siglab-py 0.5.37__tar.gz → 0.5.39__tar.gz

{siglab_py-0.5.37 → siglab_py-0.5.39}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.37
+Version: 0.5.39
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.37 → siglab_py-0.5.39}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.37"
+version = "0.5.39"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.37 → siglab_py-0.5.39}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.37
+version = 0.5.39
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py/exchanges/futubull.py

@@ -4,7 +4,7 @@ https://www.futuhk.com/en/support/categories/909?global_content=%7B%22promote_id
 
 Fees: https://www.futuhk.com/en/commissionnew#crypto
 
-Subscribe L2 data: https://openapi.futunn.com/futu-api-doc/en/intro/authority.html#5331
+Subscribe L2 data: https://openapi.futunn.com/futu-api-doc/en/intro/authority.html
 
 Investor Protection: https://www.futuhk.com/en
 
@@ -15,8 +15,17 @@ Margin Trading:
 Download Futu OpenD
     https://www.futuhk.com/en/support/topic1_464?global_content=%7B%22promote_id%22%3A13765%2C%22sub_promote_id%22%3A10%7D
 
-    If you run the installer version "Futu_OpenD-GUI_9.0.5008_Windows.exe", it'd be installed under:
+    If you run the installer version "Futu_OpenD-GUI_9.0.5008_Windows.exe", it'd be installed under C-Drive:
         C:\\Users\\xxx\\AppData\\Roaming\\Futu_OpenD\\Futu_OpenD.exe
+    Unfortunately, log folder also under C-drive as a result, and they are big.
+
+    For command line version: https://openapi.futunn.com/futu-api-doc/opend/opend-cmd.html
+        Binary under downloaded package (You can put it under for example D-drive): 
+            ...\Futu_OpenD_9.4.5408_Windows\Futu_OpenD_9.4.5408_Windows
+            
+        Put a batch file "start_futu_opend.bat", if login_pwd include special characters, enclose pwd with double quotes:
+            FutuOpenD -login_account=1234567 -login_pwd="... Your Secret here ..."
+    Config file is "FutuOpenD.xml", you can adjust logging verbosity here.
 
 Architecture: https://openapi.futunn.com/futu-api-doc/en/intro/intro.html
 

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py/market_data_providers/futu_candles_ta_to_csv.py

@@ -17,15 +17,17 @@ from siglab_py.util.analytic_util import compute_candles_stats
 '''
 Usage:
     set PYTHONPATH=%PYTHONPATH%;D:\dev\siglab\siglab_py
-    python futu_candles_ta_to_csv.py --symbol HK.00700 --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
+    python futu_candles_ta_to_csv.py --symbol HK.00700 --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --candle_size 1h --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
+    python futu_candles_ta_to_csv.py --symbol HK.02840 --end_date "2025-07-30 0:0:0" --start_date "2018-01-01 0:0:0" --candle_size 1h --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
+    python futu_candles_ta_to_csv.py --symbol AAPL --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --candle_size 1h --market US --trdmarket US --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
 
-    python futu_candles_ta_to_csv.py --symbol AAPL --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --market US --trdmarket US --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible N
-
-    Gold contracts? Note, symbol is case sensitive with Futu.
+    Gold contracts? Note, symbol is case sensitive with Futu. So, "GCmain" is correct, "GCMain" is in-correct.
     python futu_candles_ta_to_csv.py --symbol US.GCmain --end_date "2025-03-11 0:0:0" --start_date "2021-03-11 0:0:0" --market US --trdmarket FUTURES --security_firm FUTUSECURITIES --security_type FUTURE --compute_ta Y --pypy_compatible N
 
     (Remember: python -mpip install siglab_py)
 
+    Gold future contract specification: https://www.futunn.com/en/futures/GCMAIN-US/contract-specs
+
 This script is pypy compatible. Set "pypy_compatible" to True, in which case "compute_candles_stats" will skip calculation for TAs which requires: scipy, statsmodels, scikit-learn, sklearn.preprocessing
     pypy futu_candles_ta_to_csv.py --symbol HK.00700 --end_date "2025-03-11 0:0:0" --start_date "2024-03-11 0:0:0" --market HK --trdmarket HK --security_firm FUTUSECURITIES --security_type STOCK --compute_ta Y --pypy_compatible Y
 

