siglab-py 0.3.0__py3-none-any.whl → 0.3.2__py3-none-any.whl

siglab_py/ordergateway/gateway.py

@@ -502,14 +502,15 @@ async def execute_one_position(
         slices : List[Order] = position.to_slices()
 
         # Residual handling in last slice
-        last_slice = slices[-1]
-        last_slice_rounded_amount_in_base_ccy = exchange.amount_to_precision(position.ticker, last_slice.amount/multiplier) # After divided by multiplier, rounded_slice_amount_in_base_ccy in number of contracts actually (Not in base ccy).
-        last_slice_rounded_amount_in_base_ccy = float(last_slice_rounded_amount_in_base_ccy) if last_slice_rounded_amount_in_base_ccy else 0
-        if last_slice_rounded_amount_in_base_ccy<=min_amount:
-            slices.pop()
-            slices[-1].amount += last_slice.amount
+        if len(slices)>1:
+            last_slice = slices[-1]
+            last_slice_rounded_amount_in_base_ccy = exchange.amount_to_precision(position.ticker, last_slice.amount/multiplier) # After divided by multiplier, rounded_slice_amount_in_base_ccy in number of contracts actually (Not in base ccy).
+            last_slice_rounded_amount_in_base_ccy = float(last_slice_rounded_amount_in_base_ccy) if last_slice_rounded_amount_in_base_ccy else 0
+            if last_slice_rounded_amount_in_base_ccy<=min_amount:
+                slices.pop()
+                slices[-1].amount += last_slice.amount
 
-            log(f"{position.ticker} Last slice residual smaller than min_amount. Amount is added to prev slice instead. last_slice_amount: {last_slice.amount/multiplier}, last_slice_rounded_amount: {last_slice_rounded_amount_in_base_ccy}") 
+                log(f"{position.ticker} Last slice residual smaller than min_amount. Amount is added to prev slice instead. last_slice_amount: {last_slice.amount/multiplier}, last_slice_rounded_amount: {last_slice_rounded_amount_in_base_ccy}") 
 
         i = 0
         for slice in slices:
@@ -796,10 +797,10 @@ async def execute_one_position(
         dispatch_notification(title=f"{param['current_filename']} {param['gateway_id']} execute_one_position done. {position.ticker} {position.side} {position.amount}", message=notification_summary, footer=param['notification']['footer'], params=notification_params, log_level=LogLevel.CRITICAL, logger=logger)
 
     except Exception as position_execution_err:
-        err_msg = f"Execution failed: {position_execution_err} {str(sys.exc_info()[0])} {str(sys.exc_info()[1])} {traceback.format_exc()}"
-        log(f"Execution failed: {err_msg}")
+        err_msg = f"{position.ticker}  Execution failed: {position_execution_err} {str(sys.exc_info()[0])} {str(sys.exc_info()[1])} {traceback.format_exc()}"
+        log(err_msg)
 
-        dispatch_notification(title=f"{param['current_filename']} {param['gateway_id']} execute_one_position failed!!! {position.ticker} {position.side} {position.amount}", message=position.get_executions(), footer=param['notification']['footer'], params=notification_params, log_level=LogLevel.ERROR, logger=logger) # type: ignore
+        dispatch_notification(title=f"{param['current_filename']} {param['gateway_id']} {position.ticker} execute_one_position failed!!!", message=err_msg, footer=param['notification']['footer'], params=notification_params, log_level=LogLevel.ERROR, logger=logger) # type: ignore
 
         position.done = False
         position.execution_err = err_msg

siglab_py/tests/unit/analytic_util_tests.py

@@ -51,7 +51,7 @@ class AnalyticUtilTests(unittest.TestCase):
             'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 
             'std', 'std_percent', 
             'candle_height_percent', 'candle_height_percent_rounded', 
-            'log_return', 'interval_historical_volatility',
+            'log_return', 'interval_hist_vol', 'annualized_hist_vol',
             'chop_against_ema', 
             'ema_volume_short_periods', 'ema_volume_long_periods', 
             'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 

siglab_py/tests/unit/trading_util_tests.py

@@ -12,7 +12,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_sl_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 0.5 # Trade's current pnl in percent.
 
