siglab-py 0.2.0__py3-none-any.whl → 0.2.2__py3-none-any.whl

siglab_py/constants.py

@@ -1,3 +1,12 @@
+import enum
 from typing import Union, List, Dict, Any
 
-JSON_SERIALIZABLE_TYPES = Union[str, bool, int, float, None, List[Any], Dict[Any, Any]]
+JSON_SERIALIZABLE_TYPES = Union[str, bool, int, float, None, List[Any], Dict[Any, Any]]
+
+class LogLevel(enum.Enum):
+    CRITICAL = 50
+    ERROR = 40
+    WARNING = 30
+    INFO = 20
+    DEBUG = 10
+    NOTSET = 0

siglab_py/ordergateway/gateway.py

@@ -25,14 +25,19 @@ import ccxt.pro as ccxtpro
 
 from siglab_py.exchanges.any_exchange import AnyExchange
 from siglab_py.ordergateway.client import Order, DivisiblePosition
+from siglab_py.util.notification_util import dispatch_notification
+from siglab_py.constants import LogLevel
 
 '''
 Usage:
-    python gateway.py --gateway_id bybit_01 --default_type linear --rate_limit_ms 100
+    python gateway.py --gateway_id hyperliquid_01 --default_type linear --rate_limit_ms 100
 
     --default_type defaults to linear
     --rate_limit_ms defaults to 100
 
+    --slack_info_url, --slack_critical_url and --slack_alert_url are if you want gateway to dispatch Slack notification on events.
+    How to get Slack webhook urls? https://medium.com/@natalia_assad/how-send-a-table-to-slack-using-python-d1a20b08abe0
+
 This script is pypy compatible:
     pypy gateway.py --gateway_id bybit_01 --default_type linear --rate_limit_ms 100
 
@@ -82,7 +87,11 @@ To debug from vscode, launch.json:
                     "--aws_kms_key_id", "",
                     "--apikey", "xxx",
                     "--secret", "xxx",
-                    "--passphrase", "xxx"
+                    "--passphrase", "xxx",
+
+                    "--slack_info_url", "https://hooks.slack.com/services/xxx",
+                    "--slack_critial_url", "https://hooks.slack.com/services/xxx",
+                    "--slack_alert_url", "https://hooks.slack.com/services/xxx",
                 ],
                 "env": {
                     "PYTHONPATH": "${workspaceFolder}"
@@ -188,6 +197,17 @@ param : Dict = {
     "loop_freq_ms" : 500, # reduce this if you need trade faster
     "loops_random_delay_multiplier" : 1, # Add randomness to time between slices are sent off. Set to 1 if no random delay needed.
 
+    'notification' : {
+        'footer' : None,
+
+        # slack webhook url's for notifications
+        'slack' : {
+            'info' : { 'webhook_url' : None },
+            'critical' : { 'webhook_url' : None },
+            'alert' : { 'webhook_url' : None },
+        }
+    },
+
     'mds' : {
         'topics' : {
             
@@ -268,6 +288,10 @@ def parse_args():
     parser.add_argument("--secret", help="Exchange secret", default=None)
     parser.add_argument("--passphrase", help="Exchange passphrase", default=None)
 
+    parser.add_argument("--slack_info_url", help="Slack webhook url for INFO", default=None)
+    parser.add_argument("--slack_critial_url", help="Slack webhook url for CRITICAL", default=None)
+    parser.add_argument("--slack_alert_url", help="Slack webhook url for ALERT", default=None)
+
     args = parser.parse_args()
     param['gateway_id'] = args.gateway_id
 
@@ -297,6 +321,11 @@ def parse_args():
     param['secret'] = args.secret
     param['passphrase'] = args.passphrase
 
