siglab-py 0.3.3__tar.gz → 0.3.6__tar.gz

{siglab_py-0.3.3 → siglab_py-0.3.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.3.3
+Version: 0.3.6
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.3 → siglab_py-0.3.6}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.3.3"
+version = "0.3.6"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.3.3 → siglab_py-0.3.6}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.3.3
+version = 0.3.6
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.3.3 → siglab_py-0.3.6}/siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py

@@ -26,7 +26,7 @@ from siglab_py.util.analytic_util import compute_candles_stats
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
-    python ccxt_candles_ta_to_csv.py --exchange_name bybit --symbol BTC/USDT:USDT --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --default_type linear --compute_ta Y --pypy_compatible N
+    python ccxt_candles_ta_to_csv.py --exchange_name okx --symbol BTC/USDT:USDT --candle_size 1h --end_date "2025-04-22 0:0:0" --start_date "2024-01-01 0:0:0" --default_type linear --compute_ta Y --pypy_compatible N
 
     (Remember: python -mpip install siglab_py)
 
@@ -60,8 +60,8 @@ If debugging from VSCode, launch.json:
                 "args" : [
                         "--exchange_name", "bybit",
                         "--symbol", "BTC/USDT:USDT",
-                        "--end_date", "2025-03-11 0:0:0",
-                        "--start_date", "2024-03-11 0:0:0",
+                        "--end_date", "2025-04-22 0:0:0",
+                        "--start_date", "2024-01-01 0:0:0",
                         "--default_type", "linear",
                         "--compute_ta", "Y",
                         "--pypy_compatible", "N"
@@ -83,7 +83,7 @@ param : Dict = {
     'start_date' : start_date,
     'end_date' : end_date,
     'exchange_params' : {
-                        'rateLimit' : 100, # in ms
+                        'rateLimit' : 300, # in ms
                         'options' : {
                             'defaultType' : "linear"
                         }

{siglab_py-0.3.3 → siglab_py-0.3.6}/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-0.3.3 → siglab_py-0.3.6}/siglab_py/util/market_data_util.py

@@ -626,4 +626,52 @@ def fetch_deribit_btc_option_expiries(
         'index_price' : index_price,
         'by_expiry' : sorted_expiry_data, # type: ignore Otherwise, Error: Type "dict[str, list[tuple[str, float]] | dict[str, Dict[Unknown, Unknown]]]" is not assignable to return type "Dict[str, Dict[str, float] | Dict[str, Dict[str, str | float]]]"
         'by_expiry_and_strike' : expiry_data_breakdown_by_strike
-    }
+    }
+
+def build_pair_candles(
+    pd_candles1 : pd.DataFrame,
+    pd_candles2 : pd.DataFrame
+) -> pd.DataFrame:
+    min_timestamp_ms1 = int(pd_candles1.iloc[0]['timestamp_ms'])
+    max_timestamp_ms1 = int(pd_candles1.iloc[-1]['timestamp_ms'])
+    min_timestamp_ms2 = int(pd_candles2.iloc[0]['timestamp_ms'])
+    max_timestamp_ms2 = int(pd_candles2.iloc[-1]['timestamp_ms'])
+
+    pd_candles1 = pd_candles1[(pd_candles1.timestamp_ms>=min_timestamp_ms2) & (pd_candles1.timestamp_ms<=max_timestamp_ms2) & (~pd_candles1.timestamp_ms.isna()) ]
+    pd_candles2 = pd_candles2[(pd_candles2.timestamp_ms>=min_timestamp_ms1) & (pd_candles2.timestamp_ms<=max_timestamp_ms1) & (~pd_candles2.timestamp_ms.isna())]
+    assert(pd_candles1.shape[0]==pd_candles2.shape[0])
+
+    pd_candles1['timestamp_ms_gap'] = pd_candles1['timestamp_ms'] - pd_candles1['timestamp_ms'].shift(1)
+    timestamp_ms_gap = pd_candles1.iloc[-1]['timestamp_ms_gap']
+    
+    assert(pd_candles1[~pd_candles1.timestamp_ms_gap.isna()][pd_candles1.timestamp_ms_gap!=timestamp_ms_gap].shape[0]==0)
+    pd_candles1.drop(columns=['timestamp_ms_gap'], inplace=True)
+
+    pd_candles2['timestamp_ms_gap'] = pd_candles2['timestamp_ms'] - pd_candles2['timestamp_ms'].shift(1)
+    timestamp_ms_gap = pd_candles2.iloc[-1]['timestamp_ms_gap']
+    assert(pd_candles2[~pd_candles2.timestamp_ms_gap.isna()][pd_candles2.timestamp_ms_gap!=timestamp_ms_gap].shape[0]==0)
+    pd_candles2.drop(columns=['timestamp_ms_gap'], inplace=True)
+
+    min_timestamp_ms1 = int(pd_candles1.iloc[0]['timestamp_ms'])
+    max_timestamp_ms1 = int(pd_candles1.iloc[-1]['timestamp_ms'])
+    min_timestamp_ms2 = int(pd_candles2.iloc[0]['timestamp_ms'])
+    max_timestamp_ms2 = int(pd_candles2.iloc[-1]['timestamp_ms'])
+    assert(min_timestamp_ms1==min_timestamp_ms2)
+    assert(max_timestamp_ms1==max_timestamp_ms2)
+    assert(pd_candles1.shape[0]==pd_candles2.shape[0])
+
+    if len([ col for col in pd_candles1.columns if col[-2:]=='_1' ]) == 0:
+        pd_candles1.columns = [str(col) + '_1' for col in pd_candles1.columns]
+
+    if len([ col for col in pd_candles2.columns if col[-2:]=='_2' ]) == 0:
+        pd_candles2.columns = [str(col) + '_2' for col in pd_candles2.columns]
+
+    pd_candles1.reset_index(drop=True, inplace=True)
+    pd_candles2.reset_index(drop=True, inplace=True)
+    pd_candles = pd.concat([pd_candles1, pd_candles2], axis=1)
+    pd_candles['timestamp_ms_gap'] = pd_candles['timestamp_ms_1'] - pd_candles['timestamp_ms_2']
+    assert(pd_candles[pd_candles.timestamp_ms_gap!=0].shape[0]==0)
+
+    return pd_candles
+
+    

{siglab_py-0.3.3 → siglab_py-0.3.6}/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 → siglab_py-0.3.6}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.3
+Version: 0.3.6
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>