@@ -21,7 +21,7 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_sl_percent_trailing = default_effective_sl_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==50) # Generous trailing SL when trading starting out and pnl small.
 
@@ -29,7 +29,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_sl_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 2 # Trade's current pnl in percent.
 
@@ -38,7 +38,7 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_sl_percent_trailing = default_effective_sl_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==25) # Intermediate trailing SL
 
@@ -46,7 +46,7 @@ class TradingUtilTests(unittest.TestCase):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
-        default_effective_sl_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 
         pnl_percent_notional : float = 2.5 # Trade's current pnl in percent.
 
@@ -55,6 +55,6 @@ class TradingUtilTests(unittest.TestCase):
             tp_max_percent = tp_max_percent,
             sl_percent_trailing = sl_percent_trailing,
             pnl_percent_notional = pnl_percent_notional,
-            default_effective_sl_percent_trailing = default_effective_sl_percent_trailing
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
         assert(effective_tp_trailing_percent==0) # Most tight trailing SL

siglab_py/util/analytic_util.py

@@ -98,10 +98,13 @@ def compute_candles_stats(
     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()
+    pd_candles['std'] = close_long_periods_rolling.std()
 
     pd_candles['std_percent'] = pd_candles['std'] / pd_candles['ema_close'] * 100
 
+    pd_candles['normalized_close_short'] = (pd_candles['close'] - pd_candles['sma_short_periods']) / close_short_periods_rolling.std()
+    pd_candles['normalized_close_long'] = (pd_candles['close'] - pd_candles['sma_long_periods']) / pd_candles['std']
+
     pd_candles['candle_height_percent'] = pd_candles['candle_height'] / pd_candles['ema_close'] * 100
     pd_candles['candle_height_percent_rounded'] = pd_candles['candle_height_percent'].round().astype('Int64')
 
@@ -118,7 +121,14 @@ def compute_candles_stats(
         )
     '''
     pd_candles['log_return'] = np.log(pd_candles['close'] / pd_candles['close'].shift(1))
-    pd_candles['interval_historical_volatility'] = pd_candles['log_return'].rolling(window=sliding_window_how_many_candles).std()
+    pd_candles['interval_hist_vol'] = pd_candles['log_return'].rolling(window=sliding_window_how_many_candles).std()
+    
+    time_gap_sec = int(pd_candles['timestamp_ms'].iloc[1] - pd_candles['timestamp_ms'].iloc[0])/1000
+    seconds_in_year = 365 * 24 * 60 * 60
+    candles_per_year = seconds_in_year / time_gap_sec
+    annualization_factor = np.sqrt(candles_per_year)
+    pd_candles['annualized_hist_vol'] = pd_candles['interval_hist_vol'] * annualization_factor
+
 
     pd_candles['chop_against_ema'] = (
         (~pd_candles['is_green'] & (pd_candles['close'] > pd_candles['ema_close'])) |  # Case 1: Green candle and close > EMA
@@ -361,12 +371,12 @@ def compute_candles_stats(
         import statsmodels.api as sm # in-compatible with pypy
 
         # Slopes
-        X = sm.add_constant(range(len(pd_candles['close'])))
-        rolling_slope = pd_candles['close'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
+        X = sm.add_constant(range(len(pd_candles['normalized_close_short'])))
+        rolling_slope = pd_candles['normalized_close_short'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
         pd_candles['close_short_slope'] = rolling_slope
 
-        X = sm.add_constant(range(len(pd_candles['close'])))
-        rolling_slope = pd_candles['close'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
+        X = sm.add_constant(range(len(pd_candles['normalized_close_long'])))
+        rolling_slope = pd_candles['normalized_close_long'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
         pd_candles['close_long_slope'] = rolling_slope
         
         X = sm.add_constant(range(len(pd_candles['ema_short_periods'])))

siglab_py/util/trading_util.py

@@ -11,11 +11,11 @@ Examples,
         min TP = 1.5% <-- min TP
         max TP = 2.5% <-- max TP
 
-    slope = (0-50)/(2.5-1.5) = -50
+    slope = (0-50)/(2.5-1.5) = -50/+1 = -50
     effective_tp_trailing_percent = slope * (pnl_percent_notional - 1.5%) + sl_percent_trailing
 