+    param['notification']['slack']['info'] = args.slack_info_url
+    param['notification']['slack']['critical'] = args.slack_critial_url
+    param['notification']['slack']['alert'] = args.slack_alert_url
+    param['notification']['footer'] = f"From gateway {param['gateway_id']}"
+
 def init_redis_client() -> StrictRedis:
     redis_client : StrictRedis = StrictRedis(
                     host = param['mds']['redis']['host'],
@@ -389,7 +418,8 @@ async def instantiate_exchange(
                 "walletAddress" : api_key,
                 "privateKey" : secret,
                 'enableRateLimit'  : True,
-                'rateLimit' : rate_limit_ms
+                'rateLimit' : rate_limit_ms,
+                "verbose": True,
             }
         )  # type: ignore
     else:
@@ -439,13 +469,14 @@ async def send_heartbeat(exchange):
         except Exception as hb_error:
             log(f'Failed to send heartbeat: {hb_error}')
         finally:
-            await asyncio.sleep(30)
+            await asyncio.sleep(20)
 
 async def execute_one_position(
     exchange : AnyExchange,
     position : DivisiblePosition,
     param : Dict,
-    executions : Dict[str, Dict[str, Any]]
+    executions : Dict[str, Dict[str, Any]],
+    notification_params : Dict[str, Any]
 ):
     try:
         market : Dict[str, Any] = exchange.markets[position.ticker] if position.ticker in exchange.markets else None # type: ignore
@@ -710,7 +741,8 @@ async def execute_one_position(
 async def work(
     param : Dict,
     exchange : AnyExchange,
-    redis_client : StrictRedis
+    redis_client : StrictRedis,
+    notification_params : Dict[str, Any]
 ):
     incoming_orders_topic_regex : str = param['incoming_orders_topic_regex']
     incoming_orders_topic_regex = incoming_orders_topic_regex.replace("$GATEWAY_ID$", param['gateway_id'])
@@ -758,7 +790,7 @@ async def work(
                                 ]
 
                                 start = time.time()
-                                pending_executions = [ execute_one_position(exchange, position, param, executions) for position in positions ]
+                                pending_executions = [ execute_one_position(exchange, position, param, executions, notification_params) for position in positions ]
                                 await asyncio.gather(*pending_executions)
                                 order_dispatch_elapsed_ms = int((time.time() - start) *1000)
 
@@ -819,6 +851,8 @@ async def main():
         secret : str = param['secret']
         passphrase : str = param['passphrase']
 
+    notification_params : Dict[str, Any] = param['notification']
+
     if encrypt_decrypt_with_aws_kms:
         aws_kms_key_id = str(os.getenv('AWS_KMS_KEY_ID'))
 
@@ -843,6 +877,6 @@ async def main():
         balances = await exchange.fetch_balance() # type: ignore
         log(f"{param['gateway_id']}: account balances {balances}")
 
-        await work(param=param, exchange=exchange, redis_client=redis_client)
+        await work(param=param, exchange=exchange, redis_client=redis_client, notification_params=notification_params)
 
 asyncio.run(main())

siglab_py/ordergateway/test_ordergateway.py

@@ -6,6 +6,7 @@ from typing import Any, Dict, List, Union
 import logging
 import json
 from redis import StrictRedis
+from sympy import false
 
 from ordergateway.client import DivisiblePosition, execute_positions
 from constants import JSON_SERIALIZABLE_TYPES
@@ -95,7 +96,7 @@ if __name__ == '__main__':
             side = 'sell',
             amount = 0.00100,
             leg_room_bps = 5,
-            reduce_only=True,
+            reduce_only=False,
             order_type = 'limit',
             slices=1,
             wait_fill_threshold_ms=60000,

siglab_py/util/market_data_util.py

@@ -18,9 +18,20 @@ import yfinance as yf
 from siglab_py.exchanges.futubull import Futubull
 
