siglab-py 0.5.38__tar.gz → 0.5.48__tar.gz

{siglab_py-0.5.38 → siglab_py-0.5.48}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.38
+Version: 0.5.48
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.38 → siglab_py-0.5.48}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.38"
+version = "0.5.48"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.38 → siglab_py-0.5.48}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.38
+version = 0.5.48
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.38 → siglab_py-0.5.48}/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-0.5.38 → siglab_py-0.5.48}/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-0.5.38 → siglab_py-0.5.48}/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-0.5.38 → siglab_py-0.5.48}/siglab_py/tests/unit/analytic_util_tests.py

@@ -45,18 +45,20 @@ class AnalyticUtilTests(unittest.TestCase):
             'exchange', 'symbol', 'timestamp_ms', 
             'open', 'high', 'low', 'close', 'volume', 
             'datetime', 'datetime_utc', 'year', 'month', 'day', 'hour', 'minute', 'dayofweek', 
-            'pct_chg_on_close', 'candle_height', 
+            'pct_chg_on_close', 'candle_height', 'candle_body_height',
             'week_of_month', 'apac_trading_hr', 'emea_trading_hr', 'amer_trading_hr', 
             'is_green', 'pct_change_close', 
             'sma_short_periods', 'sma_long_periods', 'ema_short_periods', 'ema_long_periods', 'ema_close', 
             'std', 'std_percent', 
             'vwap_short_periods', 'vwap_long_periods',
-            'candle_height_percent', 'candle_height_percent_rounded', 
+            'candle_height_percent', 'candle_height_percent_rounded', 'candle_body_height_percent', 'candle_body_height_percent_rounded',
             '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', 
+            'max_candle_body_height_percent_long_periods', 'idmax_candle_body_height_percent_long_periods',
+            'min_candle_body_height_percent_long_periods', 'idmin_candle_body_height_percent_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',
             'h_l', 'h_pc', 'l_pc', 'tr', 'atr', 'atr_avg_short_periods', 'atr_avg_long_periods',

siglab_py-0.5.48/siglab_py/tests/unit/simple_math_tests.py

@@ -0,0 +1,87 @@
+import unittest
+from typing import List
+
+from util.simple_math import generate_rand_nums
+
+class SimpleMathTests(unittest.TestCase):
+
+    def test_generate_rand_nums(self):
+        range_min : float = 0
+        range_max : float = 1
+        size : int = 100
+        percentage_in_range : float = 91
+        abs_min : float = -0.5
+        abs_max : float = 1.1
+
+        rand_nums : List[float] = generate_rand_nums(
+                                        range_min = range_min,
+                                        range_max = range_max,
+                                        size = size, 
+                                        percent_in_range = percentage_in_range,
+                                        abs_min = abs_min,
+                                        abs_max = abs_max
+                                    )
+        
+        assert(len(rand_nums)==size)
+        assert(len([x for x in rand_nums if x>=range_min and x<=range_max]) == (percentage_in_range/100) * size)
+        assert(len([x for x in rand_nums if x<abs_min or x>abs_max]) == 0)
+
+
+        range_min = -1
+        range_max  = 1
+        percentage_in_range = 91
+        abs_min = -1.5
+        abs_max = 1.5
+
+        rand_nums : List[float] = generate_rand_nums(
+                                        range_min = range_min,
+                                        range_max = range_max,
+                                        size = size, 
+                                        percent_in_range = percentage_in_range,
+                                        abs_min = abs_min,
+                                        abs_max = abs_max
+                                    )
+        
+        assert(len(rand_nums)==size)
+        assert(len([x for x in rand_nums if x>=range_min and x<=range_max]) == (percentage_in_range/100) * size)
+        assert(len([x for x in rand_nums if x<abs_min or x>abs_max]) == 0)
+
+
+        range_min = 0
+        range_max  = 100
+        percentage_in_range = 91
+        abs_min = -150
+        abs_max = 150
+
+        rand_nums : List[float] = generate_rand_nums(
+                                        range_min = range_min,
+                                        range_max = range_max,
+                                        size = size, 
+                                        percent_in_range = percentage_in_range,
+                                        abs_min = abs_min,
+                                        abs_max = abs_max
+                                    )
+        
+        assert(len(rand_nums)==size)
+        assert(len([x for x in rand_nums if x>=range_min and x<=range_max]) == (percentage_in_range/100) * size)
+        assert(len([x for x in rand_nums if x<abs_min or x>abs_max]) == 0)
+
+
+        range_min = -100
+        range_max  = 100
+        percentage_in_range = 91
+        abs_min = -150
+        abs_max = 150
+
+        rand_nums : List[float] = generate_rand_nums(
+                                        range_min = range_min,
+                                        range_max = range_max,
+                                        size = size, 
+                                        percent_in_range = percentage_in_range,
+                                        abs_min = abs_min,
+                                        abs_max = abs_max
+                                    )
+        
+        assert(len(rand_nums)==size)
+        assert(len([x for x in rand_nums if x>=range_min and x<=range_max]) == (percentage_in_range/100) * size)
+        assert(len([x for x in rand_nums if x<abs_min or x>abs_max]) == 0)

