siglab-py 0.3.3__py3-none-any.whl → 0.3.5__py3-none-any.whl

siglab_py/util/analytic_util.py

@@ -32,6 +32,25 @@ def estimate_fib_retracement(
             
         return retracement_price
 
+def calculate_slope(
+    pd_data : pd.DataFrame,
+    src_col_name : str,
+    slope_col_name : str,
+    sliding_window_how_many_candles : int
+):
+    import statsmodels.api as sm # in-compatible with pypy
+
+    X = sm.add_constant(range(len(pd_data[src_col_name])))
+    rolling_slope = pd_data[src_col_name].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
+    pd_data[slope_col_name] = rolling_slope
+    max_abs_slope = pd_data[slope_col_name].abs().rolling(window=sliding_window_how_many_candles).max()
+    pd_data[f"normalized_{slope_col_name}"] = pd_data[slope_col_name] / max_abs_slope
+    normalized_slope_rolling = pd_data[f"normalized_{slope_col_name}"].rolling(window=sliding_window_how_many_candles)
+    pd_data[f"normalized_{slope_col_name}_min"] = normalized_slope_rolling.min()
+    pd_data[f"normalized_{slope_col_name}_max"] = normalized_slope_rolling.max()
+    pd_data[f"normalized_{slope_col_name}_idmin"] = normalized_slope_rolling.apply(lambda x : x.idxmin())
+    pd_data[f"normalized_{slope_col_name}_idmax"] = normalized_slope_rolling.apply(lambda x : x.idxmax())
+    
 '''
 compute_candles_stats will calculate typical/basic technical indicators using in many trading strategies:
     a. Basic SMA/EMAs (And slopes)
@@ -365,40 +384,54 @@ def compute_candles_stats(
     pd_candles['macd_minus_signal'] = pd_candles['macd'] - pd_candles['signal']
 
     if not pypy_compat:
-        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)
-        pd_candles['close_short_slope'] = rolling_slope
-        max_abs_slope = pd_candles['close_short_slope'].abs().rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).max()
-        pd_candles['normalized_close_short_slope'] = pd_candles['close_short_slope'] / (2* max_abs_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)
-        pd_candles['close_long_slope'] = rolling_slope
-        max_abs_slope = pd_candles['close_long_slope'].abs().rolling(window=sliding_window_how_many_candles).max()
-        pd_candles['normalized_close_short_slope'] = pd_candles['close_long_slope'] / (2 * max_abs_slope)
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='close',
+            slope_col_name='close_short_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles/slow_fast_interval_ratio)
+        )
+
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='close',
+            slope_col_name='close_long_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+        )
         
-        X = sm.add_constant(range(len(pd_candles['ema_short_periods'])))
-        rolling_slope = pd_candles['ema_short_periods'].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['ema_short_slope'] = rolling_slope
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='ema_short_periods',
+            slope_col_name='ema_short_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles/slow_fast_interval_ratio)
+        )
 
-        X = sm.add_constant(range(len(pd_candles['ema_long_periods'])))
-        rolling_slope = pd_candles['ema_long_periods'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
-        pd_candles['ema_long_slope'] = rolling_slope
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='ema_long_periods',
+            slope_col_name='ema_long_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+        )
 
-        X = sm.add_constant(range(len(pd_candles['boillenger_upper'])))
-        rolling_slope = pd_candles['boillenger_upper'].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['boillenger_upper_slope'] = rolling_slope
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='boillenger_upper',
+            slope_col_name='boillenger_upper_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+        )
 
-        X = sm.add_constant(range(len(pd_candles['boillenger_lower'])))
-        rolling_slope = pd_candles['boillenger_lower'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
-        pd_candles['boillenger_lower_slope'] = rolling_slope
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='boillenger_lower',
+            slope_col_name='boillenger_lower_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+        )
 
-        X = sm.add_constant(range(len(pd_candles['ema_rsi'])))
-        rolling_slope = pd_candles['ema_rsi'].rolling(window=sliding_window_how_many_candles).apply(lambda x: sm.OLS(x, X[:len(x)]).fit().params[1], raw=False)
-        pd_candles['ema_rsi_slope'] = rolling_slope
+        calculate_slope(
+            pd_data=pd_candles,
+            src_col_name='ema_rsi',
+            slope_col_name='ema_rsi_slope',
+            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+        )
 
         pd_candles['regular_divergence'] = (
             (pd_candles['ema_long_slope'] > 0) & (pd_candles['ema_rsi_slope'] < 0) |

siglab_py/util/test_market_data_analytic_util.py

@@ -1,8 +1,7 @@
 from datetime import datetime
-from typing import Dict, Union
-
+import time
+from typing import Union
 import pandas as pd
-import matplotlib.pyplot as plt
 
 from ccxt.okx import okx
 
@@ -14,6 +13,10 @@ base_ccy : str = "BTC"
 # ticker = "OL/USDT:USDT"
 ticker = f"{base_ccy}/USDT:USDT"
 
