siglab-py 0.5.1__tar.gz → 0.5.3__tar.gz

{siglab_py-0.5.1 → siglab_py-0.5.3}/PKG-INFO

@@ -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 → siglab_py-0.5.3}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.1"
+version = "0.5.3"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.1 → siglab_py-0.5.3}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.1
+version = 0.5.3
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.1 → siglab_py-0.5.3}/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-0.5.1 → siglab_py-0.5.3}/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-0.5.1 → siglab_py-0.5.3}/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-0.5.1 → siglab_py-0.5.3}/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 → siglab_py-0.5.3}/siglab_py.egg-info/PKG-INFO

@@ -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>