD,,