siglab-py 0.5.39__py3-none-any.whl → 0.5.48__py3-none-any.whl

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/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/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

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-0.5.39.dist-info → siglab_py-0.5.48.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.39
+Version: 0.5.48
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.39.dist-info → siglab_py-0.5.48.dist-info}/RECORD

@@ -22,18 +22,20 @@ 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=Tffqy6ngMDj71NkwWvswRln8uhLUJ-RckhbTMN-jVX4,5474
+siglab_py/tests/unit/analytic_util_tests.py,sha256=K7jtuKJLynW8EFyNgjOVHA2e2d6Gl2f0ONggFy9tD7g,5780
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
+siglab_py/tests/unit/simple_math_tests.py,sha256=nM7RZyFGNpMpAXattrO-K5gnlhYXF1trWRbETWRQiqU,3643
 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=HrTpzryXaAayn9-GOIU7RlqOIWUyBfwxPHkmG5SBSc8,60297
+siglab_py/util/analytic_util.py,sha256=dlmaf4QZ95JPGNN0LgOG8njpYE9nek4g9QVA51KvM6s,61306
 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=tNZMUkkjz4q1CKqcQq62oEmZgHgNIwz2Iw9J22V22Zw,2668
 siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
+siglab_py/util/simple_math.py,sha256=LUZVMEl-EA_jMgIYcqOFPgMEDRDJxFU4n_KCN1qznyw,827
 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-0.5.39.dist-info/METADATA,sha256=j6k_tYOiITDiyz6qLVJZzHqUDZ5wGs-mabQHeKNVgL4,829
-siglab_py-0.5.39.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.39.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.39.dist-info/RECORD,,
+siglab_py-0.5.48.dist-info/METADATA,sha256=kg-ba09DtS7X-RWGzHjRRhz6xmmjWy-PhS4ZYhdZzoU,829
+siglab_py-0.5.48.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.48.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.48.dist-info/RECORD,,