 def timestamp_to_datetime_cols(pd_candles : pd.DataFrame):
-    pd_candles['timestamp_ms'] = pd_candles['timestamp_ms'].apply(
-        lambda x: int(x.timestamp()) if isinstance(x, pd.Timestamp) else (int(x) if len(str(int(x)))==13 else int(x*1000)) 
-    )
+    def _fix_timestamp_ms(x):
+        if isinstance(x, pd.Timestamp):
+            return int(x.value // 10**6)
+        elif isinstance(x, np.datetime64):
+            return int(x.astype('int64') // 10**6)
+        elif isinstance(x, (int, float)):
+            x = int(x)
+            if len(str(abs(x))) == 13:
+                return x
+            else:
+                return int(x * 1000)
+        else:
+            raise ValueError(f"Unsupported type {type(x)} for timestamp conversion")
+    pd_candles['timestamp_ms'] = pd_candles['timestamp_ms'].apply(_fix_timestamp_ms)
     pd_candles['datetime'] = pd_candles['timestamp_ms'].apply(lambda x: datetime.fromtimestamp(int(x/1000)))
     pd_candles['datetime'] = pd.to_datetime(pd_candles['datetime'])
     pd_candles['datetime'] = pd_candles['datetime'].dt.tz_localize(None)

siglab_py/util/notification_util.py

@@ -0,0 +1,69 @@
+import json
+from typing import Any, Dict, Union
+import pandas as pd
+import numpy as np
+from tabulate import tabulate
+
+from slack_notification_util import slack_dispatch_notification
+
+from siglab_py.constants import LogLevel
+
+def dispatch_notification(
+        title : str,
+        message : Union[str, Dict, pd.DataFrame],
+        footer : str,
+        params : Dict[str, Any],
+        log_level : LogLevel = LogLevel.INFO
+        ):
+    if isinstance(message, Dict):
+        _message = json.dumps(message, indent=2, separators=(' ', ':'))
+    elif isinstance(message, pd.DataFrame):
+        _message = tabulate(message, headers='keys', tablefmt='orgtbl') # type: ignore
+    else:
+        _message = message
+
+    slack_dispatch_notification(title, _message, footer, params, log_level)
+
+if __name__ == '__main__':
+    params : Dict[str, Any] = {
+        "slack" : {
+            "info" : {
+                "webhook_url" : "https://hooks.slack.com/services/xxx"
+            },
+            "critical" : {
+                "webhook_url" : "https://hooks.slack.com/services/xxx"
+            },
+            "alert" : {
+                "webhook_url" : "https://hooks.slack.com/services/xxx"
+            }
+      },
+    }
+
+    log_level : LogLevel = LogLevel.CRITICAL
+
+    title : str = "Test message"
+    footer : str = "... some footer .."
+
+    message1 : str = "Testing 1"
+    dispatch_notification(title=title, message=message1, footer=footer, params=params, log_level=log_level)
+
+    message2 : Dict[str, Any] = {
+        'aaa' : 123,
+        'bbb' : 456,
+        'ccc' : {
+            'ddd' : 789
+        }
+    }
+    dispatch_notification(title=title, message=message2, footer=footer, params=params, log_level=log_level)
+
+    start_date = pd.to_datetime('2024-01-01 00:00:00')
+    datetimes = pd.date_range(start=start_date, periods=20, freq='H')
+    np.random.seed(42)
+    close_prices = np.random.uniform(80000, 90000, size=20).round(2)
+    data : pd.DataFrame = pd.DataFrame({
+        'datetime': datetimes,
+        'close': close_prices
+    })
+    data['timestamp_ms'] = data['datetime'].astype('int64')
+    message3 = data
+    dispatch_notification(title=title, message=message3, footer=footer, params=params, log_level=log_level)

