siglab-py 0.3.6__tar.gz → 0.3.8__tar.gz

{siglab_py-0.3.6 → siglab_py-0.3.8}/PKG-INFO

@@ -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 → siglab_py-0.3.8}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.3.6"
+version = "0.3.8"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.3.6 → siglab_py-0.3.8}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.3.6
+version = 0.3.8
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.3.6 → siglab_py-0.3.8}/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-0.3.6 → siglab_py-0.3.8}/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-0.3.6 → siglab_py-0.3.8}/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 → siglab_py-0.3.8}/siglab_py.egg-info/PKG-INFO

@@ -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>