siglab-py 0.5.12__tar.gz → 0.5.15__tar.gz

{siglab_py-0.5.12 → siglab_py-0.5.15}/PKG-INFO

@@ -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 → siglab_py-0.5.15}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.12"
+version = "0.5.15"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.12 → siglab_py-0.5.15}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.12
+version = 0.5.15
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.12 → siglab_py-0.5.15}/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-0.5.12 → siglab_py-0.5.15}/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-0.5.12 → siglab_py-0.5.15}/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-0.5.12 → siglab_py-0.5.15}/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-0.5.12 → siglab_py-0.5.15}/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 → siglab_py-0.5.15}/siglab_py.egg-info/PKG-INFO

@@ -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>