siglab-py 0.3.5__tar.gz → 0.3.7__tar.gz

{siglab_py-0.3.5 → siglab_py-0.3.7}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.3.5
+Version: 0.3.7
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.5 → siglab_py-0.3.7}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.3.5"
+version = "0.3.7"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.3.5 → siglab_py-0.3.7}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.3.5
+version = 0.3.7
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.3.5 → siglab_py-0.3.7}/siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py

@@ -26,8 +26,8 @@ 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)
 
 This script is pypy compatible. Set "pypy_compatible" to True, in which case "compute_candles_stats" will skip calculation for TAs which requires: scipy, statsmodels, scikit-learn, sklearn.preprocessing
@@ -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"

{siglab_py-0.3.5 → siglab_py-0.3.7}/siglab_py/util/analytic_util.py

@@ -865,3 +865,33 @@ def partition_sliding_window(
         'maxima' : maxima,
         'segments' : consolidated_segements
     }
+
+# This relies on statsmodels.api, which is not pypy compatible
+def compute_pair_stats(
+    pd_candles : pd.DataFrame,
+    how_many_candles : int = 24*7
+) -> None:
+    import statsmodels.api as sm
+
+    def _compute_hedge_ratio(
+                prices0 : List[float],
+                prices1 : List[float]
+        ):
+        model = sm.OLS(prices0, prices1).fit()
+        hedge_ratio = model.params[0]
+        return hedge_ratio
+    
+    pd_candles['hedge_ratio'] = np.nan
+    for j in range(how_many_candles, pd_candles.shape[0]):
+        window = pd_candles.iloc[j-how_many_candles:j]
+        hedge_ratio = _compute_hedge_ratio(window['close_1'].values, window['close_2'].values) # type: ignore
+        pd_candles.loc[j, 'hedge_ratio'] = hedge_ratio
+
+    pd_candles['close_spread'] = pd_candles['close_1'] - (pd_candles['close_2'] * pd_candles['hedge_ratio']) # You're fitting one hedge_ratio over a windows
+    mean = pd_candles['close_spread'].rolling(how_many_candles).mean()
+    std = pd_candles['close_spread'].rolling(how_many_candles).std()
+    pd_candles['close_spread_mean'] = mean
+    pd_candles['close_spread_std'] = std
+    pd_candles['zscore_close_spread'] = (pd_candles['close_spread'] - mean)/std
+    pd_candles['zscore_close_spread_min'] = pd_candles['zscore_close_spread'].rolling(how_many_candles).min()
+    pd_candles['zscore_close_spread_max'] = pd_candles['zscore_close_spread'].rolling(how_many_candles).max()

{siglab_py-0.3.5 → siglab_py-0.3.7}/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 → siglab_py-0.3.7}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.5
+Version: 0.3.7
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>