siglab-py 0.5.1__py3-none-any.whl → 0.5.3__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

siglab_py/ordergateway/test_ordergateway.py

@@ -78,13 +78,13 @@ if __name__ == '__main__':
 
     positions_2 : List[DivisiblePosition] = [
         DivisiblePosition(
-            ticker = 'SUSHI/USDC:USDC',
+            ticker = 'SUSHI/USDT:USDT',
             side = 'buy',
-            amount = 20,
-            leg_room_bps = -5,
+            amount = 10,
+            leg_room_bps = 5,
             reduce_only=False,
             order_type = 'limit',
-            slices=1,
+            slices=5,
             wait_fill_threshold_ms=15000
         ),
     ]
@@ -106,7 +106,7 @@ if __name__ == '__main__':
     
     executed_positions : Union[Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES], None] = execute_positions(
         redis_client=redis_client,
-        positions=positions_2,
+        positions=positions_3,
         ordergateway_pending_orders_topic=ordergateway_pending_orders_topic,
         ordergateway_executions_topic=ordergateway_executions_topic
         )

siglab_py/tests/unit/trading_util_tests.py

@@ -5,6 +5,11 @@ 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
+    https://norman-lm-fung.medium.com/gradually-tightened-trailing-stops-f7854bf1e02b
+'''
 
 # @unittest.skip("Skip all integration tests.")
 class TradingUtilTests(unittest.TestCase):

siglab_py/util/trading_util.py

@@ -49,6 +49,10 @@ 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
+    https://norman-lm-fung.medium.com/gradually-tightened-trailing-stops-f7854bf1e02b
 '''
 def calc_eff_trailing_sl(
         tp_min_percent : float,
@@ -60,7 +64,7 @@ def calc_eff_trailing_sl(
     slope = (0 - sl_percent_trailing) / (tp_max_percent - tp_min_percent)
     effective_tp_trailing_percent = (
                                         slope * (pnl_percent_notional - tp_min_percent) + sl_percent_trailing 
-                                        if pnl_percent_notional>tp_min_percent 
+                                        if pnl_percent_notional>=tp_min_percent 
                                         else default_effective_tp_trailing_percent
                                     )
     return effective_tp_trailing_percent

{siglab_py-0.5.1.dist-info → siglab_py-0.5.3.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.5.1
+Version: 0.5.3
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.1.dist-info → siglab_py-0.5.3.dist-info}/RECORD

@@ -15,15 +15,15 @@ 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=nuBZ6R-DpCYXjajuO3R1odYCxj7RK3GKkKTlKvIlemQ,43630
-siglab_py/ordergateway/test_ordergateway.py,sha256=baWXyryoIbzBAsj9kFauBZrS0mGg-TiDlPZ0jlz4fc8,4010
+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
 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/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=hkAEZHT-8Ncbm9sG-H4WRoyryJSTCj9BsWTdDX7e4hU,2970
 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-0.5.1.dist-info/METADATA,sha256=jsfb63sR-j-VopP5YgmpCEjPMj5Xk8V0n6qIcLIAgt4,979
-siglab_py-0.5.1.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.5.1.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.1.dist-info/RECORD,,
+siglab_py/util/trading_util.py,sha256=rXiBLOJGxerK1Uz1D1GBLedunTobtDCC85d42on4TYg,3321
+siglab_py-0.5.3.dist-info/METADATA,sha256=0yexMdatpl2UTVYRTyD0taYxeTlULA3j3GOZBfdr9jg,979
+siglab_py-0.5.3.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.5.3.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.3.dist-info/RECORD,,