siglab-py 0.5.27__py3-none-any.whl → 0.5.29__py3-none-any.whl

siglab_py/tests/unit/analytic_util_tests.py

@@ -55,6 +55,7 @@ class AnalyticUtilTests(unittest.TestCase):
             'log_return', 'interval_hist_vol', 'annualized_hist_vol',
             'chop_against_ema', 
             'ema_volume_short_periods', 'ema_volume_long_periods', 
+            'ema_cross', 'ema_cross_last', 'ema_bullish_cross_last_id', 'ema_bearish_cross_last_id',
             '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',
             'trend_from_highs_long_periods', 'trend_from_lows_long_periods', 'trend_from_highs_short_periods', 'trend_from_lows_short_periods',

siglab_py/util/analytic_util.py

@@ -12,7 +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
+from siglab_py.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]
@@ -187,6 +187,40 @@ def compute_candles_stats(
     pd_candles['ema_volume_short_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles/slow_fast_interval_ratio, adjust=False).mean()
     pd_candles['ema_volume_long_periods'] = pd_candles['volume'].ewm(span=sliding_window_how_many_candles, adjust=False).mean()
 
+    pd_candles['ema_cross'] = None
+    pd_candles['ema_cross_last'] = None
+    pd_candles['ema_bullish_cross_last_id'] = None
+    pd_candles['ema_bearish_cross_last_id'] = None
+    ema_short_periods_prev = pd_candles['ema_short_periods'].shift(1)
+    ema_long_periods_prev = pd_candles['ema_long_periods'].shift(1)
+    ema_short_periods_curr = pd_candles['ema_short_periods']
+    ema_long_periods_curr = pd_candles['ema_long_periods']
+    bullish_ema_crosses = (ema_short_periods_prev <= ema_long_periods_prev) & (ema_short_periods_curr > ema_long_periods_curr)
+    bearish_ema_crosses = (ema_short_periods_prev >= ema_long_periods_prev) & (ema_short_periods_curr < ema_long_periods_curr)
+    pd_candles.loc[bullish_ema_crosses, 'ema_cross'] = 1
+    pd_candles.loc[bearish_ema_crosses, 'ema_cross'] = -1
+    pd_candles['ema_bullish_cross_last_id'] = pd_candles['ema_cross'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmax())
+    pd_candles['ema_bearish_cross_last_id'] = pd_candles['ema_cross'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmin())
+    pd_candles.loc[bullish_ema_crosses, 'ema_cross'] = np.where(
+        pd_candles.loc[bullish_ema_crosses, 'ema_cross']==1,
+        'bullish',
+        pd_candles.loc[bullish_ema_crosses, 'ema_cross']
+    )
+    pd_candles['ema_cross_last'] = np.where(
+        pd_candles['ema_bullish_cross_last_id'] > pd_candles['ema_bearish_cross_last_id'],
+        'bullish',
+        np.where(
+            pd_candles['ema_bearish_cross_last_id'] > pd_candles['ema_bullish_cross_last_id'],
+            'bearish',
+            None # type: ignore
+        )
+    )
+
+    pd_candles['ema_cross_last'] = pd_candles['ema_cross_last'].where(
+        pd_candles['ema_bullish_cross_last_id'].isnull() & pd_candles['ema_bearish_cross_last_id'].isnull(),
+        None
+    )
+
     pd_candles['max_short_periods'] = close_short_periods_rolling.max()
     pd_candles['max_long_periods'] = close_long_periods_rolling.max()
     pd_candles['idmax_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmax())

{siglab_py-0.5.27.dist-info → siglab_py-0.5.29.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.27
+Version: 0.5.29
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.27.dist-info → siglab_py-0.5.29.dist-info}/RECORD

@@ -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=fstWJxgmm6xyn5xuVf45nVio1l_KU3kVhQLWxr4sufI,4264
+siglab_py/tests/unit/analytic_util_tests.py,sha256=5Vic-lwuGvgLfjcP1gmrdBizMn0hXPMnixYKAF3y-fI,4366
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
 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=4U471ANXvH-QEXYiwqCA6lLULyqKPnWMxTNsSWqEAik,54009
+siglab_py/util/analytic_util.py,sha256=RlUtLPDYTMrola8Dnh5msCLzAKgIq2Ee_DzLTEoJEIM,55899
 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-0.5.27.dist-info/METADATA,sha256=Yn2_HCYJ4f0LyE14xyJMzn30_DZQ2XAVauT5Uy30Lrg,829
-siglab_py-0.5.27.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.27.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.27.dist-info/RECORD,,
+siglab_py-0.5.29.dist-info/METADATA,sha256=uTBwQ7QfJc3IYjoDCZwjvktRaKI88suhSV4DgC6Q-Ew,829
+siglab_py-0.5.29.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.29.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.29.dist-info/RECORD,,