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py/ordergateway/encrypt_keys_util.py

@@ -1,5 +1,5 @@
 from typing import Union
-from util.aws_util import AwsKmsUtil
+from siglab_py.util.aws_util import AwsKmsUtil
 
 '''
 From command line, run 'aws configure' with IAM user's Access key ID and Secret access key. (Assume you have awscli installed)

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py/tests/unit/analytic_util_tests.py

@@ -2,7 +2,7 @@ import unittest
 from typing import List
 from pathlib import Path
 
-from util.analytic_util import compute_candles_stats
+from util.analytic_util import compute_candles_stats, lookup_fib_target
 
 import pandas as pd
 
@@ -78,4 +78,29 @@ class AnalyticUtilTests(unittest.TestCase):
         missing_columns = [ expected for expected in expected_columns if expected not in pd_candles.columns.to_list() ]
         unexpected_columns = [ actual for actual in pd_candles.columns.to_list() if actual not in expected_columns ]
 
-        assert(pd_candles.columns.to_list()==expected_columns)
+        assert(pd_candles.columns.to_list()==expected_columns)
+
+    def test_lookup_fib_target(self):
+        data_dir = Path(__file__).parent.parent.parent.parent / "data"
+        csv_path = data_dir / "sample_btc_candles.csv"
+        pd_candles : pd.DataFrame = pd.read_csv(csv_path)
+        target_fib_level : float = 0.618
+        compute_candles_stats(
+            pd_candles=pd_candles,
+            boillenger_std_multiples=2,
+            sliding_window_how_many_candles=20,
+            target_fib_level=target_fib_level,
+            pypy_compat=True # Slopes calculation? Set pypy_compat to False
+        )
+
+        last_row = pd_candles.iloc[-1]
+        result = lookup_fib_target(
+            row=last_row, 
+            pd_candles=pd_candles,
+            target_fib_level=target_fib_level
+            )
+        if result:
+            assert(result['short_periods']['min']<result['short_periods']['fib_target']<result['short_periods']['max'])
+            assert(result['long_periods']['min']<result['long_periods']['fib_target']<result['long_periods']['max'])
+        
+

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py/util/analytic_util.py

@@ -83,14 +83,15 @@ def trend_from_lows(series: np.ndarray) -> float:
 '''
 compute_candles_stats will calculate typical/basic technical indicators using in many trading strategies:
     a. Basic SMA/EMAs (And slopes)
-    b. ATR
-    c. Boillenger bands (Yes incorrect spelling sorry)
-    d. FVG
-    e. Hurst Exponent
-    f. RSI, MFI
-    g. MACD
-    h. Fibonacci
-    i. Inflections points: where 'close' crosses EMA from above or below.
+    b. EMA crosses
+    c. ATR
+    d. Boillenger bands (Yes incorrect spelling sorry)
+    e. FVG
+    f. Hurst Exponent
+    g. RSI, MFI
+    h. MACD
+    i. Fibonacci
+    j. Inflections points: where 'close' crosses EMA from above or below.
 
 Parameters:
     a. boillenger_std_multiples: For boillenger upper and lower calc
@@ -433,8 +434,11 @@ def compute_candles_stats(
 
     pd_candles['fvg_mitigated'] = pd_candles.apply(lambda row: compute_fvg_mitigated(row, pd_candles), axis=1)
 
-
-    # RSI - https://www.youtube.com/watch?v=G9oUTi-PI18&t=809s 
+    '''
+        RSI
+        Divergences from Bybit Learn https://www.youtube.com/watch?v=G9oUTi-PI18&t=809s 
+        RSI Reversals from BK Traders https://www.youtube.com/watch?v=MvkbrHjiQlI
+    '''
     pd_candles.loc[:,'close_delta'] = pd_candles['close'].diff()
     pd_candles.loc[:,'close_delta_percent'] = pd_candles['close'].pct_change()
     lo_up = pd_candles['close_delta'].clip(lower=0)
@@ -576,7 +580,7 @@ def compute_candles_stats(
             pd_data=pd_candles,
             src_col_name='ema_rsi',
             slope_col_name='ema_rsi_slope',
-            sliding_window_how_many_candles=int(sliding_window_how_many_candles)
+            sliding_window_how_many_candles=int(rsi_trend_sliding_window_how_many_candles)
         )
 
         pd_candles['regular_divergence'] = (
@@ -608,6 +612,68 @@ def compute_candles_stats(
         'close_vs_ema_inflection'
     ] = np.sign(pd_candles['close'] - pd_candles['ema_long_periods'])
 
