siglab-py 0.5.0__py3-none-any.whl → 0.5.2__py3-none-any.whl

siglab_py/ordergateway/gateway.py

@@ -31,6 +31,13 @@ from util.notification_util import dispatch_notification
 
 current_filename = os.path.basename(__file__)
 
+'''
+Error: RuntimeError: aiodns needs a SelectorEventLoop on Windows.
+Hack, by far the filthest hack I done in my career: Set SelectorEventLoop on Windows
+'''
+if sys.platform == 'win32':
+    asyncio.set_event_loop_policy(asyncio.WindowsSelectorEventLoopPolicy())
+
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
@@ -456,7 +463,13 @@ async def execute_one_position(
                     'reduceOnly': slice.reduce_only
                 }
                 if position.order_type=='limit':
-                    # order_params['postOnly'] = True
+                    if position.leg_room_bps<0:
+                        order_params['postOnly'] = True
+                    else:
+                        log(
+                            f"{position.side} {rounded_slice_amount_in_base_ccy} {position.ticker}. Limit order to be sent as Market order. Invalid leg_room_bps: {position.leg_room_bps}. By convention, leg_room_bps more positive means you want your order to get filled more aggressively. To post limit orders, leg_room_bps should be negative.",
+                            log_level=LogLevel.WARNING
+                            )
 
                     if not param['dry_run']:
                         executed_order = await exchange.create_order( # type: ignore

siglab_py/tests/unit/trading_util_tests.py

@@ -5,6 +5,10 @@ from pathlib import Path
 
 from util.trading_util import *
 
+'''
+Have a look at this for a visual explaination how "Gradually tightened stops" works:
+    https://github.com/r0bbar/siglab/blob/master/siglab_py/tests/manual/trading_util_tests.ipynb
+'''
 
 # @unittest.skip("Skip all integration tests.")
 class TradingUtilTests(unittest.TestCase):

siglab_py/util/trading_util.py

@@ -49,6 +49,9 @@ What's 'loss_trailing'? 'loss_trailing' is essentially pnl drop from max_unreali
         unrealized_pnl_live = $40
         max_unrealized_pnl_live = $100
         loss_trailing = (1 - unrealized_pnl_live/max_unrealized_pnl_live) = (1-40/100) = 0.6 (Or 60%)
+
+Have a look at this for a visual explaination how "Gradually tightened stops" works:
+    https://github.com/r0bbar/siglab/blob/master/siglab_py/tests/manual/trading_util_tests.ipynb
 '''
 def calc_eff_trailing_sl(
         tp_min_percent : float,

{siglab_py-0.5.0.dist-info → siglab_py-0.5.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.5.0
+Version: 0.5.2
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.0.dist-info → siglab_py-0.5.2.dist-info}/RECORD

@@ -15,7 +15,7 @@ siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lk
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/ordergateway/client.py,sha256=LvtrYirrdFOcKgTkvuqwdEN7r3nurjX320ESnk7tHE0,15095
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=-7TfrKiFfvOnB1Xf3RhQbhMbmy_b6WsfDrj0z2o4avo,43089
+siglab_py/ordergateway/gateway.py,sha256=Z-BQ-Z9gXoNrKQHzRIy9R1mnCybf9QwWhHpqkSI7bBM,43901
 siglab_py/ordergateway/test_ordergateway.py,sha256=4PE2flp_soGcD3DrI7zJOzZndjkb6I5XaDrFNNq4Huo,4009
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -23,7 +23,7 @@ siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QT
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/unit/analytic_util_tests.py,sha256=eeusM5zkQR2QyVhT7nqF0mwHVg7vlxwtgv2JnLqwQgY,3852
 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/tests/unit/trading_util_tests.py,sha256=664pnAwhdwfRI21ktPpuAxNydz6XtxBrU_Dm1rTGquQ,2883
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/util/analytic_util.py,sha256=blFJ1kY_aSJeuzzk28vdB4nhLgmosz0L8IJaJCZy9OM,47272
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
@@ -31,8 +31,8 @@ siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLi
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
-siglab_py/util/trading_util.py,sha256=FmqsamuPhMjZUkz4lCyuE8MHFapXn6yNl8Isy7peQEs,3047
-siglab_py-0.5.0.dist-info/METADATA,sha256=CXGdpwIvDjVhjApfl9GFdYjUl8lXukcxL0_GMhBOv-A,979
-siglab_py-0.5.0.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.5.0.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.0.dist-info/RECORD,,
+siglab_py/util/trading_util.py,sha256=Z-sK4cTi-5rIXYVgmIMgOWlIaxcCEX1lXlCKTweg6-U,3233
+siglab_py-0.5.2.dist-info/METADATA,sha256=yL1RdzFxrjYNgzdB18G-XtbaM-HLC0NWeWcqXLws6Vw,979
+siglab_py-0.5.2.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.5.2.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.2.dist-info/RECORD,,