+reload_raw_candles : bool = True
+raw_candles_file : str = f"{base_ccy}_raw_candles.csv"
+candles_with_ta_file : str = f"{base_ccy}_candles_ta.csv"
+
 param = {
         'rateLimit' : 100,    # In ms
         'options' : {
@@ -23,7 +26,7 @@ param = {
 exchange = okx(param) # type: ignore
 
 start_date : datetime = datetime(2024,1,1)
-end_date : datetime = datetime(2025,4,20)
+end_date : datetime = datetime(2025,4,22)
 candle_size : str = '1h'
 ma_long_intervals : int = 24*30
 ma_short_intervals : int = 24
@@ -33,15 +36,20 @@ pypy_compatible : bool = False
 markets = exchange.load_markets()
 assert(ticker in markets)
 
-pd_candles: Union[pd.DataFrame, None] = fetch_candles(
-            start_ts=int(start_date.timestamp()),
-            end_ts=int(end_date.timestamp()),
-            exchange=exchange,
-            normalized_symbols=[ ticker ],
-            candle_size=candle_size
-        )[ ticker ]
+start = time.time()
 
-pd_candles.to_csv(f"{base_ccy}_raw_candles.csv") # type: ignore
+if reload_raw_candles:
+    pd_candles: Union[pd.DataFrame, None] = fetch_candles(
+                start_ts=int(start_date.timestamp()),
+                end_ts=int(end_date.timestamp()),
+                exchange=exchange,
+                normalized_symbols=[ ticker ],
+                candle_size=candle_size
+            )[ ticker ]
+
+    pd_candles.to_csv(raw_candles_file) # type: ignore
+else:
+    pd_candles = pd.read_csv(raw_candles_file) # type: ignore
 
 compute_candles_stats(
                                     pd_candles=pd_candles, # type: ignore
@@ -49,4 +57,8 @@ compute_candles_stats(
                                     sliding_window_how_many_candles=ma_long_intervals, 
                                     slow_fast_interval_ratio=(ma_long_intervals/ma_short_intervals),
                                     pypy_compat=pypy_compatible
-                                ) 
+                                ) 
+pd_candles.to_csv(candles_with_ta_file) # type: ignore
+
+compute_candles_stats_elapsed_ms = int((time.time() - start) *1000)
+print(f"elapsed (ms): {compute_candles_stats_elapsed_ms}")

{siglab_py-0.3.3.dist-info → siglab_py-0.3.5.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.3
+Version: 0.3.5
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.3.dist-info → siglab_py-0.3.5.dist-info}/RECORD

@@ -25,15 +25,15 @@ siglab_py/tests/unit/analytic_util_tests.py,sha256=eeusM5zkQR2QyVhT7nqF0mwHVg7vl
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
 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=KX3IpSYI3-6SpT0kot20olaGxC1Ree4vWdVoMz2RDVc,45380
+siglab_py/util/analytic_util.py,sha256=BI0_nYgs4R9FogyEN3KYaFHigLLsV05IMF7b2-Twemo,45608
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=-IltjTdWsRIWPeXrY-tFbvdadAeL6_Kg3kKVCCGhU6Y,26369
 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/test_market_data_analytic_util.py,sha256=VUGIefCdR8uW9pwlt0ahE9gZm0zWQNwphTeiTvgKqAY,1706
+siglab_py/util/test_market_data_analytic_util.py,sha256=vWzPbJL8lgdC-oBoiLv2OVgfplFUdyWh95-J2PoUyIg,2152
 siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
-siglab_py-0.3.3.dist-info/METADATA,sha256=uiCdJdpUNUzNpJsKM--FEqIkp6D-odwEYF31Ia_O3Ds,979
-siglab_py-0.3.3.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.3.3.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.3.3.dist-info/RECORD,,
+siglab_py-0.3.5.dist-info/METADATA,sha256=n3OYBS8G2-ukuqlQPH-ZyVqaoDxehLTpAGBSGI9UPDI,979
+siglab_py-0.3.5.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.5.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.5.dist-info/RECORD,,