siglab_py/util/slack_notification_util.py

@@ -0,0 +1,61 @@
+'''
+https://medium.com/@natalia_assad/how-send-a-table-to-slack-using-python-d1a20b08abe0
+'''
+import sys
+from typing import Any, Dict
+import json
+import requests
+
+from siglab_py.constants import LogLevel
+
+def slack_dispatch_notification(
+        title : str,
+        message : str,
+        footer : str,
+        params : Dict[str, Any],
+        log_level : LogLevel = LogLevel.INFO
+):
+    slack_params = params['slack']
+
+    if log_level==LogLevel.INFO or log_level==LogLevel.DEBUG:
+        webhook_url = slack_params['info']['webhook_url']
+    elif log_level==LogLevel.ERROR or  log_level==LogLevel.CRITICAL:
+        webhook_url = slack_params['critical']['webhook_url']
+    elif log_level==LogLevel.ERROR or  log_level==LogLevel.CRITICAL:
+        webhook_url = slack_params['alert']['webhook_url']
+    else:
+        webhook_url = slack_params['info']['webhook_url']
+
+    slack_data = {
+        "username": "NotificationBot",
+        "type": "section",
+        "blocks": [
+            {
+                "type": "header",
+                "text": {
+                    "type": "plain_text",
+                    "text": f"{title}"
+                }
+            },
+            {
+                "type": "section",
+                "text": {
+                    "type": "mrkdwn",
+                    "text": message
+                }
+            },
+            {
+                "type": "section",
+                "text": {
+                    "type": "plain_text",
+                    "text": footer
+                }
+            }
+        ]
+    }
+
+    byte_length = str(sys.getsizeof(slack_data, 2000))
+    headers = {'Content-Type': "application/json", 'Content-Length': byte_length}
+    response = requests.post(webhook_url, data=json.dumps(slack_data), headers=headers)
+    if response.status_code != 200:
+        raise Exception(response.status_code, response.text)

{siglab_py-0.2.0.dist-info → siglab_py-0.2.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.2.0
+Version: 0.2.2
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.2.0.dist-info → siglab_py-0.2.2.dist-info}/RECORD

@@ -1,5 +1,5 @@
 siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/constants.py,sha256=YGNdEsWtQ99V2oltaynZTjM8VIboSfyIjDXJKSlhv4U,132
+siglab_py/constants.py,sha256=5isS_9WNoqpq9nC3ME5I5j7hJI9HAImij2bcgVVyWeY,275
 siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
 siglab_py/exchanges/futubull.py,sha256=6M99G8ZYsIyDyoTvvleMT_WPyNYbb6q-t2KXp0Qyi6g,20422
@@ -15,8 +15,8 @@ siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lk
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/ordergateway/client.py,sha256=EwoVKxEcngIs8-b4MThPBdZfFIWJg1OFAKG9bwC5BYw,14826
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=-rDx0tD8vykKbsuS478fedODN0_5ZXe7OAsMYoXtfw8,39165
-siglab_py/ordergateway/test_ordergateway.py,sha256=4PE2flp_soGcD3DrI7zJOzZndjkb6I5XaDrFNNq4Huo,4009
+siglab_py/ordergateway/gateway.py,sha256=uhqu_TOpD8oLIWIyDPZSmheqFuCdtsQmbZRFxlZPHU4,40909
+siglab_py/ordergateway/test_ordergateway.py,sha256=KajC0oidfDIgboRazkteAXzx47FffVRligThzKKqgRk,4035
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/market_data_util_tests.py,sha256=X0CiSMDfsafKcmjVKknA03vUUbMV0fAZweb3D01ikYI,7174
@@ -26,9 +26,11 @@ 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=o9MNuOWUhw-r0id10Wjjd7a6rkL6-g3OmvajMSj1JJ4,43838
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=hBZiFhko0NFf8A74mv9Qia-YYbjK4RuhzC9I6L353is,19033
+siglab_py/util/market_data_util.py,sha256=9Uze8DE5z90H4Qm15R55ZllAi5trUkwCAW-BWYbfaW8,19420
+siglab_py/util/notification_util.py,sha256=FvX_1lvFOGIPN59DVD9ALBAFlRET4kuSfHgCE-U2ewE,2300
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.2.0.dist-info/METADATA,sha256=smtL3wpkrqAmHQC8wdHrA1nVWwejI8QHUdHpXGwOXGM,979
-siglab_py-0.2.0.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.2.0.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.2.0.dist-info/RECORD,,
+siglab_py/util/slack_notification_util.py,sha256=WShr3gxktOkW0-bHN5pxXk1sF3N720WlnAZovJv5HpY,1926
+siglab_py-0.2.2.dist-info/METADATA,sha256=5XBQsUxK3E3IlwZhixAmoj3DjwmEFjBAOppLce-l-20,979
+siglab_py-0.2.2.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.2.2.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.2.2.dist-info/RECORD,,