{siglab_py-0.5.38 → siglab_py-0.5.48}/siglab_py/util/analytic_util.py

@@ -121,6 +121,7 @@ def compute_candles_stats(
         pypy_compat : bool = True
         ):
     pd_candles['candle_height'] = pd_candles['high'] - pd_candles['low']
+    pd_candles['candle_body_height'] = pd_candles['close'] - pd_candles['open']
 
     '''
     market_data_gizmo inserted dummy lines --> Need exclude those or "TypeError: unorderable types for comparison": pd_btc_candles = pd_btc_candles[pd_btc_candles.close.notnull()]
@@ -157,6 +158,9 @@ def compute_candles_stats(
     pd_candles['candle_height_percent'] = pd_candles['candle_height'] / pd_candles['ema_close'] * 100
     pd_candles['candle_height_percent_rounded'] = pd_candles['candle_height_percent'].round().astype('Int64')
 
+    pd_candles['candle_body_height_percent'] = pd_candles['candle_body_height'] / pd_candles['ema_close'] * 100
+    pd_candles['candle_body_height_percent_rounded'] = pd_candles['candle_body_height_percent'].round().astype('Int64')
+
     '''
     To annualize volatility:
         if candle_interval == '1m':
@@ -235,6 +239,11 @@ def compute_candles_stats(
     pd_candles['idmin_short_periods'] = close_short_periods_rolling.apply(lambda x : x.idxmin())
     pd_candles['idmin_long_periods'] = close_long_periods_rolling.apply(lambda x : x.idxmin())
 
+    pd_candles['max_candle_body_height_percent_long_periods'] = pd_candles['candle_body_height_percent'].rolling(window=sliding_window_how_many_candles).max()
+    pd_candles['idmax_candle_body_height_percent_long_periods'] = pd_candles['candle_body_height_percent'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmax())
+    pd_candles['min_candle_body_height_percent_long_periods'] = pd_candles['candle_body_height_percent'].rolling(window=sliding_window_how_many_candles).min()
+    pd_candles['idmin_candle_body_height_percent_long_periods'] = pd_candles['candle_body_height_percent'].rolling(window=sliding_window_how_many_candles).apply(lambda x : x.idxmin())
+
     pd_candles['price_swing_short_periods'] = np.where(
         pd_candles['idmax_short_periods'] > pd_candles['idmin_short_periods'],
         pd_candles['max_short_periods'] - pd_candles['min_short_periods'],  # Up swing
@@ -580,7 +589,7 @@ 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'] = (

siglab_py-0.5.48/siglab_py/util/simple_math.py

@@ -0,0 +1,30 @@
+import random
+from typing import List
+
+def generate_rand_nums(
+        range_min : float = 0,
+        range_max : float = 1,
+        size=100, # list size
+        percent_in_range : float = 100,
+        abs_min : float = 0,
+        abs_max : float = 1
+    ):
+    assert(range_min<range_max)
+
+    if abs_min>range_min:
+        abs_min = range_min
+    if abs_max<range_max:
+        abs_max = range_max
+
+    result = []
+    for _ in range(int(size * percent_in_range/100)):
+        result.append(random.uniform(range_min, range_max))
+    for _ in range(size - len(result)):
+        if random.uniform(0, 1)>0.5:
+            result.append(random.uniform(abs_min, range_min))
+        else:
+            result.append(random.uniform(range_max, abs_max))
+    
+    random.shuffle(result)
+
+    return result

{siglab_py-0.5.38 → siglab_py-0.5.48}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.38
+Version: 0.5.48
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.38 → siglab_py-0.5.48}/siglab_py.egg-info/SOURCES.txt

@@ -31,6 +31,7 @@ siglab_py/tests/integration/market_data_util_tests.py
 siglab_py/tests/unit/__init__.py
 siglab_py/tests/unit/analytic_util_tests.py
 siglab_py/tests/unit/market_data_util_tests.py
+siglab_py/tests/unit/simple_math_tests.py
 siglab_py/tests/unit/trading_util_tests.py
 siglab_py/util/__init__.py
 siglab_py/util/analytic_util.py
@@ -38,5 +39,6 @@ siglab_py/util/aws_util.py
 siglab_py/util/market_data_util.py
 siglab_py/util/notification_util.py
 siglab_py/util/retry_util.py
+siglab_py/util/simple_math.py
 siglab_py/util/slack_notification_util.py
 siglab_py/util/trading_util.py