siglab-py 0.5.12__py3-none-any.whl → 0.5.15__py3-none-any.whl

siglab_py/exchanges/futubull.py

@@ -30,6 +30,7 @@ API
         stock basic info https://openapi.futunn.com/futu-api-doc/en/quote/get-static-info.html
         historical candles https://openapi.futunn.com/futu-api-doc/en/quote/request-history-kline.html
         realtime candles https://openapi.futunn.com/futu-api-doc/en/quote/get-kl.html
+        orderbook https://openapi.futunn.com/futu-api-doc/en/quote/get-order-book.html
         real time quote https://openapi.futunn.com/futu-api-doc/en/quote/get-stock-quote.html
         open orders https://openapi.futunn.com/futu-api-doc/en/trade/get-order-list.html
         historical orders https://openapi.futunn.com/futu-api-doc/en/trade/get-history-order-list.html

siglab_py/market_data_providers/futu_candles_ta_to_csv.py

@@ -21,6 +21,9 @@ Usage:
 
     python futu_candles_ta_to_csv.py --symbol AAPL --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --market US --trdmarket US --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
 
+    Gold contracts? Note, symbol is case sensitive with Futu.
+    python futu_candles_ta_to_csv.py --symbol US.GCmain --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --market US --trdmarket FUTURES --security_firm FUTUSECURITIES --security_type FUTURE --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

siglab_py/tests/unit/analytic_util_tests.py

@@ -50,7 +50,7 @@ class AnalyticUtilTests(unittest.TestCase):
             'is_green', 'pct_change_close', 
             'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 
             'std', 'std_percent', 
-            'normalized_close_short', 'normalized_close_long',
+            'vwap_short_periods', 'vwap_long_periods',
             'candle_height_percent', 'candle_height_percent_rounded', 
             'log_return', 'interval_hist_vol', 'annualized_hist_vol',
             'chop_against_ema', 
@@ -61,7 +61,9 @@ class AnalyticUtilTests(unittest.TestCase):
             'boillenger_upper', 'boillenger_lower', 'boillenger_channel_height', 'boillenger_upper_agg', 'boillenger_lower_agg', 'boillenger_channel_height_agg', 
             'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 
             'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 
-            'close_delta', 'close_delta_percent', 'up', 'down', 'rsi', 'ema_rsi', 'typical_price', 
+            'close_delta', 'close_delta_percent', 'up', 'down', 
+            'rsi', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend',
+            'typical_price', 
             'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 
             'macd', 'signal', 'macd_minus_signal', 
             'fib_618_short_periods', 'fib_618_long_periods', 

siglab_py/tests/unit/trading_util_tests.py

@@ -13,7 +13,7 @@ Have a look at this for a visual explaination how "Gradually tightened stops" wo
 
 # @unittest.skip("Skip all integration tests.")
 class TradingUtilTests(unittest.TestCase):
-    def test_timestamp_to_active_trading_regions_case1(self):
+    def test_calc_eff_trailing_sl_case1(self):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
@@ -30,7 +30,7 @@ class TradingUtilTests(unittest.TestCase):
         )
         assert(effective_tp_trailing_percent==50) # Generous trailing SL when trading starting out and pnl small.
 
-    def test_timestamp_to_active_trading_regions_case2(self):
+    def test_calc_eff_trailing_sl_case2(self):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent
@@ -47,7 +47,7 @@ class TradingUtilTests(unittest.TestCase):
         )
         assert(effective_tp_trailing_percent==25) # Intermediate trailing SL
 
-    def test_timestamp_to_active_trading_regions_case3(self):
+    def test_calc_eff_trailing_sl_case3(self):
         tp_min_percent : float = 1.5
         tp_max_percent : float = 2.5
         sl_percent_trailing : float = 50 # Trailing stop loss in percent

siglab_py/util/analytic_util.py

@@ -118,9 +118,11 @@ def compute_candles_stats(
     pd_candles['ema_long_periods'] = close_long_periods_ewm.mean()
     pd_candles['ema_close'] = pd_candles['ema_long_periods'] # Alias, shorter name
     pd_candles['std'] = close_long_periods_rolling.std()
-
     pd_candles['std_percent'] = pd_candles['std'] / pd_candles['ema_close'] * 100
 
+    pd_candles['vwap_short_periods'] = (pd_candles['close'] * pd_candles['volume']).rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).sum() / pd_candles['volume'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).sum()
+    pd_candles['vwap_long_periods'] = (pd_candles['close'] * pd_candles['volume']).rolling(window=sliding_window_how_many_candles).sum() / pd_candles['volume'].rolling(window=sliding_window_how_many_candles).sum()
+
     pd_candles['candle_height_percent'] = pd_candles['candle_height'] / pd_candles['ema_close'] * 100
     pd_candles['candle_height_percent_rounded'] = pd_candles['candle_height_percent'].round().astype('Int64')
 
