siglab-py 0.3.5__py3-none-any.whl → 0.3.6__py3-none-any.whl

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/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-0.3.5.dist-info → siglab_py-0.3.6.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.5
+Version: 0.3.6
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.5.dist-info → siglab_py-0.3.6.dist-info}/RECORD

@@ -7,7 +7,7 @@ siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm
 siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBNRzcNGlOG3u38OVhmOZYlkNm8dVvR-S7Ii2g,23342
 siglab_py/market_data_providers/candles_provider.py,sha256=fqHJjlECsBiBlpgyywrc4gTgxiROPNzZM8KxQBB5cOg,14139
 siglab_py/market_data_providers/candles_ta_provider.py,sha256=uiAhbEZZdTF-YulBHpSLwabos5LHCKU91NTiTmpUc0w,12001
-siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py,sha256=8-cKcZXFBHLX_-KmPXBKv1QNqJYUdDp6iqa1miVlpF8,11139
+siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py,sha256=j17D62JvKBW-Oc-gIrAWVbF7cCaE70X-X_uKvbtkilo,11154
 siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8TmC8pXaid8-jouSLKIpuW6_JBBgwRTieI665yQ,8684
 siglab_py/market_data_providers/futu_candles_ta_to_csv.py,sha256=S4GXaJ7AveEh-Cm9-VhENBdlj_1CfyBTrQO7acTqfUE,10226
 siglab_py/market_data_providers/orderbooks_provider.py,sha256=olt-3LIkoyzQWfNNQRhJtKibLbkTutt_q_rCCTM7i1g,16216
@@ -27,13 +27,13 @@ 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=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/market_data_util.py,sha256=OPoSB8WW9AulYxkTF79_mPQgmQ1aCSMUnYTTfarAtYw,28975
 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=vWzPbJL8lgdC-oBoiLv2OVgfplFUdyWh95-J2PoUyIg,2152
 siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
-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,,
+siglab_py-0.3.6.dist-info/METADATA,sha256=OaKPU3SBDpdvYtvH4Hu3KOPxp654IoKrLuatH48WLu4,979
+siglab_py-0.3.6.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.6.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.6.dist-info/RECORD,,