siglab-py 0.3.9__tar.gz → 0.3.11__tar.gz

{siglab_py-0.3.9 → siglab_py-0.3.11}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.3.9
+Version: 0.3.11
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.3.9 → siglab_py-0.3.11}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.3.9"
+version = "0.3.11"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.3.9 → siglab_py-0.3.11}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.3.9
+version = 0.3.11
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.3.9 → siglab_py-0.3.11}/siglab_py/ordergateway/gateway.py

@@ -452,6 +452,8 @@ async def execute_one_position(
                     'reduceOnly': slice.reduce_only
                 }
                 if position.order_type=='limit':
+                    order_params['postOnly'] = True
+                    
                     if not param['dry_run']:
                         executed_order = await exchange.create_order( # type: ignore
                             symbol = position.ticker,

{siglab_py-0.3.9 → siglab_py-0.3.11}/siglab_py/util/market_data_util.py

@@ -19,6 +19,7 @@ from yahoofinancials import YahooFinancials
 # yfinance allows intervals '1m', '5m', '15m', '1h', '1d', '1wk', '1mo'. yahoofinancials not as flexible
 import yfinance as yf
 
+from siglab_py.util.retry_util import retry
 from siglab_py.exchanges.futubull import Futubull
 from siglab_py.exchanges.any_exchange import AnyExchange
 
@@ -516,55 +517,57 @@ def _fetch_candles_ccxt(
     candle_size : str,
     num_candles_limit : int = 100
 ) -> Dict[str, Union[pd.DataFrame, None]]:
-    ticker = normalized_symbols[0]
+    rsp = {}
 
-    def _fetch_ohlcv(exchange, symbol, timeframe, since, limit, params) -> Union[List, NoReturn]:
-            one_timeframe = f"1{timeframe[-1]}"
-            candles = exchange.fetch_ohlcv(symbol=symbol, timeframe=one_timeframe, since=since, limit=limit, params=params)
-            if candles and len(candles)>0:
-                candles.sort(key=lambda x : x[0], reverse=False)
+    for ticker in normalized_symbols:
+        @retry(num_attempts=3, pause_between_retries_ms=1000)
+        def _fetch_ohlcv(exchange, symbol, timeframe, since, limit, params) -> Union[List, NoReturn]:
+                one_timeframe = f"1{timeframe[-1]}"
+                candles = exchange.fetch_ohlcv(symbol=symbol, timeframe=one_timeframe, since=since, limit=limit, params=params)
+                if candles and len(candles)>0:
+                    candles.sort(key=lambda x : x[0], reverse=False)
 
-            return candles
-        
-    def _calc_increment(candle_size):
-        increment = 1
-        num_intervals = int(candle_size[0])
-        interval_type = candle_size[-1]
-        if interval_type == "m":
-            increment = 60
-        elif interval_type == "h":
-            increment = 60*60
-        elif interval_type == "d":
-            increment = 60*60*24
-        else:
-            raise ValueError(f"Invalid candle_size {candle_size}")
-        return num_intervals * increment
-    
-    all_candles = []
-    params = {}
-    this_cutoff = start_ts
-    while this_cutoff<end_ts:
-        candles = _fetch_ohlcv(exchange=exchange, symbol=ticker, timeframe=candle_size, since=int(this_cutoff * 1000), limit=num_candles_limit, params=params)
-        if candles and len(candles)>0:
-            all_candles = all_candles + [[ int(x[0]), float(x[1]), float(x[2]), float(x[3]), float(x[4]), float(x[5]) ] for x in candles if x[1] and x[2] and x[3] and x[4] and x[5] ]
-
-            record_ts = max([int(record[0]) for record in candles])
-            record_ts_str : str = str(record_ts)
-            if len(record_ts_str)==13:
-                record_ts = int(int(record_ts_str)/1000) # Convert from milli-seconds to seconds
+                return candles
             