@@ -360,6 +362,23 @@ def compute_candles_stats(
         span=rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles, 
         adjust=False).mean()
 
+    rsi_rolling = pd_candles['rsi'].rolling(window=int(rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles))
+    pd_candles['rsi_max'] = rsi_rolling.max()
+    pd_candles['rsi_idmax'] = rsi_rolling.apply(lambda x : x.idxmax())
+    pd_candles['rsi_min'] = rsi_rolling.min()
+    pd_candles['rsi_idmin'] = rsi_rolling.apply(lambda x : x.idxmin())
+
+    def rsi_trend(
+            row,
+            rsi_upper_threshold : float = 70,
+            rsi_lower_threshold : float = 30):
+        if row['rsi_idmax'] > row['rsi_idmin']:
+            return 'DOWN' if row.name > row['rsi_idmax'] and row['rsi'] <= rsi_upper_threshold else 'up'
+        else:
+            return 'UP' if row.name > row['rsi_idmin'] and row['rsi'] >= rsi_lower_threshold else 'down'
+
+    pd_candles['rsi_trend'] = pd_candles.apply(lambda row: rsi_trend(row), axis=1)
+    
 
     # MFI (Money Flow Index) https://randerson112358.medium.com/algorithmic-trading-strategy-using-money-flow-index-mfi-python-aa46461a5ea5 
     pd_candles['typical_price'] = (pd_candles['high'] + pd_candles['low'] + pd_candles['close']) / 3

{siglab_py-0.5.12.dist-info → siglab_py-0.5.15.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.5.12
+Version: 0.5.15
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.12.dist-info → siglab_py-0.5.15.dist-info}/RECORD

@@ -2,14 +2,14 @@ siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/constants.py,sha256=5isS_9WNoqpq9nC3ME5I5j7hJI9HAImij2bcgVVyWeY,275
 siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
-siglab_py/exchanges/futubull.py,sha256=6M99G8ZYsIyDyoTvvleMT_WPyNYbb6q-t2KXp0Qyi6g,20422
+siglab_py/exchanges/futubull.py,sha256=f-_trzvuH5NaiG-PzyiNqZ12w7J-ARi_-xcr78rFU4E,20510
 siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 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=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/futu_candles_ta_to_csv.py,sha256=PZRpVL80CG6518uUg38Wb9aoWzidunyBAFFFGvrDnaI,10531
 siglab_py/market_data_providers/orderbooks_provider.py,sha256=olt-3LIkoyzQWfNNQRhJtKibLbkTutt_q_rCCTM7i1g,16216
 siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lkOLa_cgpuvqRakMC0wbA,2221
 siglab_py/market_data_providers/tg_monitor.py,sha256=lRqONP0JAP223gyX37R-wCkhyGFKTvKkgmeDNoO3ay4,21813
@@ -22,18 +22,18 @@ siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QTIeAttCm_e8mEVWFKh4OWuogU,7189
 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/analytic_util_tests.py,sha256=4PPPgwvTCqgfgYV48j3vcJQM4w2ITUDBA0NE3doC_t8,3932
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
-siglab_py/tests/unit/trading_util_tests.py,sha256=0dhqyzK4swCu7Q5DSXlUb4DrFJhS8iXvfr8Vwpa367s,3915
+siglab_py/tests/unit/trading_util_tests.py,sha256=9DZmTZlW55lPtNfTCukgDdiyBiMYv9R4mEFWJIJiTNg,3870
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=blFJ1kY_aSJeuzzk28vdB4nhLgmosz0L8IJaJCZy9OM,47272
+siglab_py/util/analytic_util.py,sha256=UGIpvnBuwy6z7l_YnGMSFFHSxTcH__MfljizvpK7Pbk,48674
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLiQWRlU,31307
 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=-TGNgJdy4HMDPgq31KQn_lRawFxuXnFU5NnLRb1XM5o,5757
-siglab_py-0.5.12.dist-info/METADATA,sha256=QS0mtJr12ZWB60_OMOV6S5Q6GgFh7T4V38bREAUuZoc,980
-siglab_py-0.5.12.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.5.12.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.12.dist-info/RECORD,,
+siglab_py-0.5.15.dist-info/METADATA,sha256=a36d3u762HvS-yyiGyq2BU92RXECAIE9ytLGw1yOy4Y,980
+siglab_py-0.5.15.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.5.15.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.15.dist-info/RECORD,,