-Case 1. pnl_percent_notional = 0.5% (Trade starting off, only +50bps pnl. i.e. min TP)
-            effective_tp_trailing_percent = slope * (pnl_percent_notional - 0.5%) + sl_percent_trailing
+Case 1. pnl_percent_notional = 1.5% (Trade starting off, only +50bps pnl. i.e. min TP)
+            effective_tp_trailing_percent = slope * (pnl_percent_notional - 1.5%) + sl_percent_trailing
                                             = -50 * (1.5-1.5) + 50%
                                             = 0 + 50
                                             = 50% (Most loose)
@@ -55,12 +55,12 @@ def calc_eff_trailing_sl(
         tp_max_percent : float,
         sl_percent_trailing : float,
         pnl_percent_notional : float,
-        default_effective_sl_percent_trailing : float = 50
+        default_effective_tp_trailing_percent : float = 50
 ) -> float:
     slope = (0 - sl_percent_trailing) / (tp_max_percent - tp_min_percent)
-    effective_sl_percent_trailing = (
+    effective_tp_trailing_percent = (
                                         slope * (pnl_percent_notional - tp_min_percent) + sl_percent_trailing 
                                         if pnl_percent_notional>tp_min_percent 
-                                        else default_effective_sl_percent_trailing
+                                        else default_effective_tp_trailing_percent
                                     )
-    return effective_sl_percent_trailing
+    return effective_tp_trailing_percent

{siglab_py-0.3.0.dist-info → siglab_py-0.3.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.0
+Version: 0.3.2
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.0.dist-info → siglab_py-0.3.2.dist-info}/RECORD

@@ -15,24 +15,24 @@ 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=mRakbgT1SPH1KPGw3_NdOQzbg_mMP2QbK4tSaLHiXWU,45892
+siglab_py/ordergateway/gateway.py,sha256=KQ5mFT458YQcAuxcQv_NK0iaz1LkG8ykV2-lZ61OerI,45891
 siglab_py/ordergateway/test_ordergateway.py,sha256=4PE2flp_soGcD3DrI7zJOzZndjkb6I5XaDrFNNq4Huo,4009
 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=p-RWIJZLyj0lAdfi4QTIeAttCm_e8mEVWFKh4OWuogU,7189
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/tests/unit/analytic_util_tests.py,sha256=gkhapr6Xemq5lq-EjS3Cq-NzH_O2H6E3lFvGIFHsdMg,3778
+siglab_py/tests/unit/analytic_util_tests.py,sha256=68FTWDrfXTAyFLte6wiRfwcFVJItU5F47_DebgF6hAc,3788
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
-siglab_py/tests/unit/trading_util_tests.py,sha256=T1IejsEVmGP2hU9F0RzgGITbNKih0jW44UVna0g1aYs,2689
+siglab_py/tests/unit/trading_util_tests.py,sha256=tyefqOTQOoXSlemSDonqmdHp61-1nuXb0_6oeLlaNSM,2689
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=rFfZsL-qsqL_FgN7zPRL3rQtBe_9Kglh8Linjv-30VM,44600
+siglab_py/util/analytic_util.py,sha256=gEEKB0_qDbpoK7QbDAow5jm2Uo-Ij3wad9iGs1xI-KM,45225
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=9Uze8DE5z90H4Qm15R55ZllAi5trUkwCAW-BWYbfaW8,19420
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
-siglab_py/util/trading_util.py,sha256=VyxcGkKg1kzR1F_ACNyBeYPKKmVYjWrKRYrfxyGH2og,3038
-siglab_py-0.3.0.dist-info/METADATA,sha256=lCAwa_JFHMWiNYNFd1XKc94BMPgzw8xFTK3K70vJ7vQ,979
-siglab_py-0.3.0.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.3.0.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.3.0.dist-info/RECORD,,
+siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
+siglab_py-0.3.2.dist-info/METADATA,sha256=dbBew40mI924gqRR91kUk-hcFFZynmBDyt_PKINmorI,979
+siglab_py-0.3.2.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.2.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.2.dist-info/RECORD,,