siglab-py 0.5.50__tar.gz → 0.5.52__tar.gz

{siglab_py-0.5.50 → siglab_py-0.5.52}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.50
+Version: 0.5.52
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.50 → siglab_py-0.5.52}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.50"
+version = "0.5.52"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.50 → siglab_py-0.5.52}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.50
+version = 0.5.52
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.50 → siglab_py-0.5.52}/siglab_py/tests/unit/analytic_util_tests.py

@@ -67,9 +67,9 @@ class AnalyticUtilTests(unittest.TestCase):
             'aggressive_up', 'aggressive_up_index', 'aggressive_up_candle_height', 'aggressive_up_candle_high', 'aggressive_up_candle_low', 'aggressive_down', 'aggressive_down_index', 'aggressive_down_candle_height', 'aggressive_down_candle_high', 'aggressive_down_candle_low', 
             'fvg_low', 'fvg_high', 'fvg_gap', 'fvg_mitigated', 
             'close_delta', 'close_delta_percent', 'up', 'down', 
-            'rsi', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_trend_from_highs', 'rsi_trend_from_lows', 'rsi_divergence',
+            'rsi', 'rsi_bucket', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_trend_from_highs', 'rsi_trend_from_lows', 'rsi_divergence',
             'typical_price', 
-            'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 
+            'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 'mfi_bucket',
             'macd', 'signal', 'macd_minus_signal', 
             'fib_0.618_short_periods', 'fib_0.618_long_periods', 
             'gap_close_vs_ema', 

{siglab_py-0.5.50 → siglab_py-0.5.52}/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-0.5.50 → siglab_py-0.5.52}/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, bucketize_val
 from siglab_py.util.market_data_util import fix_column_types
 from siglab_py.constants import TrendDirection
 
@@ -473,6 +474,13 @@ 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'].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()
@@ -534,6 +542,12 @@ def compute_candles_stats(
         rsi_sliding_window_how_many_candles if rsi_sliding_window_how_many_candles else sliding_window_how_many_candles).sum()
     pd_candles['money_flow_ratio'] = pd_candles['positive_flow_sum'] / pd_candles['negative_flow_sum']
     pd_candles['mfi'] = 100 - (100 / (1 + pd_candles['money_flow_ratio']))
+    mfi_buckets = bucket_series(
+        values = pd_candles['mfi'].to_list(),
+        outlier_threshold_percent=10,
+        level_granularity=0.1
+    )
+    pd_candles['mfi_bucket'] = pd_candles['mfi'].apply(lambda x: bucketize_val(x, buckets=mfi_buckets))
     
 
     # MACD https://www.investopedia.com/terms/m/macd.asp

{siglab_py-0.5.50 → siglab_py-0.5.52}/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 → siglab_py-0.5.52}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.50
+Version: 0.5.52
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>