siglab-py 0.5.25__tar.gz → 0.5.27__tar.gz

{siglab_py-0.5.25 → siglab_py-0.5.27}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.25
+Version: 0.5.27
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.25 → siglab_py-0.5.27}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.25"
+version = "0.5.27"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.25 → siglab_py-0.5.27}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.25
+version = 0.5.27
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

siglab_py-0.5.27/siglab_py/constants.py

@@ -0,0 +1,23 @@
+import enum
+from typing import Union, List, Dict, Any
+
+JSON_SERIALIZABLE_TYPES = Union[str, bool, int, float, None, List[Any], Dict[Any, Any]]
+
+class LogLevel(enum.Enum):
+    CRITICAL = 50
+    ERROR = 40
+    WARNING = 30
+    INFO = 20
+    DEBUG = 10
+    NOTSET = 0
+
+class TrendDirection(enum.Enum):
+    UNDEFINED = 0
+    HIGHER_HIGHS = 1
+    LOWER_HIGHS = 2
+    SIDEWAYS = 3
+    HIGHER_LOWS = 4
+    LOWER_LOWS = 5
+
+    def to_string(self) -> str:
+        return self.name.lower() if self != TrendDirection.UNDEFINED else ''

{siglab_py-0.5.25 → siglab_py-0.5.27}/siglab_py/tests/unit/analytic_util_tests.py

@@ -57,14 +57,14 @@ class AnalyticUtilTests(unittest.TestCase):
             'ema_volume_short_periods', 'ema_volume_long_periods', 
             'max_short_periods', 'max_long_periods', 'idmax_short_periods', 'idmax_long_periods', 'min_short_periods', 'min_long_periods', 'idmin_short_periods', 'idmin_long_periods', 
             'price_swing_short_periods', 'price_swing_long_periods',
-            'higher_highs_long_periods', 'lower_lows_long_periods', 'higher_highs_short_periods', 'lower_lows_short_periods',
+            'trend_from_highs_long_periods', 'trend_from_lows_long_periods', 'trend_from_highs_short_periods', 'trend_from_lows_short_periods',
             'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 'atr_avg_short_periods', 'atr_avg_long_periods',
             'hurst_exp', 
             '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', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_higher_highs', 'rsi_lower_lows', 'rsi_divergence',
+            'rsi', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_trend_from_highs', 'rsi_trend_from_lows', 'rsi_divergence',
             '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', 

{siglab_py-0.5.25 → siglab_py-0.5.27}/siglab_py/util/analytic_util.py

@@ -1,6 +1,7 @@
 import tzlocal
 from datetime import datetime, timezone
 from typing import List, Dict, Union, NoReturn, Any, Tuple
+from enum import Enum
 from pathlib import Path
 import math
 import pandas as pd
@@ -11,6 +12,7 @@ from ccxt.base.exchange import Exchange as CcxtExchange
 from ccxt import deribit
 
 from siglab_py.util.market_data_util import fix_column_types
+from constants import TrendDirection
 
 # Fibonacci
 MAGIC_FIB_LEVELS = [0, 0.236, 0.382, 0.5, 0.618, 0.786, 1.00, 1.618, 2.618, 3.618, 4.236]
@@ -51,30 +53,33 @@ def calculate_slope(
     pd_data[f"normalized_{slope_col_name}_idmin"] = normalized_slope_rolling.apply(lambda x : x.idxmin())
     pd_data[f"normalized_{slope_col_name}_idmax"] = normalized_slope_rolling.apply(lambda x : x.idxmax())
 
-def higherhighs(series: pd.Series) -> Union[str, None]:
-    unique_maxima = series.dropna()[series.dropna().diff().ne(0)]
+def trend_from_highs(series: np.ndarray) -> float:
+    valid_series = series[~np.isnan(series)]
+    unique_maxima = valid_series[np.concatenate(([True], np.diff(valid_series) != 0))]
     if len(unique_maxima) < 2:
-        return None
-    first, last = unique_maxima.iloc[0], unique_maxima.iloc[-1]
+        return TrendDirection.UNDEFINED.value
+    first, last = unique_maxima[0], unique_maxima[-1]
     if first > last:
-        return 'lower_highs'
+        return TrendDirection.LOWER_HIGHS.value
     elif first < last:
-        return 'higher_highs'
+        return TrendDirection.HIGHER_HIGHS.value
     else:
-        return 'sideways'
+        return TrendDirection.SIDEWAYS.value
 
-def lowerlows(series: pd.Series) -> Union[str, None]:
-    unique_minima = series.dropna()[series.dropna().diff().ne(0)]
+def trend_from_lows(series: np.ndarray) -> float:
+    valid_series = series[~np.isnan(series)]
+    unique_minima = valid_series[np.concatenate(([True], np.diff(valid_series) != 0))]
     if len(unique_minima) < 2:
-        return None
-    first, last = unique_minima.iloc[0], unique_minima.iloc[-1]
+        return TrendDirection.UNDEFINED.value
+    first, last = unique_minima[0], unique_minima[-1]
     if first > last:
-        return 'lower_lows'
+        return TrendDirection.LOWER_LOWS.value
     elif first < last:
-        return 'higher_lows'
+        return TrendDirection.HIGHER_LOWS.value
     else:
-        return 'sideways'
-
+        return TrendDirection.SIDEWAYS.value
+    
+    
 '''
 compute_candles_stats will calculate typical/basic technical indicators using in many trading strategies:
     a. Basic SMA/EMAs (And slopes)
@@ -204,10 +209,26 @@ def compute_candles_stats(
         pd_candles['min_long_periods'] - pd_candles['max_long_periods']   # Down swing (negative)
     )
 
