siglab-py 0.3.6__py3-none-any.whl → 0.3.8__py3-none-any.whl

siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py

@@ -27,7 +27,7 @@ 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 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
@@ -83,7 +83,7 @@ param : Dict = {
     'start_date' : start_date,
     'end_date' : end_date,
     'exchange_params' : {
-                        'rateLimit' : 300, # in ms
+                        'rateLimit' : 100, # in ms
                         'options' : {
                             'defaultType' : "linear"
                         }

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/util/market_data_util.py

@@ -672,6 +672,8 @@ def build_pair_candles(
     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)
 
+    pd_candles.drop(pd_candles.columns[pd_candles.columns.str.contains('unnamed',case = False)],axis = 1, inplace = True)
+
     return pd_candles
 
     

{siglab_py-0.3.6.dist-info → siglab_py-0.3.8.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.6
+Version: 0.3.8
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.6.dist-info → siglab_py-0.3.8.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=j17D62JvKBW-Oc-gIrAWVbF7cCaE70X-X_uKvbtkilo,11154
+siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py,sha256=DHj51QTbkCmEd9RFNVhWWpsSPz1aLd6zTLqkUUbEkK0,11158
 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
@@ -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=BI0_nYgs4R9FogyEN3KYaFHigLLsV05IMF7b2-Twemo,45608
+siglab_py/util/analytic_util.py,sha256=S5jPJ8ualPDlGvAyf7DG9pYFgod7p39ykKrzF670AM4,47069
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=OPoSB8WW9AulYxkTF79_mPQgmQ1aCSMUnYTTfarAtYw,28975
+siglab_py/util/market_data_util.py,sha256=GSEpGG3wpR7kaM8Ou4lzy8MHqbbRp-tvSGZhNJymALc,29100
 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-0.3.6.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,,
+siglab_py-0.3.8.dist-info/METADATA,sha256=0BMzrjb5hc1UpqYxpF7-rITfWBmWYgHciDPZYVtgHDQ,979
+siglab_py-0.3.8.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.8.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.8.dist-info/RECORD,,