+def lookup_fib_target(
+            row,
+            pd_candles,
+            target_fib_level : float = 0.618
+        ) -> Union[Dict, None]:
+            if row is None:
+                return None
+            
+            fib_target_short_periods = None
+            fib_target_long_periods = None
+
+            max_short_periods = row['max_short_periods']
+            idmax_short_periods = int(row['idmax_short_periods']) if not math.isnan(row['idmax_short_periods']) else None
+            max_long_periods = row['max_long_periods']
+            idmax_long_periods = int(row['idmax_long_periods']) if not math.isnan(row['idmax_long_periods']) else None
+
+            min_short_periods = row['min_short_periods']
+            idmin_short_periods = int(row['idmin_short_periods']) if not math.isnan(row['idmin_short_periods']) else None
+            min_long_periods = row['min_long_periods']
+            idmin_long_periods = int(row['idmin_long_periods']) if not math.isnan(row['idmin_long_periods']) else None
+                        
+            if idmax_short_periods and idmin_short_periods and idmax_short_periods>0 and idmin_short_periods>0:
+                if idmax_short_periods>idmin_short_periods and idmax_short_periods < len(pd_candles):
+                    # Falling from prev peak
+                    last_peak = pd_candles.iloc[idmax_short_periods]
+                    fib_target_short_periods = last_peak[f'fib_{target_fib_level}_short_periods'] if not math.isnan(last_peak[f'fib_{target_fib_level}_short_periods']) else None
+                    
+                else:
+                    # Bouncing from prev bottom
+                    if idmin_short_periods < len(pd_candles):
+                        last_bottom = pd_candles.iloc[idmin_short_periods]
+                        fib_target_short_periods = last_bottom[f'fib_{target_fib_level}_short_periods'] if not math.isnan(last_bottom[f'fib_{target_fib_level}_short_periods']) else None
+                        
+            if idmax_long_periods and idmin_long_periods and idmax_long_periods>0 and idmin_long_periods>0:
+                if idmax_long_periods>idmin_long_periods and idmax_long_periods < len(pd_candles):
+                    # Falling from prev peak
+                    last_peak = pd_candles.iloc[idmax_long_periods]
+                    fib_target_long_periods = last_peak[f'fib_{target_fib_level}_long_periods'] if not math.isnan(last_peak[f'fib_{target_fib_level}_long_periods']) else None
+                    
+                else:
+                    # Bouncing from prev bottom
+                    if idmin_long_periods < len(pd_candles):
+                        last_bottom = pd_candles.iloc[idmin_long_periods]
+                        fib_target_long_periods = last_bottom[f'fib_{target_fib_level}_long_periods'] if not math.isnan(last_bottom[f'fib_{target_fib_level}_long_periods']) else None
+            
+            return {
+                'short_periods' : {
+                    'idmin' : idmin_short_periods,
+                    'idmax' : idmax_short_periods,
+                    'min' : min_short_periods,
+                    'max' : max_short_periods,
+                    'fib_target' : fib_target_short_periods,
+                },
+                'long_periods' : {
+                    'idmin' : idmin_long_periods,
+                    'idmax' : idmax_long_periods,
+                    'min' : min_long_periods,
+                    'max' : max_long_periods,
+                    'fib_target' : fib_target_long_periods
+                }
+            }
+
 ''' 
 The implementation from Geeksforgeeks https://www.geeksforgeeks.org/find-indices-of-all-local-maxima-and-local-minima-in-an-array/ is wrong. 
 If you have consecutive-duplicates, things will gall apart!

{siglab_py-0.5.37 → siglab_py-0.5.39}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.37
+Version: 0.5.39
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>