siglab-py 0.3.11__py3-none-any.whl → 0.3.13__py3-none-any.whl

siglab_py/ordergateway/gateway.py

@@ -34,17 +34,21 @@ current_filename = os.path.basename(__file__)
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
-    python gateway.py --gateway_id hyperliquid_01 --default_type linear --rate_limit_ms 100
+    python gateway.py --gateway_id hyperliquid_01 --default_type linear --rate_limit_ms 100 --encrypt_decrypt_with_aws_kms Y --aws_kms_key_id xxx --apikey xxx --secret xxxx --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
 
     --default_type defaults to linear
     --rate_limit_ms defaults to 100
-
+    --encrypt_decrypt_with_aws_kms If you encrypt apikey and secret using AMS KMS, then set to Y. If apikey and secret in unencrypted plain text, set to N.
+	--passphrase is optional, this depends on the exchange.
+    --gateway_id contains two parts separated by underscore. Gateway.py will parse 'hyperliquid_01' into two parts: 'hyperliquid' (Exchange name) and '01' (Use this for your sub account ID). Exchange name need be spelt exactly. Please have a look at market_data_util async_instantiate_exchange.
     --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
 
     Another example:
         python gateway.py --gateway_id hyperliquid_01 --default_type linear --rate_limit_ms 100 --slack_info_url=https://hooks.slack.com/services/xxx --slack_critial_url=https://hooks.slack.com/services/yyy --slack_alert_url=https://hooks.slack.com/services/zzz
 
+    gateway.py takes outgoing orders from redis and publish executions back to redis when done. Redis configuration in param['mds']['redis']. Start redis before starting gateway.py.
+
 This script is pypy compatible:
     pypy gateway.py --gateway_id bybit_01 --default_type linear --rate_limit_ms 100
 
@@ -453,7 +457,7 @@ async def execute_one_position(
                 }
                 if position.order_type=='limit':
                     order_params['postOnly'] = True
-                    
+
                     if not param['dry_run']:
                         executed_order = await exchange.create_order( # type: ignore
                             symbol = position.ticker,

siglab_py/util/market_data_util.py

@@ -1,6 +1,8 @@
+import logging
 import incremental
 import tzlocal
 from datetime import datetime, timezone
+import time
 from typing import List, Dict, Union, NoReturn, Any, Tuple
 from pathlib import Path
 import math
@@ -116,6 +118,8 @@ async def async_instantiate_exchange(
         # spot, swap, future
         # https://github.com/ccxt/ccxt/blob/master/python/ccxt/deribit.py#L360
         exchange = ccxtpro.deribit(exchange_params)  # type: ignore
+    elif exchange_name=='kraken':
+        exchange = ccxtpro.kraken(exchange_params) # type: ignore
     elif exchange_name=='hyperliquid':
         '''
         https://app.hyperliquid.xyz/API
@@ -509,6 +513,28 @@ def fetch_candles(
         )
     return { '' : None }
 
+'''
+Find listing date https://gist.github.com/mr-easy/5185b1dcdd5f9f908ff196446f092e9b
+
+Usage:
+    listing_ts = find_start_time(exchange, 'HYPE/USDT:USDT', int(datetime(2024,1,1).timestamp()*1000), int(datetime(2025,5,1).timestamp()*1000), '1h')
+
+Caveats: 
+1) If listing date lies outside [start_time, end_time], this function will stackoverflow, 
+2) Even if not, it's still very time consuming.
+
+Alternative: market['created']
+'''
+def search_listing_ts(exchange, symbol, start_time, end_time, timeframe):
+    mid_time = (start_time + end_time)//2
+    if(mid_time == start_time): return mid_time+1
+    ohlcv = exchange.fetch_ohlcv(symbol, timeframe, mid_time, limit=1)
+    time.sleep(1)
+    if(len(ohlcv) == 0):
+        return search_listing_ts(exchange, symbol, mid_time, end_time, timeframe)
+    else:
+        return search_listing_ts(exchange, symbol, start_time, mid_time, timeframe)
+    
 def _fetch_candles_ccxt(
     start_ts : int,
     end_ts : int,
@@ -517,8 +543,14 @@ def _fetch_candles_ccxt(
     candle_size : str,
     num_candles_limit : int = 100
 ) -> Dict[str, Union[pd.DataFrame, None]]:
+    logger = logging.getLogger()
+
     rsp = {}
 
+    exchange.load_markets()
+    
+    num_tickers = len(normalized_symbols)
+    i = 0
     for ticker in normalized_symbols:
         @retry(num_attempts=3, pause_between_retries_ms=1000)
         def _fetch_ohlcv(exchange, symbol, timeframe, since, limit, params) -> Union[List, NoReturn]:
@@ -543,6 +575,18 @@ def _fetch_candles_ccxt(
                 raise ValueError(f"Invalid candle_size {candle_size}")
             return num_intervals * increment
         
+        logger.info(f"{i}/{num_tickers} Fetching {candle_size} candles for {ticker}.")
+
+        '''
+        It uses a while loop to implement a sliding window to download candles between start_ts and end_ts. 
+        However, start_ts for example can be 1 Jan 2021 for a given ticker. 
+        But if that ticker listing date is 1 Jan 2025, this while loop would waste a lot of time loop between 1 Jan 2021 thru 31 Dec 2024, slowly incrementing this_cutoff += _calc_increment(candle_size).
+        A more efficient way is to find listing date. Start looping from there.
+        '''
+        market = exchange.markets[ticker]
+        if market['created']:
+            start_ts = max(start_ts, int(market['created']/1000))
+
         all_candles = []
         params = {}
         this_cutoff = start_ts
@@ -567,6 +611,8 @@ def _fetch_candles_ccxt(
 
         rsp[ticker] = pd_all_candles
 
+        i+=1
+
     return rsp
 
 def fetch_deribit_btc_option_expiries(

{siglab_py-0.3.11.dist-info → siglab_py-0.3.13.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.11
+Version: 0.3.13
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.11.dist-info → siglab_py-0.3.13.dist-info}/RECORD

@@ -15,7 +15,7 @@ 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=LvtrYirrdFOcKgTkvuqwdEN7r3nurjX320ESnk7tHE0,15095
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=uMJRDGoYrqHZCfkv5ye-tmsJ8nYawIzy9_ehXa3Kk8M,42166
+siglab_py/ordergateway/gateway.py,sha256=5whFTlBLiIMPZ2YyedEIuLclPIdUzC67AZqw56C9o-Y,43087
 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
@@ -27,12 +27,12 @@ siglab_py/tests/unit/trading_util_tests.py,sha256=tyefqOTQOoXSlemSDonqmdHp61-1nu
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/util/analytic_util.py,sha256=blFJ1kY_aSJeuzzk28vdB4nhLgmosz0L8IJaJCZy9OM,47272
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=ogkuj8grE2sVI_-K2wPeyE7pdY04UpsVsoePQXjub7k,29387
+siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLiQWRlU,31307
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
 siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
-siglab_py-0.3.11.dist-info/METADATA,sha256=HkAJasuTZTqIP16RrphAhj4Yyvqu4u4GOq6h5wD_lsc,980
-siglab_py-0.3.11.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.3.11.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.3.11.dist-info/RECORD,,
+siglab_py-0.3.13.dist-info/METADATA,sha256=Iya9J0Qa1UtxXwEe6-0hWRkoy2Xr5zisxfOkIxZDMV8,980
+siglab_py-0.3.13.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.13.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.13.dist-info/RECORD,,