siglab-py 0.5.50__py3-none-any.whl → 0.5.51__py3-none-any.whl

siglab_py/tests/unit/simple_math_tests.py

@@ -1,7 +1,7 @@
 import unittest
 from typing import List, Dict, Union
 
-from util.simple_math import generate_rand_nums, round_to_level, bucket_series
+from util.simple_math import generate_rand_nums, round_to_level, bucket_series, bucketize_val
 
 class SimpleMathTests(unittest.TestCase):
 
@@ -108,6 +108,9 @@ class SimpleMathTests(unittest.TestCase):
             assert(rounded_price==expected)
 
     def test_bucket_series(self):
+
+        level_granularity : float = 0.1
+
         range_min : float = 0
         range_max : float = 1
         size : int = 100
@@ -129,10 +132,17 @@ class SimpleMathTests(unittest.TestCase):
             Dict[str,Union[float, List[float]]]
         ] = bucket_series(
                                                 values = rand_nums,
-                                                outlier_threshold_percent = 10
+                                                outlier_threshold_percent = 10,
+                                                level_granularity=level_granularity
                                             )
         
+        bucketized = []
+        for num in rand_nums:
+            bucketized.append(
+                bucketize_val(num, buckets=buckets)
+            )
 
+        
         range_min = -1
         range_max = 1
         size : int = 100
@@ -151,7 +161,8 @@ class SimpleMathTests(unittest.TestCase):
 
         buckets = bucket_series(
                                     values = rand_nums,
-                                    outlier_threshold_percent = 10
+                                    outlier_threshold_percent = 10,
+                                    level_granularity=level_granularity
                                 )
         
 
@@ -173,7 +184,8 @@ class SimpleMathTests(unittest.TestCase):
 
         buckets = bucket_series(
                                     values = rand_nums,
-                                    outlier_threshold_percent = 10
+                                    outlier_threshold_percent = 10,
+                                    level_granularity=level_granularity
                                 )
         
 
@@ -195,7 +207,8 @@ class SimpleMathTests(unittest.TestCase):
 
         buckets = bucket_series(
                                     values = rand_nums,
-                                    outlier_threshold_percent = 10
+                                    outlier_threshold_percent = 10,
+                                    level_granularity=level_granularity
                                 )
         
 
@@ -217,5 +230,6 @@ class SimpleMathTests(unittest.TestCase):
 
         buckets = bucket_series(
                                     values = rand_nums,
-                                    outlier_threshold_percent = 10
+                                    outlier_threshold_percent = 10,
+                                    level_granularity=level_granularity
                                 )

siglab_py/util/analytic_util.py

@@ -11,6 +11,7 @@ from hurst import compute_Hc # compatible with pypy
 from ccxt.base.exchange import Exchange as CcxtExchange
 from ccxt import deribit
 
+from siglab_py.util.simple_math import bucket_series
 from siglab_py.util.market_data_util import fix_column_types
 from siglab_py.constants import TrendDirection
 
@@ -473,6 +474,15 @@ def compute_candles_stats(
         
     lo_rs = lo_ma_up / lo_ma_down
     pd_candles.loc[:,'rsi'] = 100 - (100/(1 + lo_rs))
+    rsi_buckets = bucket_series(
+        values = pd_candles['rsi'].to_list(),
+        outlier_threshold_percent=10,
+        level_granularity=0.1
+    )
+    
+    pd_candles['rsi_bucket'] = pd_candles['rsi'].rolling(
+        window=sliding_window_how_many_candles
+        ).apply(lambda x: bucketize_val(x, buckets=rsi_buckets))
     pd_candles['ema_rsi'] = pd_candles['rsi'].ewm(
         span=rsi_sliding_window_how_many_candles, 
         adjust=False).mean()

siglab_py/util/simple_math.py

@@ -189,4 +189,17 @@ def bucket_series(
         bucket = buckets[key]
         assert(len([x for x in bucket['values'] if x<bucket['min'] or x>bucket['max']])==0) # type: ignore
 
-    return buckets
+    return buckets
+
+def bucketize_val(
+            x : float,
+            buckets : Dict[
+            str, 
+            Dict[str,Union[float, List[float]]]
+        ]
+    ) -> Union[str,None]:
+        for key in buckets:
+            bucket = buckets[key]
+            if x>=bucket['min'] and x<=bucket['max']: # type: ignore
+                return key
+        return None

{siglab_py-0.5.50.dist-info → siglab_py-0.5.51.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.50
+Version: 0.5.51
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.50.dist-info → siglab_py-0.5.51.dist-info}/RECORD

@@ -24,18 +24,18 @@ siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QT
 siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 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=eKQmN9B8HxHJUfVQMYcu20P7qHYUMEvVIcKOCg--ofU,9045
+siglab_py/tests/unit/simple_math_tests.py,sha256=rWqq93W4Vlqmu0UeZCmSOfLirr0gPh2ASVIZ8O77qXY,9653
 siglab_py/tests/unit/trading_util_tests.py,sha256=LiflZrduWXyLMbpSFQCaydA7jdJx3vFR-3KuKRRGhjQ,2927
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=dlmaf4QZ95JPGNN0LgOG8njpYE9nek4g9QVA51KvM6s,61306
+siglab_py/util/analytic_util.py,sha256=2TXBnxoO2dUNtVv_YAq_1zKEuGpVGIWKLyHF0nLd4JU,61697
 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=85qJXRsA9otKiVwFXjEQ4NX_PlFh_in2DdqpZruuw7A,7052
+siglab_py/util/simple_math.py,sha256=kVBa-h7sH6IrDJOSxd0LtrLAe0ROMiIEg4fc53XO-IA,7416
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
 siglab_py/util/trading_util.py,sha256=dlIOzoMGnddLSFODcJ61EBH1Aeruq4IT2MsxIdFkV9I,5252
-siglab_py-0.5.50.dist-info/METADATA,sha256=WlcUc9wwdhTQmpp_sY07SXRBA2RxqiCAcfK2Y5yZZNQ,829
-siglab_py-0.5.50.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.50.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.50.dist-info/RECORD,,
+siglab_py-0.5.51.dist-info/METADATA,sha256=7tXlpFvkoadF0GXl8R22N9rQpFnqDYGKZ_NiN4F7uXg,829
+siglab_py-0.5.51.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.51.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.51.dist-info/RECORD,,