-    pd_candles['higher_highs_long_periods'] = higherhighs(pd_candles['max_long_periods'])
-    pd_candles['lower_lows_long_periods'] = lowerlows(pd_candles['min_long_periods'])
-    pd_candles['higher_highs_short_periods'] = higherhighs(pd_candles['max_short_periods'])
-    pd_candles['lower_lows_short_periods'] = lowerlows(pd_candles['min_short_periods'])
+    pd_candles['trend_from_highs_long_periods'] = np.where(
+												pd.isna(pd_candles['max_long_periods']),
+                                                None, # type: ignore
+												pd_candles['max_long_periods'].rolling(window=sliding_window_how_many_candles).apply(trend_from_highs, raw=True)
+												)
+    pd_candles['trend_from_lows_long_periods'] = np.where(
+												pd.isna(pd_candles['min_long_periods']),
+                                                None, # type: ignore
+												pd_candles['min_long_periods'].rolling(window=sliding_window_how_many_candles).apply(trend_from_lows, raw=True)
+												)
+    pd_candles['trend_from_highs_short_periods'] = np.where(
+												pd.isna(pd_candles['max_short_periods']),
+                                                None, # type: ignore
+												pd_candles['max_short_periods'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(trend_from_highs, raw=True)
+												)
+    pd_candles['trend_from_lows_short_periods'] = np.where(
+												pd.isna(pd_candles['min_short_periods']),
+                                                None, # type: ignore
+												pd_candles['min_short_periods'].rolling(window=int(sliding_window_how_many_candles/slow_fast_interval_ratio)).apply(trend_from_lows, raw=True)
+												)
 
     # ATR https://medium.com/codex/detecting-ranging-and-trending-markets-with-choppiness-index-in-python-1942e6450b58 
     pd_candles.loc[:,'h_l'] = pd_candles['high'] - pd_candles['low']
@@ -425,18 +446,26 @@ def compute_candles_stats(
 
     pd_candles['rsi_trend'] = pd_candles.apply(lambda row: rsi_trend(row), axis=1)
 
-    pd_candles['rsi_higher_highs'] = higherhighs(pd_candles['rsi_max'])
-    pd_candles['rsi_lower_lows'] = lowerlows(pd_candles['rsi_min'])
+    pd_candles['rsi_trend_from_highs'] = np.where(
+												pd.isna(pd_candles['rsi_max']),
+                                                None, # type: ignore
+												pd_candles['rsi_max'].rolling(window=rsi_trend_sliding_window_how_many_candles).apply(trend_from_highs, raw=True)
+												)
+    pd_candles['rsi_trend_from_lows'] = np.where(
+												pd.isna(pd_candles['rsi_min']),
+                                                None, # type: ignore
+												pd_candles['rsi_min'].rolling(window=rsi_trend_sliding_window_how_many_candles).apply(trend_from_lows, raw=True)
+												)
 
     def _rsi_divergence(row):
-		# Bullish Divergence: Price lower low + RSI higher low
-        if row['lower_lows_long_periods']=='lower_lows' and row['rsi_lower_lows']=='higher_lows':
+        trend_from_highs_long_periods = TrendDirection(row['trend_from_highs_long_periods']) if row['trend_from_highs_long_periods'] is not None and not pd.isna(row['trend_from_highs_long_periods']) else None  # type: ignore
+        rsi_trend_from_highs = TrendDirection(row['rsi_trend_from_highs']) if row['rsi_trend_from_highs'] is not None and not pd.isna(row['rsi_trend_from_highs']) else None # type: ignore
+        
+        if trend_from_highs_long_periods and rsi_trend_from_highs and trend_from_highs_long_periods == TrendDirection.LOWER_HIGHS and rsi_trend_from_highs == TrendDirection.HIGHER_HIGHS:
             return 'bullish_divergence'
-		# Bearish Divergence: Price higher high + RSI lower high
-        elif row['higher_highs_long_periods']=='higher_highs' and row['rsi_higher_highs']=='lower_highs':
+        elif trend_from_highs_long_periods and rsi_trend_from_highs and trend_from_highs_long_periods == TrendDirection.HIGHER_HIGHS and rsi_trend_from_highs == TrendDirection.LOWER_HIGHS:
             return 'bearish_divergence'
-        else:
-            return 'no_divergence'
+        return 'no_divergence'
     pd_candles['rsi_divergence'] = pd_candles.apply(_rsi_divergence, axis=1)
     
 

{siglab_py-0.5.25 → siglab_py-0.5.27}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.25
+Version: 0.5.27
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

siglab_py-0.5.25/siglab_py/constants.py

@@ -1,12 +0,0 @@
-import enum
-from typing import Union, List, Dict, Any
-
-JSON_SERIALIZABLE_TYPES = Union[str, bool, int, float, None, List[Any], Dict[Any, Any]]
-
-class LogLevel(enum.Enum):
-    CRITICAL = 50
-    ERROR = 40
-    WARNING = 30
-    INFO = 20
-    DEBUG = 10
-    NOTSET = 0