siglab-py 0.3.7__py3-none-any.whl → 0.3.9__py3-none-any.whl

siglab_py/util/analytic_util.py

@@ -894,4 +894,11 @@ def compute_pair_stats(
     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()
+    pd_candles['zscore_close_spread_max'] = pd_candles['zscore_close_spread'].rolling(how_many_candles).max()
+
+    calculate_slope(
+        pd_data=pd_candles,
+        src_col_name='zscore_close_spread',
+        slope_col_name='zscore_slope',
+        sliding_window_how_many_candles=how_many_candles
+    )

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-0.3.7.dist-info → siglab_py-0.3.9.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.7
+Version: 0.3.9
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.7.dist-info → siglab_py-0.3.9.dist-info}/RECORD

@@ -25,15 +25,14 @@ 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=S5jPJ8ualPDlGvAyf7DG9pYFgod7p39ykKrzF670AM4,47069
+siglab_py/util/analytic_util.py,sha256=blFJ1kY_aSJeuzzk28vdB4nhLgmosz0L8IJaJCZy9OM,47272
 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-0.3.7.dist-info/METADATA,sha256=Y1DLORvYX-UcCQwe8kQwhkkV5InYsa9EMDl4wTqAJOA,979
-siglab_py-0.3.7.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.3.7.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.3.7.dist-info/RECORD,,
+siglab_py-0.3.9.dist-info/METADATA,sha256=5s95ToohGOXArDateCWXBCMSybFtxkxb3P2hVMlB2M0,979
+siglab_py-0.3.9.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.3.9.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.3.9.dist-info/RECORD,,

siglab_py/util/test_market_data_analytic_util.py

@@ -1,64 +0,0 @@
-from datetime import datetime
-import time
-from typing import Union
-import pandas as pd
-
-from ccxt.okx import okx
-
-from market_data_util import fetch_candles
-from analytic_util import compute_candles_stats
-
-base_ccy : str = "BTC"
-# ticker = "GRIFFAIN/USDT:USDT"
-# 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' : {
-            'defaultType': 'swap', # Should test linear instead
-        }
-    }
-exchange = okx(param) # type: ignore
-
-start_date : datetime = datetime(2024,1,1)
-end_date : datetime = datetime(2025,4,22)
-candle_size : str = '1h'
-ma_long_intervals : int = 24*30
-ma_short_intervals : int = 24
-boillenger_std_multiples : int = 2
-pypy_compatible : bool = False
-
-markets = exchange.load_markets()
-assert(ticker in markets)
-
-start = time.time()
-
-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
-                                    boillenger_std_multiples=boillenger_std_multiples, 
-                                    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}")