siglab-py 0.5.30__py3-none-any.whl → 0.6.12__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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- siglab_py/constants.py +5 -0
- siglab_py/exchanges/binance.py +38 -0
- siglab_py/exchanges/deribit.py +83 -0
- siglab_py/exchanges/futubull.py +11 -2
- siglab_py/market_data_providers/candles_provider.py +2 -2
- siglab_py/market_data_providers/candles_ta_provider.py +3 -3
- siglab_py/market_data_providers/futu_candles_ta_to_csv.py +6 -4
- siglab_py/market_data_providers/google_monitor.py +320 -0
- siglab_py/market_data_providers/orderbooks_provider.py +15 -12
- siglab_py/market_data_providers/tg_monitor.py +6 -2
- siglab_py/market_data_providers/{test_provider.py → trigger_provider.py} +9 -8
- siglab_py/ordergateway/encrypt_keys_util.py +1 -1
- siglab_py/ordergateway/gateway.py +97 -35
- siglab_py/tests/integration/market_data_util_tests.py +34 -0
- siglab_py/tests/unit/analytic_util_tests.py +37 -10
- siglab_py/tests/unit/simple_math_tests.py +235 -0
- siglab_py/tests/unit/trading_util_tests.py +0 -21
- siglab_py/util/analytic_util.py +195 -33
- siglab_py/util/market_data_util.py +177 -59
- siglab_py/util/notification_util.py +1 -1
- siglab_py/util/simple_math.py +240 -0
- siglab_py/util/trading_util.py +0 -12
- {siglab_py-0.5.30.dist-info → siglab_py-0.6.12.dist-info}/METADATA +1 -1
- siglab_py-0.6.12.dist-info/RECORD +44 -0
- {siglab_py-0.5.30.dist-info → siglab_py-0.6.12.dist-info}/WHEEL +1 -1
- siglab_py-0.5.30.dist-info/RECORD +0 -39
- {siglab_py-0.5.30.dist-info → siglab_py-0.6.12.dist-info}/top_level.txt +0 -0
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import math
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import random
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from typing import List, Dict, Union
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from pandas import isna
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def generate_rand_nums(
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range_min : float = 0,
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range_max : float = 1,
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size=100, # list size
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percent_in_range : float = 100,
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abs_min : float = 0,
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abs_max : float = 1
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) -> List[float]:
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assert(range_min<range_max)
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if abs_min>range_min:
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abs_min = range_min
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if abs_max<range_max:
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abs_max = range_max
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result : List[float] = []
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for _ in range(int(size * percent_in_range/100)):
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result.append(random.uniform(range_min, range_max))
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for _ in range(size - len(result)):
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if random.uniform(0, 1)>0.5:
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result.append(random.uniform(abs_min, range_min))
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else:
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result.append(random.uniform(range_max, abs_max))
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random.shuffle(result)
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return result
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# https://norman-lm-fung.medium.com/levels-are-psychological-7176cdefb5f2
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def round_to_level(
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num : float,
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level_granularity : float = 0.01
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) -> float:
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if math.isnan(num):
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return num
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level_size = num * level_granularity
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magnitude = math.floor(math.log10(abs(level_size)))
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base_increment = 10 ** magnitude
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rounded_level_size = round(level_size / base_increment) * base_increment
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rounded_num = round(num / rounded_level_size) * rounded_level_size
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return rounded_num
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def bucket_series(
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values : List[float],
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outlier_threshold_percent : float = 0,
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level_granularity : float = 0.1 # 0.1 = 10%
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) -> Dict[
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str,
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Dict[str,Union[float, List[float]]]
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]:
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buckets : Dict[
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str,
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Dict[str,Union[float, List[float]]]
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] = {}
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list_0_to_1 : bool = True if len([x for x in values if x<0 or x>1])/len(values)*100 <= outlier_threshold_percent else False
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list_m1_to_1 : bool = True if len([x for x in values if x<-1 or x>1])/len(values)*100 <= outlier_threshold_percent else False
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list_0_to_100 : bool = True if len([x for x in values if x<0 or x>100])/len(values)*100 <= outlier_threshold_percent else False
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if (
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list_0_to_100
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and (
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not min(values)<100*(outlier_threshold_percent/100) or not max(values)>100*(1-outlier_threshold_percent/100)
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)
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):
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list_0_to_100 = False
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list_m100_to_100 : bool = True if len([x for x in values if x<-100 or x>100])/len(values)*100 <= outlier_threshold_percent else False
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if (
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list_m100_to_100
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and (
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not min(values)<-100*(1-outlier_threshold_percent/100) or not max(values)>100*(1-outlier_threshold_percent/100)
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)
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):
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list_m100_to_100 = False
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def _generate_sequence(start, stop, step):
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result = []
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current = start
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num_steps = int((stop - start) / step) + 1
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for i in range(num_steps):
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result.append(round(start + i * step, 10))
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return result
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if list_0_to_1:
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step = round_to_level(
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1 * level_granularity,
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level_granularity=level_granularity
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)
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intervals = _generate_sequence(0.1, 1, step)
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last_interval = 0
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buckets[f"< 0"] = {
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'min' : float("-inf"),
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'max' : 0,
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'values' : [ x for x in values if x<0 ]
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}
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for interval in intervals:
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buckets[f"{last_interval} - {interval}"] = {
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'min' : last_interval,
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'max' : interval,
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'values' : [ x for x in values if x>=last_interval and x<interval ]
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}
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last_interval = interval
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buckets[f">1"] = {
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'min' : last_interval,
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'max' : float("inf"),
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'values' : [ x for x in values if x>=1 ]
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}
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elif not list_0_to_1 and list_m1_to_1:
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step = round_to_level(
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1 * level_granularity,
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level_granularity=level_granularity
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)
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intervals = _generate_sequence(-0.9, 1, step)
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last_interval = -1
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buckets[f"< -1"] = {
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'min' : float("-inf"),
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'max' : -1,
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'values' : [ x for x in values if x<-1 ]
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}
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for interval in intervals:
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buckets[f"{last_interval} - {interval}"] = {
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'min' : last_interval,
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'max' : interval,
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'values' : [ x for x in values if x>=last_interval and x<interval ]
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}
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last_interval = interval
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buckets[f">1"] = {
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'min' : last_interval,
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'max' : float("inf"),
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'values' : [ x for x in values if x>=1 ]
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}
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elif not list_0_to_1 and not list_m1_to_1 and list_0_to_100:
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step = round_to_level(
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100 * level_granularity,
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level_granularity=level_granularity
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)
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intervals = _generate_sequence(10, 100, step)
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last_interval = 0
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buckets[f"<0"] = {
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'min' : float("-inf"),
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'max' : 0,
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'values' : [ x for x in values if x<0 ]
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}
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for interval in intervals:
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buckets[f"{last_interval} - {interval}"] = {
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'min' : last_interval,
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'max' : interval,
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'values' : [ x for x in values if x>=last_interval and x<interval ]
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}
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last_interval = interval
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buckets[f">100"] = {
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'min' : last_interval,
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'max' : float("inf"),
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'values' : [ x for x in values if x>=100 ]
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}
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elif not list_0_to_1 and not list_m1_to_1 and not list_0_to_100 and list_m100_to_100:
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step = round_to_level(
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100 * level_granularity,
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level_granularity=level_granularity
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)
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intervals = _generate_sequence(-90, 100, step)
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last_interval = -100
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buckets[f"<-100"] = {
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'min' : float("-inf"),
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'max' : -100,
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'values' : [ x for x in values if x<-100 ]
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}
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for interval in intervals:
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buckets[f"{last_interval} - {interval}"] = {
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'min' : last_interval,
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'max' : interval,
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'values' : [ x for x in values if x>=last_interval and x<interval ]
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}
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last_interval = interval
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buckets[f">100"] = {
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'min' : last_interval,
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'max' : float("inf"),
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'values' : [ x for x in values if x>=100 ]
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}
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else:
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range_min = round_to_level(
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min(values),
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level_granularity=level_granularity
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)
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range_max = round_to_level(
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max(values),
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level_granularity=level_granularity
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)
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step = round_to_level(
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abs(range_max - range_min) * level_granularity,
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level_granularity=level_granularity
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)
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intervals = _generate_sequence(range_min+step, range_max, step)
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last_interval = range_min
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buckets[f"< {range_min}"] = {
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'min' : float("-inf"),
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'max' : range_min,
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'values' : [ x for x in values if x<range_min ]
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}
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for interval in intervals:
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buckets[f"{last_interval} - {interval}"] = {
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'min' : last_interval,
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'max' : interval,
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'values' : [ x for x in values if x>=last_interval and x<interval ]
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}
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last_interval = interval
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buckets[f"> {range_max}"] = {
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'min' : last_interval,
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'max' : float("inf"),
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'values' : [ x for x in values if x>=range_max ]
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}
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for key in buckets:
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bucket = buckets[key]
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assert(len([x for x in bucket['values'] if x<bucket['min'] or x>bucket['max']])==0) # type: ignore
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return buckets
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def bucketize_val(
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x : float,
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buckets : Dict[
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str,
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Dict[str,Union[float, List[float]]]
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]
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) -> Union[str,None]:
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for key in buckets:
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bucket = buckets[key]
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if x>=bucket['min'] and x<=bucket['max']: # type: ignore
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return key
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return None
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siglab_py/util/trading_util.py
CHANGED
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@@ -116,15 +116,3 @@ def calc_eff_trailing_sl(
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effective_tp_trailing_percent = default_effective_tp_trailing_percent
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return effective_tp_trailing_percent
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# https://norman-lm-fung.medium.com/levels-are-psychological-7176cdefb5f2
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def round_to_level(
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price : float,
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level_granularity : float = 0.01
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level_size = price * level_granularity
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magnitude = math.floor(math.log10(level_size))
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base_increment = 10 ** magnitude
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rounded_level_size = round(level_size / base_increment) * base_increment
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rounded_price = round(price / rounded_level_size) * rounded_level_size
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return rounded_price
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siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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siglab_py/constants.py,sha256=RlWh0-_sXHanfPIVLgDPLNbn9ljv3aZJYMv92Zd0jZI,701
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siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
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siglab_py/exchanges/binance.py,sha256=3hLeU5t4AXVLS2u6V8wlqsvdo3Uh00ebgx4MONy8X6k,1394
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siglab_py/exchanges/deribit.py,sha256=gI5ezORDeu-Z1S8yxJj1Kj43OroK3ga9BckNijkuk8A,3361
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siglab_py/exchanges/futubull.py,sha256=i0jNgl9BGJvgEIDeOkTfD52FaK77vX8axCKNYwJHwSI,21144
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siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBNRzcNGlOG3u38OVhmOZYlkNm8dVvR-S7Ii2g,23342
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siglab_py/market_data_providers/candles_provider.py,sha256=FXvciwU7ONC0VdX-fggELIl2yqd7mRB2CjDeUsDzr-A,14145
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