-            this_cutoff = record_ts  + _calc_increment(candle_size)
-        else:
-            this_cutoff += _calc_increment(candle_size)
+        def _calc_increment(candle_size):
+            increment = 1
+            num_intervals = int(candle_size[0])
+            interval_type = candle_size[-1]
+            if interval_type == "m":
+                increment = 60
+            elif interval_type == "h":
+                increment = 60*60
+            elif interval_type == "d":
+                increment = 60*60*24
+            else:
+                raise ValueError(f"Invalid candle_size {candle_size}")
+            return num_intervals * increment
+        
+        all_candles = []
+        params = {}
+        this_cutoff = start_ts
+        while this_cutoff<end_ts:
+            candles = _fetch_ohlcv(exchange=exchange, symbol=ticker, timeframe=candle_size, since=int(this_cutoff * 1000), limit=num_candles_limit, params=params)
+            if candles and len(candles)>0:
+                all_candles = all_candles + [[ int(x[0]), float(x[1]), float(x[2]), float(x[3]), float(x[4]), float(x[5]) ] for x in candles if x[1] and x[2] and x[3] and x[4] and x[5] ]
+
+                record_ts = max([int(record[0]) for record in candles])
+                record_ts_str : str = str(record_ts)
+                if len(record_ts_str)==13:
+                    record_ts = int(int(record_ts_str)/1000) # Convert from milli-seconds to seconds
+                
+                this_cutoff = record_ts  + _calc_increment(candle_size)
+            else:
+                this_cutoff += _calc_increment(candle_size)
 
-    columns = ['exchange', 'symbol', 'timestamp_ms', 'open', 'high', 'low', 'close', 'volume']
-    pd_all_candles = pd.DataFrame([ [ exchange.name, ticker, x[0], x[1], x[2], x[3], x[4], x[5] ] for x in all_candles], columns=columns)
-    fix_column_types(pd_all_candles)
-    pd_all_candles['pct_chg_on_close'] = pd_all_candles['close'].pct_change()
+        columns = ['exchange', 'symbol', 'timestamp_ms', 'open', 'high', 'low', 'close', 'volume']
+        pd_all_candles = pd.DataFrame([ [ exchange.name, ticker, x[0], x[1], x[2], x[3], x[4], x[5] ] for x in all_candles], columns=columns)
+        fix_column_types(pd_all_candles)
+        pd_all_candles['pct_chg_on_close'] = pd_all_candles['close'].pct_change()
 
-    return {
-        ticker : pd_all_candles
-    }
+        rsp[ticker] = pd_all_candles
+
+    return rsp
 
 def fetch_deribit_btc_option_expiries(
     market: str = 'BTC'

siglab_py-0.3.11/siglab_py/util/retry_util.py

@@ -0,0 +1,23 @@
+import time
+
+def retry(
+        num_attempts : int = 1,
+        pause_between_retries_ms : int = 1000
+        ):
+    def decorator(method):
+        def wrapper(*args, **kw):
+            for i in range(num_attempts):
+                try:
+                    result = method(*args, **kw)
+                    if i>0:
+                        print(f"retry_util.retry done {method.__name__} on #{i+1} call. {args} {kw}")
+                    return result
+                except Exception as retry_error:
+                    if i==(num_attempts-1):
+                        err_msg = f"retry_util.retry gave up {method.__name__} after {num_attempts} calls. {args} {kw}. {retry_error}"
+                        raise Exception(err_msg) from retry_error
+                finally:
+                    time.sleep(int(pause_between_retries_ms/1000))
+                    
+        return wrapper
+    return decorator

{siglab_py-0.3.9 → siglab_py-0.3.11}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.3.9
+Version: 0.3.11
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

siglab_py-0.3.9/siglab_py/util/retry_util.py

@@ -1,15 +0,0 @@
-def retry(num_attempts : int = 1):
-    def decorator(method):
-        def wrapper(*args, **kw):
-            for i in range(num_attempts):
-                try:
-                    result = method(*args, **kw)
-                    if i>0:
-                        print(f"retry_gizmo.retry succeeded: {method.__name__} on #{i+1} invocation. {args} {kw}")
-                    return result
-                except Exception as retry_error:
-                    if i==(num_attempts-1):
-                        err_msg = f"retry_gizmo.retry failed: {method.__name__} after {num_attempts} invocations. {args} {kw}. {retry_error}"
-                        raise Exception(err_msg) from retry_error
-        return wrapper
-    return decorator